```

                                                             OMB APPROVAL
                                                     OMB Number:       3235-0578
                                                     Expires:  January 31, 2016
                                                     Estimated average burden
                                                     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 811-21558

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

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

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

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

Date of fiscal year end:  August 31

Date of reporting period:  May 31, 2014

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

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

<PAGE>
ITEM 1. Schedule of Investments.

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

```

```

|                                                                                                                                                       |                 |             |                                                                                                                                 | Pioneer Short Term Income Fund                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |
|------------------------------------------------------------------------------------------------------------------------------------------------------------|----------------------|------------------|--------------------------------------------------------------------------------------------------------------------------------------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|-----------|-------------|
|                                                                                                                                                       |                 |             |                                                                                                                                 | Schedule of Investments 5/31/14 (unaudited)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       | Principal Amount ($) | FloatingRate (b) | S&P/Moody'sRatings                                                                                                               |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | Value     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | PREFERRED STOCKS - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Insurance - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Reinsurance - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |        |
|                                                                                                                                                       | 84,180               | 0.00             | NR/NR                                                                                                                                | Altair Re, Floating Rate Note, 4/30/16 (Cat Bond)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 103,356     |
|                                                                                                                                                       | 350,000              | 0.00             | NR/NR                                                                                                                                | Altair Re, Floating Rate Note, 6/30/16 (Cat Bond)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 360,220     |
|                                                                                                                                                       | 150,000              |             | NR/NR                                                                                                                                | Pangaea Re, 10/1/15 (Cat Bond) (e)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 168,465     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 632,041     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Insurance                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 632,041     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | TOTAL PREFERRED STOCKS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | (Cost $582,955)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 632,041     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | ASSET BACKED SECURITIES - 15.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |        |
|                                                                                                                                                       | 240,000              | 0.55             | CCC/A3                                                                                                                               | Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 230,935     |
|                                                                                                                                                       | 76,824               | 6.50             | BB+/Baa2                                                                                                                             | ACE Securities Corp. Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | 76,884    |
|                                                                                                                                                       | 294,729              | 0.42             | BB+/Baa3                                                                                                                             | Aegis Asset Backed Securities Trust 2005-5, Floating Rate Note, 12/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 277,739     |
|                                                                                                                                                       | 537,501              | 0.87             | AAA/Aaa                                                                                                                              | Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                             | 526,199   |
|                                                                                                                                                       | 175,004              | 1.25             | AAA/Aaa                                                                                                                              | Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                             | 172,730   |
|                                                                                                                                                       | 148,578              | 0.52             | A+/A3                                                                                                                                | Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                | 145,813   |
|                                                                                                                                                       | 500,000              | 0.35             | AAA/NR                                                                                                                               | Ally Auto Receivables Trust 2014-SN1, Floating Rate Note, 10/20/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 500,000     |
|                                                                                                                                                       | 147,672              |             | AA/NR                                                                                                                                | American Credit Acceptance Receivables Trust 2013-2, 1.32%, 2/15/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 147,875     |
|                                                                                                                                                       | 409,119              |             | AA/NR                                                                                                                                | American Credit Acceptance Receivables Trust 2014-1, 1.14%, 3/12/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 409,589     |
|                                                                                                                                                       | 482,824              |             | AA/NR                                                                                                                                | American Credit Acceptance Receivables Trust 2014-2, 0.99%, 10/10/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 482,831     |
|                                                                                                                                                       | 96,885               |             | A+/NR                                                                                                                                | American Credit Acceptance Receivables Trust, 1.64%, 11/15/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 97,098      |
|                                                                                                                                                       | 760,000              | 0.95             | AA-/NR                                                                                                                               | American Express Credit Account Secured Note Trust 2012-4, Floating Rate Note, 5/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 765,404     |
|                                                                                                                                                       | 500,000              |             | NR/Aa2                                                                                                                               | American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/17/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 498,799     |
|                                                                                                                                                       | 567,000              |             | AA+/Aaa                                                                                                                              | AmeriCredit Automobile Receivables Trust 2010-2, 6.24%, 6/8/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 574,851     |
|                                                                                                                                                       | 100,000              |             | NR/Aaa                                                                                                                               | AmeriCredit Automobile Receivables Trust 2011-3, 4.04%, 7/10/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 103,750     |
|                                                                                                                                                       | 500,000              |             | AA+/Aaa                                                                                                                              | AmeriCredit Automobile Receivables Trust 2011-5, 2.45%, 12/8/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 504,494     |
|                                                                                                                                                       | 500,000              |             | A+/NR                                                                                                                                | AmeriCredit Automobile Receivables Trust 2012-4, 3.82%, 2/10/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 524,521     |
|                                                                                                                                                       | 150,000              |             | A+/NR                                                                                                                                | AmeriCredit Automobile Receivables Trust 2013-1, 1.57%, 1/8/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 150,561     |
|                                                                                                                                                       | 381,831              |             | AAA/Aaa                                                                                                                              | AmeriCredit Automobile Receivables Trust 2013-4, 0.74%, 11/8/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 382,280     |
|                                                                                                                                                       | 500,000              |             | BBB+/Baa1                                                                                                                            | AmeriCredit Automobile Receivables Trust 2013-4, 3.31%, 10/8/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 520,775     |
|                                                                                                                                                       | 732,730              | 0.48             | A+/A1                                                                                                                                | Ameriquest Mortgage Securities, Inc., Asset Backed Pass-Through Ctfs Series 2005-R11, Floating Rate Note, 1/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 717,299   |
|                                                                                                                                                       | 101,586              | 3.90             | A/Baa1                                                                                                                               | Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Ctfs Series 03-AR3, Floating Rate Note, 6/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                        | 104,840   |
|                                                                                                                                                       | 688,842              | 0.89             | AA+/A2                                                                                                                               | Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Ctfs Series 2003-11, Floating Rate Note, 12/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 665,182   |
|                                                                                                                                                       | 367,946              | 0.60             | AA+/A3                                                                                                                               | Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Ctfs Series 2005-R1, Floating Rate Note, 3/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 363,119   |
|                                                                                                                                                       | 39,827               | 0.35             | AA+/Aaa                                                                                                                              | Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Ctfs Series 2005-R6, Floating Rate Note, 8/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 39,546    |
|                                                                                                                                                       | 548,457              |             | A+/Aaa                                                                                                                               | Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Ctfs Series 2005-R9, 4.627277%, 11/25/35 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                        | 546,677   |
|                                                                                                                                                       | 207,602              | 0.70             | BBB+/Aaa                                                                                                                             | AMRESCO Residential Securities Corp Mortgage Loan Trust 1997-3, Floating Rate Note, 9/25/27                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 198,049     |
|                                                                                                                                                       | 226,198              | 0.70             | AAA/NR                                                                                                                               | ARI Fleet Lease Trust 2012-A, Floating Rate Note, 3/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 226,431     |
|                                                                                                                                                       | 206,145              |             | AAA/NR                                                                                                                               | ARI Fleet Lease Trust 2013-A, 0.7%, 12/15/15 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 206,361     |
|                                                                                                                                                       | 232,206              |             | NR/NR                                                                                                                                | Ascentium Equipment Receivables 2012-1 LLC, 1.83%, 9/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 232,114     |
|                                                                                                                                                       | 400,000              |             | NR/Aaa                                                                                                                               | Ascentium Equipment Receivables 2014-1 LLC, 1.04%, 1/10/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 400,146     |
|                                                                                                                                                       | 798,726              | 3.68             | A/A3                                                                                                                                 | Asset Backed Securities Corp Home Equity Loan Trust Series 2003-HE1, Floating Rate Note, 1/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 816,167     |
|                                                                                                                                                       | 141,855              | 0.86             | BBB+/Baa3                                                                                                                            | Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 139,452     |
|                                                                                                                                                       | 65,793               | 0.35             | BB/Ba1                                                                                                                               | Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | 62,674    |
|                                                                                                                                                       | 399,955              |             | NR/NR                                                                                                                                | AXIS Equipment Finance Receivables II LLC, 3.81%, 12/20/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 400,723     |
|                                                                                                                                                       | 500,000              | 0.49             | AAA/Aaa                                                                                                                              | Barclays Dryrock Issuance Trust, Floating Rate Note, 3/16/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 500,000     |
|                                                                                                                                                       | 172,949              | 0.78             | AAA/Aaa                                                                                                                              | Bayview Financial Acquisition Trust, Floating Rate Note, 5/28/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 172,314     |
|                                                                                                                                                       | 28,661               | 0.74             | AAA/Aaa                                                                                                                              | Bayview Financial Acquisition Trust, Floating Rate Note, 8/28/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 28,620      |
|                                                                                                                                                       | 259,657              | 4.91             | AA+/NR                                                                                                                               | Bayview Financial Asset Trust 2003-A, Floating Rate Note, 2/25/33 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 263,068     |
|                                                                                                                                                       | 750,000              | 0.65             | A+/Baa3                                                                                                                              | Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 722,038     |
|                                                                                                                                                       | 215,329              | 5.00             | AAA/Aaa                                                                                                                              | Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 214,268     |
|                                                                                                                                                       | 375,187              | 0.45             | AA+/A1                                                                                                                               | Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 362,578     |
|                                                                                                                                                       | 52,572               | 0.42             | AA+/A1                                                                                                                               | Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 50,775      |
|                                                                                                                                                       | 425,000              | 0.60             | AA/Aa2                                                                                                                               | Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 417,923     |
|                                                                                                                                                       | 118,336              |             | NR/A1                                                                                                                                | BCMSC Trust 1998-A, 6.65%, 4/15/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 119,601     |
|                                                                                                                                                       | 653,946              | 0.65             | A+/Ba1                                                                                                                               | Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 641,350     |
|                                                                                                                                                       | 71,393               | 0.87             | AA+/A3                                                                                                                               | Bear Stearns Asset Backed Securities I Trust 2005-HE6, Floating Rate Note, 6/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 71,339      |
|                                                                                                                                                       | 146,250              | 0.65             | AA+/NR                                                                                                                               | Bear Stearns Asset Backed Securities I Trust 2005-HE8, Floating Rate Note, 8/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 145,960     |
|                                                                                                                                                       | 310,020              | 4.56             | AA+/Ba2                                                                                                                              | Bear Stearns Asset Backed Securities Trust 2003-SD2, Floating Rate Note, 6/25/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 309,813     |
|                                                                                                                                                       | 75,023               | 1.35             | AAA/NR                                                                                                                               | Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 73,336      |
|                                                                                                                                                       | 256,534              | 0.64             | A+/NR                                                                                                                                | Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 251,896     |
|                                                                                                                                                       | 423,825              | 0.90             | AAA/A3                                                                                                                               | Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 422,921     |
|                                                                                                                                                       | 262,229              | 1.15             | BBB/A1                                                                                                                               | Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 256,056     |
|                                                                                                                                                       | 96,056               |             | NR/Aaa                                                                                                                               | BMW Vehicle Lease Trust 2013-1, 0.4%, 1/20/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 96,057      |
|                                                                                                                                                       | 10,866               |             | NR/Aaa                                                                                                                               | BMW Vehicle Owner Trust 2011-A, 0.76%, 8/25/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 10,875      |
|                                                                                                                                                       | 11,252               |             | NR/NR                                                                                                                                | Bush Truck Leasing LLC, 5.0%, 9/25/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 11,203      |
|                                                                                                                                                       | 131,326              |             | NR/Aaa                                                                                                                               | California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 131,967     |
|                                                                                                                                                       | 418,271              |             | NR/NR                                                                                                                                | CAM Mortgage Trust 2014-1, 3.3515%, 12/15/53 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 418,864     |
|                                                                                                                                                       | 250,000              | 0.58             | AAA/Aaa                                                                                                                              | Capital Auto Receivables Asset Trust 2013-3, Floating Rate Note, 11/20/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 250,205     |
|                                                                                                                                                       | 413,000              |             | AA/Aa3                                                                                                                               | Capital Auto Receivables Asset Trust/ Ally, 1.74%, 10/22/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 414,174     |
|                                                                                                                                                       | 125,000              |             | A+/Baa1                                                                                                                              | Capital Auto Receivables Asset Trust/ Ally, 2.19%, 9/20/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 125,532     |
|                                                                                                                                                       | 433,944              |             | AAA/NR                                                                                                                               | CarMax Auto Owner Trust 2012-1, 0.89%, 9/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 434,979     |
|                                                                                                                                                       | 438,518              | 0.88             | AA/Baa3                                                                                                                              | Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 437,920     |
|                                                                                                                                                       | 1,172,146            | 0.33             | BB+/Ba1                                                                                                                              | Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 2/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,107,933   |
|                                                                                                                                                       | 459,206              | 0.77             | AA/A2                                                                                                                                | CDC Mortgage Capital Trust 2002-HE1, Floating Rate Note, 1/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 444,108     |
|                                                                                                                                                       | 712,022              |             | AAA/Aaa                                                                                                                              | Centerpoint Energy Transition Bond Co II LLC, 5.17%, 8/1/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 760,823     |
|                                                                                                                                                       | 138,075              | 0.69             | AAA/A3                                                                                                                               | Chase Funding Trust Series 2003-3, Floating Rate Note, 4/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 135,591     |
|                                                                                                                                                       | 750,000              | 0.57             | NR/Aaa                                                                                                                               | Chesapeake Funding LLC, Floating Rate Note, 3/7/26                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 750,000     |
|                                                                                                                                                       | 154,680              | 0.60             | NR/Aaa                                                                                                                               | Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 154,916     |
|                                                                                                                                                       | 250,000              | 2.00             | NR/Baa2                                                                                                                              | Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 251,826     |
|                                                                                                                                                       | 422,858              | 0.35             | A/Baa1                                                                                                                               | Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/25/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 406,986     |
|                                                                                                                                                       | 65,641               | 1.17             | BBB-/B1                                                                                                                              | Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 60,500      |
|                                                                                                                                                       | 525,000              | 0.75             | NR/Aaa                                                                                                                               | CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 526,872     |
|                                                                                                                                                       | 700,000              | 2.00             | NR/A2                                                                                                                                | Colony American Homes 2014-1, Floating Rate Note, 5/17/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 697,560     |
|                                                                                                                                                       | 297,329              |             | AAA/A3                                                                                                                               | Conseco Finance Corp., 7.55%, 4/15/32 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 303,844     |
|                                                                                                                                                       | 9,907                | 6.69             | AAA/Aaa                                                                                                                              | Conseco Finance Corp., Floating Rate Note, 11/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 9,915       |
|                                                                                                                                                       | 867,166              | 1.65             | AAA/A3                                                                                                                               | Conseco Finance Home Equity Loan Trust 2002-C, Floating Rate Note, 5/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 847,003     |
|                                                                                                                                                       | 67,611               | 0.52             | AA+/A1                                                                                                                               | Countrywide Asset-Backed Certificates, Floating Rate Note, 1/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 66,583      |
|                                                                                                                                                       | 154,243              | 0.93             | AAA/Aa3                                                                                                                              | Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 149,925     |
|                                                                                                                                                       | 103,726              | 0.74             | BBB/NR                                                                                                                               | Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 102,123     |
|                                                                                                                                                       | 61,216               | 5.15             | BB+/Ba2                                                                                                                              | Countrywide Asset-Backed Certificates, Floating Rate Note, 2/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 61,777      |
|                                                                                                                                                       | 346,796              | 5.07             | BB+/Ba2                                                                                                                              | Countrywide Asset-Backed Certificates, Floating Rate Note, 2/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 353,508     |
|                                                                                                                                                       | 384,528              | 1.05             | A+/A3                                                                                                                                | Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 380,554     |
|                                                                                                                                                       | 160,302              | 0.97             | A+/Baa1                                                                                                                              | Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 159,404     |
|                                                                                                                                                       | 72,222               | 0.33             | B-/B2                                                                                                                                | Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 69,063      |
|                                                                                                                                                       | 244,237              | 0.59             | A+/A3                                                                                                                                | Countrywide Asset-Backed Certificates, Floating Rate Note, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 244,024     |
|                                                                                                                                                       | 612,738              | 0.70             | AAA/NR                                                                                                                               | Countrywide Asset-Backed Certificates, Floating Rate Note, 9/25/34 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 581,142     |
|                                                                                                                                                       | 497,018              |             | A/A2                                                                                                                                 | CPS Auto Receivables Trust 2013-A, 1.89%, 6/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 499,517     |
|                                                                                                                                                       | 103,643              |             | AA-/A1                                                                                                                               | CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 103,953     |
|                                                                                                                                                       | 189,428              |             | AA-/Aa3                                                                                                                              | CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 189,529     |
|                                                                                                                                                       | 1,000,000            |             | AAA/NR                                                                                                                               | Credit Acceptance Auto Loan Trust 2013-2, 1.5%, 4/15/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 1,008,417   |
|                                                                                                                                                       | 208,333              |             | A/NR                                                                                                                                 | Cronos Containers Program, Ltd., 3.81%, 9/18/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 210,689     |
|                                                                                                                                                       | 588,296              |             | A+/NR                                                                                                                                | Diamond Resorts Owner Trust 2013-2, 2.62%, 3/1/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 593,973     |
|                                                                                                                                                       | 62,177               |             | AA/NR                                                                                                                                | Direct Capital Funding V LLC, 1.673%, 12/20/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 62,177      |
|                                                                                                                                                       | 750,000              |             | BBB/NR                                                                                                                               | Direct Capital Funding V LLC, 4.83%, 11/20/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 767,774     |
|                                                                                                                                                       | 500,000              |             | AAA/Aaa                                                                                                                              | Discover Card Execution Note Trust, 0.81%, 8/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 501,632     |
|                                                                                                                                                       | 629,000              |             | AA/NR                                                                                                                                | DT Auto Owner Trust 2013-1, 1.67%, 2/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 631,929     |
|                                                                                                                                                       | 523,528              | 1.05             | B-/Caa3                                                                                                                              | Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/28/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 511,070     |
|                                                                                                                                                       | 412,069              | 0.89             | AAA/Aaa                                                                                                                              | Equity One Mortgage Pass-Through Trust 2003-1, Floating Rate Note, 8/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 404,328     |
|                                                                                                                                                       | 460,229              | 4.14             | AAA/Aaa                                                                                                                              | Equity One Mortgage Pass-Through Trust 2004-1, Floating Rate Note, 4/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 470,402     |
|                                                                                                                                                       | 486,710              | 4.62             | AAA/Aa1                                                                                                                              | Equity One Mortgage Pass-Through Trust 2004-2, Floating Rate Note, 7/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 496,503     |
|                                                                                                                                                       | 215,489              | 0.47             | AA+/A1                                                                                                                               | Equity One Mortgage Pass-Through Trust 2004-3, Floating Rate Note, 7/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 184,745     |
|                                                                                                                                                       | 400,000              |             | AA/NR                                                                                                                                | Exeter Automobile Receivables Trust 2014-2, 1.42%, 8/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 399,984     |
|                                                                                                                                                       | 504,128              | 2.15             | NR/NR                                                                                                                                | Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 516,243     |
|                                                                                                                                                       | 206,204              | 0.45             | NR/Aaa                                                                                                                               | FHLMC Structured Pass Through Securities, Floating Rate Note, 12/25/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 201,317     |
|                                                                                                                                                       | 148,058              | 1.23             | BB+/B1                                                                                                                               | Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 143,866     |
|                                                                                                                                                       | 347,918              | 1.65             | BBB/Ba3                                                                                                                              | First Franklin Mortgage Loan Trust 2002-FFA, Floating Rate Note, 9/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 337,224     |
|                                                                                                                                                       | 469,541              | 0.95             | B+/B2                                                                                                                                | First Franklin Mortgage Loan Trust 2003-FFC, Floating Rate Note, 11/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 457,363     |
|                                                                                                                                                       | 412,097              | 0.66             | NR/Baa1                                                                                                                              | First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 404,306     |
|                                                                                                                                                       | 80,989               |             | AAA/NR                                                                                                                               | First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 81,368      |
|                                                                                                                                                       | 200,000              |             | A/NR                                                                                                                                 | First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 200,619     |
|                                                                                                                                                       | 496,120              |             | AAA/NR                                                                                                                               | First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 498,499     |
|                                                                                                                                                       | 1,573,826            | 0.55             | AA+/Aa2                                                                                                                              | First NLC Trust 2005-2, Floating Rate Note, 9/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 1,544,531   |
|                                                                                                                                                       | 433,878              | 0.38             | AA/A2                                                                                                                                | Flagstar Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 424,097     |
|                                                                                                                                                       | 229,085              |             | AAA/NR                                                                                                                               | Ford Credit Auto Owner Trust 2013-C, 0.55%, 4/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 229,253     |
|                                                                                                                                                       | 688,678              | 1.60             | NR/Baa1                                                                                                                              | Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/25/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 695,158     |
|                                                                                                                                                       | 15,513               | 0.61             | AA+/A3                                                                                                                               | Fremont Home Loan Trust 2005-2, Floating Rate Note, 6/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 15,505      |
|                                                                                                                                                       | 166,708              | 0.52             | BBB+/Aa1                                                                                                                             | GE Business Loan Trust 2003-2, Floating Rate Note, 11/15/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 158,256     |
|                                                                                                                                                       | 517,626              | 0.44             | AA/Aa2                                                                                                                               | GE Business Loan Trust 2004-1, Floating Rate Note, 5/15/32 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 499,570     |
|                                                                                                                                                       | 868,213              | 0.33             | A/Aa3                                                                                                                                | GE Business Loan Trust 2006-2, Floating Rate Note, 11/15/34 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 816,333     |
|                                                                                                                                                       | 300,000              |             | NR/Aaa                                                                                                                               | GE Capital Credit Card Master Note Trust, 1.03%, 1/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 300,965     |
|                                                                                                                                                       | 256,000              | 0.59             | NR/Aaa                                                                                                                               | GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 256,596     |
|                                                                                                                                                       | 196,178              |             | NR/Aaa                                                                                                                               | GE Equipment Small Ticket LLC Series 2013-1, 0.73%, 1/25/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 196,501     |
|                                                                                                                                                       | 480,000              |             | NR/Aaa                                                                                                                               | GE Equipment Transportation LLC Series 2013-2, 0.61%, 6/24/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 480,458     |
|                                                                                                                                                       | 611,232              |             | A/NR                                                                                                                                 | Global Container Assets 2013-1, Ltd., 2.2%, 11/5/28 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 617,237     |
|                                                                                                                                                       | 204,167              |             | A/NR                                                                                                                                 | Global SC Finance II SRL, 4.11%, 7/19/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 205,199     |
|                                                                                                                                                       | 627,717              |             | NR/NR                                                                                                                                | GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 628,646     |
|                                                                                                                                                       | 500,000              | 1.00             | AAA/Aaa                                                                                                                              | Gracechurch Card Funding Plc, Floating Rate Note, 5/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 507,125     |
|                                                                                                                                                       | 300,000              | 0.85             | AAA/Aaa                                                                                                                              | Gracechurch Card Funding Plc, Floating Rate Note, 6/15/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 301,440     |
|                                                                                                                                                       | 222,835              | 0.82             | A+/NR                                                                                                                                | GreenPoint Mortgage Funding Trust 2005-HE1, Floating Rate Note, 9/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 219,879     |
|                                                                                                                                                       | 55,749               | 0.59             | A+/Baa3                                                                                                                              | GreenPoint Mortgage Funding Trust 2005-HE4, Floating Rate Note, 7/25/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 55,384      |
|                                                                                                                                                       | 224,063              | 0.40             | B+/B3                                                                                                                                | GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 222,872     |
|                                                                                                                                                       | 367,976              | 0.58             | BBB+/Ba3                                                                                                                             | GSAA Trust, Floating Rate Note, 6/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 351,707     |
|                                                                                                                                                       | 340,694              | 0.87             | AAA/Aaa                                                                                                                              | GSAMP Trust 2004-HE2, Floating Rate Note, 9/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 325,115     |
|                                                                                                                                                       | 127,865              | 0.90             | AA+/Ba1                                                                                                                              | GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 125,192     |
|                                                                                                                                                       | 594,530              | 0.45             | A/NR                                                                                                                                 | GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 587,806     |
|                                                                                                                                                       | 263,185              | 1.50             | BBB+/Baa3                                                                                                                            | GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 252,510     |
|                                                                                                                                                       | 197,230              | 0.45             | AA+/A3                                                                                                                               | GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 191,633     |
|                                                                                                                                                       | 211,152              | 0.45             | A+/Baa1                                                                                                                              | GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 199,105     |
|                                                                                                                                                       | 92,906               |             | NR/A2                                                                                                                                | Hercules Capital Funding Trust 2012-1, 3.32%, 12/16/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 93,196      |
|                                                                                                                                                       | 300,000              | 0.55             | NR/Aaa                                                                                                                               | Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 300,000     |
|                                                                                                                                                       | 1,045,000            |             | AAA/NR                                                                                                                               | HLSS Servicer Advance Receivables Trust, 1.4953%, 1/16/46 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 1,046,150   |
|                                                                                                                                                       | 250,000              |             | AA/NR                                                                                                                                | HLSS Servicer Advance Receivables Trust, 1.7436%, 1/16/46 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 249,425     |
|                                                                                                                                                       | 350,000              |             | BBB/NR                                                                                                                               | HLSS Servicer Advance Receivables Trust, 4.94%, 10/15/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 358,855     |
|                                                                                                                                                       | 35,190               | 0.81             | AA/A1                                                                                                                                | Home Equity Asset Trust 2005-3, Floating Rate Note, 8/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 35,127      |
|                                                                                                                                                       | 84,176               | 0.32             | BB+/A2                                                                                                                               | Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 82,273      |
|                                                                                                                                                       | 592,670              | 0.26             | CCC/Ba1                                                                                                                              | Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 581,258     |
|                                                                                                                                                       | 306,777              |             | BB+/B1                                                                                                                               | Home Equity Mortgage Trust, 5.821%, 4/25/35 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 306,404     |
|                                                                                                                                                       | 583,971              | 1.29             | NR/Ba1                                                                                                                               | Home Equity Mortgage Trust, Floating Rate Note, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 574,634     |
|                                                                                                                                                       | 109,585              |             | A+/Baa1                                                                                                                              | Home Loan Trust 2003-HI1, 5.77%, 4/25/28 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 113,563     |
|                                                                                                                                                       | 272,986              | 0.57             | NR/Baa1                                                                                                                              | HomeBanc Mortgage Trust 2005-2, Floating Rate Note, 5/25/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 268,045     |
|                                                                                                                                                       | 581,179              | 0.61             | AAA/Aaa                                                                                                                              | Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 576,163     |
|                                                                                                                                                       | 350,000              |             | AAA/Aaa                                                                                                                              | Honda Auto Receivables 2011-2 Owner Trust, 1.55%, 8/18/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 351,070     |
|                                                                                                                                                       | 229,552              |             | AAA/NR                                                                                                                               | Honda Auto Receivables 2012-2 Owner Trust, 0.7%, 2/16/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 229,928     |
|                                                                                                                                                       | 125,677              |             | AAA/NR                                                                                                                               | Honda Auto Receivables 2013-1 Owner Trust, 0.35%, 6/22/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 125,676     |
|                                                                                                                                                       | 419,483              |             | NR/A2                                                                                                                                | Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 420,269     |
|                                                                                                                                                       | 1,005,000            | 0.39             | AAA/Aa1                                                                                                                              | HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 994,588     |
|                                                                                                                                                       | 129,704              | 0.34             | BBB+/Ba2                                                                                                                             | HSI Asset Securitization Corp. Trust 2006-OPT1, Floating Rate Note, 12/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 126,573     |
|                                                                                                                                                       | 164,837              | 1.15             | AA-/NR                                                                                                                               | Hyundai Capital Auto Funding VIII, Ltd., Floating Rate Note, 9/20/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 164,837     |
|                                                                                                                                                       | 750,000              | 2.10             | NR/A2                                                                                                                                | Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/17/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 752,304     |
|                                                                                                                                                       | 157,622              |             | NR/Baa1                                                                                                                              | Irwin Home Equity Loan Trust 2005-1, 5.32%, 6/25/35 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 154,573     |
|                                                                                                                                                       | 322,976              | 1.65             | A+/A3                                                                                                                                | Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 318,806     |
|                                                                                                                                                       | 157,917              | 3.15             | A/Baa2                                                                                                                               | Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 158,410     |
|                                                                                                                                                       | 235,633              | 4.65             | BBB/Ba2                                                                                                                              | Irwin Whole Loan Home Equity Trust 2003-D, Floating Rate Note, 11/25/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 230,445     |
|                                                                                                                                                       | 56,476               | 0.49             | BB/A2                                                                                                                                | IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 55,008      |
|                                                                                                                                                       | 214,766              | 0.30             | BB/Baa3                                                                                                                              | JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 210,300     |
|                                                                                                                                                       | 195,000              |             | NR/Aaa                                                                                                                               | Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 196,281     |
|                                                                                                                                                       | 1,049,736            | 0.60             | AAA/A2                                                                                                                               | Lehman ABS Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 6/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,019,256   |
|                                                                                                                                                       | 235,872              | 0.40             | A+/Aa1                                                                                                                               | Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 209,290     |
|                                                                                                                                                       | 487,982              | 0.77             | AAA/Aa1                                                                                                                              | Long Beach Mortgage Loan Trust 2003-4, Floating Rate Note, 8/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 450,911     |
|                                                                                                                                                       | 314,383              | 2.40             | A+/A3                                                                                                                                | Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 314,106     |
|                                                                                                                                                       | 500,722              |             | BBB/NR                                                                                                                               | Marriott Vacation Club Owner Trust 2012-1, 3.5%, 5/20/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 515,914     |
|                                                                                                                                                       | 10,891               | 0.52             | AA+/Aa3                                                                                                                              | Mastr Asset Backed Securities Trust 2005-WF1, Floating Rate Note, 6/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 10,800      |
|                                                                                                                                                       | 84,072               | 0.82             | AA+/A3                                                                                                                               | Mastr Asset Backed Securities Trust 2005-WMC1, Floating Rate Note, 3/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 83,698      |
|                                                                                                                                                       | 763,784              | 0.38             | BB+/Baa2                                                                                                                             | Mastr Asset Backed Securities Trust 2006-AB1, Floating Rate Note, 2/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 748,508     |
|                                                                                                                                                       | 261,927              | 0.34             | B-/Ba1                                                                                                                               | Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 256,698     |
|                                                                                                                                                       | 342,590              | 0.45             | A/NR                                                                                                                                 | Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 322,687     |
|                                                                                                                                                       | 676,200              | 0.61             | AAA/Aa2                                                                                                                              | Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 671,016     |
|                                                                                                                                                       | 364,315              | 0.88             | AA-/Baa3                                                                                                                             | Morgan Stanley ABS Capital I Inc Trust 2005-WMC5, Floating Rate Note, 6/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 361,099     |
|                                                                                                                                                       | 389,040              | 0.78             | AA/A3                                                                                                                                | Morgan Stanley ABS Capital I, Inc. Trust 2005-NC2, Floating Rate Note, 3/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 384,331     |
|                                                                                                                                                       | 488,171              | 0.47             | A+/Baa1                                                                                                                              | Morgan Stanley Home Equity Loan Trust 2005-4, Floating Rate Note, 9/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 471,864     |
|                                                                                                                                                       | 333,967              | 0.65             | AAA/NR                                                                                                                               | Motor 2013-1 Plc, Floating Rate Note, 2/25/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 333,857     |
|                                                                                                                                                       | 550,000              |             | AAA/NR                                                                                                                               | Nationstar Agency Advance Funding Trust 2013-T1A, 0.997%, 2/15/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 549,038     |
|                                                                                                                                                       | 464,000              |             | AAA/NR                                                                                                                               | Nationstar Mortgage Advance Receivables Trust 2013-T2, 1.679%, 6/20/46 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 463,768     |
|                                                                                                                                                       | 160,000              |             | A/NR                                                                                                                                 | Nationstar Mortgage Advance Receivables Trust 2013-T2, 2.19%, 6/20/46 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 159,168     |
|                                                                                                                                                       | 510,000              | 0.82             | NR/Aaa                                                                                                                               | Navistar Financial Dealer Note Master Trust, Floating Rate Note, 1/25/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 510,068     |
|                                                                                                                                                       | 650,000              |             | NR/Baa2                                                                                                                              | Navitas Equipment Receivables LLC 2013-1, 3.63%, 2/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 650,579     |
|                                                                                                                                                       | 334,713              | 0.85             | AAA/Aaa                                                                                                                              | New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 327,336     |
|                                                                                                                                                       | 240,000              | 0.42             | NR/Aaa                                                                                                                               | Nissan Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 240,233     |
|                                                                                                                                                       | 295,779              | 0.91             | BBB-/Ba2                                                                                                                             | NovaStar Mortgage Funding Trust Series 2003-1, Floating Rate Note, 5/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 275,162     |
|                                                                                                                                                       | 560,000              | 1.72             | AA-/Baa1                                                                                                                             | NovaStar Mortgage Funding Trust Series 2004-3, Floating Rate Note, 12/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 524,677     |
|                                                                                                                                                       | 1,457,000            | 1.80             | AA/A1                                                                                                                                | NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 1,430,127   |
|                                                                                                                                                       | 168,432              | 1.23             | AA/Aa3                                                                                                                               | NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 168,432     |
|                                                                                                                                                       | 467,601              | 0.41             | AA+/Aa3                                                                                                                              | Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 11/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                            | 459,499   |
|                                                                                                                                                       | 317,073              | 1.27             | NR/Baa1                                                                                                                              | Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 9/25/14 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 313,010     |
|                                                                                                                                                       | 339,767              |             | NR/NR                                                                                                                                | Orange Lake Timeshare Trust 2012-A, 4.87%, 3/10/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 350,308     |
|                                                                                                                                                       | 230,843              | 5.46             | AAA/Aa3                                                                                                                              | Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 237,705     |
|                                                                                                                                                       | 250,000              | 5.41             | AAA/A1                                                                                                                               | Origen Manufactured Housing Contract Trust 2005-A, Floating Rate Note, 6/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 258,070     |
|                                                                                                                                                       | 95,845               |             | NR/A2                                                                                                                                | Oxford Finance Funding Trust 2012-1, 3.9%, 3/15/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 96,563      |
|                                                                                                                                                       | 660,000              | 1.27             | A+/Baa1                                                                                                                              | Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MHQ, Floating Rate Note, 12/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                         | 653,778   |
|                                                                                                                                                       | 138,075              | 1.08             | AA+/A3                                                                                                                               | Park Place Securities, Inc. Asset-Backed Pass-Through Certificates Series 2004-WCW2, Floating Rate Note, 10/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 138,033   |
|                                                                                                                                                       | 476,639              | 0.52             | BBB+/Baa2                                                                                                                            | Park Place Securities, Inc. Asset-Backed Pass-Through Certificates Series 2005-WHQ4, Floating Rate Note, 9/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 471,168   |
|                                                                                                                                                       | 25,368               | 0.90             | AA+/Baa3                                                                                                                             | People's Choice Home Loan Securities Trust Series 2005-3, Floating Rate Note, 8/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 25,293      |
|                                                                                                                                                       | 750,000              | 0.75             | AAA/Aaa                                                                                                                              | PFS Financing Corp., Floating Rate Note, 2/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 750,994     |
|                                                                                                                                                       | 400,000              |             | AAA/NR                                                                                                                               | PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 400,120     |
|                                                                                                                                                       | 502,368              |             | BB-/Ba1                                                                                                                              | Popular ABS Mortgage Pass-Through Trust 2004-4, 4.88041%, 9/25/34 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 481,287     |
|                                                                                                                                                       | 1,000,000            |             | NR/NR                                                                                                                                | Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 1,003,750   |
|                                                                                                                                                       | 1,148,557            | 0.81             | AA/A1                                                                                                                                | Quest Trust, Floating Rate Note, 3/25/34 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 1,118,358   |
|                                                                                                                                                       | 387,222              | 1.10             | A+/A2                                                                                                                                | RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 381,843     |
|                                                                                                                                                       | 327,446              | 0.80             | AA/Aa2                                                                                                                               | RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 325,032     |
|                                                                                                                                                       | 452,346              | 0.40             | B/Baa2                                                                                                                               | RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 438,504     |
|                                                                                                                                                       | 601,127              | 5.06             | AA+/Baa3                                                                                                                             | RAMP Series 2003-RS9 Trust, Floating Rate Note, 10/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 590,238     |
|                                                                                                                                                       | 29,456               | 0.49             | NR/A1                                                                                                                                | RAMP Series 2005-RS5 Trust, Floating Rate Note, 5/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 29,340      |
|                                                                                                                                                       | 208,727              | 0.65             | AA+/A1                                                                                                                               | RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 205,693     |
|                                                                                                                                                       | 42,977               | 0.41             | AA+/A1                                                                                                                               | RAMP Series 2005-RZ4 Trust, Floating Rate Note, 11/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 42,912      |
|                                                                                                                                                       | 15,514               | 0.63             | AA+/Aa3                                                                                                                              | RASC Series 2005-EMX2 Trust, Floating Rate Note, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 15,306      |
|                                                                                                                                                       | 118,309              | 0.59             | AA+/A1                                                                                                                               | RASC Series 2005-KS7 Trust, Floating Rate Note, 8/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 117,759     |
|                                                                                                                                                       | 59,737               | 0.37             | BBB+/A3                                                                                                                              | RASC Series 2006-KS1 Trust, Floating Rate Note, 2/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 59,384      |
|                                                                                                                                                       | 500,000              |             | NR/NR                                                                                                                                | RESI MAC 2014-1A, Floating Rate Note, 6/12/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 500,000     |
|                                                                                                                                                       | 165,097              | 1.65             | NR/Baa3                                                                                                                              | RFSC Series 2004-RP1 Trust, Floating Rate Note, 11/25/42 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 164,451     |
|                                                                                                                                                       | 69,624               | 0.91             | A+/Ba2                                                                                                                               | SACO I Trust 2005-8, Floating Rate Note, 11/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 69,327      |
|                                                                                                                                                       | 54,264               |             | NR/Aaa                                                                                                                               | Santander Drive Auto Receivables Trust 2011-2, 2.66%, 1/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 54,360      |
|                                                                                                                                                       | 125,000              |             | A/Aaa                                                                                                                                | Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 128,541     |
|                                                                                                                                                       | 395,836              | 0.70             | AA/A3                                                                                                                                | SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 385,424     |
|                                                                                                                                                       | 209,388              | 0.43             | AAA/Aa1                                                                                                                              | SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 205,711     |
|                                                                                                                                                       | 161,527              | 2.62             | A+/Ba2                                                                                                                               | SASCO Mortgage Pass-Through Certificates Series 2004-S4, Floating Rate Note, 12/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 161,330     |
|                                                                                                                                                       | 471,000              | 0.61             | A+/A3                                                                                                                                | Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 460,610     |
|                                                                                                                                                       | 574,827              | 0.38             | AA+/Aa1                                                                                                                              | Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 561,703     |
|                                                                                                                                                       | 476,033              | 0.50             | A+/A2                                                                                                                                | SBI Home Equity Loan Trust 2006-1, Floating Rate Note, 8/25/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 461,823     |
|                                                                                                                                                       | 532,722              |             | A+/NR                                                                                                                                | Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 537,930     |
|                                                                                                                                                       | 596,005              |             | A+/NR                                                                                                                                | Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 601,596     |
|                                                                                                                                                       | 76,888               |             | BBB/NR                                                                                                                               | Sierra Timeshare 2013-1 Receivables Funding LLC, 2.39%, 11/20/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 77,562      |
|                                                                                                                                                       | 95,068               |             | BBB/NR                                                                                                                               | Sierra Timeshare 2013-2 Receivables Funding LLC, 2.92%, 11/20/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 96,511      |
|                                                                                                                                                       | 380,000              | 0.98             | AAA/Aa1                                                                                                                              | SLM Student Loan Trust 2004-10, Floating Rate Note, 4/27/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 382,365     |
|                                                                                                                                                       | 500,000              | 0.58             | NR/Aaa                                                                                                                               | SMART Trust/Australia, Floating Rate Note, 1/14/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 500,033     |
|                                                                                                                                                       | 105,925              | 0.48             | NR/Aaa                                                                                                                               | SMART Trust/Australia, Floating Rate Note, 6/14/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 105,938     |
|                                                                                                                                                       | 750,000              | 0.45             | NR/Aaa                                                                                                                               | SMART Trust/Australia, Floating Rate Note, 7/14/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 750,000     |
|                                                                                                                                                       | 143,086              |             | AAA/NR                                                                                                                               | SNAAC Auto Receivables Trust 2013-1, 1.14%, 7/16/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 143,252     |
|                                                                                                                                                       | 460,000              |             | AA+/NR                                                                                                                               | SNAAC Auto Receivables Trust, 4.38%, 6/15/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 468,401     |
|                                                                                                                                                       | 119,785              | 0.93             | AA/Baa3                                                                                                                              | Soundview Home Loan Trust 2005-3, Floating Rate Note, 6/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 118,343     |
|                                                                                                                                                       | 256,990              | 0.41             | BB+/NR                                                                                                                               | Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 248,890     |
|                                                                                                                                                       | 423,974              | 0.55             | B/NR                                                                                                                                 | Southern Pacific Secured Asset Corp., Floating Rate Note, 3/25/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 330,120     |
|                                                                                                                                                       | 790,207              | 0.45             | BBB+/Ba2                                                                                                                             | Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 749,502     |
|                                                                                                                                                       | 1,200,000            |             | A/NR                                                                                                                                 | Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 1,207,604   |
|                                                                                                                                                       | 500,000              |             | A/NR                                                                                                                                 | Springleaf Funding Trust 2014-A, 2.41%, 12/25/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 501,054     |
|                                                                                                                                                       | 707,849              |             | NR/NR                                                                                                                                | Stanwich Mortgage Loan Trust, 2.9814%, 2/16/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 713,901     |
|                                                                                                                                                       | 335,720              |             | A+/NR                                                                                                                                | STORE Master Funding LLC, 5.77%, 8/20/42 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 365,079     |
|                                                                                                                                                       | 719,331              | 0.87             | A/A3                                                                                                                                 | Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 712,285     |
|                                                                                                                                                       | 90,960               | 0.51             | AA+/Aa2                                                                                                                              | Structured Asset Securities Corp. Mortgage Loan Trust 2005-WF4, Floating Rate Note, 11/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 90,642      |
|                                                                                                                                                       | 19,387               | 0.26             | BBB+/A3                                                                                                                              | Structured Asset Securities Corp. Mortgage Loan Trust 2006-BC4, Floating Rate Note, 12/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 19,364      |
|                                                                                                                                                       | 961,792              |             | A+/NR                                                                                                                                | SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 966,686     |
|                                                                                                                                                       | 400,000              |             | A/NR                                                                                                                                 | TAL Advantage V LLC, 1.7%, 5/20/39 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 400,250     |
|                                                                                                                                                       | 163,213              | 1.09             | AA+/A1                                                                                                                               | Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 158,680     |
|                                                                                                                                                       | 182,449              | 0.60             | AA+/A2                                                                                                                               | Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 177,666     |
|                                                                                                                                                       | 133,713              |             | AA/A2                                                                                                                                | Terwin Mortgage Trust Series TMTS 2005-14HE, 4.8492%, 8/25/36 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 138,205     |
|                                                                                                                                                       | 425,000              | 2.55             | AAA/Aaa                                                                                                                              | Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 429,632     |
|                                                                                                                                                       | 398,177              |             | AA+/NR                                                                                                                               | United Auto Credit Securitization Trust 2012-1, 1.87%, 9/15/15 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 398,615     |
|                                                                                                                                                       | 600,000              |             | BBB/NR                                                                                                                               | United Auto Credit Securitization Trust 2012-1, 3.12%, 3/15/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 604,731     |
|                                                                                                                                                       | 825,000              |             | AA/NR                                                                                                                                | United Auto Credit Securitization Trust 2013-1, 1.74%, 4/15/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 828,750     |
|                                                                                                                                                       | 100,000              | 0.83             | AAA/Aaa                                                                                                                              | Volkswagen Credit Auto Master Owner Trust, Floating Rate Note, 9/20/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 100,137     |
|                                                                                                                                                       | 415,000              |             | AAA/Aaa                                                                                                                              | Volvo Financial Equipment LLC Series 2014-1, 0.54%, 11/15/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 415,075     |
|                                                                                                                                                       | 182,549              | 0.89             | AA+/A2                                                                                                                               | Wachovia Mortgage Loan Trust Series 2005-WMC1, Floating Rate Note, 10/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 179,968     |
|                                                                                                                                                       | 77,516               | 0.53             | AA+/NR                                                                                                                               | Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 76,372      |
|                                                                                                                                                       | 161,174              |             | A/NR                                                                                                                                 | Westgate Resorts 2012-2 LLC, 3.0%, 1/20/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 162,535     |
|                                                                                                                                                       | 197,149              |             | NR/NR                                                                                                                                | Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 197,395     |
|                                                                                                                                                       | 273,969              |             | NR/NR                                                                                                                                | Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 276,218     |
|                                                                                                                                                       | 136,585              |             | A/NR                                                                                                                                 | Westgate Resorts LLC, 2.5%, 3/20/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 137,267     |
|                                                                                                                                                       | 150,000              |             | AAA/NR                                                                                                                               | Westlake Automobile Receivables Trust 2013-1, 1.12%, 1/15/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 150,455     |
|                                                                                                                                                       | 246,855              | 0.66             | AA/Ba2                                                                                                                               | WMC Mortgage Loan Trust 1998-B, Floating Rate Note, 10/20/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 239,179     |
|                                                                                                                                                       | 950,000              | 0.53             | AAA/NR                                                                                                                               | World Financial Network Credit Card Master Trust, Floating Rate Note, 2/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 951,319     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | TOTAL ASSET BACKED SECURITIES                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | (Cost $96,563,099)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 96,832,538  |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | COLLATERALIZED MORTGAGE OBLIGATIONS - 39.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |        |
|                                                                                                                                                       | 583,180              |             | NR/NR                                                                                                                                | A10 Securitization 2013-1 LLC, 2.4%, 11/15/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 586,378     |
|                                                                                                                                                       | 1,085,000            |             | NR/NR                                                                                                                                | A10 Term Asset Financing 2013-2 LLC, 2.62%, 11/15/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 1,087,328   |
|                                                                                                                                                       | 250,000              | 0.95             | AA-/Aa1                                                                                                                              | ACA CLO 2006-2, Ltd., Floating Rate Note, 1/20/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 243,970     |
|                                                                                                                                                       | 500,000              | 0.46             | AA+/Aaa                                                                                                                              | ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 491,356     |
|                                                                                                                                                       | 700,000              | 0.00             | AAA/NR                                                                                                                               | Acis CLO, Ltd., Floating Rate Note, 5/1/26                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 700,000     |
|                                                                                                                                                       | 284,748              | 0.93             | AAA/A1                                                                                                                               | Adjustable Rate Mortgage Trust 2005-2, Floating Rate Note, 6/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 279,249     |
|                                                                                                                                                       | 332,710              | 0.43             | A+/Baa2                                                                                                                              | Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 309,260     |
|                                                                                                                                                       | 159,392              | 0.60             | CCC/NR                                                                                                                               | Alternative Loan Trust 2003-14T1, Floating Rate Note, 8/25/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 151,153     |
|                                                                                                                                                       | 220,723              |             | BB-/B2                                                                                                                               | Alternative Loan Trust 2003-J1, 4.75%, 10/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 226,058     |
|                                                                                                                                                       | 110,277              | 0.60             | BBB+/Baa1                                                                                                                            | Alternative Loan Trust 2004-18CB, Floating Rate Note, 9/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 110,817     |
|                                                                                                                                                       | 232,453              |             | BB+/Ba2                                                                                                                              | Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 237,635     |
|                                                                                                                                                       | 1,322,801            | 0.59             | A+/Baa3                                                                                                                              | Alternative Loan Trust 2005-J4, Floating Rate Note, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 1,279,205   |
|                                                                                                                                                       | 307,449              |             | AAA/Aaa                                                                                                                              | American Home Mortgage Investment Trust 2004-3, 5.01%, 10/25/34 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 316,924     |
|                                                                                                                                                       | 218,974              | 2.32             | AA+/Ba1                                                                                                                              | American Home Mortgage Investment Trust 2005-1, Floating Rate Note, 6/25/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 221,340     |
|                                                                                                                                                       | 849,087              | 0.44             | AA/NR                                                                                                                                | ASG Resecuritization Trust 2010-3, Floating Rate Note, 12/28/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 819,315     |
|                                                                                                                                                       | 189,738              | 0.60             | NR/A3                                                                                                                                | Banc of America Alternative Loan Trust 2003-10, Floating Rate Note, 12/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 189,956     |
|                                                                                                                                                       | 128,081              |             | NR/B3                                                                                                                                | Banc of America Alternative Loan Trust 2004-2, 5.5%, 3/25/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 131,177     |
|                                                                                                                                                       | 177,883              |             | NR/B2                                                                                                                                | Banc of America Alternative Loan Trust 2004-4, 5.25%, 5/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 180,323     |
|                                                                                                                                                       | 137,057              |             | BBB+/NR                                                                                                                              | Banc of America Funding 2003-3 Trust, 5.5%, 10/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 142,169     |
|                                                                                                                                                       | 591,113              | 0.51             | AA+/Baa2                                                                                                                             | Banc of America Funding 2004-B Trust, Floating Rate Note, 12/20/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 579,878     |
|                                                                                                                                                       | 650,000              | 1.25             | A-/Aaa                                                                                                                               | Banc of America Large Loan Trust 2007-BMB1, Floating Rate Note, 8/15/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 649,743     |
|                                                                                                                                                       | 1,320,693            | 5.12             | AAA/Aaa                                                                                                                              | Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 10/10/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 1,378,717   |
|                                                                                                                                                       | 22,709               | 5.33             | AAA/Aaa                                                                                                                              | Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 6/10/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 22,696      |
|                                                                                                                                                       | 618,381              | 4.86             | AAA/Aaa                                                                                                                              | Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 7/10/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 633,966     |
|                                                                                                                                                       | 1,780,000            | 5.18             | AAA/Aaa                                                                                                                              | Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 9/10/47                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 1,867,718   |
|                                                                                                                                                       | 296,101              | 2.77             | BBB/NR                                                                                                                               | Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 299,637     |
|                                                                                                                                                       | 1,219,144            | 2.78             | NR/Baa3                                                                                                                              | Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,212,409   |
|                                                                                                                                                       | 16,124               |             | B-/NR                                                                                                                                | Banc of America Mortgage Trust 2004-7, 4.5%, 8/25/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 16,379      |
|                                                                                                                                                       | 1,583,898            |             | NR/Caa2                                                                                                                              | Bayview Commercial Asset Trust, 3.52691%, 9/25/37 (Step) (144A) (d)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 104,854     |
|                                                                                                                                                       | 2,228,084            |             | NR/Caa2                                                                                                                              | Bayview Commercial Asset Trust, 4.12687%, 7/25/37 (Step) (144A) (d)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 12,923      |
|                                                                                                                                                       | 833,521              | 0.52             | AAA/Aa2                                                                                                                              | Bayview Commercial Asset Trust, Floating Rate Note, 1/25/35 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 769,094     |
|                                                                                                                                                       | 486,500              | 0.51             | AA+/Aa3                                                                                                                              | Bayview Commercial Asset Trust, Floating Rate Note, 4/25/34 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 454,607     |
|                                                                                                                                                       | 578,172              |             | NR/NR                                                                                                                                | Bayview Opportunity Master Fund IIA Trust 2012-4NPL, 3.9496%, 1/28/34 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 579,456     |
|                                                                                                                                                       | 817,991              | 2.94             | NR/NR                                                                                                                                | BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 842,869     |
|                                                                                                                                                       | 413,523              | 2.67             | NR/NR                                                                                                                                | BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/26/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 416,815     |
|                                                                                                                                                       | 437,169              | 0.99             | AA+/Baa1                                                                                                                             | Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 429,535     |
|                                                                                                                                                       | 701,766              | 0.85             | AA+/Baa1                                                                                                                             | Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 681,692     |
|                                                                                                                                                       | 426,653              | 0.99             | A+/Baa3                                                                                                                              | Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 387,705     |
|                                                                                                                                                       | 1,200,490            | 0.99             | AA+/Baa1                                                                                                                             | Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,168,433   |
|                                                                                                                                                       | 525,570              | 0.85             | AAA/A3                                                                                                                               | Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 514,203     |
|                                                                                                                                                       | 105,573              | 0.89             | AA+/Baa1                                                                                                                             | Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 105,598     |
|                                                                                                                                                       | 970,892              | 0.75             | A+/Ba1                                                                                                                               | Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 933,397     |
|                                                                                                                                                       | 304,008              | 2.50             | BBB+/Baa2                                                                                                                            | Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 307,154     |
|                                                                                                                                                       | 116,653              | 5.11             | BBB/B2                                                                                                                               | Bear Stearns ARM Trust 2004-10, Floating Rate Note, 1/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 118,214     |
|                                                                                                                                                       | 99,002               | 19.30            | BBB+/B3                                                                                                                              | Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 98,371      |
|                                                                                                                                                       | 137,534              | 3.43             | BBB/Ba1                                                                                                                              | Bear Stearns ARM Trust 2004-9, Floating Rate Note, 11/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 138,742     |
|                                                                                                                                                       | 150,000              | 5.21             | NR/Ba1                                                                                                                               | Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7, Floating Rate Note, 2/11/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 151,550     |
|                                                                                                                                                       | 415,000              |             | NR/A3                                                                                                                                | Bear Stearns Commercial Mortgage Securities Trust 2005-PWR8, 4.75%, 6/11/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 428,194     |
|                                                                                                                                                       | 1,160,000            | 4.99             | BBB+/Baa2                                                                                                                            | Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 1,203,763   |
|                                                                                                                                                       | 1,002,718            | 4.93             | NR/Aaa                                                                                                                               | Bear Stearns Commercial Mortgage Securities Trust 2005-TOP18, Floating Rate Note, 2/13/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 1,024,212   |
|                                                                                                                                                       | 138,039              | 2.60             | NR/A3                                                                                                                                | Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 141,467     |
|                                                                                                                                                       | 394,535              | 0.85             | AA+/Baa3                                                                                                                             | Bella Vista Mortgage Trust 2004-1, Floating Rate Note, 11/20/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 382,207     |
|                                                                                                                                                       | 430,000              | 1.90             | AA-/NR                                                                                                                               | Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/15/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 430,918     |
|                                                                                                                                                       | 614,861              | 0.50             | AAA/Aaa                                                                                                                              | Castle Garden Funding, Floating Rate Note, 10/27/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 611,221     |
|                                                                                                                                                       | 552,396              |             | NR/NR                                                                                                                                | Cendant Mortgage Corp., 6.25%, 3/25/32 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 576,059     |
|                                                                                                                                                       | 310,000              | 0.00             | AA-/NR                                                                                                                               | CGBAM Commercial Mortgage Trust 2014-HD, Floating Rate Note, 2/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 310,000     |
|                                                                                                                                                       | 1,090,000            | 2.05             | AA-/NR                                                                                                                               | CGWF Commercial Mortgage Trust 2013-RKWH, Floating Rate Note, 11/15/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,094,623   |
|                                                                                                                                                       | 104,431              |             | NR/B2                                                                                                                                | Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 107,311     |
|                                                                                                                                                       | 724,768              |             | A/NR                                                                                                                                 | CHL Mortgage Pass-Through Trust 2002-J4, 5.5%, 10/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 731,663     |
|                                                                                                                                                       | 173,372              | 4.95             | BBB+/Ba3                                                                                                                             | CHL Mortgage Pass-Through Trust 2004-14, Floating Rate Note, 8/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 174,026     |
|                                                                                                                                                       | 1,021,722            | 0.69             | AA+/Baa1                                                                                                                             | CHL Mortgage Pass-Through Trust 2004-29, Floating Rate Note, 2/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 967,970     |
|                                                                                                                                                       | 126,209              |             | NR/Caa1                                                                                                                              | CHL Mortgage Pass-Through Trust 2005-19, 5.5%, 8/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 124,801     |
|                                                                                                                                                       | 549,892              |             | NR/Ba2                                                                                                                               | Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 567,075     |
|                                                                                                                                                       | 580,444              | 0.36             | A/Aaa                                                                                                                                | Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 575,416     |
|                                                                                                                                                       | 516,259              | 1.15             | AA+/NR                                                                                                                               | Citigroup Mortgage Loan Trust 2010-7, Floating Rate Note, 9/25/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 516,111     |
|                                                                                                                                                       | 106,837              |             | NR/A3                                                                                                                                | Citigroup Mortgage Loan Trust, Inc., 7.0%, 9/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 110,562     |
|                                                                                                                                                       | 148,275              | 5.50             | CC/NR                                                                                                                                | Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/35 (d)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 17,454      |
|                                                                                                                                                       | 228,646              | 2.70             | CC/NR                                                                                                                                | Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 4/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 180,109     |
|                                                                                                                                                       | 317,316              | 0.75             | AA+/Aaa                                                                                                                              | CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 305,417     |
|                                                                                                                                                       | 597,332              | 0.65             | A+/A2                                                                                                                                | CNL Commercial Mortgage Loan Trust 2003-1, Floating Rate Note, 5/15/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 541,584     |
|                                                                                                                                                       | 110,677              | 0.59             | A+/A2                                                                                                                                | CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 94,700      |
|                                                                                                                                                       | 58,447               | 1.20             | AA+/Aaa                                                                                                                              | Collateralized Mortgage Obligation Trust 44, Floating Rate Note, 7/1/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 58,865      |
|                                                                                                                                                       | 779,077              | 0.28             | AA-/A1                                                                                                                               | COMM 2006-FL12 Mortgage Trust, Floating Rate Note, 12/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 776,149     |
|                                                                                                                                                       | 508,220              | 0.32             | BBB/A1                                                                                                                               | COMM 2006-FL12 Mortgage Trust, Floating Rate Note, 12/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 506,274     |
|                                                                                                                                                       | 146,627              | 0.33             | A+/A1                                                                                                                                | COMM 2007-FL14 Mortgage Trust, Floating Rate Note, 6/15/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 145,389     |
|                                                                                                                                                       | 912,181              | 0.45             | BBB-/Baa2                                                                                                                            | COMM 2007-FL14 Mortgage Trust, Floating Rate Note, 6/15/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 901,182     |
|                                                                                                                                                       | 997,844              | 1.67             | AAA/NR                                                                                                                               | COMM 2013-FL3 Mortgage Trust, Floating Rate Note, 10/13/28 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,002,360   |
|                                                                                                                                                       | 1,850,000            | 1.75             | NR/NR                                                                                                                                | COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 1,850,742   |
|                                                                                                                                                       | 553,714              | 2.09             | AAA/NR                                                                                                                               | Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/17/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 557,729     |
|                                                                                                                                                       | 485,000              | 4.80             | AAA/Aaa                                                                                                                              | Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 490,658     |
|                                                                                                                                                       | 1,000,000            | 4.89             | AA-/A2                                                                                                                               | Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 1,018,131   |
|                                                                                                                                                       | 998,360              |             | NR/Baa1                                                                                                                              | Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 1,067,174   |
|                                                                                                                                                       | 337,781              |             | A+/A3                                                                                                                                | Credit Suisse First Boston Mortgage Securities 05-6, Floating Rate Note, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 328,974     |
|                                                                                                                                                       | 876,561              |             | AAA/Aaa                                                                                                                              | Credit Suisse First Boston Mortgage Securities Corp., 4.686%, 7/15/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 899,382     |
|                                                                                                                                                       | 189,828              |             | AAA/Aaa                                                                                                                              | Credit Suisse First Boston Mortgage Securities Corp., 4.829%, 11/15/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 191,657     |
|                                                                                                                                                       | 1,080,143            |             | AAA/A1                                                                                                                               | Credit Suisse First Boston Mortgage Securities Corp., 4.832%, 4/15/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 1,106,527   |
|                                                                                                                                                       | 500,000              |             | BBB/B1                                                                                                                               | Credit Suisse First Boston Mortgage Securities Corp., 4.877%, 4/15/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 507,640     |
|                                                                                                                                                       | 67,632               |             | BBB/NR                                                                                                                               | Credit Suisse First Boston Mortgage Securities Corp., 5.25%, 10/25/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 68,912      |
|                                                                                                                                                       | 49,121               |             | B-/NR                                                                                                                                | Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 6/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 49,019      |
|                                                                                                                                                       | 65,719               |             | AA+/A3                                                                                                                               | Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 8/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 66,186      |
|                                                                                                                                                       | 310,492              |             | BBB+/Baa3                                                                                                                            | Credit Suisse First Boston Mortgage Securities Corp., 7.5%, 5/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 321,266     |
|                                                                                                                                                       | 83,797               | 2.57             | BBB+/Ba2                                                                                                                             | Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 11/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 83,799      |
|                                                                                                                                                       | 1,466,406            | 5.23             | AAA/Aaa                                                                                                                              | Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,533,297   |
|                                                                                                                                                       | 41,505               | 1.50             | AA+/A3                                                                                                                               | Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 41,525      |
|                                                                                                                                                       | 733,675              | 5.01             | NR/Aaa                                                                                                                               | Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 2/15/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 745,622     |
|                                                                                                                                                       | 91,042               | 5.11             | NR/Aaa                                                                                                                               | Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 7/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 91,027      |
|                                                                                                                                                       | 1,182,188            | 5.10             | AAA/NR                                                                                                                               | Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 8/15/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,220,053   |
|                                                                                                                                                       | 257,793              | 0.32             | AAA/A1                                                                                                                               | Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 10/15/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 257,098     |
|                                                                                                                                                       | 851,161              | 2.65             | NR/NR                                                                                                                                | Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 7/27/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 853,776     |
|                                                                                                                                                       | 319,028              | 3.59             | NR/NR                                                                                                                                | CSMC Trust 2010-16, Floating Rate Note, 6/25/50 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 318,621     |
|                                                                                                                                                       | 700,000              | 0.00             | AA-/NR                                                                                                                               | CSMC Trust 2014-SURF, Floating Rate Note, 2/15/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 701,254     |
|                                                                                                                                                       | 300,000              | 1.45             | AA-/NR                                                                                                                               | Del Coronado Trust 2013-DEL, Floating Rate Note, 3/15/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 299,674     |
|                                                                                                                                                       | 399,000              | 2.10             | BBB-/NR                                                                                                                              | Del Coronado Trust 2013-DEL, Floating Rate Note, 3/15/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 397,145     |
|                                                                                                                                                       | 723,000              |             | AAA/Aaa                                                                                                                              | Extended Stay America Trust 2013-ESH, 1.2783%, 12/5/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 708,685     |
|                                                                                                                                                       | 200,000              | 0.85             | AAA/Aaa                                                                                                                              | Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 200,154     |
|                                                                                                                                                       | 200,000              | 1.25             | AA-/NR                                                                                                                               | Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 199,841     |
|                                                                                                                                                       | 3,648,178            | 3.75             | AA+/Aa1                                                                                                                              | Fannie Mae Grantor Trust 2001-T1, Floating Rate Note, 10/25/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 3,492,156   |
|                                                                                                                                                       | 265,199              | 2.21             | AA+/Aaa                                                                                                                              | Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 271,265     |
|                                                                                                                                                       | 479,443              | 0.41             | AA+/Aaa                                                                                                                              | Fannie Mae Whole Loan, Floating Rate Note, 11/25/46                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 476,021     |
|                                                                                                                                                       | 860,920              |             | NR/NR                                                                                                                                | FDIC 2010-R1 Trust, 2.184%, 5/25/50 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 866,597     |
|                                                                                                                                                       | 112,826              |             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, 3.5%, 10/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 117,452     |
|                                                                                                                                                       | 191,554              |             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, 3.5%, 6/15/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 196,134     |
|                                                                                                                                                       | 32,711               |             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, 4.0%, 12/15/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 32,948      |
|                                                                                                                                                       | 11,585               |             | AA+/Aa1                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, 4.0%, 6/15/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 11,586      |
|                                                                                                                                                       | 60,124               |             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 60,771      |
|                                                                                                                                                       | 105,260              |             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, 5.5%, 10/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 107,961     |
|                                                                                                                                                       | 98,073               | 0.45             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 98,161      |
|                                                                                                                                                       | 1,265,915            | 0.45             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 1,264,208   |
|                                                                                                                                                       | 215,752              | 0.35             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 216,047     |
|                                                                                                                                                       | 328,512              | 0.73             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 330,469     |
|                                                                                                                                                       | 263,706              | 0.50             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 263,676     |
|                                                                                                                                                       | 122,761              | 0.50             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 122,759     |
|                                                                                                                                                       | 59,364               | 0.40             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 59,280      |
|                                                                                                                                                       | 628,842              | 0.53             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 630,032     |
|                                                                                                                                                       | 189,283              | 0.55             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 189,846     |
|                                                                                                                                                       | 84,442               | 0.55             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 84,682      |
|                                                                                                                                                       | 416,345              | 0.47             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 415,997     |
|                                                                                                                                                       | 638,798              | 0.43             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 637,457     |
|                                                                                                                                                       | 297,125              | 0.85             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 300,972     |
|                                                                                                                                                       | 299,895              | 0.45             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 299,696     |
|                                                                                                                                                       | 278,709              | 1.15             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 286,289     |
|                                                                                                                                                       | 309,974              | 0.55             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 311,882     |
|                                                                                                                                                       | 187,167              | 0.45             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 186,685     |
|                                                                                                                                                       | 205,809              | 0.45             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 205,231     |
|                                                                                                                                                       | 170,825              | 0.45             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 171,080     |
|                                                                                                                                                       | 439,439              | 0.65             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 440,276     |
|                                                                                                                                                       | 221,347              | 0.70             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 222,506     |
|                                                                                                                                                       | 209,669              | 1.15             | AAA/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 215,418     |
|                                                                                                                                                       | 357,663              | 1.15             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 367,806     |
|                                                                                                                                                       | 1,061,932            | 0.55             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 1,066,229   |
|                                                                                                                                                       | 899,491              | 0.55             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 901,167     |
|                                                                                                                                                       | 279,782              | 0.70             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/27                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 283,004     |
|                                                                                                                                                       | 169,530              | 0.65             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 171,420     |
|                                                                                                                                                       | 171,842              | 0.45             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 172,111     |
|                                                                                                                                                       | 566,306              | 0.57             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 567,523     |
|                                                                                                                                                       | 179,948              | 0.55             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 180,522     |
|                                                                                                                                                       | 370,431              | 0.33             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 370,696     |
|                                                                                                                                                       | 140,965              | 0.55             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 141,233     |
|                                                                                                                                                       | 152,859              | 0.57             | AAA/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 153,213     |
|                                                                                                                                                       | 370,827              | 0.58             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 371,727     |
|                                                                                                                                                       | 217,677              | 0.55             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 218,575     |
|                                                                                                                                                       | 283,510              | 0.65             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 284,885     |
|                                                                                                                                                       | 136,949              | 0.75             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 138,214     |
|                                                                                                                                                       | 774,902              | 0.45             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 776,894     |
|                                                                                                                                                       | 352,885              | 0.40             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 352,915     |
|                                                                                                                                                       | 154,094              | 0.35             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 154,781     |
|                                                                                                                                                       | 105,891              | 0.40             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 105,638     |
|                                                                                                                                                       | 325,004              | 0.40             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 324,070     |
|                                                                                                                                                       | 248,501              | 0.45             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 249,011     |
|                                                                                                                                                       | 237,640              | 0.60             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 238,498     |
|                                                                                                                                                       | 189,097              |             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., 3.5%, 8/15/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 196,989     |
|                                                                                                                                                       | 356,462              |             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., 4.0%, 1/15/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 374,023     |
|                                                                                                                                                       | 212,919              |             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., 4.0%, 5/15/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 216,074     |
|                                                                                                                                                       | 290,519              |             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., 5.0%, 4/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 293,815     |
|                                                                                                                                                       | 130,120              |             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., 5.75%, 2/15/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 131,116     |
|                                                                                                                                                       | 1,981,320            | 0.65             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,992,538   |
|                                                                                                                                                       | 260,458              | 0.40             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 260,636     |
|                                                                                                                                                       | 120,232              | 0.47             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., Floating Rate Note, 11/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 120,120     |
|                                                                                                                                                       | 358,931              | 0.72             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 363,282     |
|                                                                                                                                                       | 971,222              | 0.54             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 975,386     |
|                                                                                                                                                       | 966,960              | 0.46             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 971,262     |
|                                                                                                                                                       | 786,639              | 0.50             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 786,705     |
|                                                                                                                                                       | 985,981              |             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association 2004-T2, 3.342%, 7/25/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 1,023,181   |
|                                                                                                                                                       | 705,833              |             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association 2006-48-T, 5.5%, 12/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 725,387     |
|                                                                                                                                                       | 207,837              |             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, 1.5%, 11/25/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 208,571     |
|                                                                                                                                                       | 351,359              |             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, 1.75%, 12/25/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 355,606     |
|                                                                                                                                                       | 667,910              |             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, 3.0%, 1/25/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 693,008     |
|                                                                                                                                                       | 211,526              |             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, 3.0%, 4/25/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 218,456     |
|                                                                                                                                                       | 318,565              |             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, 3.5%, 10/25/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 332,608     |
|                                                                                                                                                       | 2,000,000            |             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, 4.0%, 5/25/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 2,119,922   |
|                                                                                                                                                       | 72,793               |             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, 4.0%, 6/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 73,319      |
|                                                                                                                                                       | 23,962               |             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, 5.0%, 9/25/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 25,026      |
|                                                                                                                                                       | 66,931               |             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, 6.0%, 3/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 68,311      |
|                                                                                                                                                       | 127,364              |             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, 6.0%, 6/25/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 141,151     |
|                                                                                                                                                       | 82,771               | 0.80             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 84,038      |
|                                                                                                                                                       | 390,082              | 1.00             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 392,055     |
|                                                                                                                                                       | 112,492              | 0.65             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 113,382     |
|                                                                                                                                                       | 1,906,904            | 0.50             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 1,906,564   |
|                                                                                                                                                       | 217,163              | 0.45             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 216,852     |
|                                                                                                                                                       | 525,465              | 0.55             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 526,806     |
|                                                                                                                                                       | 227,041              | 1.37             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 233,858     |
|                                                                                                                                                       | 1,375,920            | 0.35             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 1,372,607   |
|                                                                                                                                                       | 515,274              | 1.15             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 529,298     |
|                                                                                                                                                       | 355,563              | 0.51             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 355,933     |
|                                                                                                                                                       | 572,595              | 0.85             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 578,612     |
|                                                                                                                                                       | 111,470              | 0.55             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 12/18/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 111,584     |
|                                                                                                                                                       | 191,483              | 1.05             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 196,158     |
|                                                                                                                                                       | 831,064              | 0.65             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 838,515     |
|                                                                                                                                                       | 347,717              | 0.51             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 347,837     |
|                                                                                                                                                       | 225,047              | 0.77             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 227,468     |
|                                                                                                                                                       | 280,049              | 0.50             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 281,589     |
|                                                                                                                                                       | 211,042              | 0.46             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 210,841     |
|                                                                                                                                                       | 241,067              | 0.40             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 240,176     |
|                                                                                                                                                       | 239,792              | 0.35             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 238,533     |
|                                                                                                                                                       | 205,345              | 0.60             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 206,068     |
|                                                                                                                                                       | 178,848              | 0.65             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 180,597     |
|                                                                                                                                                       | 309,603              | 0.55             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 310,414     |
|                                                                                                                                                       | 247,858              | 0.55             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 248,358     |
|                                                                                                                                                       | 311,268              | 0.50             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 311,789     |
|                                                                                                                                                       | 1,835,115            | 0.45             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 1,836,251   |
|                                                                                                                                                       | 270,442              | 0.40             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 269,940     |
|                                                                                                                                                       | 328,219              | 0.51             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 328,127     |
|                                                                                                                                                       | 161,213              | 0.40             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 160,632     |
|                                                                                                                                                       | 370,725              | 0.50             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 370,807     |
|                                                                                                                                                       | 710,069              | 0.37             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 708,596     |
|                                                                                                                                                       | 644,624              | 1.05             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 659,429     |
|                                                                                                                                                       | 705,481              | 1.15             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 725,513     |
|                                                                                                                                                       | 88,923               | 0.55             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 89,560      |
|                                                                                                                                                       | 380,465              | 0.40             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 379,518     |
|                                                                                                                                                       | 208,647              | 0.40             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 208,177     |
|                                                                                                                                                       | 764,908              | 0.65             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 5/18/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 773,419     |
|                                                                                                                                                       | 201,026              | 0.55             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 201,656     |
|                                                                                                                                                       | 116,555              | 0.65             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 117,448     |
|                                                                                                                                                       | 277,424              | 0.50             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 277,427     |
|                                                                                                                                                       | 291,074              | 0.55             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 291,103     |
|                                                                                                                                                       | 387,078              | 0.70             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 389,357     |
|                                                                                                                                                       | 723,492              | 0.45             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 723,145     |
|                                                                                                                                                       | 276,101              | 0.60             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 277,121     |
|                                                                                                                                                       | 316,503              | 0.39             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 315,018     |
|                                                                                                                                                       | 112,937              | 0.40             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 112,540     |
|                                                                                                                                                       | 400,963              | 0.40             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 399,572     |
|                                                                                                                                                       | 212,949              | 0.65             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 214,186     |
|                                                                                                                                                       | 122,591              | 0.55             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 123,340     |
|                                                                                                                                                       | 181,752              | 0.45             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 181,257     |
|                                                                                                                                                       | 105,356              | 0.40             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 105,655     |
|                                                                                                                                                       | 421,057              | 1.05             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 429,901     |
|                                                                                                                                                       | 523,608              | 0.57             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 525,927     |
|                                                                                                                                                       | 378,773              | 0.45             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 379,012     |
|                                                                                                                                                       | 623,334              | 0.65             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 626,996     |
|                                                                                                                                                       | 205,046              | 0.50             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 205,144     |
|                                                                                                                                                       | 276,774              | 0.72             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 279,315     |
|                                                                                                                                                       | 121,467              | 0.60             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 121,998     |
|                                                                                                                                                       | 376,927              | 0.72             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 379,389     |
|                                                                                                                                                       | 403,814              | 0.73             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 407,537     |
|                                                                                                                                                       | 101,011              | 0.72             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 101,686     |
|                                                                                                                                                       | 127,181              | 0.70             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 127,948     |
|                                                                                                                                                       | 500,726              | 0.70             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 505,117     |
|                                                                                                                                                       | 255,194              |             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association, 2.5%, 4/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 261,167     |
|                                                                                                                                                       | 234,618              |             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association, 2.674%, 4/25/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 249,326     |
|                                                                                                                                                       | 1,015,975            |             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association, 2.815%, 7/25/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 979,369     |
|                                                                                                                                                       | 321,886              |             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association, 3.0%, 6/25/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 330,181     |
|                                                                                                                                                       | 659,616              |             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association, 3.5%, 1/25/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 673,501     |
|                                                                                                                                                       | 352,749              |             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association, 3.5%, 3/25/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 362,692     |
|                                                                                                                                                       | 332,078              |             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association, 3.5%, 7/25/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 344,823     |
|                                                                                                                                                       | 243,405              |             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association, 4.5%, 3/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 247,955     |
|                                                                                                                                                       | 1,187,253            |             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association, 4.5%, 6/25/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 1,270,051   |
|                                                                                                                                                       | 369,937              |             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association, 4.5%, 8/25/27                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 377,637     |
|                                                                                                                                                       | 451,160              |             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association, 5.0%, 6/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 456,822     |
|                                                                                                                                                       | 379,120              |             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association, 5.0%, 7/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 388,891     |
|                                                                                                                                                       | 310,467              |             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association, 5.0%, 8/25/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 314,820     |
|                                                                                                                                                       | 426,861              | 1.00             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association, Floating Rate Note, 2/25/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 435,255     |
|                                                                                                                                                       | 543,667              | 0.50             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association, Floating Rate Note, 3/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 543,622     |
|                                                                                                                                                       | 1,115,774            | 0.65             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association, Floating Rate Note, 4/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,121,296   |
|                                                                                                                                                       | 474,866              | 0.65             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association, Floating Rate Note, 6/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 479,510     |
|                                                                                                                                                       | 908,618              | 0.55             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association, Floating Rate Note, 6/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 910,544     |
|                                                                                                                                                       | 1,178,213            | 0.55             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association, Floating Rate Note, 6/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,177,806   |
|                                                                                                                                                       | 402,607              | 0.45             | AA+/Aaa                                                                                                                              | Federal National Mortgage Association, Floating Rate Note, 8/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 401,625     |
|                                                                                                                                                       | 61,039               | 2.59             | BBB+/NR                                                                                                                              | First Horizon Mortgage Pass-Through Trust 2004-AR1, Floating Rate Note, 2/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 60,943      |
|                                                                                                                                                       | 65,733               | 2.57             | NR/B2                                                                                                                                | First Horizon Mortgage Pass-Through Trust 2004-AR5, Floating Rate Note, 10/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 65,182      |
|                                                                                                                                                       | 380,945              | 0.47             | AAA/Aaa                                                                                                                              | Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 376,911     |
|                                                                                                                                                       | 89,171               | 0.47             | AAA/Aaa                                                                                                                              | Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 88,855      |
|                                                                                                                                                       | 100,000              | 1.73             | AAA/Aaa                                                                                                                              | Fosse Master Issuer Plc, Floating Rate Note, 10/18/54 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 101,632     |
|                                                                                                                                                       | 553,000              | 2.08             | BBB+/Baa2                                                                                                                            | Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 523,996     |
|                                                                                                                                                       | 1,036,936            | 1.10             | AA+/Aaa                                                                                                                              | Freddie Mac REMICS, Floating Rate Note, 2/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 1,064,301   |
|                                                                                                                                                       | 180,521              | 0.50             | AA+/Aaa                                                                                                                              | Freddie Mac Strips, Floating Rate Note, 12/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 180,400     |
|                                                                                                                                                       | 431,377              | 0.45             | AA+/Aaa                                                                                                                              | Freddie Mac Strips, Floating Rate Note, 8/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 431,095     |
|                                                                                                                                                       | 474,750              | 1.15             | NR/A1                                                                                                                                | Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 476,397     |
|                                                                                                                                                       | 409,000              | 3.49             | NR/A2                                                                                                                                | FREMF Mortgage Trust Class B, Floating Rate Note, 11/25/46 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 423,007     |
|                                                                                                                                                       | 352,647              | 0.47             | AAA/Aaa                                                                                                                              | Gale Force 3 CLO, Ltd., Floating Rate Note, 4/19/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 350,167     |
|                                                                                                                                                       | 277,059              | 0.58             | A+/Aa2                                                                                                                               | GE Business Loan Trust 2003-1, Floating Rate Note, 4/15/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 267,394     |
|                                                                                                                                                       | 641,781              | 0.37             | AA-/Aa1                                                                                                                              | GE Business Loan Trust 2004-2, Floating Rate Note, 12/15/32 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 615,537     |
|                                                                                                                                                       | 743,244              | 0.40             | AA/Aa3                                                                                                                               | GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 709,922     |
|                                                                                                                                                       | 560,507              | 0.32             | A+/Aa3                                                                                                                               | GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 525,483     |
|                                                                                                                                                       | 1,340,000            | 4.77             | AAA/NR                                                                                                                               | GE Capital Commercial Mortgage Corp., Floating Rate Note, 6/10/48                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,364,724   |
|                                                                                                                                                       | 500,000              | 5.16             | BBB-/NR                                                                                                                              | GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 508,458     |
|                                                                                                                                                       | 270,613              |             | BB/Caa3                                                                                                                              | Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 260,904     |
|                                                                                                                                                       | 924,535              | 0.42             | BBB+/Ba2                                                                                                                             | Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 886,309     |
|                                                                                                                                                       | 526,469              | 5.30             | AAA/Aa3                                                                                                                              | GMAC Commercial Mortgage Securities, Inc. Series 2004-C2 Trust, Floating Rate Note, 8/10/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 528,441     |
|                                                                                                                                                       | 1,019,000            |             | AAA/NR                                                                                                                               | GMAC Commercial Mortgage Securities, Inc. Series 2005-C1 Trust, 4.697%, 5/10/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 1,044,056   |
|                                                                                                                                                       | 183,784              | 3.36             | BBB/Baa3                                                                                                                             | GMACM Mortgage Loan Trust 2003-AR1, Floating Rate Note, 10/19/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 181,761     |
|                                                                                                                                                       | 211,090              | 3.00             | A+/NR                                                                                                                                | GMACM Mortgage Loan Trust 2004-AR1, Floating Rate Note, 6/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 204,689     |
|                                                                                                                                                       | 2,987,348            |             | AA+/Aaa                                                                                                                              | Government National Mortgage Association REMICS, 2.0%, 1/16/46                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 3,004,053   |
|                                                                                                                                                       | 3,060,413            |             | AA+/Aaa                                                                                                                              | Government National Mortgage Association REMICS, 4.0%, 9/20/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 3,259,848   |
|                                                                                                                                                       | 1,925,530            |             | AA+/Aaa                                                                                                                              | Government National Mortgage Association, 1.026%, 2/16/53 (d)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 150,657     |
|                                                                                                                                                       | 1,152,471            |             | AA+/Aaa                                                                                                                              | Government National Mortgage Association, 1.049%, 3/16/53 (d)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 86,374      |
|                                                                                                                                                       | 1,731,766            |             | AA+/Aaa                                                                                                                              | Government National Mortgage Association, 1.067%, 9/16/52 (d)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 140,786     |
|                                                                                                                                                       | 1,904,100            |             | AA+/Aaa                                                                                                                              | Government National Mortgage Association, 1.071%, 8/16/52 (d)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 129,096     |
|                                                                                                                                                       | 179,765              |             | AA+/Aaa                                                                                                                              | Government National Mortgage Association, 3.0%, 12/20/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 185,212     |
|                                                                                                                                                       | 1,656,846            |             | AA+/Aaa                                                                                                                              | Government National Mortgage Association, 3.0%, 12/20/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 1,701,506   |
|                                                                                                                                                       | 270,595              |             | AA+/Aaa                                                                                                                              | Government National Mortgage Association, 3.0%, 4/20/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 282,087     |
|                                                                                                                                                       | 162,016              |             | AA+/Aaa                                                                                                                              | Government National Mortgage Association, 3.5%, 2/20/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 162,904     |
|                                                                                                                                                       | 631,934              |             | AA+/Aaa                                                                                                                              | Government National Mortgage Association, 3.5%, 5/20/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 658,635     |
|                                                                                                                                                       | 519,717              |             | AA+/Aaa                                                                                                                              | Government National Mortgage Association, 3.5%, 8/20/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 543,393     |
|                                                                                                                                                       | 93,082               |             | AA+/Aaa                                                                                                                              | Government National Mortgage Association, 4.5%, 6/16/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 93,713      |
|                                                                                                                                                       | 643,732              |             | AA+/Aaa                                                                                                                              | Government National Mortgage Association, 5.0%, 1/20/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 650,443     |
|                                                                                                                                                       | 130,389              |             | AA+/Aaa                                                                                                                              | Government National Mortgage Association, 5.0%, 4/20/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 138,170     |
|                                                                                                                                                       | 291,644              |             | AA+/Aaa                                                                                                                              | Government National Mortgage Association, 5.0%, 5/20/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 298,788     |
|                                                                                                                                                       | 154,365              |             | AA+/Aaa                                                                                                                              | Government National Mortgage Association, 5.0%, 7/20/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 156,618     |
|                                                                                                                                                       | 308,158              | 0.40             | AA+/Aaa                                                                                                                              | Government National Mortgage Association, Floating Rate Note, 1/16/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 306,199     |
|                                                                                                                                                       | 780,708              | 0.70             | AA+/Aaa                                                                                                                              | Government National Mortgage Association, Floating Rate Note, 1/16/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 787,634     |
|                                                                                                                                                       | 201,248              | 0.60             | AA+/Aaa                                                                                                                              | Government National Mortgage Association, Floating Rate Note, 1/20/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 201,354     |
|                                                                                                                                                       | 233,438              | 0.80             | AA+/Aaa                                                                                                                              | Government National Mortgage Association, Floating Rate Note, 2/16/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 236,292     |
|                                                                                                                                                       | 306,712              | 0.40             | AA+/Aaa                                                                                                                              | Government National Mortgage Association, Floating Rate Note, 2/20/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 305,338     |
|                                                                                                                                                       | 256,286              | 0.65             | AA+/Aaa                                                                                                                              | Government National Mortgage Association, Floating Rate Note, 2/20/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 257,877     |
|                                                                                                                                                       | 273,348              | 0.45             | AA+/Aaa                                                                                                                              | Government National Mortgage Association, Floating Rate Note, 4/16/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 274,176     |
|                                                                                                                                                       | 156,409              | 0.65             | AA+/Aaa                                                                                                                              | Government National Mortgage Association, Floating Rate Note, 4/16/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 157,388     |
|                                                                                                                                                       | 658,937              | 0.70             | AA+/Aaa                                                                                                                              | Government National Mortgage Association, Floating Rate Note, 4/16/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 664,269     |
|                                                                                                                                                       | 200,643              | 0.55             | AA+/Aaa                                                                                                                              | Government National Mortgage Association, Floating Rate Note, 8/20/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 200,894     |
|                                                                                                                                                       | 707,402              | 0.45             | AA+/Aaa                                                                                                                              | Government National Mortgage Association, Floating Rate Note, 8/20/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 698,173     |
|                                                                                                                                                       | 124,313              | 0.45             | AA+/Aaa                                                                                                                              | Government National Mortgage Association, Floating Rate Note, 9/20/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 124,365     |
|                                                                                                                                                       | 1,000,000            | 1.45             | AA/NR                                                                                                                                | GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/15/27                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 1,000,978   |
|                                                                                                                                                       | 545,000              |             | A-/Ba1                                                                                                                               | GS Mortgage Securities Corp II Series 2005-GG4, 4.782%, 7/10/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 558,047     |
|                                                                                                                                                       | 400,000              | 1.60             | NR/Aa3                                                                                                                               | GS Mortgage Securities Corp. II, Floating Rate Note, 11/8/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 403,007     |
|                                                                                                                                                       | 435,898              | 0.93             | AA+/Baa1                                                                                                                             | GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 435,376     |
|                                                                                                                                                       | 269,541              | 2.30             | A+/NR                                                                                                                                | GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 270,008     |
|                                                                                                                                                       | 559,385              | 2.65             | A+/B1                                                                                                                                | GSR Mortgage Loan Trust 2004-7, Floating Rate Note, 6/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 546,638     |
|                                                                                                                                                       | 412,367              |             | BB-/NR                                                                                                                               | GSR Mortgage Loan Trust 2005-1F, 6.0%, 2/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 425,224     |
|                                                                                                                                                       | 178,627              | 2.37             | AA+/Ba1                                                                                                                              | HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 179,773     |
|                                                                                                                                                       | 175,000              | 1.65             | AA-/Aa3                                                                                                                              | Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 175,221     |
|                                                                                                                                                       | 500,000              | 2.90             | BBB-/Baa3                                                                                                                            | Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 500,946     |
|                                                                                                                                                       | 1,250,000            |             | AAA/NR                                                                                                                               | HLSS Servicer Advance Receivables Trust, 1.2437%, 1/17/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 1,251,875   |
|                                                                                                                                                       | 250,000              | 2.43             | AA/Aa3                                                                                                                               | Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 260,078     |
|                                                                                                                                                       | 1,064,106            | 0.79             | A+/A3                                                                                                                                | Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 1,026,120   |
|                                                                                                                                                       | 377,302              | 0.50             | AA+/Aa3                                                                                                                              | Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 374,550     |
|                                                                                                                                                       | 276,149              | 0.60             | AAA/Aa2                                                                                                                              | Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 274,655     |
|                                                                                                                                                       | 1,493,352            | 0.79             | BB/Ba3                                                                                                                               | Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 1,422,709   |
|                                                                                                                                                       | 666,450              | 0.77             | A-/Ba1                                                                                                                               | Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 639,988     |
|                                                                                                                                                       | 373,494              | 0.87             | BBB-/Baa2                                                                                                                            | Impac CMB Trust Series 2004-5, Floating Rate Note, 10/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 363,665     |
|                                                                                                                                                       | 86,997               | 0.95             | B-/Ba1                                                                                                                               | Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 83,425      |
|                                                                                                                                                       | 91,065               | 0.89             | BBB+/A3                                                                                                                              | Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 87,628      |
|                                                                                                                                                       | 86,160               | 2.78             | NR/NR                                                                                                                                | Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 80,714      |
|                                                                                                                                                       | 444,950              | 0.50             | AAA/Aaa                                                                                                                              | Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 440,960     |
|                                                                                                                                                       | 370,223              | 0.50             | AAA/Aaa                                                                                                                              | Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 365,403     |
|                                                                                                                                                       | 159,788              | 0.35             | BB+/Baa2                                                                                                                             | Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 148,020     |
|                                                                                                                                                       | 80,914               | 2.58             | BB-/B1                                                                                                                               | IndyMac INDX Mortgage Loan Trust 2004-AR6, Floating Rate Note, 10/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 80,980      |
|                                                                                                                                                       | 391,999              | 0.45             | AAA/Aaa                                                                                                                              | Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 390,572     |
|                                                                                                                                                       | 76,485               | 2.57             | NR/NR                                                                                                                                | Jefferies Resecuritization Trust 2009-R2, Floating Rate Note, 5/26/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 76,340      |
|                                                                                                                                                       | 1,100,000            |             | NR/Aaa                                                                                                                               | JP Morgan Chase Commercial Mortgage Securities Corp., 4.878%, 1/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 1,115,306   |
|                                                                                                                                                       | 650,000              | 2.02             | AA/Aa2                                                                                                                               | JP Morgan Chase Commercial Mortgage Securities Corp., Floating Rate Note, 10/15/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 651,047     |
|                                                                                                                                                       | 232,920              | 4.84             | AAA/A1                                                                                                                               | JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 233,960   |
|                                                                                                                                                       | 1,591,037            | 5.34             | AAA/Aaa                                                                                                                              | JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC11, Floating Rate Note, 8/12/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,626,852   |
|                                                                                                                                                       | 957,489              | 5.04             | AAA/Aaa                                                                                                                              | JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP1, Floating Rate Note, 3/15/46                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 973,012     |
|                                                                                                                                                       | 427,531              | 4.94             | AAA/Aaa                                                                                                                              | JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 442,174     |
|                                                                                                                                                       | 73,244               |             | NR/Aaa                                                                                                                               | JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC17, 5.45%, 12/12/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 73,139      |
|                                                                                                                                                       | 572,740              | 0.43             | A+/Baa1                                                                                                                              | JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 566,907   |
|                                                                                                                                                       | 184,066              | 0.51             | NR/Ba1                                                                                                                               | JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 178,544   |
|                                                                                                                                                       | 106,179              | 0.31             | AA/Aa3                                                                                                                               | JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 105,785     |
|                                                                                                                                                       | 125,723              | 5.70             | AAA/Aaa                                                                                                                              | JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19, Floating Rate Note, 2/12/49                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 126,980     |
|                                                                                                                                                       | 412,000              | 3.00             | AA-/NR                                                                                                                               | JP Morgan Chase Commercial Mortgage Securities Trust 2013-ALC, Floating Rate Note, 7/17/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 418,533   |
|                                                                                                                                                       | 300,000              | 1.95             | A-/NR                                                                                                                                | JP Morgan Chase Commercial Mortgage Securities Trust 2013-FL3, Floating Rate Note, 4/15/28 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 297,617   |
|                                                                                                                                                       | 770,000              | 2.30             | NR/Aa3                                                                                                                               | JP Morgan Chase Commercial Mortgage Securities Trust 2013-INN, Floating Rate Note, 10/15/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 776,962   |
|                                                                                                                                                       | 1,550,000            | 0.93             | AAA/Aaa                                                                                                                              | JP Morgan Chase Commercial Mortgage Securities Trust 2013-JWRZ, Floating Rate Note, 4/15/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 1,539,210 |
|                                                                                                                                                       | 945,000              | 2.15             | A-/NR                                                                                                                                | JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 950,542     |
|                                                                                                                                                       | 1,030,000            | 1.65             | AA-/NR                                                                                                                               | JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | 1,030,923 |
|                                                                                                                                                       | 410,000              | 1.90             | AA-/Aa3                                                                                                                              | JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/15/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 410,620   |
|                                                                                                                                                       | 611,680              | 2.03             | A+/Baa1                                                                                                                              | JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 617,220     |
|                                                                                                                                                       | 366,526              | 2.49             | AA+/Baa3                                                                                                                             | JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 378,122     |
|                                                                                                                                                       | 198,739              | 2.30             | AA+/Baa2                                                                                                                             | JP Morgan Mortgage Trust 2004-A5, Floating Rate Note, 12/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 199,850     |
|                                                                                                                                                       | 164,958              |             | B+/Baa3                                                                                                                              | JP Morgan Mortgage Trust 2004-S1, 5.0%, 9/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 171,928     |
|                                                                                                                                                       | 694,753              | 5.00             | BBB+/NR                                                                                                                              | JP Morgan Mortgage Trust 2005-A3, Floating Rate Note, 6/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 697,608     |
|                                                                                                                                                       | 318,121              | 2.24             | BBB+/Baa3                                                                                                                            | JP Morgan Mortgage Trust 2005-A4, Floating Rate Note, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 319,022     |
|                                                                                                                                                       | 32,289               |             | NR/Caa3                                                                                                                              | JP Morgan Mortgage Trust 2006-S3, 6.0%, 8/25/36 (d)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 1,377       |
|                                                                                                                                                       | 375,000              | 1.67             | AA+/Aaa                                                                                                                              | KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 365,459     |
|                                                                                                                                                       | 250,000              | 0.73             | AAA/Aaa                                                                                                                              | Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 248,779     |
|                                                                                                                                                       | 33,796               |             | AAA/Aaa                                                                                                                              | LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 34,983      |
|                                                                                                                                                       | 410,414              | 5.02             | AAA/NR                                                                                                                               | LB-UBS Commercial Mortgage Trust 2004-C6, Floating Rate Note, 8/15/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 411,236     |
|                                                                                                                                                       | 1,455,000            | 5.20             | NR/Baa2                                                                                                                              | LB-UBS Commercial Mortgage Trust 2005-C2, Floating Rate Note, 4/15/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 1,500,534   |
|                                                                                                                                                       | 714,381              |             | AAA/Aaa                                                                                                                              | LB-UBS Commercial Mortgage Trust 2005-C3, 4.739%, 7/15/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 732,267     |
|                                                                                                                                                       | 1,135,809            | 5.20             | AAA/NR                                                                                                                               | LB-UBS Commercial Mortgage Trust 2005-C7, Floating Rate Note, 11/15/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,176,315   |
|                                                                                                                                                       | 109,525              | 6.15             | AAA/Aaa                                                                                                                              | LB-UBS Commercial Mortgage Trust 2008-C1, Floating Rate Note, 4/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 114,073     |
|                                                                                                                                                       | 240,735              | 1.10             | A+/Aa1                                                                                                                               | Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3 Class 1A4, Floating Rate Note, 10/25/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                          | 239,051   |
|                                                                                                                                                       | 430,065              | 1.20             | A+/Aa1                                                                                                                               | Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | 414,185   |
|                                                                                                                                                       | 613,231              | 0.37             | A+/Aa1                                                                                                                               | Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 566,563     |
|                                                                                                                                                       | 753,011              | 0.38             | A+/Aa1                                                                                                                               | Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 678,654     |
|                                                                                                                                                       | 626,199              | 0.40             | A+/Aa1                                                                                                                               | Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 586,176     |
|                                                                                                                                                       | 339,476              | 0.67             | BB/Ba1                                                                                                                               | Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 232,959     |
|                                                                                                                                                       | 5,500                |             | AAA/NR                                                                                                                               | MASTR Alternative Loan Trust 2004-13, 4.5%, 1/25/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 5,494       |
|                                                                                                                                                       | 735,737              | 0.50             | BBB-/NR                                                                                                                              | MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 715,586     |
|                                                                                                                                                       | 96,919               | 0.55             | AA+/NR                                                                                                                               | MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 93,013      |
|                                                                                                                                                       | 163,618              | 6.63             | A-/NR                                                                                                                                | MASTR Seasoned Securitization Trust 2005-1, Floating Rate Note, 9/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 171,053     |
|                                                                                                                                                       | 251,576              | 0.63             | AA+/Baa1                                                                                                                             | Mellon Residential Funding Corp. Mortgage Pass-Through Trust Series 2000 TBC2, Floating Rate Note, 6/15/30                                                                                                                                                                                                                                                                                                                                                                                                                                                             | 248,778   |
|                                                                                                                                                       | 411,435              | 2.40             | BBB/B1                                                                                                                               | Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 417,332     |
|                                                                                                                                                       | 1,401,829            | 0.42             | AA+/A3                                                                                                                               | Merrill Lynch Mortgage Investors Trust Series 2005-A3, Floating Rate Note, 4/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,340,980   |
|                                                                                                                                                       | 815,719              | 0.89             | A+/Baa3                                                                                                                              | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 805,283     |
|                                                                                                                                                       | 416,272              | 1.15             | BBB+/Baa3                                                                                                                            | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 415,794     |
|                                                                                                                                                       | 522,573              | 0.81             | BB/Baa1                                                                                                                              | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 502,856     |
|                                                                                                                                                       | 385,471              | 1.05             | BB/Baa1                                                                                                                              | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 389,081     |
|                                                                                                                                                       | 505,710              | 0.77             | BBB/Baa3                                                                                                                             | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 501,983     |
|                                                                                                                                                       | 53,529               | 1.89             | A+/Baa3                                                                                                                              | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 53,732      |
|                                                                                                                                                       | 395,921              | 0.79             | AA+/Baa2                                                                                                                             | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 395,055     |
|                                                                                                                                                       | 309,478              | 0.61             | A+/Baa1                                                                                                                              | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A, Floating Rate Note, 4/25/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 297,376     |
|                                                                                                                                                       | 288,287              | 0.65             | AA+/Baa1                                                                                                                             | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B, Floating Rate Note, 5/25/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 287,225     |
|                                                                                                                                                       | 550,094              | 0.71             | AA/Ba1                                                                                                                               | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 514,443     |
|                                                                                                                                                       | 495,792              | 0.81             | A+/Ba2                                                                                                                               | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-E, Floating Rate Note, 11/25/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 474,306     |
|                                                                                                                                                       | 671,432              | 0.71             | A+/Ba2                                                                                                                               | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 647,810     |
|                                                                                                                                                       | 259,104              | 0.95             | A+/Ba2                                                                                                                               | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 253,654     |
|                                                                                                                                                       | 575,620              | 0.61             | AA+/Ba3                                                                                                                              | Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 570,610     |
|                                                                                                                                                       | 114,930              | 2.48             | BBB+/NR                                                                                                                              | Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A2, Floating Rate Note, 2/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 115,263     |
|                                                                                                                                                       | 247,965              | 4.86             | NR/Aaa                                                                                                                               | Merrill Lynch Mortgage Trust 2004-KEY2, Floating Rate Note, 8/12/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 248,958     |
|                                                                                                                                                       | 410,390              | 4.95             | NR/Aa2                                                                                                                               | Merrill Lynch Mortgage Trust 2004-KEY2, Floating Rate Note, 8/12/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 415,023     |
|                                                                                                                                                       | 630,000              | 5.05             | NR/Aaa                                                                                                                               | Merrill Lynch Mortgage Trust 2005-CIP1, Floating Rate Note, 7/12/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 654,066     |
|                                                                                                                                                       | 371,912              |             | AAA/NR                                                                                                                               | Morgan Stanley Capital I Trust 2004-HQ4, 4.97%, 4/14/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 371,978     |
|                                                                                                                                                       | 1,200,000            | 5.30             | BBB+/NR                                                                                                                              | Morgan Stanley Capital I Trust 2004-IQ8, Floating Rate Note, 6/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 1,209,601   |
|                                                                                                                                                       | 1,815,000            |             | AAA/NR                                                                                                                               | Morgan Stanley Capital I Trust 2005-HQ6, 4.989%, 8/13/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 1,869,437   |
|                                                                                                                                                       | 900,000              | 5.07             | BBB-/NR                                                                                                                              | Morgan Stanley Capital I Trust 2005-HQ6, Floating Rate Note, 8/13/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 931,728     |
|                                                                                                                                                       | 790,479              | 5.23             | AAA/Aaa                                                                                                                              | Morgan Stanley Capital I Trust 2005-IQ10, Floating Rate Note, 9/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 820,042     |
|                                                                                                                                                       | 504,498              |             | AAA/NR                                                                                                                               | Morgan Stanley Capital I Trust 2005-TOP17, 4.78%, 12/13/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 510,684     |
|                                                                                                                                                       | 908,968              |             | AAA/NR                                                                                                                               | Morgan Stanley Capital I Trust 2005-TOP19, 4.89%, 6/12/47                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 939,287     |
|                                                                                                                                                       | 425,000              | 0.28             | A+/Aa1                                                                                                                               | Morgan Stanley Capital I, Inc., Floating Rate Note, 10/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 422,776     |
|                                                                                                                                                       | 176,673              |             | NR/Aa2                                                                                                                               | Morgan Stanley Dean Witter Capital I Trust 2001-TOP3, 6.79%, 7/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 178,295     |
|                                                                                                                                                       | 931,820              | 0.42             | AA+/A3                                                                                                                               | Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 924,170     |
|                                                                                                                                                       | 538,613              | 0.43             | A+/Baa2                                                                                                                              | Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 532,257     |
|                                                                                                                                                       | 530,505              | 0.42             | A+/A2                                                                                                                                | Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 520,997     |
|                                                                                                                                                       | 475,126              | 0.93             | AA+/Baa1                                                                                                                             | MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 463,073     |
|                                                                                                                                                       | 521,658              | 3.75             | AAA/NR                                                                                                                               | Nationstar Mortgage Loan Trust 2013-A, Floating Rate Note, 12/25/52 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 536,799     |
|                                                                                                                                                       | 214,120              |             | AA+/NR                                                                                                                               | NCUA Guaranteed Notes Trust REMICS, 1.6%, 10/29/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 215,627     |
|                                                                                                                                                       | 421,500              | 0.68             | NR/Aaa                                                                                                                               | NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/9/21 (e)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 423,868     |
|                                                                                                                                                       | 530,000              |             | AAA/NR                                                                                                                               | New Residential Advance Receivables Trust Advance Receivables Backed 2014-T1, 1.2736%, 3/13/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 530,106     |
|                                                                                                                                                       | 350,124              | 0.47             | AAA/Aaa                                                                                                                              | NewStar Commercial Loan Trust 2007-1, Floating Rate Note, 9/30/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 345,592     |
|                                                                                                                                                       | 211,662              |             | A+/A3                                                                                                                                | Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2003-A3, 5.5%, 8/25/33 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 220,932     |
|                                                                                                                                                       | 982,348              | 0.34             | NR/NR                                                                                                                                | Nomura Resecuritization Trust 2011-3R, Floating Rate Note, 7/26/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 953,467     |
|                                                                                                                                                       | 346,808              | 1.35             | AAA/Aaa                                                                                                                              | NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/25/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 347,104     |
|                                                                                                                                                       | 200,000              | 4.39             | BBB/Baa3                                                                                                                             | NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/25/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 202,812     |
|                                                                                                                                                       | 777,358              | 2.00             | NR/Aaa                                                                                                                               | NorthStar 2013-1, Floating Rate Note, 8/25/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 777,552     |
|                                                                                                                                                       | 31,909               | 0.45             | AAA/Aa2                                                                                                                              | Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates 2005-1, Floating Rate Note, 2/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                            | 31,900    |
|                                                                                                                                                       | 87,410               | 0.40             | BB+/Ba3                                                                                                                              | Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates 2005-5, Floating Rate Note, 12/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 86,415    |
|                                                                                                                                                       | 525,907              |             | NR/NR                                                                                                                                | ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 525,947     |
|                                                                                                                                                       | 296,154              |             | NR/NR                                                                                                                                | ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 296,169     |
|                                                                                                                                                       | 109,107              |             | NR/A2                                                                                                                                | PHH Mortgage Capital LLC, 6.6%, 12/25/27 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 110,764     |
|                                                                                                                                                       | 494,426              |             | BB+/Caa1                                                                                                                             | RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 503,838     |
|                                                                                                                                                       | 264,597              | 0.70             | NR/Baa3                                                                                                                              | RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 252,288     |
|                                                                                                                                                       | 394,576              |             | BBB+/Baa3                                                                                                                            | RALI Series 2003-QR24 Trust, 4.0%, 7/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 397,977     |
|                                                                                                                                                       | 764,744              |             | BBB-/Baa3                                                                                                                            | RALI Series 2003-QR24 Trust, 4.0%, 7/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 775,504     |
|                                                                                                                                                       | 737,439              | 0.65             | BB-/Ba1                                                                                                                              | RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 703,332     |
|                                                                                                                                                       | 43,193               |             | NR/Ba3                                                                                                                               | RALI Series 2003-QS14 Trust, 5.0%, 7/25/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 43,931      |
|                                                                                                                                                       | 184,973              |             | BB/Ba3                                                                                                                               | RALI Series 2003-QS15 Trust, 5.5%, 8/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 192,545     |
|                                                                                                                                                       | 556,594              | 0.60             | NR/Ba2                                                                                                                               | RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 537,814     |
|                                                                                                                                                       | 731,142              |             | BBB-/Baa3                                                                                                                            | RALI Series 2004-QR1 Trust, 5.25%, 10/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 739,735     |
|                                                                                                                                                       | 163,316              |             | BBB+/Baa2                                                                                                                            | RALI Series 2004-QS1 Trust, 4.25%, 1/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 163,970     |
|                                                                                                                                                       | 44,463               | 0.70             | BBB+/Baa2                                                                                                                            | RALI Series 2004-QS1 Trust, Floating Rate Note, 1/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 44,406      |
|                                                                                                                                                       | 263,949              |             | NR/B3                                                                                                                                | RALI Series 2004-QS16 Trust, 5.5%, 12/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 268,796     |
|                                                                                                                                                       | 268,506              |             | BB+/Ba3                                                                                                                              | RALI Series 2004-QS5 Trust, 4.75%, 4/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 276,737     |
|                                                                                                                                                       | 114,060              | 0.75             | BB+/Ba3                                                                                                                              | RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 112,026     |
|                                                                                                                                                       | 102,028              | 6.27             | BBB+/NR                                                                                                                              | RAMP Series 2004-SL4 Trust, Floating Rate Note, 5/25/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 103,674     |
|                                                                                                                                                       | 1,809,926            |             | NR/Aaa                                                                                                                               | RBS Greenwich Capital Mortgage Loan Trust, 3.686%, 4/15/24 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,837,230   |
|                                                                                                                                                       | 972,866              | 0.65             | NR/NR                                                                                                                                | RBSSP Resecuritization Trust 2009-5, Floating Rate Note, 8/26/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 934,814     |
|                                                                                                                                                       | 345,628              | 0.48             | AAA/Aaa                                                                                                                              | Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 342,918     |
|                                                                                                                                                       | 611,609              | 1.55             | B-/Ba3                                                                                                                               | RESI Finance LP, Floating Rate Note, 9/10/35 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 530,167     |
|                                                                                                                                                       | 1,448,410            | 0.55             | BBB+/NR                                                                                                                              | Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 1,335,651   |
|                                                                                                                                                       | 369,970              |             | B/NR                                                                                                                                 | Residential Asset Securitization Trust 2004-A9, 5.75%, 12/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 383,054     |
|                                                                                                                                                       | 317,411              |             | CCC/NR                                                                                                                               | Residential Asset Securitization Trust 2005-A9, 5.5%, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 315,836     |
|                                                                                                                                                       | 1,000,000            | 2.30             | NR/NR                                                                                                                                | Resource Capital Corp. CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 999,999     |
|                                                                                                                                                       | 174,087              |             | NR/B3                                                                                                                                | RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 179,775     |
|                                                                                                                                                       | 700,000              |             | NR/NR                                                                                                                                | Rialto Capital Management LLC, 2.85%, 5/15/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 700,021     |
|                                                                                                                                                       | 287,850              |             | NR/Baa3                                                                                                                              | RREF 2013 LT2 LLC, 2.8331%, 5/22/28 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 287,777     |
|                                                                                                                                                       | 1,020,000            |             | NR/NR                                                                                                                                | Selene Non-Performing Loans LLC, 5/25/54 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 1,020,000   |
|                                                                                                                                                       | 240,267              | 0.77             | AA+/Baa3                                                                                                                             | Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 242,090     |
|                                                                                                                                                       | 187,139              | 0.47             | A+/Baa3                                                                                                                              | Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 178,478     |
|                                                                                                                                                       | 1,701,343            | 0.69             | A/Baa3                                                                                                                               | Sequoia Mortgage Trust 2004-12, Floating Rate Note, 1/20/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 1,580,797   |
|                                                                                                                                                       | 287,721              | 0.93             | AA/Baa3                                                                                                                              | Sequoia Mortgage Trust 2004-12, Floating Rate Note, 1/20/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 267,232     |
|                                                                                                                                                       | 273,445              | 1.74             | AA+/Ba1                                                                                                                              | Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 276,374     |
|                                                                                                                                                       | 688,808              | 0.49             | A+/Baa2                                                                                                                              | Sequoia Mortgage Trust 2004-9, Floating Rate Note, 10/20/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 658,759     |
|                                                                                                                                                       | 501,470              | 0.58             | AA+/Ba1                                                                                                                              | Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 487,189     |
|                                                                                                                                                       | 287,123              | 2.25             | NR/Aaa                                                                                                                               | Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 271,861     |
|                                                                                                                                                       | 150,389              | 3.00             | NR/Aaa                                                                                                                               | Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 145,816     |
|                                                                                                                                                       | 588,906              |             | A/NR                                                                                                                                 | SilverLeaf Finance XVII LLC, 2.71%, 3/16/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 586,497     |
|                                                                                                                                                       | 290,000              | 1.88             | AAA/Aaa                                                                                                                              | Silverstone Master Issuer Plc, Floating Rate Note, 1/21/55 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 299,227     |
|                                                                                                                                                       | 13,457               |             | NR/Baa3                                                                                                                              | SMA Issuer I LLC, 3.5%, 8/20/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 13,457      |
|                                                                                                                                                       | 246,039              | 2.22             | AAA/NR                                                                                                                               | Springleaf Mortgage Loan Trust 2012-2, Floating Rate Note, 10/25/57 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 249,261     |
|                                                                                                                                                       | 626,374              | 1.45             | AAA/NR                                                                                                                               | Starwood Property Mortgage Trust 2013-FV1, Floating Rate Note, 8/11/28 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 626,578     |
|                                                                                                                                                       | 185,180              | 2.86             | BB/Ba2                                                                                                                               | Structured Adjustable Rate Mortgage Loan Trust Class 1A1, Floating Rate Note, 3/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 187,516     |
|                                                                                                                                                       | 87,318               | 5.17             | BBB+/Ba2                                                                                                                             | Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 86,315      |
|                                                                                                                                                       | 1,043,483            | 1.01             | NR/Baa3                                                                                                                              | Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 962,891     |
|                                                                                                                                                       | 420,605              | 0.81             | AA+/Baa1                                                                                                                             | Structured Asset Mortgage Investments II Trust 2004-AR5, Floating Rate Note, 10/19/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 400,129     |
|                                                                                                                                                       | 598,823              | 3.44             | CCC/Caa3                                                                                                                             | Structured Asset Mortgage Investments II Trust 2005-AR2, Floating Rate Note, 5/25/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 482,977     |
|                                                                                                                                                       | 169,912              | 0.65             | AA+/A1                                                                                                                               | Structured Asset Mortgage Investments II Trust 2005-F1, Floating Rate Note, 8/26/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 168,527     |
|                                                                                                                                                       | 436,817              | 1.05             | AA+/Ba1                                                                                                                              | Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 429,367     |
|                                                                                                                                                       | 187,354              | 2.69             | A+/Baa3                                                                                                                              | Structured Asset Securities Corp. Mortgage Certificates Series 2003-31A, Floating Rate Note, 10/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 188,660     |
|                                                                                                                                                       | 204,647              |             | BBB+/Ba2                                                                                                                             | Structured Asset Securities Corp. Mortgage Loan Trust 2005-2XS, 4.65%, 2/25/35 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 214,057     |
|                                                                                                                                                       | 1,017,679            | 2.45             | A+/Ba2                                                                                                                               | Structured Asset Securities Corp. Mortgage Pass-Through Certificates Series 2003-24A, Floating Rate Note, 7/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 1,014,998 |
|                                                                                                                                                       | 355,988              | 0.65             | A+/Baa3                                                                                                                              | Structured Asset Securities Corp. Mortgage Pass-Through Certificates Series 2003-35, Floating Rate Note, 12/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 350,911   |
|                                                                                                                                                       | 136,352              | 2.19             | NR/Baa2                                                                                                                              | Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 136,534     |
|                                                                                                                                                       | 245,732              | 1.54             | AAA/A1                                                                                                                               | Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 246,727     |
|                                                                                                                                                       | 1,168,704            | 0.89             | BBB+/Baa3                                                                                                                            | Thornburg Mortgage Securities Trust 2004-3, Floating Rate Note, 9/25/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 1,116,991   |
|                                                                                                                                                       | 267,948              | 1.93             | BBB+/Baa3                                                                                                                            | Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 266,155     |
|                                                                                                                                                       | 779,201              | 1.57             | AA+/Baa3                                                                                                                             | Thornburg Mortgage Securities Trust Class II2A, Floating Rate Note, 3/25/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 771,470     |
|                                                                                                                                                       | 154,491              | 1.72             | AAA/Baa3                                                                                                                             | Thornburg Mortgage Securities Trust Class II4A, Floating Rate Note, 3/25/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 155,327     |
|                                                                                                                                                       | 525,000              |             | AAA/Aa1                                                                                                                              | TimberStar Trust 1, 5.668%, 10/15/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 578,696     |
|                                                                                                                                                       | 487,000              | 4.15             | BBB/Baa2                                                                                                                             | Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 491,110     |
|                                                                                                                                                       | 530,327              |             | NR/NR                                                                                                                                | VOLT XVI LLC, 4.25%, 8/25/58 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 533,976     |
|                                                                                                                                                       | 532,915              |             | NR/NR                                                                                                                                | VOLT XX LLC, 3.625%, 2/1/39 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 536,245     |
|                                                                                                                                                       | 464,409              |             | NR/NR                                                                                                                                | VOLT XXIII LLC, 3.625%, 11/25/53 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 466,586     |
|                                                                                                                                                       | 595,206              |             | NR/NR                                                                                                                                | VOLT XXIV LLC, 3.25%, 11/25/53 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 596,694     |
|                                                                                                                                                       | 465,000              | 4.85             | AAA/Aaa                                                                                                                              | Wachovia Bank Commercial Mortgage Trust Series 2005-C16, Floating Rate Note, 10/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 470,274     |
|                                                                                                                                                       | 1,921,602            | 5.08             | AAA/Aaa                                                                                                                              | Wachovia Bank Commercial Mortgage Trust Series 2005-C17, Floating Rate Note, 3/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 1,957,735   |
|                                                                                                                                                       | 1,506,334            |             | AAA/Aaa                                                                                                                              | Wachovia Bank Commercial Mortgage Trust Series 2005-C18, 4.935%, 4/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 1,539,494   |
|                                                                                                                                                       | 524,462              | 5.24             | AAA/Aaa                                                                                                                              | Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Floating Rate Note, 10/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 548,030     |
|                                                                                                                                                       | 272,000              | 5.66             | BB-/Ba3                                                                                                                              | Wachovia Bank Commercial Mortgage Trust Series 2006-C24, Floating Rate Note, 3/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 279,267     |
|                                                                                                                                                       | 412,760              | 1.52             | AA+/Ba3                                                                                                                              | WaMu Mortgage Pass-Through Certificates Series 2002-AR6 Trust, Floating Rate Note, 6/25/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 393,388     |
|                                                                                                                                                       | 1,193,038            | 2.41             | A+/Baa1                                                                                                                              | WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust, Floating Rate Note, 9/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 1,216,859   |
|                                                                                                                                                       | 719,399              |             | AA+/NR                                                                                                                               | WaMu Mortgage Pass-Through Certificates Series 2003-S10, 5.0%, 10/25/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 738,747     |
|                                                                                                                                                       | 667,648              |             | A/NR                                                                                                                                 | Welk Resorts 2013-A LLC, 3.1%, 3/15/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 676,125     |
|                                                                                                                                                       | 453,135              | 0.56             | AA+/A1                                                                                                                               | Wells Fargo Alternative Loan 2005-2 Trust, Floating Rate Note, 10/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 448,012     |
|                                                                                                                                                       | 690,000              | 1.18             | AAA/NR                                                                                                                               | Wells Fargo Commercial Mortgage Trust 2014-TISH, Floating Rate Note, 2/15/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 690,000     |
|                                                                                                                                                       | 277,451              | 4.98             | NR/Ba2                                                                                                                               | Wells Fargo Mortgage Backed Securities 2005-AR6 Trust, Floating Rate Note, 4/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 281,674     |
|                                                                                                                                                       | 35,690               |             | AA+/Baa1                                                                                                                             | Wells Fargo Mortgage Backed Securities 2006-16 Trust, 5.0%, 11/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 37,073      |
|                                                                                                                                                       | 200,373              | 4.92             | BBB+/Ba3                                                                                                                             | Wells Fargo Mortgage Backed Securities Trust, Floating Rate Note, 8/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 204,592     |
|                                                                                                                                                       | 466,254              | 0.45             | AAA/Aaa                                                                                                                              | Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 460,060     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | (Cost $248,752,607)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 248,310,304 |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | CORPORATE BONDS - 31.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Energy - 1.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Integrated Oil & Gas - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |        |
|                                                                                                                                                       | 700,000              |             | A/A1                                                                                                                                 | ConocoPhillips Co., 1.05%, 12/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 696,196     |
|                                                                                                                                                       | 750,000              | 0.45             | AA/Aa1                                                                                                                               | Shell International Finance BV, Floating Rate Note, 11/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 750,749     |
|                                                                                                                                                       | 1,115,000            | 0.61             | AA-/Aa1                                                                                                                              | Total Capital Canada, Ltd., Floating Rate Note, 1/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 1,121,201   |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 2,568,146   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Oil & Gas Exploration & Production - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |        |
|                                                                                                                                                       | 430,000              |             | BBB+/Baa1                                                                                                                            | Canadian Natural Resources, Ltd., 1.45%, 11/14/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 431,822     |
|                                                                                                                                                       | 277,000              | 0.61             | BBB+/Baa1                                                                                                                            | Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 277,479     |
|                                                                                                                                                       | 500,000              |             | BBB+/Baa1                                                                                                                            | Devon Energy Corp., 1.2%, 12/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 502,642     |
|                                                                                                                                                       | 1,500,000            | 0.68             | BBB+/Baa1                                                                                                                            | Devon Energy Corp., Floating Rate Note, 12/15/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 1,505,726   |
|                                                                                                                                                       | 651,000              |             | BBB/Baa1                                                                                                                             | Marathon Oil Corp., 0.9%, 11/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 654,301     |
|                                                                                                                                                       | 250,000              |             | A/Aa3                                                                                                                                | Ras Laffan Liquefied Natural Gas Co, Ltd. III, 5.5%, 9/30/14 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 253,700     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 3,625,670   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Oil & Gas Refining & Marketing - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |        |
|                                                                                                                                                       | 500,000              |             | BBB-/Baa3                                                                                                                            | GS Caltex Corp., 3.25%, 10/1/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 512,227     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Oil & Gas Storage & Transportation - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |        |
|                                                                                                                                                       | 500,000              | 0.88             | A-/Baa1                                                                                                                              | Enbridge, Inc., Floating Rate Note, 10/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 502,314     |
|                                                                                                                                                       | 725,000              |             | BBB-/Baa3                                                                                                                            | Energy Transfer Partners LP, 5.95%, 2/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 750,400     |
|                                                                                                                                                       | 500,000              |             | BBB+/Baa1                                                                                                                            | Enterprise Products Operating LLC, 3.7%, 6/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 515,464     |
|                                                                                                                                                       | 650,000              |             | A-/A3                                                                                                                                | TransCanada PipeLines, Ltd., 0.75%, 1/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 652,733     |
|                                                                                                                                                       | 750,000              |             | BBB/Baa2                                                                                                                             | Williams Partners LP, 3.8%, 2/15/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 766,291     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 3,187,202   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Energy                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 9,893,245   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Materials - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Diversified Metals & Mining - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |        |
|                                                                                                                                                       | 500,000              | 0.48             | A+/A1                                                                                                                                | BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 500,586     |
|                                                                                                                                                       | 560,000              | 1.07             | A-/A3                                                                                                                                | Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 565,560     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,066,146   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Steel - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |        |
|                                                                                                                                                       | 1,000,000            | 1.39             | BBB/Baa2                                                                                                                             | Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 1,006,341   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Materials                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 2,072,487   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Capital Goods - 1.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Aerospace & Defense - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |
|                                                                                                                                                       | 360,000              |             | BB-/Ba3                                                                                                                              | Bombardier, Inc., 4.25%, 1/15/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 373,950     |
|                                                                                                                                                       | 186,000              |             | BBB-/Baa3                                                                                                                            | L-3 Communications Corp., 1.5%, 5/28/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 186,500     |
|                                                                                                                                                       | 500,000              |             | A-/A2                                                                                                                                | Precision Castparts Corp., 1.25%, 1/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 497,587     |
|                                                                                                                                                       | 1,050,000            |             | A/A2                                                                                                                                 | The Boeing Co., 0.95%, 5/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 1,030,433   |
|                                                                                                                                                       | 500,000              | 0.74             | A/A2                                                                                                                                 | United Technologies Corp., Floating Rate Note, 6/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 502,326     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 2,590,796   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Industrial Conglomerates - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |        |
|                                                                                                                                                       | 640,000              |             | A-/Baa1                                                                                                                              | Tyco Electronics Group SA, 1.6%, 2/3/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 644,783     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Construction & Farm Machinery & Heavy Trucks - 0.6%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |        |
|                                                                                                                                                       | 1,125,000            |             | A/A2                                                                                                                                 | Caterpillar Financial Services Corp., 1.35%, 9/6/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 1,139,103   |
|                                                                                                                                                       | 750,000              |             | A/A2                                                                                                                                 | John Deere Capital Corp., 1.05%, 12/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 754,537     |
|                                                                                                                                                       | 1,090,000            | 0.52             | A/A2                                                                                                                                 | John Deere Capital Corp., Floating Rate Note, 10/11/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 1,093,598   |
|                                                                                                                                                       | 500,000              | 0.34             | A/A2                                                                                                                                 | John Deere Capital Corp., Floating Rate Note, 2/25/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 499,828     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 3,487,066   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Trading Companies & Distributors - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |        |
|                                                                                                                                                       | 750,000              |             | BBB/Baa2                                                                                                                             | GATX Corp., 1.25%, 3/4/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 748,428     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Capital Goods                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 7,471,073   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Transportation - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Railroads - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |        |
|                                                                                                                                                       | 730,000              | 0.42             | A/A3                                                                                                                                 | Canadian National Railway Co., Floating Rate Note, 11/6/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 730,223     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Trucking - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |        |
|                                                                                                                                                       | 969,000              |             | BBB-/Baa3                                                                                                                            | Penske Truck Leasing Co. LP, 2.5%, 7/11/14 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 970,857     |
|                                                                                                                                                       | 500,000              |             | BBB/Baa1                                                                                                                             | Ryder System, Inc., 3.15%, 3/2/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 509,952     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,480,809   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Transportation                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 2,211,032   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Automobiles & Components - 1.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Automobile Manufacturers - 1.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |        |
|                                                                                                                                                       | 1,000,000            |             | A-/A3                                                                                                                                | Daimler Finance North America LLC, 1.45%, 8/1/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 1,013,059   |
|                                                                                                                                                       | 750,000              | 0.59             | A-/A3                                                                                                                                | Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 750,824     |
|                                                                                                                                                       | 1,000,000            |             | BBB+/Baa1                                                                                                                            | Hyundai Motor Manufacturing Czech s.r.o., 4.5%, 4/15/15 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 1,031,940   |
|                                                                                                                                                       | 1,000,000            |             | BBB+/A3                                                                                                                              | Nissan Motor Acceptance Corp., 2.65%, 9/26/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 1,030,584   |
|                                                                                                                                                       | 100,000              |             | BBB+/A3                                                                                                                              | Nissan Motor Acceptance Corp., 4.5%, 1/30/15 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 102,560     |
|                                                                                                                                                       | 500,000              | 0.79             | BBB+/A3                                                                                                                              | Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 501,360     |
|                                                                                                                                                       | 750,000              |             | AA-/Aa3                                                                                                                              | Toyota Motor Credit Corp., 1.125%, 5/16/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 752,115     |
|                                                                                                                                                       | 1,000,000            | 0.45             | A-/A3                                                                                                                                | Volkswagen Group of America Finance LLC, Floating Rate Note, 5/23/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 1,000,573   |
|                                                                                                                                                       | 750,000              |             | A-/A3                                                                                                                                | Volkswagen International Finance NV, 1.125%, 11/18/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 753,395     |
|                                                                                                                                                       | 500,000              |             | A-/A3                                                                                                                                | Volkswagen International Finance NV, 1.6%, 11/20/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 503,068     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 7,439,478   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Automobiles & Components                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 7,439,478   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Consumer Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Restaurants - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |        |
|                                                                                                                                                       | 605,000              |             | A-/A3                                                                                                                                | Starbucks Corp., 0.875%, 12/5/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 604,805     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Consumer Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 604,805     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Media - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Broadcasting - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |        |
|                                                                                                                                                       | 750,000              |             | BBB/Baa2                                                                                                                             | Discovery Communications LLC, 3.7%, 6/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 774,713     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Movies & Entertainment - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |        |
|                                                                                                                                                       | 750,000              | 0.54             | A/A2                                                                                                                                 | The Walt Disney Co., Floating Rate Note, 5/30/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 750,738     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Publishing - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |        |
|                                                                                                                                                       | 250,000              |             | BBB+/Baa2                                                                                                                            | Thomson Reuters Corp., 0.875%, 5/23/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 250,278     |
|                                                                                                                                                       | 500,000              |             | BBB+/Baa2                                                                                                                            | Thomson Reuters Corp., 1.3%, 2/23/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 501,630     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 751,908     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Media                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 2,277,359   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Food & Staples Retailing - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Drug Retail - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |        |
|                                                                                                                                                       | 1,000,000            |             | BBB/Baa1                                                                                                                             | Walgreen Co., 1.0%, 3/13/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 1,004,419   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Hypermarkets & Super Centers - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |        |
|                                                                                                                                                       | 740,000              |             | A+/A1                                                                                                                                | Costco Wholesale Corp., 1.125%, 12/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 736,874     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Food & Staples Retailing                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 1,741,293   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Food, Beverage & Tobacco - 0.7%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Brewers - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |
|                                                                                                                                                       | 225,000              |             | A/A2                                                                                                                                 | Anheuser-Busch Companies LLC, 5.0%, 1/15/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 231,441     |
|                                                                                                                                                       | 500,000              | 0.42             | A/A2                                                                                                                                 | Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 500,668     |
|                                                                                                                                                       | 500,000              |             | A/A2                                                                                                                                 | Anheuser-Busch InBev Worldwide, Inc., 1.5%, 7/14/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 500,790     |
|                                                                                                                                                       | 580,000              |             | A/A2                                                                                                                                 | Anheuser-Busch InBev Worldwide, Inc., 4.125%, 1/15/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 593,348     |
|                                                                                                                                                       | 500,000              |             | BBB+/Baa1                                                                                                                            | SABMiller Holdings, Inc., 1.85%, 1/15/15 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 504,384     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 2,330,631   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Soft Drinks - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |        |
|                                                                                                                                                       | 189,000              |             | BBB/A3                                                                                                                               | Coca-Cola Enterprises, Inc., 2.125%, 9/15/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 192,237     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Packaged Foods & Meats - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |        |
|                                                                                                                                                       | 250,000              |             | BBB+/A3                                                                                                                              | General Mills, Inc., 0.875%, 1/29/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 251,343     |
|                                                                                                                                                       | 565,000              | 0.43             | BBB+/A3                                                                                                                              | General Mills, Inc., Floating Rate Note, 1/28/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 565,383     |
|                                                                                                                                                       | 1,000,000            |             | A-/Baa2                                                                                                                              | Wm Wrigley Jr Co., 2.0%, 10/20/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 1,013,501   |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,830,227   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Food, Beverage & Tobacco                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 4,353,095   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Household & Personal Products - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Household Products - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |        |
|                                                                                                                                                       | 500,000              |             | A+/A1                                                                                                                                | Reckitt Benckiser Treasury Services Plc, 2.125%, 9/21/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 504,878     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Household & Personal Products                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 504,878     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Health Care Equipment & Services - 0.8%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Health Care Equipment - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |        |
|                                                                                                                                                       | 500,000              |             | A-/A3                                                                                                                                | Baxter International, Inc., 0.95%, 6/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 501,992     |
|                                                                                                                                                       | 500,000              |             | BBB-/Baa3                                                                                                                            | Boston Scientific Corp., 2.65%, 10/1/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 510,737     |
|                                                                                                                                                       | 510,000              |             | A/Baa1                                                                                                                               | St. Jude Medical, Inc., 2.5%, 1/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 524,971     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,537,700   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Health Care Distributors - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |        |
|                                                                                                                                                       | 500,000              |             | A-/Baa2                                                                                                                              | Cardinal Health, Inc., 4.0%, 6/15/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 518,345     |
|                                                                                                                                                       | 235,000              | 0.64             | BBB+/Baa2                                                                                                                            | McKesson Corp., Floating Rate Note, 9/10/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 235,267     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 753,612     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Health Care Services - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |        |
|                                                                                                                                                       | 597,000              |             | BBB+/Baa3                                                                                                                            | Express Scripts Holding Co., 2.1%, 2/12/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 603,555     |
|                                                                                                                                                       | 900,000              |             | BBB+/Baa3                                                                                                                            | Express Scripts Holding Co., 2.75%, 11/21/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 909,458     |
|                                                                                                                                                       | 1,000,000            |             | BBB+/Baa3                                                                                                                            | Express Scripts Holding Co., 3.125%, 5/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,045,266   |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 2,558,279   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Managed Health Care - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |        |
|                                                                                                                                                       | 500,000              |             | A/A3                                                                                                                                 | UnitedHealth Group, Inc., 1.875%, 11/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 513,761     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Health Care Equipment & Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 5,363,352   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Pharmaceuticals, Biotechnology & Life Sciences - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Biotechnology - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       | 500,000              |             | A/Baa1                                                                                                                               | Amgen, Inc., 2.5%, 11/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 519,096     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Pharmaceuticals - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |        |
|                                                                                                                                                       | 750,000              | 0.37             | AA/A1                                                                                                                                | Pfizer, Inc., Floating Rate Note, 5/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 749,990     |
|                                                                                                                                                       | 500,000              |             | BBB-/Baa2                                                                                                                            | Zoetis, Inc., 1.15%, 2/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 503,801     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,253,791   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Life Sciences Tools & Services - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |        |
|                                                                                                                                                       | 620,000              |             | BBB+/NR                                                                                                                              | Agilent Technologies, Inc., 5.5%, 9/14/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 656,651     |
|                                                                                                                                                       | 1,000,000            |             | BBB/Baa3                                                                                                                             | Thermo Fisher Scientific, Inc., 2.4%, 2/1/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,012,899   |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,669,550   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Pharmaceuticals, Biotechnology & Life Sciences                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 3,442,437   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Banks - 7.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Diversified Banks - 4.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |        |
|                                                                                                                                                       | 500,000              |             | A/A2                                                                                                                                 | ABN AMRO Bank NV, 1.375%, 1/22/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 504,604     |
|                                                                                                                                                       | 750,000              | 1.03             | A/A2                                                                                                                                 | ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 755,662     |
|                                                                                                                                                       | 1,000,000            |             | AA-/Aa3                                                                                                                              | ANZ New Zealand Int'l, Ltd. London, 1.125%, 3/24/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 1,004,232   |
|                                                                                                                                                       | 500,000              |             | A-/Baa2                                                                                                                              | Bank of America Corp., 1.35%, 11/21/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 501,838     |
|                                                                                                                                                       | 500,000              |             | A+/Aa3                                                                                                                               | Bank of Montreal, 0.8%, 11/6/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 502,634     |
|                                                                                                                                                       | 500,000              |             | A+/Aa2                                                                                                                               | Bank of Nova Scotia, 1.1%, 12/13/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 502,140     |
|                                                                                                                                                       | 500,000              |             | A+/Aa2                                                                                                                               | Bank of Nova Scotia, 1.375%, 7/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 506,667     |
|                                                                                                                                                       | 500,000              |             | A+/Aa2                                                                                                                               | Bank of Nova Scotia, 1.45%, 4/25/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 497,042     |
|                                                                                                                                                       | 1,000,000            | 1.27             | A+/Aa2                                                                                                                               | Bank of Nova Scotia, Floating Rate Note, 1/12/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 1,006,119   |
|                                                                                                                                                       | 229,000              | 0.81             | A/A2                                                                                                                                 | Barclays Bank Plc, Floating Rate Note, 2/17/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 230,172     |
|                                                                                                                                                       | 550,000              | 1.48             | A/A2                                                                                                                                 | BPCE SA, Floating Rate Note, 4/25/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 558,375     |
|                                                                                                                                                       | 460,000              | 1.03             | AA-/Aa2                                                                                                                              | Commonwealth Bank of Australia, Floating Rate Note, 9/18/15 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 464,052     |
|                                                                                                                                                       | 500,000              | 0.71             | AA-/Aa2                                                                                                                              | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 3/18/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 502,946     |
|                                                                                                                                                       | 500,000              |             | A+/Aa3                                                                                                                               | Export-Import Bank of Korea, 1.25%, 11/20/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 503,203     |
|                                                                                                                                                       | 750,000              |             | NR/A2                                                                                                                                | HSBC Bank Middle East, Ltd., 3.0%, 10/21/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 767,250     |
|                                                                                                                                                       | 500,000              |             | BBB/Baa2                                                                                                                             | Intesa Sanpaolo S.p.A., 3.125%, 1/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 514,376     |
|                                                                                                                                                       | 750,000              | 1.18             | AA-/Aa2                                                                                                                              | National Australia Bank, Ltd., Floating Rate Note, 7/25/14 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 751,160     |
|                                                                                                                                                       | 250,000              | 0.68             | AA-/Aa3                                                                                                                              | Nordea Bank AB, Floating Rate Note, 5/13/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 251,331     |
|                                                                                                                                                       | 1,000,000            |             | AA-/Aa3                                                                                                                              | Royal Bank of Canada, 1.45%, 9/9/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 1,015,273   |
|                                                                                                                                                       | 550,000              | 0.56             | AA-/Aa3                                                                                                                              | Royal Bank of Canada, Floating Rate Note, 1/23/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 550,441     |
|                                                                                                                                                       | 500,000              |             | A+/A2                                                                                                                                | Standard Chartered Plc, 3.85%, 4/27/15 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 514,005     |
|                                                                                                                                                       | 750,000              | 0.66             | A+/Aa3                                                                                                                               | Sumitomo Mitsui Banking Corp., Floating Rate Note, 1/10/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 752,138     |
|                                                                                                                                                       | 300,000              | 0.90             | A+/Aa3                                                                                                                               | Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 301,915     |
|                                                                                                                                                       | 500,000              | 1.01             | A+/A1                                                                                                                                | Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 503,626     |
|                                                                                                                                                       | 1,000,000            | 0.70             | AA-/Aa3                                                                                                                              | Svenska Handelsbanken AB, Floating Rate Note, 9/23/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 1,005,276   |
|                                                                                                                                                       | 200,000              | 0.52             | NR/Aa3                                                                                                                               | Svenska Handelsbanken New York NY, Floating Rate Note, 1/16/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 200,377     |
|                                                                                                                                                       | 1,000,000            |             | A+/Aa3                                                                                                                               | The Bank of Tokyo-Mitsubishi UFJ, Ltd., 1.55%, 9/9/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,012,546   |
|                                                                                                                                                       | 500,000              | 0.65             | A+/Aa3                                                                                                                               | The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 499,864     |
|                                                                                                                                                       | 500,000              |             | BBB+/A3                                                                                                                              | The Huntington National Bank, 1.3%, 11/20/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 503,174     |
|                                                                                                                                                       | 500,000              | 0.65             | BBB+/A3                                                                                                                              | The Huntington National Bank, Floating Rate Note, 4/24/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 500,363     |
|                                                                                                                                                       | 750,000              | 0.85             | NR/Aa3                                                                                                                               | The Korea Development Bank, Floating Rate Note, 1/22/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 750,896     |
|                                                                                                                                                       | 345,000              |             | AA-/Aa1                                                                                                                              | The Toronto-Dominion Bank, 1.375%, 7/14/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 345,480     |
|                                                                                                                                                       | 500,000              |             | AA-/Aa1                                                                                                                              | The Toronto-Dominion Bank, 1.4%, 4/30/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 496,278     |
|                                                                                                                                                       | 500,000              | 0.42             | AA-/Aa1                                                                                                                              | The Toronto-Dominion Bank, Floating Rate Note, 11/6/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 500,718     |
|                                                                                                                                                       | 500,000              | 0.46             | AA-/Aa1                                                                                                                              | The Toronto-Dominion Bank, Floating Rate Note, 5/2/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 500,436     |
|                                                                                                                                                       | 644,000              | 0.53             | AA-/Aa1                                                                                                                              | The Toronto-Dominion Bank, Floating Rate Note, 7/14/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 644,342     |
|                                                                                                                                                       | 500,000              | 0.70             | AA-/Aa1                                                                                                                              | The Toronto-Dominion Bank, Floating Rate Note, 9/9/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 502,704     |
|                                                                                                                                                       | 1,185,000            |             | A/A3                                                                                                                                 | Wachovia Corp., 5.25%, 8/1/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,194,186   |
|                                                                                                                                                       | 500,000              |             | A+/A2                                                                                                                                | Wells Fargo & Co., 1.25%, 7/20/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 504,969     |
|                                                                                                                                                       | 1,050,000            |             | A+/A2                                                                                                                                | Wells Fargo & Co., 1.5%, 7/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 1,062,172   |
|                                                                                                                                                       | 575,000              | 0.86             | A+/A2                                                                                                                                | Wells Fargo & Co., Floating Rate Note, 4/23/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 579,671     |
|                                                                                                                                                       | 500,000              |             | AA-/Aa2                                                                                                                              | Westpac Banking Corp., 4.2%, 2/27/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 514,244     |
|                                                                                                                                                       | 1,000,000            | 0.56             | AA-/Aa2                                                                                                                              | Westpac Banking Corp., Floating Rate Note, 5/19/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,000,886   |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 26,279,783  |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Regional Banks - 2.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |        |
|                                                                                                                                                       | 103,000              |             | A-/A2                                                                                                                                | BB&T Corp., 1.6%, 8/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 103,883     |
|                                                                                                                                                       | 500,000              |             | A/A1                                                                                                                                 | Branch Banking & Trust Co., 2.3%, 10/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 510,102     |
|                                                                                                                                                       | 250,000              | 0.53             | A-/A2                                                                                                                                | Branch Banking & Trust Co., Floating Rate Note, 5/23/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 248,112     |
|                                                                                                                                                       | 250,000              | 0.55             | A-/A2                                                                                                                                | Branch Banking & Trust Co., Floating Rate Note, 9/13/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 248,541     |
|                                                                                                                                                       | 730,000              | 0.65             | BBB/Baa2                                                                                                                             | Fifth Third Bancorp, Floating Rate Note, 12/20/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 724,710     |
|                                                                                                                                                       | 750,000              |             | A-/A3                                                                                                                                | Fifth Third Bank Cincinnati Ohio, 1.15%, 11/18/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 753,303     |
|                                                                                                                                                       | 1,250,000            |             | BBB+/Baa1                                                                                                                            | Fifth Third Bank Cincinnati Ohio, 4.75%, 2/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 1,284,532   |
|                                                                                                                                                       | 500,000              | 0.64             | A-/A3                                                                                                                                | Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 2/26/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 501,424     |
|                                                                                                                                                       | 280,000              |             | A+/A2                                                                                                                                | HSBC USA, Inc., 2.375%, 2/13/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 283,956     |
|                                                                                                                                                       | 500,000              |             | A-/A3                                                                                                                                | KeyBank NA Cleveland Ohio, 1.1%, 11/25/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 501,912     |
|                                                                                                                                                       | 1,000,000            |             | A-/A3                                                                                                                                | KeyBank NA Cleveland Ohio, 1.65%, 2/1/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 1,002,568   |
|                                                                                                                                                       | 1,025,000            |             | BBB+/Baa1                                                                                                                            | KeyBank NA Cleveland Ohio, 5.8%, 7/1/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 1,029,288   |
|                                                                                                                                                       | 931,000              |             | BBB+/Baa1                                                                                                                            | KeyCorp, 3.75%, 8/13/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 964,540     |
|                                                                                                                                                       | 500,000              | 0.60             | A/A2                                                                                                                                 | Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 501,398     |
|                                                                                                                                                       | 250,000              | 0.58             | A-/A3                                                                                                                                | National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 249,065     |
|                                                                                                                                                       | 450,000              |             | A/A2                                                                                                                                 | PNC Bank NA, 1.125%, 1/27/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 452,361     |
|                                                                                                                                                       | 550,000              |             | A/A2                                                                                                                                 | PNC Bank NA, 1.3%, 10/3/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 555,767     |
|                                                                                                                                                       | 500,000              | 0.54             | A/A2                                                                                                                                 | PNC Bank NA, Floating Rate Note, 1/28/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 500,465     |
|                                                                                                                                                       | 1,111,000            | 0.55             | A/A2                                                                                                                                 | PNC Bank NA, Floating Rate Note, 4/29/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 1,111,510   |
|                                                                                                                                                       | 190,000              |             | A-/A3                                                                                                                                | PNC Funding Corp., 5.4%, 6/10/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 190,151     |
|                                                                                                                                                       | 500,000              | 0.68             | BBB+/A3                                                                                                                              | SunTrust Bank, Floating Rate Note, 2/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 500,544     |
|                                                                                                                                                       | 430,000              | 0.53             | BBB/Baa1                                                                                                                             | SunTrust Bank, Floating Rate Note, 4/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 429,913     |
|                                                                                                                                                       | 500,000              |             | BBB/Baa1                                                                                                                             | SunTrust Banks, Inc., 3.5%, 1/20/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 529,954     |
|                                                                                                                                                       | 600,000              | 4.45             | BBB/Baa3                                                                                                                             | The PNC Financial Services Group, Inc., Floating Rate Note (Perpetual)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 601,200     |
|                                                                                                                                                       | 1,000,000            |             | A+/A2                                                                                                                                | Union Bank NA, 2.625%, 9/26/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 1,029,013   |
|                                                                                                                                                       | 750,000              | 0.99             | A+/A2                                                                                                                                | Union Bank NA, Floating Rate Note, 9/26/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 757,758     |
|                                                                                                                                                       | 250,000              | 0.45             | A+/A1                                                                                                                                | Wells Fargo Bank NA, Floating Rate Note, 5/16/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 249,200     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 15,815,170  |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Thrifts & Mortgage Finance - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |        |
|                                                                                                                                                       | 325,000              |             | BBB-/Baa2                                                                                                                            | Astoria Financial Corp., 5.0%, 6/19/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 351,630     |
|                                                                                                                                                       | 2,269,000            |             | BBB/Baa2                                                                                                                             | Santander Holdings USA, Inc. Pennsylvania, 3.0%, 9/24/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 2,335,847   |
|                                                                                                                                                       | 600,000              |             | BBB/Baa2                                                                                                                             | Santander Holdings USA, Inc. Pennsylvania, 3.45%, 8/27/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 633,179     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 3,320,656   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Banks                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 45,415,609  |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Diversified Financials - 6.9%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Other Diversified Financial Services - 2.6%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |        |
|                                                                                                                                                       | 575,000              |             | A-/Baa2                                                                                                                              | Bank of America Corp., 1.25%, 1/11/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 579,497     |
|                                                                                                                                                       | 500,000              |             | A-/Baa2                                                                                                                              | Bank of America Corp., 3.7%, 9/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 518,394     |
|                                                                                                                                                       | 210,000              |             | A-/Baa2                                                                                                                              | Bank of America Corp., 4.5%, 4/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 216,732     |
|                                                                                                                                                       | 450,000              |             | A-/Baa2                                                                                                                              | Bank of America Corp., 5.45%, 7/15/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 452,696     |
|                                                                                                                                                       | 2,000,000            | 1.05             | A-/Baa2                                                                                                                              | Bank of America Corp., Floating Rate Note, 3/22/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 2,013,640   |
|                                                                                                                                                       | 500,000              |             | A/A2                                                                                                                                 | Bank of America NA, 1.25%, 2/14/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 501,086     |
|                                                                                                                                                       | 500,000              |             | A-/Baa2                                                                                                                              | Citigroup, Inc., 1.3%, 4/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 503,175     |
|                                                                                                                                                       | 1,500,000            |             | BBB+/Baa3                                                                                                                            | Citigroup, Inc., 5.0%, 9/15/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 1,518,423   |
|                                                                                                                                                       | 430,000              |             | A-/Baa2                                                                                                                              | Citigroup, Inc., 5.5%, 10/15/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 437,642     |
|                                                                                                                                                       | 750,000              | 0.90             | A-/Baa2                                                                                                                              | Citigroup, Inc., Floating Rate Note, 11/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 753,170     |
|                                                                                                                                                       | 500,000              | 1.02             | A-/Baa2                                                                                                                              | Citigroup, Inc., Floating Rate Note, 4/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 502,825     |
|                                                                                                                                                       | 750,000              | 1.19             | A-/Baa2                                                                                                                              | Citigroup, Inc., Floating Rate Note, 7/25/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 757,520     |
|                                                                                                                                                       | 650,000              | 0.59             | AA-/Aa2                                                                                                                              | Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 650,895     |
|                                                                                                                                                       | 485,000              |             | AA+/A1                                                                                                                               | General Electric Capital Corp., 1.625%, 7/2/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 490,867     |
|                                                                                                                                                       | 925,000              | 0.46             | AA+/A1                                                                                                                               | General Electric Capital Corp., Floating Rate Note, 1/14/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 925,904     |
|                                                                                                                                                       | 215,000              | 0.83             | AA+/A1                                                                                                                               | General Electric Capital Corp., Floating Rate Note, 1/8/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 216,451     |
|                                                                                                                                                       | 350,000              | 0.42             | AA+/A1                                                                                                                               | General Electric Capital Corp., Floating Rate Note, 5/11/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 350,049     |
|                                                                                                                                                       | 750,000              | 0.50             | AA+/A1                                                                                                                               | General Electric Capital Corp., Floating Rate Note, 5/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 749,770     |
|                                                                                                                                                       | 665,000              | 1.26             | AA+/A1                                                                                                                               | General Electric Capital Corp., Floating Rate Note, 7/2/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 672,054     |
|                                                                                                                                                       | 500,000              | 1.38             | AA+/A1                                                                                                                               | General Electric Capital Corp., Floating Rate Note, 8/1/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 501,946     |
|                                                                                                                                                       | 492,000              |             | A/A3                                                                                                                                 | JPMorgan Chase & Co., 1.1%, 10/15/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 494,947     |
|                                                                                                                                                       | 823,000              |             | A/A3                                                                                                                                 | JPMorgan Chase & Co., 1.875%, 3/20/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 832,258     |
|                                                                                                                                                       | 265,000              |             | A/A3                                                                                                                                 | JPMorgan Chase & Co., 3.4%, 6/24/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 272,804     |
|                                                                                                                                                       | 500,000              | 0.76             | A/A3                                                                                                                                 | JPMorgan Chase & Co., Floating Rate Note, 2/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 501,216     |
|                                                                                                                                                       | 500,000              | 3.13             | A/A3                                                                                                                                 | JPMorgan Chase & Co., Floating Rate Note, 2/25/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 524,950     |
|                                                                                                                                                       | 320,000              | 0.85             | A/A3                                                                                                                                 | JPMorgan Chase & Co., Floating Rate Note, 2/26/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 321,696     |
|                                                                                                                                                       | 500,000              | 0.94             | A-/Baa1                                                                                                                              | JPMorgan Chase & Co., Floating Rate Note, 3/31/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 498,772     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 16,759,379  |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Multi-Sector Holdings - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |        |
|                                                                                                                                                       | 1,000,000            | 0.38             | AA/Aa2                                                                                                                               | Berkshire Hathaway Finance Corp., Floating Rate Note, 1/10/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 1,001,048   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Specialized Finance - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |        |
|                                                                                                                                                       | 175,000              |             | A-/Baa1                                                                                                                              | Harley-Davidson Financial Services, Inc., 3.875%, 3/15/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 184,116     |
|                                                                                                                                                       | 410,000              |             | A+/A1                                                                                                                                | National Rural Utilities Cooperative Finance Corp., 1.0%, 2/2/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 411,891     |
|                                                                                                                                                       | 500,000              | 0.54             | A/A2                                                                                                                                 | National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 501,108     |
|                                                                                                                                                       | 150,000              |             | A/A3                                                                                                                                 | NYSE Euronext, 2.0%, 10/5/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 153,527     |
|                                                                                                                                                       | 650,000              | 0.00             | NR/NR                                                                                                                                | Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 650,000     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,900,642   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Consumer Finance - 2.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |        |
|                                                                                                                                                       | 500,000              |             | A-/A2                                                                                                                                | American Express Credit Corp., 1.3%, 7/29/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 505,130     |
|                                                                                                                                                       | 553,000              |             | A-/A2                                                                                                                                | American Express Credit Corp., 5.125%, 8/25/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 559,089     |
|                                                                                                                                                       | 200,000              | 1.33             | A-/A2                                                                                                                                | American Express Credit Corp., Floating Rate Note, 6/12/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 202,030     |
|                                                                                                                                                       | 500,000              | 1.08             | A-/A2                                                                                                                                | American Express Credit Corp., Floating Rate Note, 6/24/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 500,259     |
|                                                                                                                                                       | 500,000              |             | A+/A1                                                                                                                                | American Honda Finance Corp., 1.125%, 10/7/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 504,716     |
|                                                                                                                                                       | 200,000              |             | A+/A1                                                                                                                                | American Honda Finance Corp., 1.85%, 9/19/14 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 200,816     |
|                                                                                                                                                       | 675,000              | 0.61             | A+/A1                                                                                                                                | American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 677,991     |
|                                                                                                                                                       | 475,000              |             | BBB/Baa1                                                                                                                             | Capital One Financial Corp., 1.0%, 11/6/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 477,093     |
|                                                                                                                                                       | 1,559,000            |             | BBB/Baa1                                                                                                                             | Capital One Financial Corp., 2.125%, 7/15/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,562,246   |
|                                                                                                                                                       | 1,000,000            |             | BBB/Baa1                                                                                                                             | Capital One Financial Corp., 2.15%, 3/23/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 1,013,677   |
|                                                                                                                                                       | 750,000              | 0.86             | BBB/Baa1                                                                                                                             | Capital One Financial Corp., Floating Rate Note, 11/6/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 753,292     |
|                                                                                                                                                       | 500,000              |             | BBB-/Baa3                                                                                                                            | Ford Motor Credit Co LLC, 2.75%, 5/15/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 510,025     |
|                                                                                                                                                       | 500,000              |             | BBB-/Baa3                                                                                                                            | Ford Motor Credit Co LLC, 2.875%, 10/1/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 516,828     |
|                                                                                                                                                       | 250,000              |             | BBB-/Baa3                                                                                                                            | Ford Motor Credit Co. LLC, 2.375%, 1/16/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 254,945     |
|                                                                                                                                                       | 200,000              |             | BBB-/Baa3                                                                                                                            | Ford Motor Credit Co. LLC, 3.875%, 1/15/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 204,056     |
|                                                                                                                                                       | 500,000              |             | BBB+/Baa1                                                                                                                            | Hyundai Capital America, 1.875%, 8/9/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 508,128     |
|                                                                                                                                                       | 598,000              |             | A/A2                                                                                                                                 | John Deere Capital Corp., 1.05%, 10/11/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 602,063     |
|                                                                                                                                                       | 950,000              |             | A/A2                                                                                                                                 | John Deere Capital Corp., 2.95%, 3/9/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 969,371     |
|                                                                                                                                                       | 1,055,000            | 0.49             | A+/A1                                                                                                                                | PACCAR Financial Corp., Floating Rate Note, 6/5/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,055,016   |
|                                                                                                                                                       | 1,500,000            |             | AA-/Aa3                                                                                                                              | Toyota Motor Credit Corp., 0.75%, 3/5/17 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 1,494,852   |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 13,071,623  |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Asset Management & Custody Banks - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |        |
|                                                                                                                                                       | 300,000              |             | AA-/A1                                                                                                                               | Franklin Resources, Inc., 3.125%, 5/20/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 307,875     |
|                                                                                                                                                       | 550,000              | 0.44             | A+/A1                                                                                                                                | State Street Bank & Trust Co., Floating Rate Note, 12/8/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 549,591     |
|                                                                                                                                                       | 1,000,000            |             | A+/A1                                                                                                                                | The Bank of New York Mellon Corp., 1.7%, 11/24/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,005,715   |
|                                                                                                                                                       | 220,000              |             | A+/A1                                                                                                                                | The Bank of New York Mellon Corp., 3.1%, 1/15/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 223,764     |
|                                                                                                                                                       | 595,000              | 0.46             | A+/A1                                                                                                                                | The Bank of New York Mellon Corp., Floating Rate Note, 10/23/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 596,222     |
|                                                                                                                                                       | 110,000              | 0.50             | A+/A1                                                                                                                                | The Bank of New York Mellon Corp., Floating Rate Note, 7/28/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 110,052     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 2,793,219   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Investment Banking & Brokerage - 1.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |        |
|                                                                                                                                                       | 275,000              | 3.10             | A-/Baa2                                                                                                                              | Morgan Stanley, Floating Rate Note, 11/9/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 291,675     |
|                                                                                                                                                       | 500,000              | 1.48             | A-/Baa2                                                                                                                              | Morgan Stanley, Floating Rate Note, 2/25/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 506,924     |
|                                                                                                                                                       | 500,000              | 1.25             | A-/Baa2                                                                                                                              | Morgan Stanley, Floating Rate Note, 6/6/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 497,749     |
|                                                                                                                                                       | 650,000              |             | NR/Aa1                                                                                                                               | North American Development Bank, 2.3%, 10/10/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 649,441     |
|                                                                                                                                                       | 283,000              |             | BBB/Baa2                                                                                                                             | Raymond James Financial, Inc., 4.25%, 4/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 299,788     |
|                                                                                                                                                       | 500,000              |             | A/A3                                                                                                                                 | TD Ameritrade Holding Corp., 4.15%, 12/1/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 509,245     |
|                                                                                                                                                       | 750,000              |             | A/A3                                                                                                                                 | The Bear Stearns Companies LLC, 5.7%, 11/15/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 767,848     |
|                                                                                                                                                       | 1,500,000            | 0.62             | A/A3                                                                                                                                 | The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,497,842   |
|                                                                                                                                                       | 250,000              |             | A/A2                                                                                                                                 | The Charles Schwab Corp., 0.85%, 12/4/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 251,160     |
|                                                                                                                                                       | 340,000              |             | A-/Baa1                                                                                                                              | The Goldman Sachs Group, Inc., 3.7%, 8/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 351,592     |
|                                                                                                                                                       | 800,000              |             | A-/Baa1                                                                                                                              | The Goldman Sachs Group, Inc., 5.0%, 10/1/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 811,882     |
|                                                                                                                                                       | 500,000              | 0.73             | A-/Baa1                                                                                                                              | The Goldman Sachs Group, Inc., Floating Rate Note, 1/12/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 500,838     |
|                                                                                                                                                       | 250,000              | 1.23             | A-/Baa1                                                                                                                              | The Goldman Sachs Group, Inc., Floating Rate Note, 11/21/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 250,995     |
|                                                                                                                                                       | 475,000              | 0.68             | A-/Baa1                                                                                                                              | The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 474,674     |
|                                                                                                                                                       | 390,000              | 0.83             | A-/Baa1                                                                                                                              | The Goldman Sachs Group, Inc., Floating Rate Note, 9/29/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 390,588     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 8,052,241   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Diversified Financials                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 43,578,152  |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Insurance - 5.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Life & Health Insurance - 0.7%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |        |
|                                                                                                                                                       | 500,000              |             | A-/A3                                                                                                                                | Aflac, Inc., 3.45%, 8/15/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 518,084     |
|                                                                                                                                                       | 250,000              |             | A-/Baa1                                                                                                                              | Lincoln National Corp., 4.3%, 6/15/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 259,071     |
|                                                                                                                                                       | 500,000              |             | AA-/Aa3                                                                                                                              | MetLife Institutional Funding II, 1.625%, 4/2/15 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 504,989     |
|                                                                                                                                                       | 500,000              | 0.60             | AA-/Aa3                                                                                                                              | MetLife Institutional Funding II, Floating Rate Note, 1/6/15 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 501,130     |
|                                                                                                                                                       | 500,000              | 0.44             | AA-/A1                                                                                                                               | Pricoa Global Funding I, Floating Rate Note, 6/24/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 497,060     |
|                                                                                                                                                       | 750,000              |             | A+/A1                                                                                                                                | Principal Life Global Funding II, 1.2%, 5/19/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 749,102     |
|                                                                                                                                                       | 390,000              | 0.60             | A+/A1                                                                                                                                | Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 391,846     |
|                                                                                                                                                       | 400,000              |             | A/Baa1                                                                                                                               | Prudential Covered Trust 2012-1, 2.997%, 9/30/15 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 410,794     |
|                                                                                                                                                       | 500,000              |             | A/Baa1                                                                                                                               | Prudential Financial, Inc., 3.875%, 1/14/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 510,863     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 4,342,939   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Multi-line Insurance - 0.7%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |        |
|                                                                                                                                                       | 300,000              |             | BBB+/Baa2                                                                                                                            | Assurant, Inc., 2.5%, 3/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 303,164     |
|                                                                                                                                                       | 500,000              |             | BBB-/Baa3                                                                                                                            | Genworth Holdings, Inc., 5.75%, 6/15/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 500,828     |
|                                                                                                                                                       | 410,000              |             | BBB-/Baa2                                                                                                                            | Liberty Mutual Group, Inc., 7.3%, 6/15/14 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 410,822     |
|                                                                                                                                                       | 230,000              |             | AA-/Aa3                                                                                                                              | Metropolitan Life Global Funding I, 5.125%, 6/10/14 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 230,185     |
|                                                                                                                                                       | 300,000              | 0.76             | AA-/Aa3                                                                                                                              | Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 302,287     |
|                                                                                                                                                       | 1,250,000            |             | A/A2                                                                                                                                 | Metropolitan Life Insurance Co., 7.7%, 11/1/15 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 1,367,036   |
|                                                                                                                                                       | 500,000              |             | AA+/Aaa                                                                                                                              | New York Life Global Funding, 1.125%, 3/1/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 502,120     |
|                                                                                                                                                       | 1,050,000            | 0.58             | AA+/Aaa                                                                                                                              | New York Life Global Funding, Floating Rate Note, 5/23/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 1,055,611   |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 4,672,053   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Reinsurance - 4.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |        |
|                                                                                                                                                       | 300,000              | 0.00             | NR/NR                                                                                                                                | Armor Re, Ltd., Floating Rate Note, 12/15/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 296,850     |
|                                                                                                                                                       | 500,000              | 3.42             | BB/NR                                                                                                                                | Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 511,300     |
|                                                                                                                                                       | 250,000              | 8.10             | BB-/NR                                                                                                                               | Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 259,575     |
|                                                                                                                                                       | 250,000              | 4.30             | BB+/NR                                                                                                                               | Blue Danube II, Ltd., Floating Rate Note, 5/23/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 251,750     |
|                                                                                                                                                       | 650,000              | 11.08            | BB-/NR                                                                                                                               | Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 675,740     |
|                                                                                                                                                       | 250,000              | 2.55             | BB+/NR                                                                                                                               | Bosphorus 1 Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 249,425     |
|                                                                                                                                                       | 250,000              | 5.29             | BB-/NR                                                                                                                               | Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 252,600     |
|                                                                                                                                                       | 750,000              | 6.89             | NR/NR                                                                                                                                | Caelus Re, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 778,275     |
|                                                                                                                                                       | 250,000              | 0.00             | NR/NR                                                                                                                                | Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 245,450     |
|                                                                                                                                                       | 600,000              | 0.00             | NR/NR                                                                                                                                | Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 587,400     |
|                                                                                                                                                       | 1,000,000            | 4.73             | NR/Baa1                                                                                                                              | Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 1,011,300   |
|                                                                                                                                                       | 400,000              | 10.23            | NR/Ba2                                                                                                                               | Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 415,400     |
|                                                                                                                                                       | 375,000              | 10.26            | BB-/NR                                                                                                                               | Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 382,725     |
|                                                                                                                                                       | 500,000              | 0.00             | BB+/NR                                                                                                                               | East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 493,000     |
|                                                                                                                                                       | 500,000              | 6.70             | BB/NR                                                                                                                                | East Lane Re, Ltd., Floating Rate Note, 3/13/15 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 509,650     |
|                                                                                                                                                       | 250,000              | 6.65             | BB-/NR                                                                                                                               | Embarcadero Reinsurance, Ltd., Floating Rate Note, 2/4/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 251,050     |
|                                                                                                                                                       | 500,000              | 5.02             | BB+/NR                                                                                                                               | Foundation Re III, Ltd., Floating Rate Note, 2/25/15 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 503,200     |
|                                                                                                                                                       | 500,000              | 7.43             | NR/NR                                                                                                                                | Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 511,400     |
|                                                                                                                                                       | 600,000              | 0.00             | NR/NR                                                                                                                                | Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 595,080     |
|                                                                                                                                                       | 250,000              | 4.02             | BB+/NR                                                                                                                               | Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 251,675     |
|                                                                                                                                                       | 650,000              | 0.00             | BB-/NR                                                                                                                               | Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 652,145     |
|                                                                                                                                                       | 350,000              | 0.00             | BB-/NR                                                                                                                               | Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 350,595     |
|                                                                                                                                                       | 450,000              | 0.00             | NR/NR                                                                                                                                | Kizuna II Re, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 451,125     |
|                                                                                                                                                       | 250,000              | 9.78             | NR/NR                                                                                                                                | Loma Reinsurance, Ltd. Bermuda, Floating Rate Note, 1/8/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 256,550     |
|                                                                                                                                                       | 250,000              | 4.03             | BB/NR                                                                                                                                | Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 251,675     |
|                                                                                                                                                       | 500,000              | 6.23             | BB+/NR                                                                                                                               | Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 513,450     |
|                                                                                                                                                       | 650,000              | 0.00             | NR/NR                                                                                                                                | Merna Reinsurance V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 650,390     |
|                                                                                                                                                       | 500,000              | 8.72             | NR/Ba3                                                                                                                               | Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 517,850     |
|                                                                                                                                                       | 500,000              | 8.22             | NR/Ba3                                                                                                                               | Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 521,050     |
|                                                                                                                                                       | 750,000              | 8.55             | B+/NR                                                                                                                                | Mythen Re, Ltd., Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 791,400     |
|                                                                                                                                                       | 250,000              | 8.03             | NR/NR                                                                                                                                | Mythen Re, Ltd., Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 255,650     |
|                                                                                                                                                       | 500,000              | 7.28             | BB-/NR                                                                                                                               | Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 514,100     |
|                                                                                                                                                       | 500,000              | 3.55             | NR/NR                                                                                                                                | Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 486,350     |
|                                                                                                                                                       | 500,000              | 4.80             | CC/NR                                                                                                                                | Queen Street III Capital, Ltd., Floating Rate Note, 7/28/14 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 501,800     |
|                                                                                                                                                       | 500,000              | 7.56             | BB-/NR                                                                                                                               | Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 508,100     |
|                                                                                                                                                       | 500,000              | 8.56             | BB-/NR                                                                                                                               | Queen Street V Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 510,650     |
|                                                                                                                                                       | 500,000              | 8.65             | B/NR                                                                                                                                 | Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 521,050     |
|                                                                                                                                                       | 250,000              | 8.80             | B+/NR                                                                                                                                | Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 261,600     |
|                                                                                                                                                       | 500,000              | 9.06             | BB-/NR                                                                                                                               | Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 521,250     |
|                                                                                                                                                       | 1,150,000            | 4.55             | BB+/NR                                                                                                                               | Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,176,910   |
|                                                                                                                                                       | 250,000              | 8.05             | BB/NR                                                                                                                                | Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 272,175     |
|                                                                                                                                                       | 250,000              | 9.30             | B-/NR                                                                                                                                | Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 259,850     |
|                                                                                                                                                       | 250,000              | 0.00             | NR/NR                                                                                                                                | Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 249,975     |
|                                                                                                                                                       | 320,000              | 0.00             | BB-/NR                                                                                                                               | Riverfront Re, Ltd., Floating Rate Note, 1/6/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 313,792     |
|                                                                                                                                                       | 750,000              | 3.53             | BB+/NR                                                                                                                               | Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 742,800     |
|                                                                                                                                                       | 750,000              | 4.03             | BB/NR                                                                                                                                | Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 743,250     |
|                                                                                                                                                       | 272                  |             | NR/NR                                                                                                                                | Sector Re V, Ltd., 3/1/18 (Cat Bond) (144A) (e)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 76,273      |
|                                                                                                                                                       | 300,000              |             | NR/NR                                                                                                                                | Sector Re V, Ltd., 3/30/19 (Cat Bond) (144A) (e)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 302,310     |
|                                                                                                                                                       | 250,000              |             | NR/NR                                                                                                                                | Silverton Re, Ltd., 9/16/16 (Cat Bond) (144A) (e)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 283,625     |
|                                                                                                                                                       | 750,000              |             | BBB/Baa3                                                                                                                             | Sirius International Group, Ltd., 6.375%, 3/20/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 835,083     |
|                                                                                                                                                       | 250,000              | 8.53             | B+/NR                                                                                                                                | Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 261,250     |
|                                                                                                                                                       | 250,000              | 6.28             | NR/NR                                                                                                                                | Tradewynd Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 251,050     |
|                                                                                                                                                       | 250,000              | 2.92             | BBB-/NR                                                                                                                              | Vita Capital IV, Ltd., Floating Rate Note, 1/15/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 253,025     |
|                                                                                                                                                       | 750,000              | 2.72             | BBB-/NR                                                                                                                              | Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 762,750     |
|                                                                                                                                                       | 500,000              | 2.78             | BBB+/NR                                                                                                                              | Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 511,550     |
|                                                                                                                                                       | 500,000              | 1.78             | BBB+/NR                                                                                                                              | Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 498,850     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 25,864,143  |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Insurance                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 34,879,135  |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Real Estate - 0.9%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Diversified REIT - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |        |
|                                                                                                                                                       | 500,000              |             | BBB-/Baa3                                                                                                                            | ARC Properties Operating Partnership LP, 2.0%, 2/6/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 503,406     |
|                                                                                                                                                       | 650,000              |             | BBB/Baa2                                                                                                                             | Digital Realty Trust LP, 4.5%, 7/15/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 670,677     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,174,083   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Mortgage REIT - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       | 2,330,000            |             | NR/NR                                                                                                                                | NorthStar Realty Finance Corp., 3.0%, 9/30/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 2,325,317   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Office REIT - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |        |
|                                                                                                                                                       | 1,000,000            |             | BBB-/Baa2                                                                                                                            | Mack-Cali Realty LP, 5.125%, 1/15/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,025,434   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Specialized REIT - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |        |
|                                                                                                                                                       | 500,000              |             | BBB/Baa2                                                                                                                             | Health Care Real Estate Investment Trust, Inc., 2.25%, 3/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 508,048     |
|                                                                                                                                                       | 290,000              |             | BBB-/Baa3                                                                                                                            | Senior Housing Properties Trust, 4.3%, 1/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 301,492     |
|                                                                                                                                                       | 500,000              |             | BBB+/Baa1                                                                                                                            | Ventas Realty LP, 3.125%, 11/30/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 518,094     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,327,634   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Real Estate                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 5,852,468   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Software & Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Systems Software - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |        |
|                                                                                                                                                       | 500,000              |             | A+/A1                                                                                                                                | Oracle Corp., 2.375%, 1/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 512,060     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Software & Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 512,060     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Technology Hardware & Equipment - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Computer Hardware - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |        |
|                                                                                                                                                       | 400,000              | 0.27             | AA+/Aa1                                                                                                                              | Apple, Inc., Floating Rate Note, 5/3/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 400,181     |
|                                                                                                                                                       | 470,000              |             | BBB+/Baa1                                                                                                                            | Hewlett-Packard Co., 2.625%, 12/9/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 475,295     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 875,476     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Technology Hardware & Equipment                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 875,476     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Semiconductors & Semiconductor Equipment - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Semiconductors - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |        |
|                                                                                                                                                       | 500,000              |             | A-/Baa1                                                                                                                              | Altera Corp., 2.5%, 11/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 510,428     |
|                                                                                                                                                       | 700,000              |             | A+/A1                                                                                                                                | Intel Corp., 1.35%, 12/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 701,018     |
|                                                                                                                                                       | 500,000              |             | NR/NR                                                                                                                                | Micron Semiconductor Asia Pte, Ltd., 1.258%, 1/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 500,710     |
|                                                                                                                                                       | 500,000              |             | A+/A1                                                                                                                                | Texas Instruments, Inc., 0.875%, 3/12/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 500,099     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 2,212,255   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Semiconductors & Semiconductor Equipment                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 2,212,255   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Telecommunication Services - 1.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Integrated Telecommunication Services - 1.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |        |
|                                                                                                                                                       | 500,000              |             | A-/A3                                                                                                                                | AT&T, Inc., 0.875%, 2/13/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 501,704     |
|                                                                                                                                                       | 504,000              |             | BBB/Baa2                                                                                                                             | British Telecommunications Plc, 2.0%, 6/22/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 511,411     |
|                                                                                                                                                       | 1,000,000            |             | BBB+/Baa1                                                                                                                            | Deutsche Telekom International Finance BV, 4.875%, 7/8/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 1,004,259   |
|                                                                                                                                                       | 500,000              |             | NR/A2                                                                                                                                | GTP Acquisition Partners I LLC, 4.347%, 6/15/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 518,393     |
|                                                                                                                                                       | 550,000              |             | NR/A2                                                                                                                                | GTP Towers Issuer LLC, 4.436%, 2/15/15 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 560,110     |
|                                                                                                                                                       | 1,070,000            |             | NR/Ba2                                                                                                                               | GTP Towers Issuer LLC, 8.112%, 2/15/15 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,094,979   |
|                                                                                                                                                       | 500,000              |             | A-/A2                                                                                                                                | Ooredoo International Finance, Ltd., 3.375%, 10/14/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 522,500     |
|                                                                                                                                                       | 750,000              |             | BB+/Ba1                                                                                                                              | Telecom Italia Capital SA, 4.95%, 9/30/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 758,400     |
|                                                                                                                                                       | 500,000              |             | BBB/Baa2                                                                                                                             | Telefonica Emisiones SAU, 3.992%, 2/16/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 525,253     |
|                                                                                                                                                       | 500,000              |             | BBB+/Baa1                                                                                                                            | Verizon Communications, Inc., 3.0%, 4/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 520,740     |
|                                                                                                                                                       | 535,000              | 1.76             | BBB+/Baa1                                                                                                                            | Verizon Communications, Inc., Floating Rate Note, 9/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 549,909     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 7,067,658   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Wireless Telecommunication Services - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |        |
|                                                                                                                                                       | 1,000,000            | 1.23             | A-/A2                                                                                                                                | America Movil SAB de CV, Floating Rate Note, 9/12/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,012,169   |
|                                                                                                                                                       | 500,000              |             | NR/A2                                                                                                                                | Crown Castle Towers LLC, 3.214%, 8/15/15 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 509,036     |
|                                                                                                                                                       | 275,000              | 0.62             | A-/A3                                                                                                                                | Vodafone Group Plc, Floating Rate Note, 2/19/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 275,436     |
|                                                                                                                                                       | 530,000              |             | NR/NR                                                                                                                                | WCP Wireless Site Funding, 6.829%, 11/15/15 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 553,661     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 2,350,302   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Telecommunication Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 9,417,960   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Utilities - 1.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Electric Utilities - 1.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |        |
|                                                                                                                                                       | 500,000              |             | BBB-/Baa1                                                                                                                            | American Electric Power Co, Inc., 1.65%, 12/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 503,124     |
|                                                                                                                                                       | 500,000              |             | A-/A2                                                                                                                                | Commonwealth Edison Co., 1.95%, 9/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 512,319     |
|                                                                                                                                                       | 750,000              |             | A/Aa2                                                                                                                                | Duke Energy Carolinas LLC, 1.75%, 12/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 768,422     |
|                                                                                                                                                       | 395,000              |             | BBB/A3                                                                                                                               | Duke Energy Corp., 3.95%, 9/15/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 399,029     |
|                                                                                                                                                       | 500,000              |             | A/A1                                                                                                                                 | Duke Energy Florida, Inc., 0.65%, 11/15/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 501,600     |
|                                                                                                                                                       | 303,000              | 0.58             | A/Aa3                                                                                                                                | Duke Energy Indiana, Inc., Floating Rate Note, 7/11/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 304,664     |
|                                                                                                                                                       | 411,000              | 0.44             | A/Aa2                                                                                                                                | Duke Energy Progress, Inc., Floating Rate Note, 3/6/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 411,225     |
|                                                                                                                                                       | 750,000              | 0.69             | A+/Aa3                                                                                                                               | Electricite de France SA, Floating Rate Note, 1/20/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 753,136     |
|                                                                                                                                                       | 827,000              | 0.55             | A/A3                                                                                                                                 | Georgia Power Co., Floating Rate Note, 3/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 826,281     |
|                                                                                                                                                       | 500,000              | 0.64             | A/A3                                                                                                                                 | Georgia Power Co., Floating Rate Note, 8/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 500,230     |
|                                                                                                                                                       | 1,000,000            |             | BBB/Baa1                                                                                                                             | Iberdrola Finance Ireland, Ltd., 3.8%, 9/11/14 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 1,008,328   |
|                                                                                                                                                       | 796,000              |             | BBB-/Baa2                                                                                                                            | NiSource Finance Corp., 5.4%, 7/15/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 800,488     |
|                                                                                                                                                       | 341,000              | 0.48             | A-/A2                                                                                                                                | NSTAR Electric Co., Floating Rate Note, 5/17/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 340,566     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 7,629,412   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Independent Power Producers & Energy Traders - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |        |
|                                                                                                                                                       | 500,000              |             | BBB+/Baa1                                                                                                                            | PSEG Power LLC, 2.75%, 9/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 520,391     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Utilities                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 8,149,803   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Government - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Government - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |        |
|                                                                                                                                                       | 1,000,000            |             | BBB-/Baa2                                                                                                                            | Banco Nacional de Desenvolvimento Economico e Social, 3.375%, 9/26/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 1,028,500   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Government                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 1,028,500   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | TOTAL CORPORATE BONDS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | (Cost $203,378,349)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 199,295,952 |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 4.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |        |
|                                                                                                                                                       | 302,611              |             | AA+/Aaa                                                                                                                              | Fannie Mae, 4.5%, 1/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 329,569     |
|                                                                                                                                                       | 515,726              |             | AA+/Aaa                                                                                                                              | Fannie Mae, 4.5%, 5/1/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 565,195     |
|                                                                                                                                                       | 866,510              |             | AA+/Aaa                                                                                                                              | Fannie Mae, 4.5%, 5/1/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 953,523     |
|                                                                                                                                                       | 804,041              |             | AA+/Aaa                                                                                                                              | Fannie Mae, 5.0%, 10/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 892,061     |
|                                                                                                                                                       | 23,295               |             | AAA/Aaa                                                                                                                              | Fannie Mae, 5.0%, 7/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 24,786      |
|                                                                                                                                                       | 73,316               |             | AAA/Aaa                                                                                                                              | Fannie Mae, 5.5%, 12/1/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 81,679      |
|                                                                                                                                                       | 383,883              |             | AAA/Aaa                                                                                                                              | Fannie Mae, 5.5%, 8/1/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 429,914     |
|                                                                                                                                                       | 318,495              |             | AAA/Aaa                                                                                                                              | Fannie Mae, 6.0%, 10/1/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 346,326     |
|                                                                                                                                                       | 34,127               |             | AAA/Aaa                                                                                                                              | Fannie Mae, 6.0%, 2/1/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 38,298      |
|                                                                                                                                                       | 44,396               |             | AA+/Aaa                                                                                                                              | Fannie Mae, 6.0%, 4/1/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 49,828      |
|                                                                                                                                                       | 299,513              |             | AAA/Aaa                                                                                                                              | Fannie Mae, 6.5%, 4/1/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 335,332     |
|                                                                                                                                                       | 2,200                |             | AAA/Aaa                                                                                                                              | Fannie Mae, 6.5%, 6/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 2,204       |
|                                                                                                                                                       | 2,743                |             | AAA/Aaa                                                                                                                              | Fannie Mae, 6.5%, 6/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 2,833       |
|                                                                                                                                                       | 8,169                |             | AAA/Aaa                                                                                                                              | Fannie Mae, 6.5%, 7/1/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 9,326       |
|                                                                                                                                                       | 8                    |             | AAA/Aaa                                                                                                                              | Fannie Mae, 6.5%, 8/1/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 8           |
|                                                                                                                                                       | 20,873               |             | AAA/Aaa                                                                                                                              | Fannie Mae, 6.5%, 8/1/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 21,904      |
|                                                                                                                                                       | 36,442               |             | AAA/Aaa                                                                                                                              | Fannie Mae, 7.0%, 1/1/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 43,053      |
|                                                                                                                                                       | 145,709              |             | AAA/Aaa                                                                                                                              | Fannie Mae, 7.0%, 10/1/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 157,469     |
|                                                                                                                                                       | 53,032               |             | AAA/Aaa                                                                                                                              | Fannie Mae, 7.0%, 7/1/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 55,698      |
|                                                                                                                                                       | 58,355               | 2.60             | AAA/Aaa                                                                                                                              | Fannie Mae, Floating Rate Note, 1/1/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 58,457      |
|                                                                                                                                                       | 106,181              | 2.57             | AAA/Aaa                                                                                                                              | Fannie Mae, Floating Rate Note, 10/1/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 106,647     |
|                                                                                                                                                       | 86,922               | 2.28             | AAA/Aaa                                                                                                                              | Fannie Mae, Floating Rate Note, 10/1/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 87,414      |
|                                                                                                                                                       | 317,973              | 2.02             | AAA/Aaa                                                                                                                              | Fannie Mae, Floating Rate Note, 10/1/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 319,524     |
|                                                                                                                                                       | 91,501               | 2.55             | AAA/Aaa                                                                                                                              | Fannie Mae, Floating Rate Note, 11/1/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 92,883      |
|                                                                                                                                                       | 3,445                | 2.24             | AAA/Aaa                                                                                                                              | Fannie Mae, Floating Rate Note, 11/1/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 3,671       |
|                                                                                                                                                       | 115,308              | 1.52             | AAA/Aaa                                                                                                                              | Fannie Mae, Floating Rate Note, 11/1/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 120,638     |
|                                                                                                                                                       | 52,903               | 2.44             | AAA/Aaa                                                                                                                              | Fannie Mae, Floating Rate Note, 12/1/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 53,585      |
|                                                                                                                                                       | 271,873              | 4.38             | AAA/Aaa                                                                                                                              | Fannie Mae, Floating Rate Note, 12/1/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 289,584     |
|                                                                                                                                                       | 17,161               | 2.45             | AAA/Aaa                                                                                                                              | Fannie Mae, Floating Rate Note, 2/1/27                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 17,394      |
|                                                                                                                                                       | 1,730                | 2.90             | AAA/Aaa                                                                                                                              | Fannie Mae, Floating Rate Note, 2/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 1,835       |
|                                                                                                                                                       | 3,372                | 2.59             | AAA/Aaa                                                                                                                              | Fannie Mae, Floating Rate Note, 4/1/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 3,387       |
|                                                                                                                                                       | 2,921                | 2.36             | AAA/Aaa                                                                                                                              | Fannie Mae, Floating Rate Note, 4/1/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 2,940       |
|                                                                                                                                                       | 60,408               | 2.53             | AAA/Aaa                                                                                                                              | Fannie Mae, Floating Rate Note, 7/1/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 64,903      |
|                                                                                                                                                       | 285,010              |             | AA+/Aaa                                                                                                                              | Federal Home Loan Banks, 2.9%, 4/20/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 296,552     |
|                                                                                                                                                       | 1,000,000            |             | AA+/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., 0.5%, 10/24/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 1,000,716   |
|                                                                                                                                                       | 271,218              |             | AAA/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., 4.0%, 5/1/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 289,182     |
|                                                                                                                                                       | 214,019              |             | AAA/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., 4.5%, 7/1/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 227,416     |
|                                                                                                                                                       | 239,099              |             | AAA/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., 4.5%, 7/1/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 254,050     |
|                                                                                                                                                       | 118,446              |             | AAA/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., 5.0%, 12/1/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 130,457     |
|                                                                                                                                                       | 88,562               |             | AAA/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., 5.0%, 2/1/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 96,030      |
|                                                                                                                                                       | 66,437               |             | AAA/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., 5.5%, 8/1/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 70,945      |
|                                                                                                                                                       | 11,073               |             | AAA/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., 6.5%, 7/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 11,546      |
|                                                                                                                                                       | 2,740                | 2.48             | AAA/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., Floating Rate Note, 1/1/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 2,953       |
|                                                                                                                                                       | 438,968              | 2.56             | AAA/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 444,850     |
|                                                                                                                                                       | 6,549                | 2.38             | AAA/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 6,952       |
|                                                                                                                                                       | 272,530              | 2.53             | AAA/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., Floating Rate Note, 12/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 272,683     |
|                                                                                                                                                       | 18,207               | 2.60             | AAA/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 18,410      |
|                                                                                                                                                       | 2,019                | 2.66             | AAA/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 2,027       |
|                                                                                                                                                       | 6,606                | 2.16             | AAA/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., Floating Rate Note, 5/1/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 6,628       |
|                                                                                                                                                       | 5,127                | 2.35             | AAA/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., Floating Rate Note, 7/1/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 5,133       |
|                                                                                                                                                       | 109,773              | 2.66             | AAA/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 113,254     |
|                                                                                                                                                       | 1,507                | 2.38             | AAA/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,507       |
|                                                                                                                                                       | 1,445,695            |             | AAA/Aaa                                                                                                                              | Federal National Mortgage Association, 2.5%, 9/1/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 1,494,162   |
|                                                                                                                                                       | 1,035,269            |             | AAA/Aaa                                                                                                                              | Federal National Mortgage Association, 3.0%, 12/1/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 1,084,526   |
|                                                                                                                                                       | 1,420,065            |             | AAA/Aaa                                                                                                                              | Federal National Mortgage Association, 4.0%, 1/1/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 1,513,051   |
|                                                                                                                                                       | 1,415,842            |             | AAA/Aaa                                                                                                                              | Federal National Mortgage Association, 4.0%, 10/1/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 1,508,835   |
|                                                                                                                                                       | 1,449,408            |             | AAA/Aaa                                                                                                                              | Federal National Mortgage Association, 4.0%, 3/1/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 1,544,776   |
|                                                                                                                                                       | 352,110              |             | AAA/Aaa                                                                                                                              | Government National Mortgage Association I, 5.0%, 8/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 380,912     |
|                                                                                                                                                       | 186,710              |             | AAA/Aaa                                                                                                                              | Government National Mortgage Association I, 6.0%, 11/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 215,160     |
|                                                                                                                                                       | 64,012               |             | AAA/Aaa                                                                                                                              | Government National Mortgage Association I, 6.0%, 12/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 72,935      |
|                                                                                                                                                       | 249,006              |             | AA+/Aaa                                                                                                                              | Government National Mortgage Association I, 6.0%, 3/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 258,378     |
|                                                                                                                                                       | 50,721               |             | AAA/Aaa                                                                                                                              | Government National Mortgage Association I, 6.5%, 10/15/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 57,646      |
|                                                                                                                                                       | 37,980               |             | AA+/Aaa                                                                                                                              | Government National Mortgage Association I, 6.5%, 5/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 44,326      |
|                                                                                                                                                       | 19,061               |             | AAA/Aaa                                                                                                                              | Government National Mortgage Association I, 6.5%, 7/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 21,664      |
|                                                                                                                                                       | 52,629               |             | AAA/Aaa                                                                                                                              | Government National Mortgage Association I, 7.5%, 10/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 60,807      |
|                                                                                                                                                       | 651                  |             | AAA/Aaa                                                                                                                              | Government National Mortgage Association I, 7.5%, 6/15/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 651         |
|                                                                                                                                                       | 572,470              |             | AAA/Aaa                                                                                                                              | Government National Mortgage Association II, 6.0%, 10/20/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 617,582     |
|                                                                                                                                                       | 273,027              |             | AAA/Aaa                                                                                                                              | Government National Mortgage Association II, 6.0%, 11/20/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 293,001     |
|                                                                                                                                                       | 221,600              |             | AAA/Aaa                                                                                                                              | Government National Mortgage Association II, 6.0%, 4/20/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 238,483     |
|                                                                                                                                                       | 184,100              |             | AAA/Aaa                                                                                                                              | Government National Mortgage Association II, 6.0%, 8/20/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 194,791     |
|                                                                                                                                                       | 4,500,000            |             | AA+/Aaa                                                                                                                              | U.S. Treasury Notes, 0.375%, 2/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 4,507,911   |
|                                                                                                                                                       | 5,500,000            |             | AA+/Aaa                                                                                                                              | U.S. Treasury Notes, 1.5%, 8/31/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 5,547,700   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | (Cost $28,130,762)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 28,470,456  |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | MUNICIPAL BONDS - 0.8%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Municipal Airport - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |        |
|                                                                                                                                                       | 300,000              |             | AA-/A2                                                                                                                               | Massachusetts Port Authority, 5.0%, 7/1/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 301,233     |
|                                                                                                                                                       | 475,000              |             | AA-/A2                                                                                                                               | Massachusetts Port Authority, 5.0%, 7/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 517,118     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 818,351     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Municipal Development - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |        |
|                                                                                                                                                       | 250,000              | 3.00             | AA-/Aa2                                                                                                                              | Massachusetts Development Finance Agency, Floating Rate Note, 2/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 261,335     |
|                                                                                                                                                       | 500,000              |             | AA/Aa2                                                                                                                               | State of Ohio, 3.0%, 6/15/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 514,075     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 775,410     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Municipal General - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |        |
|                                                                                                                                                       | 500,000              |             | AA/A2                                                                                                                                | JobsOhio Beverage System, 0.872%, 1/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 501,850     |
|                                                                                                                                                       | 500,000              |             | BBB/A3                                                                                                                               | Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 533,550     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,035,400   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Municipal Higher Education - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |        |
|                                                                                                                                                       | 500,000              |             | AA/Aa2                                                                                                                               | University of California, 0.966%, 5/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 501,760     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Municipal Pollution - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |        |
|                                                                                                                                                       | 1,000,000            |             | A-/Baa1                                                                                                                              | County of Power Idaho, 5.625%, 10/1/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 1,010,000   |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Municipal Power - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |        |
|                                                                                                                                                       | 890,000              | 1.03             | NR/A1                                                                                                                                | South Carolina State Public Service Authority, Floating Rate Note, 6/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 892,901     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | TOTAL MUNICIPAL BONDS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | (Cost $4,996,823)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 5,033,822   |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | SENIOR FLOATING RATE LOAN INTERESTS - 5.1% **                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Energy - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Integrated Oil & Gas - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |        |
|                                                                                                                                                       | 847,875              | 4.00             | BB-/Ba3                                                                                                                              | Seadrill Operating LP, Initial Term Loan, 2/14/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 845,159     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Oil & Gas Exploration & Production - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |        |
|                                                                                                                                                       | 996,248              | 3.88             | BB-/Ba2                                                                                                                              | Fieldwood Energy LLC, Closing Date Loan, 9/25/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 998,295     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Coal & Consumable Fuels - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |        |
|                                                                                                                                                       | 248,750              | 5.50             | B+/Ba3                                                                                                                               | Foresight Energy LLC, Term Loan, 8/21/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 250,771     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Energy                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 2,094,225   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Materials - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Specialty Chemicals - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |        |
|                                                                                                                                                       | 72,296               | 1.00             | BBB-/Ba2                                                                                                                             | WR Grace & Co., Delayed Draw Term Loan, 1/23/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 72,088      |
|                                                                                                                                                       | 202,430              | 3.00             | BBB-/Ba2                                                                                                                             | WR Grace & Co., U.S. Term Loan, 1/23/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 201,848     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 273,936     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Construction Materials - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |        |
|                                                                                                                                                       | 20,955               | 4.25             | B/Ba3                                                                                                                                | CeramTec Acquisition Corp., Initial Dollar Term B-2 Loan, 8/30/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 20,999      |
|                                                                                                                                                       | 64,096               | 4.25             | B/Ba3                                                                                                                                | CeramTec GmbH, Dollar Term B-3 Loan, 8/30/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 64,229      |
|                                                                                                                                                       | 211,444              | 4.25             | B/Ba3                                                                                                                                | CeramTec Service GmbH, Initial Dollar Term B-1 Loan, 8/30/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 211,885     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 297,113     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Metal & Glass Containers - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |        |
|                                                                                                                                                       | 192,563              | 4.50             | B/B1                                                                                                                                 | BWAY Holding Co., Initial Term Loan, 8/31/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 193,429     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Diversified Metals & Mining - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |
|                                                                                                                                                       | 98,505               | 3.75             | BBB-/NR                                                                                                                              | Fortescue Metals Group Ltd., Bank Loan, 6/30/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 98,513      |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Materials                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 862,991     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Capital Goods - 0.6%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Aerospace & Defense - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |
|                                                                                                                                                       | 249,375              | 3.50             | BBB-/Ba1                                                                                                                             | Alliant Techsystems, Inc., Term B Loan, 10/22/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 249,780     |
|                                                                                                                                                       | 534,325              | 3.25             | BB+/Ba1                                                                                                                              | Spirit AeroSystems, Inc., Term Loan B, 9/30/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 535,160     |
|                                                                                                                                                       | 875,000              | 3.25             | BB-/Ba3                                                                                                                              | Wesco Aircraft Hardare Corp., Tranche B Term Loan (First Lien), 2/24/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 872,266     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,657,206   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Building Products - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |        |
|                                                                                                                                                       | 249,375              | 5.25             | BB-/B2                                                                                                                               | Norcraft Cos. Inc., Initial Loan, 11/12/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 251,245     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Construction & Engineering - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |        |
|                                                                                                                                                       | 146,396              | 6.75             | B+/B2                                                                                                                                | International Equipment Solutions LLC, Initial Loan, 8/16/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 147,403     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Electrical Components & Equipment - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       | 305,000              | 3.25             | BB+/Ba3                                                                                                                              | Southwire Co., Term Loan, 1/31/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 305,048     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Industrial Conglomerates - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |        |
|                                                                                                                                                       | 500,000              | 4.00             | B/B1                                                                                                                                 | Milacron LLC, Term Loan, 3/12/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 501,250     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Construction & Farm Machinery & Heavy Trucks - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |        |
|                                                                                                                                                       | 400,000              | 5.75             | B/Ba3                                                                                                                                | Navistar, Inc., Tranche B Term Loan, 8/17/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 407,125     |
|                                                                                                                                                       | 258,983              | 3.50             | BBB-/Ba1                                                                                                                             | Terex Corp., Term Loan, 4/28/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 260,156     |
|                                                                                                                                                       | 293,150              | 4.00             | B+/B2                                                                                                                                | Waupaca Foundry, Inc., Term Loan, 6/29/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 293,516     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 960,797     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Trading Companies & Distributors - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |        |
|                                                                                                                                                       | 61,163               | 3.75             | BB/Ba3                                                                                                                               | WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 61,229      |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Capital Goods                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 3,884,178   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Commercial Services & Supplies - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Diversified Support Services - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |        |
|                                                                                                                                                       | 149,625              | 4.50             | B+/Ba3                                                                                                                               | TMS International Corp., Term B Loan, 10/2/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 150,124     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Security & Alarm Services - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       | 498,750              | 3.00             | BBB/Ba1                                                                                                                              | Allegion US Holding Co, Inc., Tranche B Term Loan, 12/26/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 497,503     |
|                                                                                                                                                       | 123,487              | 4.00             | B+/NR                                                                                                                                | Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 123,217     |
|                                                                                                                                                       | 482,721              | 4.00             | B+/Ba3                                                                                                                               | Garda World Security Corp., Term B Loan, 11/1/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 481,665     |
|                                                                                                                                                       | 497,487              | 3.25             | BB/Ba3                                                                                                                               | The Geo Group, Inc., Term Loan, 4/3/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 497,177     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,599,562   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Human Resource & Employment Services - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |        |
|                                                                                                                                                       | 171,522              | 3.50             | BB+/Ba2                                                                                                                              | On Assignment, Inc., Initial Term B Loan, 5/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 171,236     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Commercial Services & Supplies                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 1,920,922   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Transportation - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Airlines - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |        |
|                                                                                                                                                       | 99,747               | 3.50             | BB/NR                                                                                                                                | Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 99,676      |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Marine - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |        |
|                                                                                                                                                       | 462,675              | 5.25             | BB/Ba3                                                                                                                               | Navios Maritime Partners LP, Term Loan, 6/27/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 468,748     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Transportation                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 568,424     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Automobiles & Components - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Auto Parts & Equipment - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |        |
|                                                                                                                                                       | 735,250              | 4.25             | NR/B1                                                                                                                                | Metaldyne LLC, Tranche B Term Loan, 12/18/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 737,640     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Automobile Manufacturers - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |        |
|                                                                                                                                                       | 904,425              | 3.50             | BB+/Ba1                                                                                                                              | Chrysler Group LLC, Term Loan B, 5/24/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 906,347     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Automobiles & Components                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 1,643,987   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Consumer Durables & Apparel - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Housewares & Specialties - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |        |
|                                                                                                                                                       | 248,750              | 2.90             | BBB-/Ba1                                                                                                                             | Jarden Corp., Tranche B1 Term Loan, 9/30/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 249,708     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Apparel, Accessories & Luxury Goods - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |
|                                                                                                                                                       | 478,498              | 3.25             | BBB-/Ba1                                                                                                                             | PVH Corp., Tranche B Term Loan, 12/19/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 481,599     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Consumer Durables & Apparel                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 731,307     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Consumer Services - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Casinos & Gaming - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |        |
|                                                                                                                                                       | 249,375              | 3.25             | BBB-/Ba2                                                                                                                             | Las Vegas Sands llc, Tranche B-2 Term Loan (First Lien), 12/19/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 249,394     |
|                                                                                                                                                       | 345,625              | 3.50             | BB/Ba2                                                                                                                               | MGM Resorts International, Term B Loan, 12/20/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 345,301     |
|                                                                                                                                                       | 458,850              | 3.25             | BB+/Ba1                                                                                                                              | Penn National Gaming, Inc., Term B Facility Loan, 10/25/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 458,778     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,053,473   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Hotels, Resorts & Cruise Lines - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |        |
|                                                                                                                                                       | 435,000              | 3.50             | BB/Ba3                                                                                                                               | Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 433,973     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Education Services - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |        |
|                                                                                                                                                       | 298,489              | 3.75             | BB-/B1                                                                                                                               | Bright Horizons Family Solutions, Inc., Term B Loan, 1/14/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 299,281     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Specialized Consumer Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       | 511,570              | 1.62             | B/B1                                                                                                                                 | Allied Security Holdings LLC, Delayed Draw Term Loan (First Lien), 2/12/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 510,371     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Consumer Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 2,297,098   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Media - 0.7%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Advertising - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |        |
|                                                                                                                                                       | 248,126              | 4.25             | B+/B1                                                                                                                                | Acosta, Inc., Term B Loan (2013), 3/2/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 249,263     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Broadcasting - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |        |
|                                                                                                                                                       | 250,000              | 4.50             | BB/Ba3                                                                                                                               | Gray Television, Inc., Initial Term Loan, 10/11/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 250,781     |
|                                                                                                                                                       | 442,768              | 3.00             | NR/Ba1                                                                                                                               | Sinclair Television Group, Inc., New Tranche B Term Loan, 4/19/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 438,394     |
|                                                                                                                                                       | 872,813              | 4.00             | BB+/Ba3                                                                                                                              | Tribune Co., Tranche B Term Loan (First Lien), 11/20/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 873,222     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,562,397   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Cable & Satellite - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |        |
|                                                                                                                                                       | 400,000              | 2.63             | BB+/Ba3                                                                                                                              | Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 396,625     |
|                                                                                                                                                       | 476,177              | 0.00             | NR/Ba3                                                                                                                               | Ziggo BV, (USD) Tranche B-3 Term Loan, 1/15/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 469,728     |
|                                                                                                                                                       | 449,291              | 0.00             | NR/Ba3                                                                                                                               | Ziggo BV, Tranche B-1 Term Loan (First Lien), 1/15/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 443,207     |
|                                                                                                                                                       | 289,532              | 0.00             | NR/Ba3                                                                                                                               | Ziggo BV, Tranche B-2 Term Loan (First Lien), 1/15/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 285,611     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,595,171   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Movies & Entertainment - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |        |
|                                                                                                                                                       | 248,744              | 3.50             | BB-/Ba2                                                                                                                              | AMC Entertainment, Inc., Initial Term Loan, 4/30/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 248,820     |
|                                                                                                                                                       | 183,129              | 3.75             | NR/Baa3                                                                                                                              | Cinedigm Digital Funding I LLC, Term Loan, 2/28/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 183,587     |
|                                                                                                                                                       | 515,410              | 3.50             | BB/Ba2                                                                                                                               | Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 515,893     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 948,300     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Media                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 4,355,131   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Retailing - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Computer & Electronics Retail - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |        |
|                                                                                                                                                       | 550,000              | 3.75             | BB+/Ba1                                                                                                                              | Rent-A-Center, Inc., Term Loan (2014), 2/6/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 545,875     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Automotive Retail - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |        |
|                                                                                                                                                       | 600,000              | 3.25             | BB+/Ba1                                                                                                                              | Chrysler Group LLC, Tranche B Term Loan, 12/29/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 597,107     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Retailing                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 1,142,982   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Food & Staples Retailing - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Food Retail - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |        |
|                                                                                                                                                       | 648,375              | 4.75             | BB-/NR                                                                                                                               | Albertsons LLC, Term B-2 Loan, 3/21/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 652,154     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Food & Staples Retailing                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 652,154     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Food, Beverage & Tobacco - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Agricultural Products - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |        |
|                                                                                                                                                       | 707,466              | 4.50             | B/B1                                                                                                                                 | Arysta Lifescience SPC LLC, Initial Term Loan (First Lien), 5/29/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 709,234     |
|                                                                                                                                                       | 525,000              | 3.25             | BBB-/Ba2                                                                                                                             | Darling International, Inc., Term B USD Loan, 12/19/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 526,470     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,235,704   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Food, Beverage & Tobacco                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 1,235,704   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Household & Personal Products - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Household Products - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |        |
|                                                                                                                                                       | 298,500              | 4.50             | B/B1                                                                                                                                 | Britax US Holdings, Inc., Initial Dollar Term Loan, 10/7/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 280,839     |
|                                                                                                                                                       | 157,665              | 4.50             | B/B1                                                                                                                                 | Polarpak, Inc., USD Term Loan (Canadian Borrower Portion), 6/7/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 158,158     |
|                                                                                                                                                       | 86,248               | 4.50             | B/B1                                                                                                                                 | Polarpak, Inc., USD Term Loan (U.S. Borrower Portion), 6/7/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 86,518      |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 525,515     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Personal Products - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |        |
|                                                                                                                                                       | 952,613              | 4.00             | B/B2                                                                                                                                 | Party City Holdings, Inc., 2014 Replacement Term Loan, 7/27/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 950,628     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Household & Personal Products                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 1,476,143   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Health Care Equipment & Services - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Health Care Equipment - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |        |
|                                                                                                                                                       | 496,791              | 3.25             | BBB-/Ba2                                                                                                                             | Hologic, Inc., Refinancing Tranche B Term Loan, 8/1/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 496,907     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Health Care Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |        |
|                                                                                                                                                       | 497,500              | 2.23             | BBB-/Baa3                                                                                                                            | Fresenius US Finance I, Inc., Tranche B Term Loan, 8/7/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 498,122     |
|                                                                                                                                                       | 224,375              | 6.50             | B+/B2                                                                                                                                | Gentiva Health Services, Inc., Initial Term B Loan, 10/10/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 225,030     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 723,152     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Health Care Facilities - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |        |
|                                                                                                                                                       | 100,127              | 3.48             | BB/Ba2                                                                                                                               | CHS, 2017 Term E Loan, 1/25/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 100,424     |
|                                                                                                                                                       | 266,871              | 4.25             | BB/Ba2                                                                                                                               | CHS, 2021 Term D Loan, 1/27/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 268,706     |
|                                                                                                                                                       | 298,496              | 6.75             | B-/B2                                                                                                                                | Steward Health Care System LLC, Term Loan, 4/10/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 295,138     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 664,268     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Managed Health Care - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |        |
|                                                                                                                                                       | 553,609              | 4.25             | NR/Ba3                                                                                                                               | US Renal Care, Inc., Tranche B-2 Term Loan (First Lien), 7/3/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 555,512     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Health Care Equipment & Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 2,439,839   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Pharmaceuticals, Biotechnology & Life Sciences - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Pharmaceuticals - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |        |
|                                                                                                                                                       | 500,000              | 3.25             | BB+/Ba1                                                                                                                              | Endo Luxembourg Finance I Company Sarl, Tranche B Term Loan (First Lien), 11/5/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 497,344     |
|                                                                                                                                                       | 300,000              | 3.50             | BB+/Ba2                                                                                                                              | Mallinckrodt International Finance SA, Initial Term B Loan, 3/6/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 298,795     |
|                                                                                                                                                       | 643,534              | 4.00             | B/B1                                                                                                                                 | Par Pharmaceutical Companies, Inc., Term B-2 Loan, 9/28/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 643,132     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,439,271   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Pharmaceuticals, Biotechnology & Life Sciences                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 1,439,271   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Diversified Financials - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Other Diversified Financial Services - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |        |
|                                                                                                                                                       | 425,000              | 3.50             | BBB-/Ba2                                                                                                                             | Delos Finance SARL, Tranche B Term Loan, 2/27/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 425,645     |
|                                                                                                                                                       | 390,000              | 4.50             | BBB-/B1                                                                                                                              | Fly Funding II Sarl, Term Loan, 8/9/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 392,762     |
|                                                                                                                                                       | 199,000              | 3.75             | BB/Ba2                                                                                                                               | JBS USA LLC, Incremental Term Loan, 9/18/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 198,877     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,017,284   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Specialized Finance - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |        |
|                                                                                                                                                       | 399,000              | 5.75             | B/B1                                                                                                                                 | Hyperion Insurance Group, Ltd., Term Loan, 10/4/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 397,504     |
|                                                                                                                                                       | 200,000              | 3.25             | BB/Ba2                                                                                                                               | SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 198,982     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 596,486     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Investment Banking & Brokerage - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |        |
|                                                                                                                                                       | 147,015              | 3.25             | BB-/Ba2                                                                                                                              | LPL Holdings, Inc., 2013 Incremental Tranche B Term Loan, 3/29/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 146,586     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Diversified Financials                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 1,760,356   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Real Estate - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Mortgage REIT - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |        |
|                                                                                                                                                       | 198,995              | 3.50             | BB+/Ba3                                                                                                                              | Starwood Property Trust, Inc., Term Loan (First Lien), 4/17/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 198,249     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Real Estate                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 198,249     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Software & Services - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | IT Consulting & Other Services - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |        |
|                                                                                                                                                       | 155,698              | 3.90             | BB/Ba3                                                                                                                               | SunGard Data Systems, Inc., Tranche C Term Loan, 2/28/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 156,281     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Application Software - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |        |
|                                                                                                                                                       | 598,500              | 3.50             | BB-/B1                                                                                                                               | Verint Systems, Inc., Tranche B-2 Term Loan (First Lien), 9/6/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 597,827     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Home Entertainment Software - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |        |
|                                                                                                                                                       | 450,000              | 3.25             | BBB/Baa3                                                                                                                             | Activision Blizzard, Inc., Term Loan, 7/26/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 451,055     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Software & Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 1,205,163   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Technology Hardware & Equipment - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Electronic Components - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       | 248,750              | 3.25             | BB/Baa2                                                                                                                              | Belden Finance 2013 LP, Initial Term Loan, 9/9/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 249,176     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Technology Hardware & Equipment                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 249,176     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Semiconductors & Semiconductor Equipment - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Semiconductors - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |        |
|                                                                                                                                                       | 395,000              | 3.75             | BBB-/Ba1                                                                                                                             | Avago Technologies Ltd, Term Loan Tranche B (First Lien), 4/16/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 396,728     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Semiconductors & Semiconductor Equipment                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 396,728     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Utilities - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Electric Utilities - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |        |
|                                                                                                                                                       | 1,175,000            | 4.75             | B+/Ba3                                                                                                                               | Atlantic Power LP, Term Loan, 2/20/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 1,185,281   |
|                                                                                                                                                       | 673,309              | 3.25             | BB/Ba3                                                                                                                               | Calpine Construction Finance Co LP, Term B-2 Loan, 1/3/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 665,398     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,850,679   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Independent Power Producers & Energy Traders - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |        |
|                                                                                                                                                       | 12,239               | 3.75             | BB+/Ba1                                                                                                                              | AES Corp. Virginia, 6/1/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 12,270      |
|                                                                                                                                                       | 197,670              | 3.75             | BB+/Ba1                                                                                                                              | NSG Holdings LLC, New Term Loan, 12/11/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 198,411     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 210,681     |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Total Utilities                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 2,061,360   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | TOTAL SENIOR FLOATING RATE LOAN INTERESTS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | (Cost $32,549,460)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 32,615,388  |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | TEMPORARY CASH INVESTMENTS - 2.6%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Commercial Paper - 1.8%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |        |
|                                                                                                                                                       | 3,000,000            | 0.00             | NR/NR                                                                                                                                | National Australia Bank Ltd, Floating Rate Note, 6/2/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 2,999,996   |
|                                                                                                                                                       | 3,000,000            | 0.00             | NR/NR                                                                                                                                | Prudential Funding LLC, Floating Rate Note, 6/4/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 2,999,995   |
|                                                                                                                                                       | 350,000              | 0.40             | AA-/Aa3                                                                                                                              | Svenska Handelsbanken New York NY, Floating Rate Note, 11/17/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 350,143     |
|                                                                                                                                                       | 4,910,000            | 0.40             | NR/NR                                                                                                                                | Svenska Handelsbanken New York NY, Floating Rate Note, 6/4/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 4,910,304   |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 11,260,438  |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Repurchase Agreements  - 0.8%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |        |
|                                                                                                                                                       | 5,000,000            |             |                                                                                                                                 | Royal Bank of Canada, 0.06%, dated 5/31/14, repurchase price of                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | $5,000,000 plus accrued interest on 6/1/14 collateralized by                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | $5,100,000 Federal National Mortgage Association, 4.00%, 10/1/42-4/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 5,000,000   |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | TOTAL TEMPORARY CASH INVESTMENTS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | (Cost $6,349,991)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 16,260,438  |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | TOTAL INVESTMENT IN SECURITIES - 98.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | (Cost $626,304,046) (a)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 627,450,939 |
|                                                                                                                                                       |                 |             |                                                                                                                                 | OTHER ASSETS & LIABILITIES - 1.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 9,626,417   |
|                                                                                                                                                       |                 |             |                                                                                                                                 | TOTAL NET ASSETS - 100.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 637,077,356 |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       | †              |             |                                                                                                                                 | Amount rounds to less than 0.1%.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       | NR                   |             |                                                                                                                                 | Not rated by either S&P or Moody's.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       | (Perpetual)          |             | Security with no stated maturity date.                                                                                               |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       | (Step)               |             |                                                                                                                                 | Bond issued with an initial coupon rate which converts to a higher rate at a later date.                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       | REIT                 |             |                                                                                                                                 | Real Estate Investment Trust.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       | (Cat Bond)           |             | Catastrophe bond is a high-yield debt instrument that is usually insurance linked and meant to raise money in case of a catastrophe. |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       | (144A)               |             |                                                                                                                                 | Security is exempt from registration under Rule 144A of the Securities Act of 1933.  Such securities may be resold normally to qualified institutional buyers in a transaction exempt from registration.  At May 31, 2014, the value of these securities amounted to $151,524,327 or 23.8% of total net assets.                                                                                                                                                                                                                                    |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       | Strips               |             |                                                                                                                                 | Separate trading of Registered interest and principal of securities.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       | **                   |             |                                                                                                                                 | Senior floating rate loan interests in which the Fund invests generally pay interest at rates that are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by one or more major United States banks, (iii) the certificate of deposit rate or (iv) other base lending rates used by commercial lenders. The rate shown is the coupon rate at period end. |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       | (a)                  |             |                                                                                                                                 | At May 31, 2014, the net unrealized appreciation on investments based on                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | cost for federal income tax purposes of $626,866,752 was as follows:                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Aggregate gross unrealized appreciation for all investments in which                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | there is an excess of value over tax cost                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 4,004,915   |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Aggregate gross unrealized depreciation for all investments in which                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | there is an excess of tax cost over value                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | (3,420,728) |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 | Net unrealized appreciation                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 584,187     |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       | (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).                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       | (d)                  |             |                                                                                                                                 | Security represents the interest only portion payments on a pool of underlying mortgages or mortgage-backed securities.                                                                                                                                                                                                                                                                                                                                                                                                                                                |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       | (e)                  |             |                                                                                                                                 | Security issued with a zero coupon. Income is earned through accretion of discount.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
| 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.                                                                                                               |                 |             |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
| Generally, equity securities are categorized as Level 1, fixed income securities and senior loans as Level 2 and securities valued                         |                 |             |
| using fair value methods (other than prices supplied by independent pricing services or broker-dealers) are categorized as Level 3.                        |                 |             |
| See Notes to Financial Statements - Note 1A.                                                                                                               |                 |             |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |
| The following is a summary of the inputs used as of May 31, 2014, in valuing the Fund’s assets:                                                      |                 |             |
|                                                                                                                                                       |                 |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |

|                                                                                     |   |   |   |                                                                                                                                                            |   | Level 1                                                                                                                                           | Level 2                                                                                                                                                       | Level 3                                                                                                                                                             | Total                                                                                         |
|------------------------------------------------------------------------------------------|--------|--------|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|---------------------------------------------------------------------------------------------------------------------------------------------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------|-----------------------------------------------------------------------------------------------|
|                                                                                     |   |   |   | Preferred Stocks                                                                                                                                                |   |  $                    -                  |  $                      -                  |  $              632,041                                                                  |  $             632,041  |
|                                                                                     |   |   |   | Asset Backed Securities                                                                                                                                         |   |                       -             |             96,832,538                                                                            |                          -             |             96,832,538            |
|                                                                                     |   |   |   | Collateralized Mortgage Obligations                                                                                                                             |   |                       -             |           248,310,304                                                                                       |                          -             |           248,310,304                       |
|                                                                                     |   |   |   | Corporate Bonds                                                                                                                                                 |   |                       -             |           198,633,744                                                                                       |                  662,208                                                       |           199,295,952                       |
|                                                                                     |   |   |   | U.S. Government Agency Obligations                                                                                                                              |   |                       -             |             28,470,456                                                                            |                          -             |             28,470,456            |
|                                                                                     |   |   |   | Municipal Bonds                                                                                                                                                 |   |                       -             |               5,033,822                                                                 |                          -             |               5,033,822 |
|                                                                                     |   |   |   | Senior Floating Rate Loan Interests                                                                                                                             |   |                       -             |             32,615,388                                                                            |                          -             |             32,615,388            |
|                                                                                     |   |   |   | Temporary Cash Investments                                                                                                                                      |   |                       -             |             16,260,438                                                                            |                          -             |             16,260,438            |
|                                                                                     |   |   |   | Total                                                                                                                                                           |   |  $                      -      |  $        626,156,690                                                                                            |  $            1,294,249                                                                            |  $       627,450,939                                  |
|                                                                                     |   |   |   |                                                                                                                                                            |   |                                                                                                                                              |                                                                                                                                                          |                                                                                                                                                                |                                                                                          |
| Following is a reconciliation of assets using significant unobservable inputs (Level 3): |   |   |   |                                                                                                                                                            |   |
|                                                                                     |   |   |   |                                                                                                                                                            |   | Preferred Stocks                                                                                                                                  | Corporate Bonds                                                                                                                                               | Total                                                                                                                                                               |                                                                                          |
|                                                                                     |   |   |   | Balance as of 8/31/13                                                                                                                                           |   |  $            413,767                                                            |  $              263,900                                                            |  $              677,667                                                                  |                                                                                          |
|                                                                                     |   |   |   | Realized gain (loss)                                                                                                                                            |   |                         - |                       272                       |                        272                       |                                                                                          |
|                                                                                     |   |   |   | Change in unrealized appreciation (depreciation)                                                                                                                |   |                 34,584                                            |                   98,036                                            |                  132,620                                                       |                                                                                          |
|                                                                                     |   |   |   | Net purchases (sales)                                                                                                                                           |   |               183,690                                                       |                 300,000                                                       |                  483,690                                                       |                                                                                          |
|                                                                                     |   |   |   | Transfers in and out of Level 3                                                                                                                                 |   |                         - |                           - |                            - |                                                                                          |
|                                                                                     |   |   |   | Balance as of 5/31/14                                                                                                                                           |   |  $            632,041                                                            |  $              662,208                                                            |  $            1,294,249                                                                            |                                                                                          |
|                                                                                     |   |   |   |                                                                                                                                                            |   |                                                                                                                                              |                                                                                                                                                          |                                                                                                                                                                |                                                                                          |
|                                                                                     |   |   |   |                                                                                                                                                            |   |                                                                                                                                              |                                                                                                                                                          |                                                                                                                                                                |                                                                                          |
|                                                                                     |   |   | *      | Transfers are calculated on the beginning of period values.  During the period ended May 31, 2014, there were no transfers between Levels 1, 2 and 3. |
|                                                                                     |   |   |   |                                                                                                                                                            |   |                                                                                                                                              |                                                                                                                                                          |                                                                                                                                                                |                                                                                          |
|                                                                                     |   |   |   | Net change in unrealized appreciation (depreciation) of investments                                                                                             |   |                                                                                                                                              |                                                                                                                                                          |                                                                                                                                                                |                                                                                          |
|                                                                                     |   |   |   | still held as of 5/31/14                                                                                                                                        |   |                                                                                                                                              |  $              132,620                                                            |                                                                                                                                                                |                                                                                          |