|
Monthly Portfolio Holdings as of 3/28/2013
| Security Name |
Coupon |
Maturity Date |
Par / Shares |
Market Value($) |
| FEDERAL HOME LOAN BA 0.33% 04/05/13 |
0.33
|
04/05/2013
|
300,000
|
300,005
|
| PROTECTIVE LIFE CORP 4.3% 06/01/13 |
4.3
|
06/01/2013
|
2,800,000
|
2,816,010
|
| GE CAPITAL COMMERCIA 5.3606% 07/10/37 |
5.361
|
07/10/2037
|
2,400,000
|
2,417,117
|
| FANNIE MAE REMICS 0.7042% 03/25/23 |
0.704
|
03/25/2023
|
302,411
|
303,153
|
| FREDDIE MAC REMICS 0.7532% 02/15/33 |
0.753
|
02/15/2033
|
823,008
|
827,733
|
| IBIS RE LTD 0% 05/03/13 |
0.0
|
05/03/2013
|
2,500,000
|
2,508,000
|
| FIRST NLC TRUST 2005 0.6042% 09/25/35 |
0.604
|
09/25/2035
|
262,358
|
255,433
|
| GOVERNMENT NATIONAL 0.6032% 05/16/38 |
0.603
|
05/16/2038
|
1,749,739
|
1,759,621
|
| ROYAL BANK OF CANADA 0.55% 05/29/13 |
0.55
|
05/29/2013
|
600,000
|
600,352
|
| VIRGIN MEDIA INVESTM L+2.75%, 02/06/20 |
2.75
|
02/06/2020
|
2,205,000
|
2,196,731
|
| CUSTOM BUILDING PROD L+6%, 12/12/19 |
6.0
|
12/12/2019
|
463,954
|
472,073
|
| WELLS FARGO HOME EQU 0.6142% 11/25/35 |
0.614
|
11/25/2035
|
189,000
|
186,200
|
| SIERRA TIMESHARE 200 0.3532% 03/20/19 |
0.353
|
03/20/2019
|
785,498
|
784,980
|
| GOLDMAN SACHS GROUP 0.8836% 09/29/14 |
0.884
|
09/29/2014
|
2,000,000
|
2,000,000
|
| GSAA HOME EQUITY TRU 0.9842% 06/25/34 |
0.984
|
06/25/2034
|
2,248,113
|
2,151,077
|
| WASTE INDUSTRIES USA L+4.75%, 02/23/17 |
4.75
|
02/23/2017
|
151,887
|
154,165
|
| SOUTH CAROLINA STATE 0.9039% 06/02/14 |
0.904
|
06/02/2014
|
1,000,000
|
1,005,500
|
| VERIFONE SYSTEMS INC L+4.25%, 11/14/18 |
4.25
|
11/14/2018
|
171,586
|
172,373
|
| NSG HOLDINGS LLC / N L+4.75%, 11/15/19 |
4.75
|
11/15/2019
|
1,381,538
|
1,405,714
|
| CHEMTURA CORP L+5.5%, 08/11/16 |
5.5
|
08/11/2016
|
750,000
|
761,250
|
| PROGRESSIVE WASTE SO L+3.5%, 10/31/19 |
3.5
|
10/31/2019
|
399,000
|
405,110
|
| CONSECO FINANCIAL CO 7.0499% 01/15/19 |
7.05
|
01/15/2019
|
23,136
|
23,425
|
| GENERAL ELECTRIC CAP 0.935% 04/07/14 |
0.935
|
04/07/2014
|
1,967,000
|
1,974,555
|
| FANNIE MAE REMICS 0.6042% 07/25/37 |
0.604
|
07/25/2037
|
460,993
|
464,069
|
| CITIGROUP COMMERCIAL 5.3647% 04/15/40 |
5.365
|
04/15/2040
|
2,500,000
|
2,593,228
|
| GOVERNMENT NATIONAL 1.2032% 08/16/39 |
1.203
|
08/16/2039
|
889,496
|
902,557
|
| SEQUOIA MORTGAGE TRU 0.5232% 11/20/34 |
0.523
|
11/20/2034
|
496,438
|
488,075
|
| BRIGHT HORIZONS FAMI L+4.0004%, 01/14/20 |
4.0
|
01/14/2020
|
380,000
|
383,483
|
| MASTR ASSET SECURITI 0.6042% 07/25/18 |
0.604
|
07/25/2018
|
475,105
|
469,696
|
| CITIGROUP MORTGAGE L 0.6042% 05/25/35 |
0.604
|
05/25/2035
|
51,192
|
50,539
|
| METROPOLITAN LIFE GL 1.055% 01/10/14 |
1.055
|
01/10/2014
|
680,000
|
683,567
|
| CARRINGTON MORTGAGE 0.3242% 02/25/37 |
0.324
|
02/25/2037
|
267,031
|
264,916
|
| FREDDIE MAC REMICS 0.5032% 05/15/35 |
0.503
|
05/15/2035
|
1,758,719
|
1,760,464
|
| SMART TRUST/AUSTRALI 0.7532% 03/14/15 |
0.753
|
03/14/2015
|
468,463
|
469,100
|
| HJ HEINZ CO L+2.5%, 03/27/20 |
2.5
|
03/27/2020
|
1,600,000
|
1,596,000
|
| NOMURA ASSET ACCEPTA 2.6576% 12/25/34 |
2.658
|
12/25/2034
|
251,277
|
253,032
|
| WESTPAC BANKING 0.5205% 03/28/14 |
0.521
|
03/28/2014
|
1,000,000
|
999,958
|
| FEDERAL HOME LOAN MO 0.3% 08/12/13 |
0.3
|
08/12/2013
|
2,020,000
|
2,021,568
|
| UNITED AIR LINES INC L+3%, 03/12/19 |
3.0
|
03/12/2019
|
250,000
|
253,021
|
| FEDERAL HOME LOAN BA 0.29% 02/28/14 |
0.29
|
02/28/2014
|
6,150,000
|
6,157,448
|
| JP MORGAN CHASE COMM 0.3332% 11/15/18 |
0.333
|
11/15/2018
|
3,778,166
|
3,721,017
|
| PINNACLE FOODS FINAN L+4.75%, 09/16/18 |
4.75
|
09/16/2018
|
1,042,985
|
1,053,974
|
| PINNACLE ENTERTAINME L+4%, 03/05/19 |
4.0
|
03/05/2019
|
188,100
|
189,746
|
| MMAF EQUIPMENT FINAN 0.9000% 04/15/14 |
0.9
|
04/15/2014
|
139,227
|
139,252
|
| GSR MORTGAGE LOAN TR 5% 07/25/35 |
5.0
|
07/25/2035
|
252,256
|
253,122
|
| FREDDIE MAC STRIPS 0.5032% 08/15/36 |
0.503
|
08/15/2036
|
1,748,777
|
1,747,863
|
| IMPAC SECURED ASSETS 0.5542% 08/25/36 |
0.554
|
08/25/2036
|
200,292
|
194,074
|
| FANNIE MAE REMICS 0.6042% 10/25/36 |
0.604
|
10/25/2036
|
2,984,721
|
3,006,196
|
| BEAR STEARNS ASSET B 0.6142% 12/25/35 |
0.614
|
12/25/2035
|
300,000
|
285,994
|
| VERICREST OPPORTUNIT 2.7344% 11/25/60 |
2.734
|
11/25/2060
|
1,343,000
|
1,343,725
|
| FEDERAL NATIONAL MOR 0.36% 06/23/14 |
0.36
|
06/23/2014
|
2,000,000
|
2,004,300
|
| HOLMES MASTER ISSUER 1.9539% 10/15/54 |
1.954
|
10/15/2054
|
1,426,000
|
1,454,377
|
| NORTHSTAR 2012-1 MOR 1.404% 08/25/29 |
1.404
|
08/25/2029
|
2,835,988
|
2,835,988
|
| DH SERVICES LUXEMBOU L+5.25%, 12/18/19 |
5.25
|
12/18/2019
|
773,063
|
780,954
|
| STRUCTURED ASSET SEC 0.5042% 07/25/35 |
0.504
|
07/25/2035
|
458,883
|
411,172
|
| SACO I TRUST 2005-8 0.9642% 11/25/35 |
0.964
|
11/25/2035
|
986,476
|
975,443
|
| TOMKINS LLC / TOMKIN L+0.0275%, 09/29/16 |
0.028
|
09/29/2016
|
96,539
|
97,746
|
| PFS FINANCING CORP 1.7032% 10/17/16 |
1.703
|
10/17/2016
|
325,276
|
327,868
|
| COVIDIEN INTERNATION 1.875% 06/15/13 |
1.875
|
06/15/2013
|
5,715,000
|
5,731,385
|
| GNMA II POOL #8902 1.625% 01/20/22 |
1.625
|
01/20/2022
|
17,072
|
17,793
|
| ST JUDE MEDICAL INC 2.2% 09/15/13 |
2.2
|
09/15/2013
|
500,000
|
503,847
|
| ARKLE MASTER ISSUER 1.5401% 05/17/60 |
1.54
|
05/17/2060
|
500,000
|
501,866
|
| TI GROUP AUTOMOTIVE L+6.75%, 03/01/19 |
6.75
|
03/01/2019
|
646,369
|
651,620
|
| FANNIE MAE REMICS 0.5% 03/25/28 |
0.5
|
03/25/2028
|
473,408
|
463,028
|
| FOSSE MASTER ISSUER 1.703% 10/18/54 |
1.703
|
10/18/2054
|
1,000,000
|
1,020,010
|
| SELECT MEDICAL HOLDI L+5.50007%, 04/25/18 |
5.5
|
04/25/2018
|
98,250
|
99,232
|
| AMERIQUEST MORTGAGE 0.6542% 05/25/34 |
0.654
|
05/25/2034
|
475,844
|
461,642
|
| RAMP SERIES 2005-RZ3 0.4741% 09/25/35 |
0.474
|
09/25/2035
|
305,229
|
302,967
|
| ALBERTSONS LLC L+0.045%, 02/14/16 |
0.045
|
02/14/2016
|
625,000
|
636,440
|
| FREDDIE MAC REMICS 1.2032% 11/15/33 |
1.203
|
11/15/2033
|
481,424
|
490,830
|
| EI DU PONT DE NEMOUR 5% 07/15/13 |
5.0
|
07/15/2013
|
990,000
|
1,003,118
|
| AMERICAN CREDIT ACCE 1.8900% 07/15/16 |
1.89
|
07/15/2016
|
498,359
|
500,244
|
| FNMA POOL #323626 2.282% 11/01/23 |
2.282
|
11/01/2023
|
18,567
|
19,328
|
| FORTESCUE METALS GRO L+5.25%, 09/18/17 |
5.25
|
09/18/2017
|
996,247
|
1,009,234
|
| COOPERATIEVE CENTRAL 0.501% 07/25/13 |
0.501
|
07/25/2013
|
400,000
|
400,244
|
| CAPITAL ONE MULTI-AS 0.2332% 04/15/16 |
0.233
|
04/15/2016
|
1,220,000
|
1,219,972
|
| MERRILL LYNCH MORTGA 0.6642% 04/25/29 |
0.664
|
04/25/2029
|
279,167
|
272,652
|
| MBNA CREDIT CARD MAS 0.2632% 10/15/15 |
0.263
|
10/15/2015
|
2,000,000
|
1,999,806
|
| AMERICREDIT AUTOMOBI 0.51% 01/08/16 |
0.51
|
01/08/2016
|
1,000,000
|
999,871
|
| MORTGAGEIT TRUST 200 0.9842% 11/25/34 |
0.984
|
11/25/2034
|
1,727,275
|
1,667,989
|
| ALLISON TRANSMISSION L+4.25%, 08/23/19 |
4.25
|
08/23/2019
|
149,250
|
151,321
|
| FANNIE MAE REMICS 0.5042% 12/25/35 |
0.504
|
12/25/2035
|
676,030
|
677,797
|
| FREDDIE MAC REFERENC 0.6032% 07/15/23 |
0.603
|
07/15/2023
|
532,479
|
532,685
|
| BEAR STEARNS ASSET B 0.7042% 06/25/35 |
0.704
|
06/25/2035
|
1,851,978
|
1,808,686
|
| SASCO MORTGAGE PASS- 2.6792% 12/25/34 |
2.679
|
12/25/2034
|
1,377,547
|
1,400,594
|
| CARRINGTON MORTGAGE 0.6042% 09/25/35 |
0.604
|
09/25/2035
|
107,578
|
105,474
|
| SVENSKA HANDELSBANKE 0.7321% 03/21/16 |
0.732
|
03/21/2016
|
1,275,000
|
1,274,243
|
| ALTERNATIVE LOAN TRU 0.6042% 02/25/33 |
0.604
|
02/25/2033
|
33,093
|
32,617
|
| FEDERAL FARM CREDIT 0.8750% 06/14/16 |
0.875
|
06/14/2016
|
500,000
|
500,662
|
| STRUCTURED ADJUSTABL 3.0010% 03/25/34 |
3.001
|
03/25/2034
|
684,478
|
668,585
|
| FEDERAL FARM CREDIT 0.28% 10/15/13 |
0.28
|
10/15/2013
|
100,000
|
100,074
|
| RALI SERIES 2002-QS1 0.7542% 10/25/17 |
0.754
|
10/25/2017
|
201,594
|
190,799
|
| CAPITAL ONE MULTI-AS 0.4232% 03/15/17 |
0.423
|
03/15/2017
|
2,512,000
|
2,514,876
|
| COUNTRYWIDE ASSET-BA 0.7142% 06/25/35 |
0.714
|
06/25/2035
|
841,445
|
825,189
|
| AMERICAN EXPRESS CRE 1.5032% 03/15/16 |
1.503
|
03/15/2016
|
550,000
|
552,736
|
| FEDERAL HOME LOAN BA 0.27% 05/02/13 |
0.27
|
05/02/2013
|
450,000
|
450,073
|
| DT AUTO OWNER TR 1.05% 01/15/15 |
1.05
|
01/15/2015
|
1,131,387
|
1,132,525
|
| PEPSICO INC 0.4966% 02/26/16 |
0.497
|
02/26/2016
|
860,000
|
860,504
|
| CITIGROUP INC 0.5755% 11/05/14 |
0.576
|
11/05/2014
|
675,000
|
672,237
|
| PENN NATIONAL GAMING L+3.75%, 06/29/18 |
3.75
|
06/29/2018
|
905,292
|
913,963
|
| ALTISOURCE PORTFOLIO L+5.75%, 11/01/19 |
5.75
|
11/01/2019
|
498,750
|
508,102
|
| AGILENT TECHNOLOGIES 2.5% 07/15/13 |
2.5
|
07/15/2013
|
2,950,000
|
2,966,957
|
| ADVANTAGE SALES & MA L+4.25%, 12/17/17 |
4.25
|
12/17/2017
|
498,750
|
506,439
|
| WESTPAC BANKING CORP 1.0106% 12/09/13 |
1.011
|
12/09/2013
|
1,935,000
|
1,944,946
|
| TELECOM ITALIA CAPIT 5.25% 11/15/13 |
5.25
|
11/15/2013
|
500,000
|
510,422
|
| CIT EQUIPMENT COLLAT 0.8500% 05/20/14 |
0.85
|
05/20/2014
|
91,322
|
91,380
|
| COMPASS RE LTD 0% 01/08/15 |
0.0
|
01/08/2015
|
250,000
|
254,525
|
| FANNIE MAE REMICS 0.9542% 09/25/38 |
0.954
|
09/25/2038
|
147,728
|
148,113
|
| CITIGROUP MORTGAGE L 1.2242% 11/25/34 |
1.224
|
11/25/2034
|
897,755
|
847,031
|
| BRANCH BANKING & TRU 0.6001% 09/13/16 |
0.6
|
09/13/2016
|
1,000,000
|
988,869
|
| ABFC 2005-HE2 TRUST 0.9242% 06/25/35 |
0.924
|
06/25/2035
|
326,832
|
326,528
|
| QUEEN STREET VI RE L 0% 04/09/15 |
0.0
|
04/09/2015
|
250,000
|
260,950
|
| ALLY AUTO RECEIVABLE 0.48% 05/15/15 |
0.48
|
05/15/2015
|
100,000
|
100,048
|
| TRITON CONTAINER FIN 0.37% 11/26/21 |
0.37
|
11/26/2021
|
1,326,233
|
1,301,734
|
| COUNTRYWIDE ASSET-BA 0.6442% 07/25/35 |
0.644
|
07/25/2035
|
953,153
|
952,179
|
| LIFEPOINT HOSPITALS L+2.71%, 07/24/17 |
2.71
|
07/24/2017
|
498,750
|
502,802
|
| AMERICAN EXPRESS CRE 5.875% 05/02/13 |
5.875
|
05/02/2013
|
1,475,000
|
1,481,422
|
| AMERICREDIT AUTOMOBI 1.17% 01/08/16 |
1.17
|
01/08/2016
|
362,000
|
363,175
|
| SEQUOIA MORTGAGE TRU 0.7984% 01/20/35 |
0.799
|
01/20/2035
|
162,339
|
153,430
|
| WACHOVIA CORP 0.4884% 08/01/13 |
0.489
|
08/01/2013
|
100,000
|
100,084
|
| INVENTIV HEALTH INC L+7.5%, 06/24/18 |
7.5
|
06/24/2018
|
66,656
|
66,239
|
| VITA CAPITAL V LTD 2.896% 01/15/17 |
2.896
|
01/15/2017
|
1,500,000
|
1,533,150
|
| MASTR ASSET BACKED S 0.8542% 09/25/34 |
0.854
|
09/25/2034
|
614,872
|
611,034
|
| RALI SERIES 2003-QS1 0.7042% 06/25/33 |
0.704
|
06/25/2033
|
174,799
|
164,252
|
| FREDDIE MAC REMICS 1.7037% 05/15/33 |
1.704
|
05/15/2033
|
425,324
|
436,674
|
| BEAR STEARNS COMMERC 4.705% 11/11/41 |
4.705
|
11/11/2041
|
1,469,236
|
1,497,226
|
| CITIGROUP COMMERCIAL 0.5032% 04/15/22 |
0.503
|
04/15/2022
|
881,059
|
824,564
|
| ACE SECURITIES CORP 0.3842% 03/25/36 |
0.384
|
03/25/2036
|
471,138
|
455,127
|
| LANARK MASTER ISSUER 1.6891% 12/22/54 |
1.689
|
12/22/2054
|
2,000,000
|
2,040,799
|
| FANNIE MAE REMIC 7.0000% 06/25/13 |
7.0
|
06/25/2013
|
15,871
|
15,931
|
| BOYD GAMING CORP L+6%, 12/17/15 |
6.0
|
12/17/2015
|
131,250
|
132,797
|
| CHASE ISSUANCE TRUST 0.3332% 08/15/17 |
0.333
|
08/15/2017
|
3,630,000
|
3,631,104
|
| FANNIE MAE REMICS 1.2042% 07/25/32 |
1.204
|
07/25/2032
|
322,789
|
330,261
|
| QUEEN STREET II CAPI 0% 04/09/14 |
0.0
|
04/09/2014
|
500,000
|
505,300
|
| CHASE CREDIT CARD OW 0.4432% 01/15/16 |
0.443
|
01/15/2016
|
1,500,000
|
1,501,773
|
| GSAA HOME EQUITY TRU 0.4542% 10/25/35 |
0.454
|
10/25/2035
|
1,027,685
|
1,006,779
|
| FANNIE MAE REMICS 4.5% 01/25/39 |
4.5
|
01/25/2039
|
208,812
|
215,311
|
| ELLINGTON LOAN ACQUI 1.0042% 05/27/37 |
1.004
|
05/27/2037
|
109,211
|
108,033
|
| TORONTO-DOMINION BAN 0.2932% 05/15/13 |
0.293
|
05/15/2013
|
750,000
|
750,000
|
| DISCOVER CARD MASTER 0.5532% 08/15/16 |
0.553
|
08/15/2016
|
4,673,000
|
4,683,360
|
| RESIDENTIAL REINSURA 0% 06/06/13 |
0.0
|
06/06/2013
|
500,000
|
509,750
|
| QUEEN STREET V RE LT 0% 04/09/15 |
0.0
|
04/09/2015
|
250,000
|
256,525
|
| FREDDIE MAC REFERENC 5.5% 12/15/20 |
5.5
|
12/15/2020
|
443,927
|
446,145
|
| NEW YORK LIFE GLOBAL 0.75% 07/24/15 |
0.75
|
07/24/2015
|
1,000,000
|
1,003,524
|
| SALOMON MORTGAGE LOA 1.1042% 11/25/33 |
1.104
|
11/25/2033
|
187,423
|
174,427
|
| CHESAPEAKE FUNDING L 0.6532% 05/07/24 |
0.653
|
05/07/2024
|
2,000,000
|
1,999,668
|
| GENERAL ELECTRIC CAP 1.2841% 09/23/13 |
1.284
|
09/23/2013
|
1,645,000
|
1,652,421
|
| FANNIE MAE REMICS 0.5042% 03/25/36 |
0.504
|
03/25/2036
|
167,364
|
167,802
|
| CREDIT-BASED ASSET S 5.0820% 04/25/37 |
5.082
|
04/25/2037
|
880,728
|
898,476
|
| GOVERNMENT NATIONAL 0.4531% 09/16/31 |
0.453
|
09/16/2031
|
1,074,460
|
1,081,661
|
| LEHMAN BROTHERS FLOA 1.1032% 06/15/22 |
1.103
|
06/15/2022
|
725,000
|
703,630
|
| FREDDIE MAC REMICS 0.5132% 06/15/36 |
0.513
|
06/15/2036
|
5,105,344
|
5,106,370
|
| FREDDIE MAC REMICS 4% 11/15/23 |
4.0
|
11/15/2023
|
82,121
|
84,534
|
| FANNIE MAE REMICS 4% 11/25/35 |
4.0
|
11/25/2035
|
97,442
|
97,454
|
| GSAA HOME EQUITY TRU 0.9442% 09/25/34 |
0.944
|
09/25/2034
|
278,324
|
273,109
|
| WESCO INTERNATIONAL L+4.5%, 12/04/19 |
4.5
|
12/04/2019
|
1,275,000
|
1,289,184
|
| HYUNDAI CAPITAL AUTO 1.2032% 09/20/16 |
1.203
|
09/20/2016
|
3,257,431
|
3,264,272
|
| FIFTH THIRD BANCORP 6.25% 05/01/13 |
6.25
|
05/01/2013
|
3,775,000
|
3,792,101
|
| JOHNSTON RE LTD 0% 05/08/13 |
0.0
|
05/08/2013
|
2,000,000
|
2,008,400
|
| SUNCOKE ENERGY INC L+4%, 07/21/18 |
4.0
|
07/21/2018
|
45,501
|
45,729
|
| FREDDIE MAC REMICS 0.6032% 06/15/38 |
0.603
|
06/15/2038
|
2,195,004
|
2,200,534
|
| DRYROCK ISSUANCE TRU 0.3532% 08/15/17 |
0.353
|
08/15/2017
|
1,000,000
|
1,000,310
|
| OPTION ONE MORTGAGE 0.6042% 02/25/35 |
0.604
|
02/25/2035
|
262,213
|
258,197
|
| MANITOWOC CO INC/THE L+4.25%, 10/11/17 |
4.25
|
10/11/2017
|
51,124
|
51,795
|
| SUN LIFE FINANCIAL G 0.574% 10/06/13 |
0.574
|
10/06/2013
|
500,000
|
499,924
|
| MISSISSIPPI BUSINESS 0.13% 12/01/30 |
0.13
|
12/01/2030
|
3,005,000
|
3,005,000
|
| STATE STREET BANK AN 0.4795% 12/08/15 |
0.48
|
12/08/2015
|
350,000
|
347,226
|
| JP MORGAN CHASE COMM 2.103% 11/15/28 |
2.103
|
11/15/2028
|
481,744
|
485,229
|
| CAELUS RE LTD 0% 03/07/16 |
0.0
|
03/07/2016
|
2,500,000
|
2,498,000
|
| BANK OF AMERICA CORP 1.1041% 03/22/16 |
1.104
|
03/22/2016
|
3,000,000
|
2,988,615
|
| SCIENTIFIC GAMES COR L+3.21%, 06/30/15 |
3.21
|
06/30/2015
|
97,796
|
98,407
|
| PENARTH MASTER ISSUE 0.8532% 05/18/15 |
0.853
|
05/18/2015
|
3,400,000
|
3,399,592
|
| GE DEALER FLOORPLAN 0.7732% 02/20/17 |
0.773
|
02/20/2017
|
350,000
|
351,868
|
| PF CHANG'S CHINA BIS L+5.25%, 05/15/19 |
5.25
|
05/15/2019
|
871,622
|
883,607
|
| MORGAN STANLEY ABS C 0.4042% 12/25/35 |
0.404
|
12/25/2035
|
146,658
|
145,706
|
| BEAR STEARNS ARM TRU 5.3614% 04/25/34 |
5.361
|
04/25/2034
|
655,063
|
646,940
|
| FREDDIE MAC REMICS 0.4332% 02/15/19 |
0.433
|
02/15/2019
|
753,164
|
754,025
|
| FANNIE MAE REMICS 0.4042% 06/25/37 |
0.404
|
06/25/2037
|
3,341,424
|
3,335,163
|
| GOVERNMENT NATIONAL 0.7032% 06/16/31 |
0.703
|
06/16/2031
|
334,618
|
338,050
|
| TORONTO-DOMINION BAN 0.302% 10/21/13 |
0.302
|
10/21/2013
|
2,000,000
|
2,000,468
|
| SEQUOIA MORTGAGE TRU 0.9632% 10/20/27 |
0.963
|
10/20/2027
|
246,108
|
242,579
|
| FANNIE MAE REMICS 0.9542% 02/25/33 |
0.954
|
02/25/2033
|
223,421
|
226,047
|
| GOVERNMENT NATIONAL 4.5% 05/20/33 |
4.5
|
05/20/2033
|
821,362
|
835,717
|
| CHL MORTGAGE PASS-TH 0.7042% 06/25/18 |
0.704
|
06/25/2018
|
1,344,489
|
1,319,509
|
| WC LUXCO SARL L+4.25%, 03/03/18 |
4.25
|
03/03/2018
|
279,253
|
283,442
|
| LODESTONE RE LTD 0% 05/17/13 |
0.0
|
05/17/2013
|
2,600,000
|
2,615,080
|
| COUNTRYWIDE ASSET-BA 1.0442% 10/25/34 |
1.044
|
10/25/2034
|
3,124,053
|
3,109,532
|
| FREDDIE MAC REMICS 0.5432% 05/15/37 |
0.543
|
05/15/2037
|
875,352
|
877,967
|
| ARRAN RESIDENTIAL MO 1.4901% 11/19/47 |
1.49
|
11/19/2047
|
63,993
|
64,063
|
| GOVERNMENT NATIONAL 0.6032% 08/20/35 |
0.603
|
08/20/2035
|
1,333,616
|
1,335,936
|
| NORANDA ALUMINUM HOL L+5.75%, 02/17/19 |
5.75
|
02/17/2019
|
118,800
|
120,805
|
| FREDDIE MAC REMICS 0.3532% 10/15/20 |
0.353
|
10/15/2020
|
276,104
|
275,962
|
| CHL MORTGAGE PASS-TH 5.25% 01/25/35 |
5.25
|
01/25/2035
|
83,648
|
83,550
|
| COUNTRYWIDE ASSET-BA 0.3142% 05/25/47 |
0.314
|
05/25/2047
|
151,834
|
151,350
|
| FIRST FRANKLIN MORTG 0.2642% 10/25/36 |
0.264
|
10/25/2036
|
409,681
|
409,114
|
| ALLSTATE LIFE GLOBAL 5.375% 04/30/13 |
5.375
|
04/30/2013
|
5,392,000
|
5,413,660
|
| RESIDENTIAL REINSURA 0% 12/06/16 |
0.0
|
12/06/2016
|
2,000,000
|
2,022,800
|
| TRIMAS CORP L+3.75%, 10/11/19 |
3.75
|
10/11/2019
|
498,747
|
503,111
|
| BWAY HOLDING CO L+4.5025%, 08/06/17 |
4.503
|
08/06/2017
|
500,000
|
506,563
|
| HOLMES MASTER ISSUER 1.704% 10/15/54 |
1.704
|
10/15/2054
|
1,435,333
|
1,445,445
|
| FIRST INVESTORS AUTO 7.17% 02/15/18 |
7.17
|
02/15/2018
|
1,000,000
|
1,044,795
|
| HOME EQUITY ASSET TR 0.3842% 07/25/36 |
0.384
|
07/25/2036
|
361,371
|
359,208
|
| MERRILL LYNCH MORTGA 1.067% 05/25/29 |
1.067
|
05/25/2029
|
686,062
|
652,247
|
| RESIDENTIAL REINSURA 0% 06/06/13 |
0.0
|
06/06/2013
|
1,000,000
|
1,009,600
|
| GOVERNMENT NATIONAL 0.8832% 10/16/39 |
0.883
|
10/16/2039
|
714,199
|
726,184
|
| DBRR 2012- EZ1 TRUST 0.946% 09/25/45 |
0.946
|
09/25/2045
|
1,503,692
|
1,507,737
|
| CHESAPEAKE FUNDING L 1.9532% 09/15/21 |
1.953
|
09/15/2021
|
2,400,000
|
2,412,984
|
| JP MORGAN MORTGAGE A 0.2642% 12/25/29 |
0.264
|
12/25/2029
|
696,383
|
686,310
|
| RESIDENTIAL REINSURA 0% 06/06/16 |
0.0
|
06/06/2016
|
250,000
|
273,150
|
| JP MORGAN CHASE COM 4.92% 10/15/37 |
4.92
|
10/15/2037
|
1,723,644
|
1,734,291
|
| JPMORGAN CHASE & CO 0.9081% 02/26/16 |
0.908
|
02/26/2016
|
1,800,000
|
1,801,048
|
| ADVANCEPIERRE FOODS L+4.5%, 06/17/17 |
4.5
|
06/17/2017
|
250,000
|
254,063
|
| CREDIT ACCEPTANCE AU 2.21% 09/15/20 |
2.21
|
09/15/2020
|
2,000,000
|
2,019,026
|
| BANC OF AMERICA MERR 4.512% 12/10/42 |
4.512
|
12/10/2042
|
47,258
|
47,644
|
| JP MORGAN CHASE COMM 5.305% 01/15/49 |
5.305
|
01/15/2049
|
34,790
|
35,119
|
| HLSS SERVICER ADVANC 1.6442% 01/15/44 |
1.644
|
01/15/2044
|
750,000
|
751,875
|
| RAAC SERIES 2006-RP2 0.4542% 02/25/37 |
0.454
|
02/25/2037
|
3,129,656
|
3,007,267
|
| GENERAL ELECTRIC CAP 1.375% 08/01/17 |
1.375
|
08/01/2017
|
500,000
|
500,151
|
| FH POOL #845535 2.357% 10/01/23 |
2.357
|
10/01/2023
|
13,446
|
14,362
|
| FEDERAL FARM CREDIT 0.0969% 02/10/14 |
0.097
|
02/10/2014
|
5,000,000
|
5,002,270
|
| AEGIS ASSET BACKED S 1.1642% 06/25/34 |
1.164
|
06/25/2034
|
1,869,032
|
1,848,899
|
| FREDDIE MAC REMICS 0.6532% 12/15/28 |
0.653
|
12/15/2028
|
707,864
|
712,017
|
| COMM 2011-FL1 MORTGA 3.6387% 07/17/28 |
3.639
|
07/17/2028
|
290,956
|
295,284
|
| JP MORGAN CHASE COMM 5.7916% 06/15/49 |
5.792
|
06/15/2049
|
64,581
|
66,553
|
| RESIDENTIAL ASSET SE 0.7042% 07/25/33 |
0.704
|
07/25/2033
|
47,767
|
47,681
|
| BANC OF AMERICA LARG 1.3032% 08/15/29 |
1.303
|
08/15/2029
|
3,000,000
|
2,927,412
|
| BANC OF AMERICA FUND 0.4142% 06/26/37 |
0.414
|
06/26/2037
|
2,314,647
|
2,293,882
|
| FREDDIE MAC REMICS 3.5000% 11/15/22 |
3.5
|
11/15/2022
|
57,735
|
59,181
|
| BMW VEHICLE OWNER TR 0.76% 08/25/15 |
0.76
|
08/25/2015
|
1,181,240
|
1,184,312
|
| EVERGLADES RE LTD 0% 04/30/14 |
0.0
|
04/30/2014
|
1,000,000
|
1,092,400
|
| FOUNDATION RE III LT 0% 02/25/15 |
0.0
|
02/25/2015
|
1,550,000
|
1,616,650
|
| COUNTRYWIDE ASSET-BA 0.3142% 05/25/37 |
0.314
|
05/25/2037
|
449,719
|
448,433
|
| FREDDIE MAC REMICS 3.5000% 06/15/28 |
3.5
|
06/15/2028
|
1,889,486
|
1,953,556
|
| IMPAC CMB TRUST SERI 1.1042% 10/25/33 |
1.104
|
10/25/2033
|
370,260
|
363,678
|
| ADJUSTABLE RATE MORT 0.9842% 06/25/35 |
0.984
|
06/25/2035
|
300,000
|
291,646
|
| CREDIT SUISSE FIRST 1.5542% 12/25/33 |
1.554
|
12/25/2033
|
59,187
|
57,929
|
| MORGAN STANLEY HOME 0.5242% 09/25/35 |
0.524
|
09/25/2035
|
115,934
|
111,387
|
| COUNTRYWIDE ASSET-BA 0.5742% 01/25/36 |
0.574
|
01/25/2036
|
50,530
|
50,341
|
| FANNIE MAE REMICS 4% 05/25/29 |
4.0
|
05/25/2029
|
2,000,000
|
2,081,248
|
| RESIDENTIAL ASSET SE 0.6042% 05/25/33 |
0.604
|
05/25/2033
|
162,989
|
147,379
|
| TRONOX INC L+4.25%, 01/24/17 |
4.25
|
01/24/2017
|
703,607
|
708,151
|
| BANK OF NOVA SCOTIA/ 0.6301% 09/17/13 |
0.63
|
09/17/2013
|
3,000,000
|
3,006,525
|
| AMERICREDIT AUTOMOBI 9.79% 04/15/14 |
9.79
|
04/15/2014
|
8,457
|
8,525
|
| IMPAC CMB TRUST SERI 1.0442% 08/25/34 |
1.044
|
08/25/2034
|
668,917
|
667,264
|
| MORGAN STANLEY MORTG 0.4842% 11/25/35 |
0.484
|
11/25/2035
|
1,375,810
|
1,293,549
|
| SUCCESSOR X LTD 0% 04/04/13 |
0.0
|
04/04/2013
|
750,000
|
750,825
|
| FANNIE MAE REMICS 0.5042% 04/25/25 |
0.504
|
04/25/2025
|
185,610
|
186,462
|
| COMM 2005-FL11 MORTG 0.5932% 11/15/17 |
0.593
|
11/15/2017
|
143,761
|
132,083
|
| FANNIE MAE REMICS 6% 04/25/39 |
6.0
|
04/25/2039
|
185,819
|
188,674
|
| FANNIE MAE REMICS 0.7042% 12/25/32 |
0.704
|
12/25/2032
|
538,638
|
542,693
|
| CAMPBELL SOUP CO 0.5985% 08/01/14 |
0.599
|
08/01/2014
|
1,500,000
|
1,503,981
|
| BLUE FIN LTD 0% 05/28/13 |
0.0
|
05/28/2013
|
500,000
|
504,800
|
| MERRILL LYNCH MORTGA 0.9387% 06/28/35 |
0.939
|
06/28/2035
|
1,024,176
|
1,021,462
|
| FANNIE MAE REMICS 0.8187% 12/25/23 |
0.819
|
12/25/2023
|
156,834
|
158,023
|
| TORONTO-DOMINION BAN 0.605% 07/14/14 |
0.605
|
07/14/2014
|
200,000
|
200,523
|
| JP MORGAN CHASE COMM 0.5632% 11/15/18 |
0.563
|
11/15/2018
|
192,633
|
163,076
|
| FANNIE MAE REMICS 0.5042% 07/25/35 |
0.504
|
07/25/2035
|
2,749,765
|
2,751,304
|
| PFS FINANCING CORP 0.7532% 02/15/18 |
0.753
|
02/15/2018
|
2,340,000
|
2,339,951
|
| DOMINION RESOURCES I 1.8000% 03/15/14 |
1.8
|
03/15/2014
|
2,820,000
|
2,851,198
|
| ARI FLEET LEASE TRUS 0.5032% 01/15/21 |
0.503
|
01/15/2021
|
723,702
|
721,927
|
| STRUCTURED ASSET SEC 2.7675% 06/25/33 |
2.768
|
06/25/2033
|
465,998
|
468,170
|
| SUCCESSOR X LTD 9.4114% 02/25/14 |
9.411
|
02/25/2014
|
1,150,000
|
1,155,635
|
| MORGAN STANLEY MORTG 0.4741% 09/25/35 |
0.474
|
09/25/2035
|
3,373,537
|
3,240,602
|
| BMW FLOORPLAN MASTER 0.6032% 09/15/17 |
0.603
|
09/15/2017
|
3,000,000
|
3,008,684
|
| EQUIVANTAGE HOME EQU 8.05% 03/25/28 |
8.05
|
03/25/2028
|
33,681
|
33,250
|
| STRUCTURED ADJUSTABL 2.5083% 03/25/34 |
2.508
|
03/25/2034
|
558,030
|
554,641
|
| JP MORGAN MORTGAGE T 2.5838% 07/25/35 |
2.584
|
07/25/2035
|
324,960
|
326,516
|
| BURGER KING CORP L+3.75%, 09/28/19 |
3.75
|
09/28/2019
|
245,765
|
249,425
|
| ASCENT CAPITAL GROUP L+5.50252%, 03/06/18 |
5.503
|
03/06/2018
|
173,688
|
174,964
|
| BANK OF NOVA SCOTIA/ 0.556% 01/03/14 |
0.556
|
01/03/2014
|
950,000
|
951,647
|
| GOVERNMENT NATIONAL 0.8532% 07/20/40 |
0.853
|
07/20/2040
|
136,800
|
136,865
|
| COUNTRYWIDE ASSET-BA 0.5542% 08/25/47 |
0.554
|
08/25/2047
|
466,717
|
463,328
|
| FREDDIE MAC REMICS 0.5032% 01/15/36 |
0.503
|
01/15/2036
|
594,504
|
596,050
|
| MORGAN STANLEY DEAN 7.3189% 02/15/33 |
7.319
|
02/15/2033
|
26,979
|
26,985
|
| STRUCTURED ASSET SEC 2.5958% 07/25/33 |
2.596
|
07/25/2033
|
1,272,013
|
1,247,194
|
| FREDDIE MAC REMICS 0.6032% 09/15/36 |
0.603
|
09/15/2036
|
557,629
|
561,079
|
| AMERICAN HONDA FINAN 0.743% 05/08/14 |
0.743
|
05/08/2014
|
1,275,000
|
1,280,695
|
| MASTR ADJUSTABLE RAT 1.3042% 11/25/34 |
1.304
|
11/25/2034
|
1,000,000
|
886,915
|
| VOLKSWAGEN INTERNATI 0.8891% 11/20/14 |
0.889
|
11/20/2014
|
1,000,000
|
1,003,932
|
| FH POOL #847207 2.861% 11/01/33 |
2.861
|
11/01/2033
|
16,352
|
17,525
|
| DAIMLER FINANCE NORT 1.085% 04/10/14 |
1.085
|
04/10/2014
|
300,000
|
301,142
|
| FNMA POOL 7.0000% 10/01/17 |
7.0
|
10/01/2017
|
14,733
|
15,812
|
| WIRECO WORLDGROUP IN L+6%, 04/13/17 |
6.0
|
04/13/2017
|
895,500
|
908,933
|
| PHILIP MORRIS INTERN 4.875% 05/16/13 |
4.875
|
05/16/2013
|
700,000
|
703,891
|
| AES CORP/VA L+5%, 05/27/18 |
5.0
|
05/27/2018
|
270,628
|
274,814
|
| FEDERAL HOME LOAN BA 0.255% 01/15/14 |
0.255
|
01/15/2014
|
3,000,000
|
3,002,424
|
| GE DEALER FLOORPLAN 0.6432% 10/20/17 |
0.643
|
10/20/2017
|
888,000
|
889,833
|
| JP MORGAN CHASE COMM 0.4132% 11/15/18 |
0.413
|
11/15/2018
|
801,351
|
774,605
|
| US BANCORP 2% 06/14/13 |
2.0
|
06/14/2013
|
2,529,000
|
2,538,160
|
| IMMUCOR INC L+5%, 08/19/18 |
5.0
|
08/19/2018
|
221,640
|
223,684
|
| BAYVIEW COMMERCIAL A 0.4741% 04/25/36 |
0.474
|
04/25/2036
|
230,090
|
229,782
|
| FANNIE MAE REMICS 0.7042% 09/25/32 |
0.704
|
09/25/2032
|
645,997
|
651,154
|
| CHASE FUNDING TRUST 0.9442% 10/25/32 |
0.944
|
10/25/2032
|
20,438
|
18,913
|
| GARDA WORLD SECURITY L+4.5%, 10/24/19 |
4.5
|
10/24/2019
|
748,125
|
758,646
|
| LOUDOUN COUNTY INDUS 0.1% 02/15/38 |
0.1
|
02/15/2038
|
7,000,000
|
7,000,000
|
| GEORGIA POWER CO 0.6001% 03/15/16 |
0.6
|
03/15/2016
|
1,090,000
|
1,090,631
|
| FREDDIE MAC REMICS 0.4032% 07/15/36 |
0.403
|
07/15/2036
|
2,640,043
|
2,634,645
|
| SANTANDER DRIVE AUTO 1.8900% 05/15/17 |
1.89
|
05/15/2017
|
75,643
|
76,014
|
| MORGAN STANLEY CAPIT 4.97% 04/14/40 |
4.97
|
04/14/2040
|
2,050,007
|
2,135,359
|
| STRUCTURED ASSET SEC 0.3542% 07/25/36 |
0.354
|
07/25/2036
|
4,446,741
|
4,358,486
|
| SAXON ASSET SECURITI 0.3142% 10/25/46 |
0.314
|
10/25/2046
|
627,383
|
623,149
|
| BEAR STEARNS ASSET B 0.6042% 03/25/35 |
0.604
|
03/25/2035
|
195,807
|
192,734
|
| FANNIE MAE REMICS 0.4442% 06/25/37 |
0.444
|
06/25/2037
|
1,296,910
|
1,294,635
|
| JP MORGAN CHASE COMM 0.3232% 05/15/47 |
0.323
|
05/15/2047
|
3,726,852
|
3,714,896
|
| SANTANDER DRIVE AUTO 1.25% 04/15/15 |
1.25
|
04/15/2015
|
93,661
|
93,906
|
| CAPITAL ONE BANK USA 6.5% 06/13/13 |
6.5
|
06/13/2013
|
3,550,000
|
3,591,815
|
| OPTEUM MORTGAGE ACCE 0.4542% 12/25/35 |
0.454
|
12/25/2035
|
650,535
|
635,643
|
| NCUA GUARANTEED NOTE 0.5732% 11/06/17 |
0.573
|
11/06/2017
|
3,703,819
|
3,718,857
|
| DIRECT CAPITAL FUNDI 1.6730% 12/20/17 |
1.673
|
12/20/2017
|
664,018
|
664,018
|
| DEUTSCHE TELEKOM INT 5.25% 07/22/13 |
5.25
|
07/22/2013
|
1,000,000
|
1,013,970
|
| EMBARCADERO REINSURA 0% 08/07/15 |
0.0
|
08/07/2015
|
525,000
|
541,065
|
| IRWIN WHOLE LOAN HOM 0.7742% 04/25/30 |
0.774
|
04/25/2030
|
1,421,842
|
1,417,528
|
| STRUCTURED ASSET INV 0.6042% 05/25/35 |
0.604
|
05/25/2035
|
459,831
|
456,804
|
| CONN FUNDING II LP 4% 04/15/16 |
4.0
|
04/15/2016
|
129,261
|
129,342
|
| WALGREEN CO 4.875% 08/01/13 |
4.875
|
08/01/2013
|
1,000,000
|
1,014,015
|
| GTP TOWERS ISSUER LL 8.112% 02/15/15 |
8.112
|
02/15/2015
|
1,000,000
|
1,066,940
|
| FREDDIE MAC REMICS 0.6532% 12/15/32 |
0.653
|
12/15/2032
|
55,915
|
55,966
|
| FNMA POOL #253031 6.5% 01/01/15 |
6.5
|
01/01/2015
|
6,831
|
7,023
|
| SPECIALTY UNDERWRITI 0.4042% 12/25/36 |
0.404
|
12/25/2036
|
882,802
|
867,199
|
| GENPACT LTD L+4.25%, 08/17/19 |
4.25
|
08/17/2019
|
995,000
|
1,010,754
|
| STRUCTURED ASSET SEC 0.7042% 12/25/33 |
0.704
|
12/25/2033
|
267,074
|
259,286
|
| INTERACTIVE DATA COR L+3.75%, 02/11/18 |
3.75
|
02/11/2018
|
144,552
|
146,404
|
| EXETER AUTOMOBILE RE 2.02% 08/15/16 |
2.02
|
08/15/2016
|
226,837
|
228,055
|
| FREDDIE MAC REMICS 0.9032% 03/15/32 |
0.903
|
03/15/2032
|
252,627
|
255,507
|
| SPIRIT AEROSYSTEMS I L+3.75%, 03/27/19 |
3.75
|
03/27/2019
|
347,375
|
351,066
|
| RESI FINANCE LP 1.6022% 09/10/35 |
1.602
|
09/10/2035
|
1,500,762
|
1,321,481
|
| FNMA POOL #889104 2.652% 01/01/48 |
2.652
|
01/01/2048
|
29,039
|
30,956
|
| MORGAN STANLEY CAPIT 5.11% 06/15/40 |
5.11
|
06/15/2040
|
1,850,187
|
1,920,690
|
| ALLY MASTER OWNER TR 1.0032% 02/15/17 |
1.003
|
02/15/2017
|
250,000
|
251,908
|
| FANNIE MAE REMICS 4% 06/25/37 |
4.0
|
06/25/2037
|
1,081,152
|
1,093,841
|
| QUEEN STREET VII RE 0% 04/08/16 |
0.0
|
04/08/2016
|
800,000
|
804,560
|
| MICHAELS STORES INC L+0.0275%, 01/16/20 |
0.028
|
01/16/2020
|
1,000,000
|
1,012,079
|
| VITA CAPITAL IV LTD 3.096% 01/15/16 |
3.096
|
01/15/2016
|
400,000
|
405,320
|
| CITIGROUP MORTGAGE L 0.6142% 07/25/35 |
0.614
|
07/25/2035
|
326,153
|
326,032
|
| STRUCTURED ASSET SEC 0.8542% 10/25/37 |
0.854
|
10/25/2037
|
640,064
|
633,263
|
| FANNIE MAE REMICS 0.4542% 07/25/35 |
0.454
|
07/25/2035
|
587,821
|
589,232
|
| FANNIE MAE REMICS 0.6687% 02/25/17 |
0.669
|
02/25/2017
|
35,818
|
35,889
|
| NEW CENTURY HOME EQU 0.5042% 06/25/35 |
0.504
|
06/25/2035
|
30,217
|
29,964
|
| COMM 2006-FL12 MORTG 0.3032% 12/15/20 |
0.303
|
12/15/2020
|
740,006
|
730,072
|
| SANTANDER DRIVE AUTO 2.86% 06/15/17 |
2.86
|
06/15/2017
|
118,317
|
119,252
|
| COVANTA HOLDING CORP L+4%, 03/01/19 |
4.0
|
03/01/2019
|
198,500
|
200,857
|
| COMMERCIAL MORTGAGE 2.1407% 11/17/26 |
2.141
|
11/17/2026
|
2,237,263
|
2,268,594
|
| WAMU MORTGAGE PASS T 2.4424% 01/25/35 |
2.442
|
01/25/2035
|
424,077
|
424,748
|
| HSBC HOME EQUITY LOA 1.4032% 11/20/36 |
1.403
|
11/20/2036
|
2,237,431
|
2,240,089
|
| NORTHEAST UTILITIES 5.65% 06/01/13 |
5.65
|
06/01/2013
|
1,175,000
|
1,184,706
|
| SANTANDER DRIVE AUTO 0.57% 12/15/15 |
0.57
|
12/15/2015
|
838,418
|
838,812
|
| REYNOLDS GROUP HOLDI L+4.75%, 09/21/18 |
4.75
|
09/21/2018
|
797,247
|
809,775
|
| FANNIE MAE REMICS 4.5% 01/25/38 |
4.5
|
01/25/2038
|
919,614
|
935,126
|
| COUNTRYWIDE ASSET-BA 0.6942% 12/25/35 |
0.694
|
12/25/2035
|
393,378
|
391,073
|
| MASTR ASSET BACKED S 0.3942% 01/25/36 |
0.394
|
01/25/2036
|
4,454,951
|
4,353,895
|
| MASTR ASSET BACKED S 0.4342% 02/25/36 |
0.434
|
02/25/2036
|
3,368,586
|
3,327,193
|
| WACHOVIA CORP 0.6415% 10/28/15 |
0.642
|
10/28/2015
|
628,000
|
623,951
|
| DIGITALGLOBE INC L+0.0275%, 01/25/20 |
0.028
|
01/25/2020
|
340,000
|
344,383
|
| BEAR STEARNS STRUCTU 1.2042% 03/25/37 |
1.204
|
03/25/2037
|
448,945
|
440,939
|
| AMERIQUEST MORTGAGE 0.5067% 11/25/34 |
0.507
|
11/25/2034
|
151,739
|
150,640
|
| CARRINGTON MORTGAGE 0.9392% 02/25/35 |
0.939
|
02/25/2035
|
1,723,755
|
1,690,332
|
| VOLVO FINANCIAL EQUI 0.53% 11/16/15 |
0.53
|
11/16/2015
|
1,820,000
|
1,818,963
|
| BANK OF NEW YORK MEL 0.5705% 07/28/14 |
0.571
|
07/28/2014
|
1,200,000
|
1,201,868
|
| MASTR ADJUSTABLE RAT 2.2889% 09/25/33 |
2.289
|
09/25/2033
|
973,582
|
958,046
|
| FREDDIE MAC REMICS 0.7032% 07/15/36 |
0.703
|
07/15/2036
|
190,252
|
191,881
|
| CRUSADE GLOBAL TRUST 0.362% 04/19/38 |
0.362
|
04/19/2038
|
2,524,143
|
2,465,351
|
| GOVERNMENT NATIONAL 0.4531% 07/20/41 |
0.453
|
07/20/2041
|
2,562,931
|
2,570,846
|
| COUNTRYWIDE ASSET-BA 1.1042% 06/25/33 |
1.104
|
06/25/2033
|
50,182
|
47,488
|
| PENARTH MASTER ISSUE 0.9532% 11/18/15 |
0.953
|
11/18/2015
|
800,000
|
800,840
|
| ORIGEN MANUFACTURED 5.46% 11/15/35 |
5.46
|
11/15/2035
|
1,240,000
|
1,303,464
|
| SEMTECH CORP L+4.25%, 02/21/17 |
4.25
|
02/21/2017
|
486,325
|
492,404
|
| GSAMP TRUST 2006-SEA 0.5042% 05/25/36 |
0.504
|
05/25/2036
|
3,334,418
|
3,282,922
|
| CAPITAL ONE NA/MCLEA 0.7341% 03/22/16 |
0.734
|
03/22/2016
|
1,500,000
|
1,499,990
|
| COMMERCIAL MORTGAGE 5.7641% 09/15/39 |
5.764
|
09/15/2039
|
233,086
|
237,602
|
| BRITISH TELECOMMUNIC 1.4051% 12/20/13 |
1.405
|
12/20/2013
|
1,330,000
|
1,340,414
|
| SMART TRUST/AUSTRALI 0.5332% 06/14/15 |
0.533
|
06/14/2015
|
1,800,000
|
1,800,914
|
| FANNIE MAE REMICS 0.4042% 02/25/37 |
0.404
|
02/25/2037
|
1,092,957
|
1,089,291
|
| COMPASS RE LTD 0% 01/08/15 |
0.0
|
01/08/2015
|
250,000
|
258,050
|
| LEHMAN BROTHERS SMAL 0.4542% 09/25/30 |
0.454
|
09/25/2030
|
2,366,886
|
2,065,437
|
| AWAS AVIATION CAPITA L+4.75%, 06/25/18 |
4.75
|
06/25/2018
|
489,861
|
494,760
|
| RAMP SERIES 2004-RS1 0.8242% 11/25/34 |
0.824
|
11/25/2034
|
363,463
|
355,197
|
| VITALITY RE LTD 4.558% 01/07/14 |
4.558
|
01/07/2014
|
1,000,000
|
1,021,100
|
| BOOZ ALLEN HAMILTON L+4.5%, 07/10/19 |
4.5
|
07/10/2019
|
995,000
|
1,010,423
|
| CHARTER COMMUNICATIO L+4%, 03/28/19 |
4.0
|
03/28/2019
|
371,250
|
375,798
|
| ACCREDITED MORTGAGE 0.6042% 07/25/35 |
0.604
|
07/25/2035
|
1,110,000
|
1,068,514
|
| HLSS SERVICER ADVANC 1.34% 10/15/43 |
1.34
|
10/15/2043
|
1,586,000
|
1,589,965
|
| OPTION ONE MORTGAGE 0.4642% 11/25/35 |
0.464
|
11/25/2035
|
155,823
|
153,121
|
| FREDDIE MAC REMICS 0.6032% 12/15/20 |
0.603
|
12/15/2020
|
282,917
|
284,775
|
| FREDDIE MAC REMICS 0.4432% 07/15/34 |
0.443
|
07/15/2034
|
1,089,093
|
1,087,815
|
| WEST CORP/OLD L+4.25%, 06/30/18 |
4.25
|
06/30/2018
|
1,158,589
|
1,178,864
|
| NELNET STUDENT LOAN 0.371% 10/26/20 |
0.371
|
10/26/2020
|
1,075,316
|
1,072,844
|
| AMERICAN HONDA FINAN 0.43% 04/08/14 |
0.43
|
04/08/2014
|
1,500,000
|
1,499,796
|
| AMERICAN EXPRESS CRE 1.4532% 03/15/17 |
1.453
|
03/15/2017
|
2,945,000
|
2,993,433
|
| MYTHEN RE LTD SERIES 11.9402% 11/10/16 |
11.94
|
11/10/2016
|
250,000
|
246,425
|
| ASSET BACKED SECURIT 0.7142% 07/25/35 |
0.714
|
07/25/2035
|
899,000
|
889,074
|
| MYTHEN LTD 8.7157% 05/07/15 |
8.716
|
05/07/2015
|
500,000
|
533,150
|
| NCUA GUARANTEED NOTE 0.7632% 12/08/20 |
0.763
|
12/08/2020
|
1,092,216
|
1,098,704
|
| BEAR STEARNS ASSET B 0.4542% 11/25/35 |
0.454
|
11/25/2035
|
6,857
|
6,837
|
| NEW CENTURY HOME EQU 0.4642% 06/25/35 |
0.464
|
06/25/2035
|
780,684
|
777,817
|
| GE DEALER FLOORPLAN 0.8032% 07/20/16 |
0.803
|
07/20/2016
|
250,000
|
251,598
|
| FANNIE MAE REMICS 1.2187% 12/25/23 |
1.219
|
12/25/2023
|
548,737
|
558,475
|
| FEDERAL HOME LOAN BA 0.29% 08/01/13 |
0.29
|
08/01/2013
|
3,675,000
|
3,676,896
|
| GRACECHURCH CARD FUN 1.0532% 05/15/19 |
1.053
|
05/15/2019
|
1,300,000
|
1,316,952
|
| BA CREDIT CARD TRUST 0.2332% 05/16/16 |
0.233
|
05/16/2016
|
415,000
|
414,970
|
| BAYVIEW FINANCIAL AC 6.205% 05/28/37 |
6.205
|
05/28/2037
|
78,793
|
80,300
|
| DISCOVER CARD MASTER 0.4032% 01/16/18 |
0.403
|
01/16/2018
|
540,000
|
540,626
|
| TRUVEN HEALTH ANALYT L+5.75%, 05/23/19 |
5.75
|
05/23/2019
|
347,375
|
353,454
|
| BANK OF NEW YORK MEL 0.5785% 01/31/14 |
0.579
|
01/31/2014
|
1,300,000
|
1,302,492
|
| OPTION ONE MORTGAGE 5.9% 03/25/37 |
5.9
|
03/25/2037
|
88,965
|
87,566
|
| FREDDIE MAC REMICS 0.5032% 02/15/39 |
0.503
|
02/15/2039
|
132,650
|
132,771
|
| SCHAEFFLER AG L+4.25%, 01/27/17 |
4.25
|
01/27/2017
|
483,943
|
489,993
|
| FREDDIE MAC STRIPS 0.4531% 08/15/36 |
0.453
|
08/15/2036
|
1,150,511
|
1,148,228
|
| PELICAN RE LTD 0% 04/13/15 |
0.0
|
04/13/2015
|
250,000
|
262,725
|
| COMM 2007-FL14 MORTG 0.3832% 06/15/22 |
0.383
|
06/15/2022
|
2,436,426
|
2,400,605
|
| KEYCORP 6.5% 05/14/13 |
6.5
|
05/14/2013
|
5,345,000
|
5,381,742
|
| SPECIALTY UNDERWRITI 0.5942% 06/25/36 |
0.594
|
06/25/2036
|
881,580
|
860,543
|
| FREDDIE MAC REMICS 0.5532% 05/15/41 |
0.553
|
05/15/2041
|
200,871
|
201,588
|
| GLENN POOL OIL & GAS L+4.5%, 06/01/16 |
4.5
|
06/01/2016
|
57,026
|
57,311
|
| RAMP SERIES 2004-RS8 5.06% 06/25/32 |
5.06
|
06/25/2032
|
15,130
|
15,273
|
| SINCLAIR BROADCAST G L+5.25%, 10/29/16 |
5.25
|
10/29/2016
|
396,294
|
398,025
|
| GOVERNMENT NATIONAL 0.7532% 04/16/32 |
0.753
|
04/16/2032
|
331,272
|
335,114
|
| WACHOVIA BANK COMMER 0.2832% 06/15/20 |
0.283
|
06/15/2020
|
2,397,855
|
2,363,966
|
| AMERICREDIT AUTOMOBI 0.49% 06/08/16 |
0.49
|
06/08/2016
|
2,000,000
|
2,000,474
|
| WORLD FINANCIAL NETW 0.3332% 02/15/17 |
0.333
|
02/15/2017
|
2,000,000
|
1,999,940
|
| BANCO SANTANDER CHIL 2.2921% 02/14/14 |
2.292
|
02/14/2014
|
250,000
|
247,678
|
| IMPAC SECURED ASSETS 0.4042% 12/25/36 |
0.404
|
12/25/2036
|
976,677
|
894,675
|
| GOVERNMENT NATIONAL 5% 06/20/26 |
5.0
|
06/20/2026
|
394,748
|
401,466
|
| FANNIE MAE REMICS 0.4042% 10/27/37 |
0.404
|
10/27/2037
|
2,382,000
|
2,383,553
|
| ALTERNATIVE LOAN TRU 0.4941% 05/25/34 |
0.494
|
05/25/2034
|
1,198,759
|
1,090,239
|
| PILOT TRAVEL CENTERS L+3.75%, 03/30/18 |
3.75
|
03/30/2018
|
99,500
|
100,631
|
| VOLKSWAGEN INTERNATI 1.625% 08/12/13 |
1.625
|
08/12/2013
|
790,000
|
793,365
|
| RALI SERIES 2004-QS5 0.8042% 04/25/34 |
0.804
|
04/25/2034
|
414,681
|
397,474
|
| OM GROUP INC L+6.5%, 07/05/17 |
6.5
|
07/05/2017
|
197,500
|
199,393
|
| BOMBARDIER RECREATIO L+0.0375%, 07/17/19 |
0.038
|
07/17/2019
|
250,000
|
252,787
|
| CREDIT SUISSE FIRST 5.137% 08/15/36 |
5.137
|
08/15/2036
|
393,189
|
395,042
|
| HSBC HOME EQUITY LOA 0.4632% 01/20/35 |
0.463
|
01/20/2035
|
331,016
|
327,837
|
| HOME EQUITY ASSET TR 0.3142% 07/25/37 |
0.314
|
07/25/2037
|
57,618
|
57,192
|
| PARK PLACE SECURITIE 1.2542% 12/25/34 |
1.254
|
12/25/2034
|
504,889
|
504,971
|
| ALTERNATIVE LOAN TRU 0.7542% 07/25/33 |
0.754
|
07/25/2033
|
234,496
|
232,920
|
| HONDA AUTO RECEIVABL 0.35% 06/22/15 |
0.35
|
06/22/2015
|
1,375,000
|
1,374,612
|
| NELNET STUDENT LOAN 0.451% 01/25/21 |
0.451
|
01/25/2021
|
94,279
|
94,291
|
| WOLVERINE WORLD WIDE L+4%, 05/01/19 |
4.0
|
05/01/2019
|
812,080
|
822,231
|
| ADJUSTABLE RATE MORT 2.7530% 01/25/35 |
2.753
|
01/25/2035
|
631,515
|
626,153
|
| FANNIE MAE REMICS 0.5042% 11/25/34 |
0.504
|
11/25/2034
|
152,260
|
152,559
|
| ARI FLEET LEASE TRUS 0.7532% 03/15/20 |
0.753
|
03/15/2020
|
325,573
|
326,597
|
| BEAR STEARNS ASSET B 0.7042% 08/25/35 |
0.704
|
08/25/2035
|
1,105,389
|
1,100,314
|
| FANNIE MAE REMICS 0.7042% 04/25/42 |
0.704
|
04/25/2042
|
573,826
|
581,077
|
| SEQUOIA MORTGAGE TRU 0.8432% 01/20/34 |
0.843
|
01/20/2034
|
652,771
|
613,751
|
| WACHOVIA BANK COMMER 5.09% 07/15/42 |
5.09
|
07/15/2042
|
51,464
|
52,036
|
| PARK PLACE SECURITIE 1.1417% 10/25/34 |
1.142
|
10/25/2034
|
582,380
|
569,090
|
| PRIVATE EXPORT FUNDI 4.974% 08/15/13 |
4.974
|
08/15/2013
|
1,500,000
|
1,527,432
|
| ASSET BACKED SECURIT 0.4042% 01/25/36 |
0.404
|
01/25/2036
|
1,242,864
|
1,159,547
|
| GOLDEN CREDIT CARD T 0.6032% 10/15/15 |
0.603
|
10/15/2015
|
250,000
|
250,025
|
| NOMURA ASSET ACCEPTA 4.786% 03/25/35 |
4.786
|
03/25/2035
|
164,317
|
165,862
|
| MASTR ASSET SECURITI 4.75% 01/25/14 |
4.75
|
01/25/2014
|
1,592
|
1,599
|
| FREDDIE MAC REMICS 0.4531% 07/15/21 |
0.453
|
07/15/2021
|
562,771
|
562,987
|
| AMERICAN EXPRESS CRE 0.8032% 11/16/15 |
0.803
|
11/16/2015
|
780,000
|
780,164
|
| CITIGROUP INC 5.5% 04/11/13 |
5.5
|
04/11/2013
|
3,410,000
|
3,413,976
|
| GE BUSINESS LOAN TRU 0.4232% 12/15/32 |
0.423
|
12/15/2032
|
1,361,938
|
1,298,626
|
| ACE SECURITIES CORP 0.6742% 08/25/35 |
0.674
|
08/25/2035
|
462,139
|
461,565
|
| IMPAC CMB TRUST SERI 0.9442% 11/25/34 |
0.944
|
11/25/2034
|
1,443,248
|
1,385,247
|
| BEAR STEARNS ALT-A T 0.9042% 09/25/34 |
0.904
|
09/25/2034
|
1,328,801
|
1,300,419
|
| WELLS FARGO MORTGAGE 5.0017% 04/25/35 |
5.002
|
04/25/2035
|
82,068
|
83,658
|
| JPMORGAN CHASE & CO 1.102% 01/24/14 |
1.102
|
01/24/2014
|
1,250,000
|
1,257,489
|
| HARRIS COUNTY HE 0.14% 12/01/41 |
0.14
|
12/01/2041
|
4,100,000
|
4,100,000
|
| GOODYEAR TIRE & RUBB L+4.75%, 03/27/19 |
4.75
|
03/27/2019
|
600,000
|
607,495
|
| EVERGLADES RE LTD 0% 03/28/16 |
0.0
|
03/28/2016
|
500,000
|
500,000
|
| BANK OF NEW YORK MEL 0.532% 10/23/15 |
0.532
|
10/23/2015
|
485,000
|
485,378
|
| STRUCTURED ADJUSTABL 0.6042% 06/25/35 |
0.604
|
06/25/2035
|
106,763
|
106,323
|
| GOVERNMENT NATIONAL 0.6032% 02/20/38 |
0.603
|
02/20/2038
|
454,188
|
455,320
|
| AMERICAN EXPRESS CO 4.875% 07/15/13 |
4.875
|
07/15/2013
|
1,370,000
|
1,387,129
|
| ASCENTIUM EQUIPMENT 1.83% 09/15/19 |
1.83
|
09/15/2019
|
405,625
|
405,584
|
| CITY CENTER TRUST 20 4.65% 07/15/28 |
4.65
|
07/15/2028
|
950,000
|
955,310
|
| ISS A/S L+2.75%, 03/26/18 |
2.75
|
03/26/2018
|
1,000,000
|
997,500
|
| CRUSADE GLOBAL TRUST 0.3501% 11/15/37 |
0.35
|
11/15/2037
|
2,295,748
|
2,240,343
|
| UNIFRAX CORP L+4.25%, 12/31/19 |
4.25
|
12/31/2019
|
997,500
|
1,008,722
|
| CONVATEC INC L+5%, 12/01/16 |
5.0
|
12/01/2016
|
750,000
|
763,360
|
| BRFKREDIT A/S 2.05% 04/15/13 |
2.05
|
04/15/2013
|
1,000,000
|
1,000,610
|
| OXFORD FINANCE FUNDI 3.9% 03/15/17 |
3.9
|
03/15/2017
|
1,829,064
|
1,845,068
|
| AMERIQUEST MORTGAGE 0.4242% 01/25/36 |
0.424
|
01/25/2036
|
445,939
|
442,104
|
| EXETER AUTOMOBILE RE 3.06% 07/16/18 |
3.06
|
07/16/2018
|
1,000,000
|
1,013,775
|
| CALPINE CORP L+4%, 09/27/19 |
4.0
|
09/27/2019
|
771,811
|
778,966
|
| DUKE ENERGY CORP 5.65% 06/15/13 |
5.65
|
06/15/2013
|
1,341,000
|
1,354,752
|
| HOMESTAR MORTGAGE AC 0.5542% 06/25/34 |
0.554
|
06/25/2034
|
1,533,779
|
1,519,153
|
| COUNTRYWIDE ASSET-BA 0.4442% 04/25/36 |
0.444
|
04/25/2036
|
2,137,677
|
2,121,196
|
| FREDDIE MAC REMICS 0.5432% 05/15/35 |
0.543
|
05/15/2035
|
1,218,823
|
1,222,442
|
| GOVERNMENT NATIONAL 0.4032% 01/16/33 |
0.403
|
01/16/2033
|
1,585,209
|
1,593,278
|
| NORTHEAST UTILITIES 1.0301% 09/20/13 |
1.03
|
09/20/2013
|
3,222,000
|
3,232,372
|
| JP MORGAN MORTGAGE A 0.4242% 10/25/35 |
0.424
|
10/25/2035
|
1,797,396
|
1,738,440
|
| EAST LANE RE V LTD 0% 03/16/16 |
0.0
|
03/16/2016
|
250,000
|
270,225
|
| SOUNDVIEW HOME LOAN 0.6542% 05/25/35 |
0.654
|
05/25/2035
|
1,226,629
|
1,221,839
|
| WARNER CHILCOTT CORP L+4.25%, 03/17/18 |
4.25
|
03/17/2018
|
125,573
|
127,457
|
| GE BUSINESS LOAN TRU 0.3732% 04/16/35 |
0.373
|
04/16/2035
|
2,394,111
|
2,198,254
|
| PAR PHARMACEUTICAL C L+4.25%, 09/28/19 |
4.25
|
09/28/2019
|
746,255
|
755,502
|
| FREDDIE MAC REMICS 0.8032% 11/15/31 |
0.803
|
11/15/2031
|
313,853
|
316,835
|
| SEQUOIA MORTGAGE TRU 1.2459% 06/20/33 |
1.246
|
06/20/2033
|
718,254
|
716,742
|
| SENSATA TECHNOLOGIES L+3.75%, 04/29/18 |
3.75
|
04/29/2018
|
98,500
|
99,804
|
| SIX FLAGS ENTERTAINM L+4.0005%, 11/23/18 |
4.0
|
11/23/2018
|
540,216
|
545,568
|
| MSDWCC HELOC TRUST 2 0.7242% 04/25/16 |
0.724
|
04/25/2016
|
315,682
|
313,944
|
| CHASE ISSUANCE TRUST 1.5032% 08/15/15 |
1.503
|
08/15/2015
|
2,650,000
|
2,663,390
|
| GRIFOLS INC L+4.25%, 06/04/17 |
4.25
|
06/04/2017
|
815,191
|
824,725
|
| NORDEA BANK FINLAND 0.7705% 01/27/14 |
0.771
|
01/27/2014
|
1,000,000
|
1,003,803
|
| QUEEN STREET IV CAPI 0% 04/09/15 |
0.0
|
04/09/2015
|
500,000
|
504,700
|
| CHL MORTGAGE PASS-TH 5.25% 06/25/34 |
5.25
|
06/25/2034
|
867,746
|
895,565
|
| COMM 2006-FL12 MORTG 0.3332% 12/15/20 |
0.333
|
12/15/2020
|
3,365,000
|
3,224,528
|
| MRFC MORTGAGE PASS-T 0.6432% 12/15/30 |
0.643
|
12/15/2030
|
985,777
|
954,340
|
| GENERAL ELECTRIC CAP 1.1891% 05/22/13 |
1.189
|
05/22/2013
|
365,000
|
365,562
|
| COMPASS RE LTD 0% 01/08/15 |
0.0
|
01/08/2015
|
1,000,000
|
1,036,100
|
| HOME EQUITY ASSET TR 0.3142% 03/25/37 |
0.314
|
03/25/2037
|
263,083
|
254,964
|
| ELLINGTON LOAN ACQUI 1.2042% 05/26/37 |
1.204
|
05/26/2037
|
1,101,939
|
1,105,665
|
| WIDEOPENWEST LLC L+6.25%, 04/18/18 |
6.25
|
04/18/2018
|
299,248
|
303,438
|
| COUNTRYWIDE ASSET-BA 0.8841% 06/25/33 |
0.884
|
06/25/2033
|
205,118
|
200,408
|
| NCUA GUARANTEED NOTE 0.7332% 03/09/21 |
0.733
|
03/09/2021
|
1,822,104
|
1,826,971
|
| WELLS FARGO MORTGAGE 4.9395% 08/25/34 |
4.94
|
08/25/2034
|
1,818,360
|
1,871,054
|
| STRUCTURED ASSET SEC 2.7652% 10/25/33 |
2.765
|
10/25/2033
|
377,260
|
384,039
|
| FANNIE MAE REMICS 0.5242% 11/25/36 |
0.524
|
11/25/2036
|
584,995
|
587,185
|
| FANNIE MAE REMICS 0.9042% 01/25/32 |
0.904
|
01/25/2032
|
680,684
|
688,675
|
| STRUCTURED ASSET SEC 0.3542% 05/25/37 |
0.354
|
05/25/2037
|
327,090
|
321,963
|
| RPI FINANCE TRUST L+3.5%, 05/10/18 |
3.5
|
05/10/2018
|
541,957
|
548,280
|
| COUNTRYWIDE ASSET-BA 1.1042% 05/25/35 |
1.104
|
05/25/2035
|
1,656,429
|
1,633,072
|
| METROPOLITAN LIFE GL 5.125% 04/10/13 |
5.125
|
04/10/2013
|
1,130,000
|
1,131,063
|
| HSBC HOME EQUITY LOA 1.3532% 11/20/36 |
1.353
|
11/20/2036
|
100,000
|
98,541
|
| CITIGROUP COMMERCIAL 0.4531% 04/15/22 |
0.453
|
04/15/2022
|
301,158
|
287,690
|
| DEL MONTE FOODS CO L+4%, 02/03/18 |
4.0
|
02/03/2018
|
498,750
|
503,686
|
| ORES NPL LLC 4% 09/25/44 |
4.0
|
09/25/2044
|
2,292,755
|
2,294,651
|
| SANTANDER DRIVE AUTO 2.06% 06/15/17 |
2.06
|
06/15/2017
|
124,866
|
125,754
|
| FANNIE MAE REMICS 0.7542% 05/25/40 |
0.754
|
05/25/2040
|
1,923,934
|
1,935,712
|
| FANNIE MAE REMICS 0.8542% 04/25/30 |
0.854
|
04/25/2030
|
231,458
|
233,294
|
| PHILIP MORRIS INTERN 0.3371% 02/26/15 |
0.337
|
02/26/2015
|
1,500,000
|
1,501,155
|
| COMBINE RE LTD 0% 01/07/15 |
0.0
|
01/07/2015
|
500,000
|
513,250
|
| EMERGENCY MEDICAL SE L+4%, 04/05/18 |
4.0
|
04/05/2018
|
1,271,762
|
1,279,393
|
| DELTA FUNDING HOME E 7.04% 06/25/27 |
7.04
|
06/25/2027
|
1,709
|
1,795
|
| AEROFLEX INC L+5.75%, 04/25/18 |
5.75
|
04/25/2018
|
131,559
|
134,135
|
| JP MORGAN MORTGAGE A 5.453% 11/25/36 |
5.453
|
11/25/2036
|
152,105
|
151,773
|
| PQ CORP L+0.035%, 08/07/17 |
0.035
|
08/07/2017
|
947,625
|
958,878
|
| FEDERAL FARM CREDIT 0.2259% 07/29/13 |
0.226
|
07/29/2013
|
5,000,000
|
5,002,170
|
| NORTHSTAR 2012-1 MOR 4.449% 08/25/29 |
4.449
|
08/25/2029
|
1,000,000
|
1,016,717
|
| AVIS BUDGET CAR RENT L+0.0275%, 03/15/19 |
0.028
|
03/15/2019
|
548,620
|
555,473
|
| GENERAL ELECTRIC CAP 0.905% 01/08/16 |
0.905
|
01/08/2016
|
1,000,000
|
1,004,932
|
| DEL CORONADO TRUST 1.503% 03/15/26 |
1.503
|
03/15/2026
|
1,460,000
|
1,460,000
|
| FORD CREDIT FLOORPLA 0.5532% 09/15/16 |
0.553
|
09/15/2016
|
2,075,000
|
2,079,003
|
| HARBORVIEW MORTGAGE 1.3287% 06/19/34 |
1.329
|
06/19/2034
|
341,810
|
337,462
|
| AMERICAN CREDIT ACCE 1.6399% 11/15/16 |
1.64
|
11/15/2016
|
1,105,180
|
1,105,110
|
| FREDDIE MAC REMICS 5.5% 05/15/33 |
5.5
|
05/15/2033
|
143,693
|
147,158
|
| FEDERAL HOME LOAN BA 0.18% 01/02/14 |
0.18
|
01/02/2014
|
3,600,000
|
3,602,142
|
| FREDDIE MAC REMICS 0.5532% 12/15/32 |
0.553
|
12/15/2032
|
323,157
|
323,600
|
| FREDDIE MAC REMICS 0.5532% 07/15/40 |
0.553
|
07/15/2040
|
1,065,517
|
1,064,336
|
| FANNIE MAE REMICS 0.5042% 10/25/35 |
0.504
|
10/25/2035
|
80,461
|
80,439
|
| S2 HOSPITALITY LLC 4.5% 04/15/25 |
4.5
|
04/15/2025
|
268,785
|
268,852
|
| GENERAL ELECTRIC CAP 1.002% 04/24/14 |
1.002
|
04/24/2014
|
200,000
|
201,424
|
| FEDERAL HOME LOAN BA 0.34% 04/12/13 |
0.34
|
04/12/2013
|
3,000,000
|
3,000,183
|
| GE BUSINESS LOAN TRU 0.3832% 11/15/34 |
0.383
|
11/15/2034
|
1,841,918
|
1,700,682
|
| B&G FOODS INC L+4.00316%, 11/30/18 |
4.003
|
11/30/2018
|
74,063
|
75,220
|
| METROPOLITAN LIFE GL 2% 01/10/14 |
2.0
|
01/10/2014
|
520,000
|
525,764
|
| CAPITAL AUTO RECEIVA 0.4699% 03/20/15 |
0.47
|
03/20/2015
|
1,750,000
|
1,748,436
|
| WINDSTREAM CORP L+3.5%, 01/08/20 |
3.5
|
01/08/2020
|
748,125
|
756,541
|
| HLSS SERVICER ADVANC 2.487% 01/15/44 |
2.487
|
01/15/2044
|
500,000
|
501,400
|
| HONDA AUTO RECEIVABL 1.9799% 05/23/16 |
1.98
|
05/23/2016
|
259,641
|
259,893
|
| LEHMAN XS TRUST SERI 0.4642% 11/25/35 |
0.464
|
11/25/2035
|
82,757
|
82,505
|
| FANNIE MAE REMICS 0.8042% 11/25/31 |
0.804
|
11/25/2031
|
691,336
|
693,436
|
| STRUCTURED ASSET MOR 0.9032% 03/19/34 |
0.903
|
03/19/2034
|
1,012,294
|
985,241
|
| MORGAN STANLEY 2.7921% 05/14/13 |
2.792
|
05/14/2013
|
100,000
|
100,262
|
| CARNOW AUTO RECEIVAB 2.09% 01/15/15 |
2.09
|
01/15/2015
|
103,642
|
103,678
|
| FREDDIE MAC REMICS 0.6032% 07/15/36 |
0.603
|
07/15/2036
|
119,523
|
119,840
|
| FEDERAL FARM CREDIT 0.42% 03/17/14 |
0.42
|
03/17/2014
|
6,000,000
|
6,014,430
|
| WAMU MORTGAGE PASS T 2.4899% 12/25/35 |
2.49
|
12/25/2035
|
1,463,147
|
1,419,305
|
| COUNTRYWIDE ASSET-BA 0.5942% 11/25/34 |
0.594
|
11/25/2034
|
847,949
|
824,146
|
| TOTAL CAPITAL CANADA 0.683% 01/15/16 |
0.683
|
01/15/2016
|
2,520,000
|
2,531,166
|
| FANNIE MAE REMICS 1.0187% 09/25/20 |
1.019
|
09/25/2020
|
69,593
|
70,086
|
| FREDDIE MAC REMICS 0.4531% 03/15/37 |
0.453
|
03/15/2037
|
4,097,487
|
4,093,516
|
| PERMANENT MASTER ISS 1.804% 07/15/42 |
1.804
|
07/15/2042
|
2,500,000
|
2,511,914
|
| BMW VEHICLE LEASE TR 0.4% 01/20/15 |
0.4
|
01/20/2015
|
1,495,000
|
1,494,007
|
| CHESAPEAKE FUNDING L 0.9532% 11/07/23 |
0.953
|
11/07/2023
|
2,000,000
|
2,008,488
|
| CREDIT SUISSE FIRST 0.9442% 06/25/34 |
0.944
|
06/25/2034
|
352,836
|
346,649
|
| CROWN CASTLE INTERNA L+4%, 01/10/19 |
4.0
|
01/10/2019
|
123,438
|
125,042
|
| ACCO BRANDS CORP L+4.25%, 01/04/19 |
4.25
|
01/04/2019
|
96,491
|
97,878
|
| SWIFT TRANSPORTATION L+3.0512%, 12/21/16 |
3.051
|
12/21/2016
|
180,952
|
182,762
|
| FIFTH THIRD BANCORP 0.7001% 12/20/16 |
0.7
|
12/20/2016
|
1,000,000
|
984,428
|
| FREDDIE MAC REMICS 0.5032% 11/15/18 |
0.503
|
11/15/2018
|
510,936
|
511,764
|
| ABFC 2005-WF1 TRUST 0.5142% 12/25/34 |
0.514
|
12/25/2034
|
887,890
|
866,009
|
| HOME EQUITY ASSET TR 0.6742% 12/25/35 |
0.674
|
12/25/2035
|
3,404,000
|
3,336,237
|
| SALOMON BROTHERS MOR 0.6842% 03/25/28 |
0.684
|
03/25/2028
|
170,647
|
166,435
|
| GENERAL ELECTRIC CAP 1.155% 01/07/14 |
1.155
|
01/07/2014
|
822,000
|
827,395
|
| AUDIO VISUAL SERVICE L+6.75%, 10/11/18 |
6.75
|
10/11/2018
|
498,750
|
502,491
|
| FIRST HORIZON MORTGA 2.623% 09/25/33 |
2.623
|
09/25/2033
|
1,009,206
|
1,012,887
|
| COUNTRYWIDE HOME EQU 0.4632% 06/15/29 |
0.463
|
06/15/2029
|
595,760
|
582,519
|
| BEAR STEARNS ASSET B 1.3042% 10/25/33 |
1.304
|
10/25/2033
|
410,064
|
373,296
|
| BB&T CORP 1.0005% 04/28/14 |
1.001
|
04/28/2014
|
1,573,000
|
1,582,238
|
| FREDDIE MAC REMICS 4% 12/15/22 |
4.0
|
12/15/2022
|
655,321
|
668,811
|
| COMBINE RE LTD 0% 01/07/15 |
0.0
|
01/07/2015
|
1,500,000
|
1,610,850
|
| ABFC 2003-WMC1 TRUST 2.9792% 03/25/33 |
2.979
|
03/25/2033
|
202,562
|
180,356
|
| FANNIE MAE REMICS 0.7542% 01/25/40 |
0.754
|
01/25/2040
|
688,719
|
695,888
|
| TELESAT CANADA L+5.5%, 03/28/19 |
5.5
|
03/28/2019
|
372,188
|
375,675
|
| BAYVIEW FINANCIAL MO 0.6537% 04/28/39 |
0.654
|
04/28/2039
|
1,839,351
|
1,804,199
|
| THORNBURG MORTGAGE S 1.8215% 03/25/44 |
1.822
|
03/25/2044
|
393,354
|
391,588
|
| JP MORGAN CHASE COMM 0.3582% 05/15/47 |
0.358
|
05/15/2047
|
200,000
|
198,958
|
| WAUPACA FOUNDRY INC L+5.75%, 06/29/17 |
5.75
|
06/29/2017
|
1,000,000
|
1,015,000
|
| FANNIE MAE REMICS 0.9042% 02/25/38 |
0.904
|
02/25/2038
|
662,605
|
667,334
|
| WMG ACQUISITION CORP L+5.25%, 10/25/18 |
5.25
|
10/25/2018
|
493,750
|
503,008
|
| FANNIE MAE REMICS 6% 03/25/35 |
6.0
|
03/25/2035
|
313,214
|
329,798
|
| GETTY IMAGES INC L+4.75%, 09/17/19 |
4.75
|
09/17/2019
|
423,938
|
430,864
|
| FIRST FRANKIN MORTGA 0.5742% 07/25/35 |
0.574
|
07/25/2035
|
910,581
|
903,121
|
| EMDEON INC L+5%, 11/02/18 |
5.0
|
11/02/2018
|
644,430
|
653,896
|
| BEAR STEARNS ASSET B 0.6042% 08/25/43 |
0.604
|
08/25/2043
|
120,056
|
117,916
|
| FHLMC POOL #E00724 7.0000% 06/01/14 |
7.0
|
06/01/2014
|
4,759
|
4,863
|
| GOLDMAN SACHS GROUP 1.2891% 11/21/14 |
1.289
|
11/21/2014
|
1,000,000
|
1,004,900
|
| FIFTH THIRD BANK/CIN 0.4001% 05/17/13 |
0.4
|
05/17/2013
|
1,900,000
|
1,899,970
|
| FANNIE MAE REMICS 5% 08/25/35 |
5.0
|
08/25/2035
|
19,844
|
19,984
|
| SAMSON INVESTMENT CO L+6%, 09/10/16 |
6.0
|
09/10/2016
|
300,000
|
304,350
|
| VERICREST OPPORTUNIT 2.4871% 02/26/52 |
2.487
|
02/26/2052
|
2,937,319
|
2,945,837
|
| MADISON AVENUE MANUF 2.4542% 03/25/32 |
2.454
|
03/25/2032
|
500,000
|
502,786
|
| ALTERNATIVE LOAN TRU 5.125% 03/25/34 |
5.125
|
03/25/2034
|
650,062
|
658,221
|
| HOME EQUITY MORTGAGE 0.4741% 10/25/35 |
0.474
|
10/25/2035
|
349,731
|
340,545
|
| FREDDIE MAC REMICS 0.5532% 05/15/29 |
0.553
|
05/15/2029
|
205,194
|
205,032
|
| MGM RESORTS INTERNAT L+4.25%, 12/13/19 |
4.25
|
12/13/2019
|
1,246,875
|
1,269,364
|
| SANTANDER DRIVE AUTO 3.35% 06/15/17 |
3.35
|
06/15/2017
|
330,396
|
332,973
|
| LIVE NATION ENTERTAI L+4.5%, 10/20/16 |
4.5
|
10/20/2016
|
494,908
|
499,440
|
| STRUCTURED ASSET SEC 0.2642% 05/25/47 |
0.264
|
05/25/2047
|
477,422
|
468,115
|
| TWCC HOLDING CORP L+2.75%, 02/11/17 |
2.75
|
02/11/2017
|
98,318
|
99,813
|
| MERRILL LYNCH MORTGA 0.5342% 11/25/29 |
0.534
|
11/25/2029
|
3,997,024
|
3,822,730
|
| PRESTIGE AUTO RECEIV 1.23% 12/15/15 |
1.23
|
12/15/2015
|
860,015
|
863,189
|
| JOHN DEERE CAPITAL C 0.451% 04/25/14 |
0.451
|
04/25/2014
|
897,000
|
898,334
|
| ALKERMES INC L+4.5%, 09/25/19 |
4.5
|
09/25/2019
|
945,250
|
950,370
|
| HOLMES MASTER ISSUER 1.854% 10/21/54 |
1.854
|
10/21/2054
|
2,500,000
|
2,539,613
|
| CITIGROUP MORTGAGE L 6.5% 06/25/16 |
6.5
|
06/25/2016
|
26,738
|
27,338
|
| RIVERBED TECHNOLOGY L+4%, 10/29/19 |
4.0
|
10/29/2019
|
1,689,080
|
1,710,193
|
| MEDALLION TRUST SERI 0.3266% 02/27/39 |
0.327
|
02/27/2039
|
1,020,104
|
1,015,443
|
| CAELUS RE II LTD 0% 05/24/13 |
0.0
|
05/24/2013
|
2,080,000
|
2,093,104
|
| MERRILL LYNCH MORTGA 2.3979% 01/25/29 |
2.398
|
01/25/2029
|
959,523
|
948,554
|
| JP MORGAN CHASE COMM 5.45% 12/12/43 |
5.45
|
12/12/2043
|
30,105
|
30,101
|
| MISSISSIPPI BUSINESS 0.13% 12/01/30 |
0.13
|
12/01/2030
|
1,860,000
|
1,860,000
|
| COMMSCOPE INC L+3.75%, 01/14/18 |
3.75
|
01/14/2018
|
248,101
|
250,889
|
| AEGIS ASSET BACKED S 0.7442% 03/25/35 |
0.744
|
03/25/2035
|
80,316
|
80,152
|
| ELLINGTON LOAN ACQUI 1.1042% 05/25/37 |
1.104
|
05/25/2037
|
978,664
|
963,814
|
| FANNIE MAE REMICS 0.8042% 08/25/32 |
0.804
|
08/25/2032
|
157,362
|
158,872
|
| GE CAPITAL COMMERCIA 5.145% 07/10/37 |
5.145
|
07/10/2037
|
1,169,674
|
1,175,674
|
| FANNIE MAE REMICS 0.6042% 06/25/23 |
0.604
|
06/25/2023
|
188,165
|
188,658
|
| LANGUAGE LINE SERVIC L+6.25%, 05/30/16 |
6.25
|
05/30/2016
|
498,640
|
496,355
|
| GOLDEN STATE RE LTD 0% 01/08/15 |
0.0
|
01/08/2015
|
750,000
|
768,750
|
| ALLIANT INSURANCE SE L+5%, 12/07/19 |
5.0
|
12/07/2019
|
250,000
|
253,047
|
| FANNIE MAE REMICS 0.7542% 12/25/49 |
0.754
|
12/25/2049
|
594,468
|
598,429
|
| LOUISIANA PUBLIC FAC 1% 04/26/27 |
1.0
|
04/26/2027
|
1,250,000
|
1,262,675
|
| GOLDMAN SACHS GROUP 0.7341% 03/22/16 |
0.734
|
03/22/2016
|
2,000,000
|
1,977,234
|
| AMERICAN EXPRESS CRE 0.3232% 06/15/16 |
0.323
|
06/15/2016
|
100,000
|
100,040
|
| DAVITA HEALTHCARE PA L+4%, 08/01/19 |
4.0
|
08/01/2019
|
748,125
|
756,834
|
| APEX TOOL GROUP LLC L+4.5%, 02/01/20 |
4.5
|
02/01/2020
|
1,250,000
|
1,269,531
|
| MERRILL LYNCH & CO I 6.15% 04/25/13 |
6.15
|
04/25/2013
|
3,502,000
|
3,514,285
|
| FREDDIE MAC REMICS 1.3% 03/15/24 |
1.3
|
03/15/2024
|
2,289,395
|
2,332,014
|
| FANNIE MAE REMICS 0.5042% 03/25/36 |
0.504
|
03/25/2036
|
328,771
|
329,823
|
| HSBC BANK PLC 1.103% 01/17/14 |
1.103
|
01/17/2014
|
3,520,000
|
3,540,592
|
| WACHOVIA CORP 2.0685% 05/01/13 |
2.069
|
05/01/2013
|
1,725,000
|
1,727,417
|
| FANNIE MAE REMICS 1.1187% 09/25/21 |
1.119
|
09/25/2021
|
128,329
|
129,887
|
| FREDDIE MAC REMICS 5.5% 03/15/32 |
5.5
|
03/15/2032
|
50,363
|
51,019
|
| PARK PLACE SECURITIE 0.8242% 10/25/34 |
0.824
|
10/25/2034
|
939,517
|
937,986
|
| TRITON CONTAINER FIN 0.34% 02/26/19 |
0.34
|
02/26/2019
|
308,344
|
305,685
|
| FANNIE MAE REMICS 0.6542% 06/25/37 |
0.654
|
06/25/2037
|
203,571
|
204,934
|
| MASTR ADJUSTABLE RAT 0.3642% 01/25/47 |
0.364
|
01/25/2047
|
1,666,789
|
1,660,901
|
| RAMP SERIES 2006-EFC 0.4042% 02/25/36 |
0.404
|
02/25/2036
|
112,058
|
109,106
|
| LB-UBS COMMERCIAL MO 4.568% 01/15/31 |
4.568
|
01/15/2031
|
887,089
|
909,409
|
| FIRST FRANKLIN MORTG 0.4642% 11/25/36 |
0.464
|
11/25/2036
|
417,167
|
404,989
|
| STRUCTURED ASSET INV 0.4042% 01/25/36 |
0.404
|
01/25/2036
|
1,760,265
|
1,718,263
|
| ACE SECURITIES CORP 2.0042% 10/25/32 |
2.004
|
10/25/2032
|
1,604,498
|
1,573,444
|
| FEDERAL FARM CREDIT 0.42% 05/29/14 |
0.42
|
05/29/2014
|
1,000,000
|
1,002,891
|
| FREDDIE MAC REMICS 0.6032% 06/15/33 |
0.603
|
06/15/2033
|
975,960
|
978,053
|
| CNO FINANCIAL GROUP L+5%, 09/04/18 |
5.0
|
09/04/2018
|
477,883
|
485,947
|
| PACCAR FINANCIAL COR 0.6537% 04/05/13 |
0.654
|
04/05/2013
|
2,863,000
|
2,863,117
|
| FANNIE MAE TRUST 200 0.5542% 09/25/42 |
0.554
|
09/25/2042
|
960,016
|
945,850
|
| FANNIE MAE REMICS 0.4941% 07/25/36 |
0.494
|
07/25/2036
|
451,313
|
451,912
|
| NCUA GUARANTEED NOTE 0.6022% 03/11/20 |
0.602
|
03/11/2020
|
1,411,382
|
1,415,792
|
| HOLOGIC INC L+4.5%, 04/29/19 |
4.5
|
04/29/2019
|
1,144,250
|
1,161,533
|
| BEAR STEARNS ARM TRU 3.1292% 07/25/34 |
3.129
|
07/25/2034
|
506,783
|
491,961
|
| HERTZ CORP/THE L+3.75%, 03/11/18 |
3.75
|
03/11/2018
|
748,125
|
759,502
|
| REGIONALCARE HOSPITA L+0.0575%, 11/04/18 |
0.058
|
11/04/2018
|
498,750
|
507,478
|
| CITIGROUP INC 1.0844% 04/01/16 |
1.084
|
04/01/2016
|
1,325,000
|
1,325,771
|
| FREDDIE MAC REMICS 0.6032% 11/15/40 |
0.603
|
11/15/2040
|
955,353
|
961,064
|
| FANNIE MAE REMICS 0.7542% 12/25/30 |
0.754
|
12/25/2030
|
133,585
|
134,616
|
| HSBC HOME EQUITY LOA 0.3932% 07/20/36 |
0.393
|
07/20/2036
|
515,055
|
503,931
|
| GOVERNMENT NATIONAL 0.6032% 10/20/38 |
0.603
|
10/20/2038
|
1,260,140
|
1,263,956
|
| GOVERNMENT NATIONAL 4.5% 02/16/34 |
4.5
|
02/16/2034
|
204,468
|
205,207
|
| PNC BANK NA 0.6105% 01/28/16 |
0.611
|
01/28/2016
|
750,000
|
751,269
|
| BAYVIEW FINANCIAL AC 0.7887% 08/28/44 |
0.789
|
08/28/2044
|
575,477
|
564,018
|
| ALLY AUTO RECEIVABLE 1.11% 01/15/15 |
1.11
|
01/15/2015
|
497,586
|
498,361
|
| MORGAN STANLEY RE-RE 0.4998% 07/26/36 |
0.5
|
07/26/2036
|
1,174,277
|
1,166,114
|
| GE DEALER FLOORPLAN 1.1032% 06/20/17 |
1.103
|
06/20/2017
|
500,000
|
500,000
|
| ROYAL BANK OF CANADA 0.4870% 09/03/13 |
0.487
|
09/03/2013
|
1,550,000
|
1,551,993
|
| IMPAC CMB TRUST SERI 0.6142% 08/25/34 |
0.614
|
08/25/2034
|
686,915
|
676,568
|
| EAST LANE RE LTD 0% 03/13/15 |
0.0
|
03/13/2015
|
2,100,000
|
2,186,310
|
| RALI SERIES 2003-QS5 0.6542% 03/25/18 |
0.654
|
03/25/2018
|
2,098,144
|
2,041,975
|
| FANNIE MAE REMIC TRU 0.5342% 04/25/37 |
0.534
|
04/25/2037
|
1,016,580
|
1,019,203
|
| US BANK NA/CINCINNAT 0.585% 10/14/14 |
0.585
|
10/14/2014
|
1,425,000
|
1,428,055
|
| FEDERAL HOME LOAN BA 0.14% 08/22/13 |
0.14
|
08/22/2013
|
7,000,000
|
7,001,470
|
| DELTA AIR LINES INC L+5.25%, 09/28/18 |
5.25
|
09/28/2018
|
750,000
|
762,891
|
| LEHMAN BROTHERS SMAL 0.4342% 04/25/31 |
0.434
|
04/25/2031
|
1,165,480
|
1,004,832
|
| ALTERNATIVE LOAN TRU 4.25% 04/25/34 |
4.25
|
04/25/2034
|
1,314,531
|
1,322,722
|
| ALLY AUTO RECEIVABLE 0.79% 09/15/15 |
0.79
|
09/15/2015
|
659,858
|
661,113
|
| RFSC SERIES 2003-RP2 1.2042% 07/25/41 |
1.204
|
07/25/2041
|
2,000,000
|
1,950,468
|
| BLUE DANUBE LTD 10.9302% 04/10/15 |
10.93
|
04/10/2015
|
945,000
|
1,012,757
|
| IXIS REAL ESTATE CAP 0.5442% 02/25/36 |
0.544
|
02/25/2036
|
76,412
|
74,160
|
| FREDDIE MAC REMICS 6% 04/15/36 |
6.0
|
04/15/2036
|
160,784
|
160,791
|
| CENTEX HOME EQUITY L 3.6539% 03/25/33 |
3.654
|
03/25/2033
|
752,418
|
751,403
|
| LB-UBS COMMERCIAL MO 4.664% 07/15/30 |
4.664
|
07/15/2030
|
327,306
|
332,685
|
| FIRST FRANKLIN MORTG 0.7442% 09/25/34 |
0.744
|
09/25/2034
|
152,686
|
152,004
|
| GLOBAL MORTGAGE SECU 0.5242% 11/25/32 |
0.524
|
11/25/2032
|
217,589
|
202,701
|
| ARL FIRST LLC 1.9532% 12/15/42 |
1.953
|
12/15/2042
|
1,610,265
|
1,643,477
|
| SEQUOIA MORTGAGE TRU 0.9247% 11/22/24 |
0.925
|
11/22/2024
|
292,501
|
289,995
|
| KABEL DEUTSCHLAND VE L+3.5%, 02/01/19 |
3.5
|
02/01/2019
|
650,000
|
654,120
|
| CREDIT SUISSE FIRST 4.9% 12/15/36 |
4.9
|
12/15/2036
|
1,393,701
|
1,408,038
|
| GMACM MORTGAGE LOAN 3.5564% 06/19/35 |
3.556
|
06/19/2035
|
260,482
|
261,253
|
| SPRINGLEAF MORTGAGE 1.5700% 12/25/59 |
1.57
|
12/25/2059
|
902,769
|
905,590
|
| AMERISTAR CASINOS IN L+4%, 03/29/18 |
4.0
|
03/29/2018
|
98,492
|
99,431
|
| VODAFONE GROUP PLC 0.6751% 02/19/16 |
0.675
|
02/19/2016
|
1,150,000
|
1,148,871
|
| WELLS FARGO & CO 1.39% 06/26/15 |
1.39
|
06/26/2015
|
1,500,000
|
1,519,607
|
| FREDDIE MAC REMICS 0.5032% 02/15/25 |
0.503
|
02/15/2025
|
943,443
|
945,909
|
| CATERPILLAR FINANCIA 0.5266% 02/26/16 |
0.527
|
02/26/2016
|
1,500,000
|
1,501,311
|
| FEDERAL NATIONAL MOR 0.4% 10/25/13 |
0.4
|
10/25/2013
|
2,000,000
|
2,002,896
|
| FEDERAL HOME LOAN BA 0.22% 11/15/13 |
0.22
|
11/15/2013
|
1,000,000
|
1,000,462
|
| FREDDIE MAC REMICS 1.4532% 05/15/37 |
1.453
|
05/15/2037
|
519,671
|
527,583
|
| IASIS HEALTHCARE LLC L+4.5%, 05/03/18 |
4.5
|
05/03/2018
|
496,225
|
503,823
|
| FNMA POOL #661690 2.313% 09/01/32 |
2.313
|
09/01/2032
|
26,694
|
28,398
|
| FREDDIE MAC REMICS 4% 01/15/24 |
4.0
|
01/15/2024
|
328,385
|
336,350
|
| IMPAC CMB TRUST SERI 0.9242% 10/25/34 |
0.924
|
10/25/2034
|
332,138
|
317,240
|
| AMERIQUEST MORTGAGE 0.5342% 01/25/36 |
0.534
|
01/25/2036
|
620,000
|
609,518
|
| NATIONAL RURAL UTILI 0.381% 02/18/14 |
0.381
|
02/18/2014
|
2,790,000
|
2,790,031
|
| FANNIE MAE REMICS 0.5042% 12/25/42 |
0.504
|
12/25/2042
|
4,727,647
|
4,733,604
|
| JP MORGAN CHASE COMM 5.7143% 02/12/49 |
5.714
|
02/12/2049
|
475,000
|
485,493
|
| LB-UBS COMMERCIAL MO 4.367% 03/15/36 |
4.367
|
03/15/2036
|
2,080,000
|
2,135,051
|
| HEALTH MANAGEMENT AS L+4.5%, 11/01/18 |
4.5
|
11/01/2018
|
73,112
|
73,810
|
| RALI SERIES 2004-QS1 4.25% 01/25/34 |
4.25
|
01/25/2034
|
252,199
|
255,051
|
| FANNIE MAE REMICS 6% 03/25/27 |
6.0
|
03/25/2027
|
95,054
|
97,749
|
| WELLS FARGO MORTGAGE 4.5% 01/25/19 |
4.5
|
01/25/2019
|
182,821
|
182,866
|
| XERIUM TECHNOLOGIES L+6.25%, 05/26/17 |
6.25
|
05/26/2017
|
83,396
|
84,021
|
| NCUA GUARANTEED NOTE 0.6532% 10/07/20 |
0.653
|
10/07/2020
|
1,262,244
|
1,266,194
|
| COMM 2006-C8 MORTGAG 5.248% 12/10/46 |
5.248
|
12/10/2046
|
69,135
|
69,674
|
| EXTENDED STAY AMERIC 0.9037% 12/05/31 |
0.904
|
12/05/2031
|
900,000
|
900,765
|
| SOUTH CAROLINA STUDE 0.3871% 12/03/18 |
0.387
|
12/03/2018
|
593,744
|
593,750
|
| RUBY WESTERN PIPELIN L+2.5%, 03/27/20 |
2.5
|
03/27/2020
|
900,000
|
912,375
|
| JMC STEEL GROUP INC L+4.75%, 02/15/17 |
4.75
|
02/15/2017
|
148,487
|
150,063
|
| FANNIE MAE REMICS 0.8042% 10/25/37 |
0.804
|
10/25/2037
|
968,642
|
981,071
|
| CALIFORNIA REPUBLIC 1.18% 08/15/17 |
1.18
|
08/15/2017
|
945,974
|
945,499
|
| GIBSON ENERGY INC L+4.75%, 06/30/18 |
4.75
|
06/30/2018
|
222,750
|
226,091
|
| BAMLL COMMERCIAL MOR 2.3032% 08/15/29 |
2.303
|
08/15/2029
|
3,035,000
|
3,084,555
|
| MORGAN STANLEY ABS C 0.9091% 03/25/35 |
0.909
|
03/25/2035
|
125,624
|
124,851
|
| ADJUSTABLE RATE MORT 0.4842% 09/25/35 |
0.484
|
09/25/2035
|
1,573,505
|
1,446,671
|
| TEMPUR-PEDIC INTERNA L+5%, 09/27/19 |
5.0
|
09/27/2019
|
623,438
|
632,956
|
| CELLULAR SOUTH INC L+4.50317%, 06/16/17 |
4.503
|
06/16/2017
|
123,125
|
124,664
|
| CHESAPEAKE FUNDING L 2.2032% 11/07/23 |
2.203
|
11/07/2023
|
250,000
|
252,270
|
| FANNIE MAE REMICS 0.4542% 02/25/37 |
0.454
|
02/25/2037
|
2,256,659
|
2,254,669
|
| BANC OF AMERICA MORT 2.9954% 10/25/34 |
2.995
|
10/25/2034
|
551,862
|
539,650
|
| MORGAN STANLEY CAPIT 4.882% 08/13/42 |
4.882
|
08/13/2042
|
118,820
|
118,766
|
| LB-UBS COMMERCIAL MO 3.9730% 03/15/29 |
3.973
|
03/15/2029
|
641,236
|
646,366
|
| AMERICAN GENERAL MOR 5.75% 09/25/48 |
5.75
|
09/25/2048
|
69,826
|
69,794
|
| AMERICAN HONDA FINAN 0.6801% 06/18/14 |
0.68
|
06/18/2014
|
1,500,000
|
1,505,147
|
| CHL MORTGAGE PASS-TH 0.7442% 02/25/35 |
0.744
|
02/25/2035
|
2,411,836
|
2,297,269
|
| JBS USA LLC / JBS US L+3.75%, 05/25/18 |
3.75
|
05/25/2018
|
1,000,000
|
1,008,750
|
| LORD & TAYLOR LLC L+5.75%, 12/02/18 |
5.75
|
12/02/2018
|
59,511
|
60,230
|
| FREDDIE MAC REMICS 0.7032% 12/15/32 |
0.703
|
12/15/2032
|
59,427
|
59,875
|
| PVH CORP L+0.025%, 12/19/19 |
0.025
|
12/19/2019
|
965,000
|
976,685
|
| SANTANDER DRIVE AUTO 1.8399% 11/17/14 |
1.84
|
11/17/2014
|
658,653
|
662,338
|
| CHESAPEAKE ENERGY CO L+5.75%, 12/02/17 |
5.75
|
12/02/2017
|
250,000
|
258,170
|
| FANNIE MAE REMICS 1.2042% 03/25/37 |
1.204
|
03/25/2037
|
484,902
|
493,940
|
| BSN MEDICAL GMBH & C L+5%, 08/28/19 |
5.0
|
08/28/2019
|
600,000
|
607,000
|
| IMPAC SECURED ASSETS 1.0042% 11/25/34 |
1.004
|
11/25/2034
|
903,237
|
880,640
|
| HARGRAY COMMUNICATIO L+2.25%, 06/29/14 |
2.25
|
06/29/2014
|
750,000
|
752,813
|
| CPS AUTO TRUST 1.82% 12/16/19 |
1.82
|
12/16/2019
|
776,237
|
779,831
|
| AMERICAN EXPRESS CRE 1.1341% 06/24/14 |
1.134
|
06/24/2014
|
2,025,000
|
2,040,204
|
| COUNTRYWIDE ASSET-BA 0.9042% 12/25/34 |
0.904
|
12/25/2034
|
2,000,000
|
1,979,180
|
| FANNIE MAE REMICS 0.8042% 11/25/31 |
0.804
|
11/25/2031
|
785,610
|
792,532
|
| GREENPOINT MORTGAGE 0.6442% 07/25/30 |
0.644
|
07/25/2030
|
1,723,107
|
1,707,566
|
| STRUCTURED ASSET SEC 0.4242% 10/25/36 |
0.424
|
10/25/2036
|
3,973,505
|
3,830,685
|
| DISCOVER CARD MASTER 0.4132% 11/16/15 |
0.413
|
11/16/2015
|
500,000
|
500,120
|
| NATIONSTAR HOME EQUI 0.3542% 03/25/37 |
0.354
|
03/25/2037
|
250,000
|
233,906
|
| WESTPAC BANKING CORP 1.103% 07/17/15 |
1.103
|
07/17/2015
|
500,000
|
505,376
|
| FANNIE MAE TRUST 200 2.2905% 06/25/35 |
2.291
|
06/25/2035
|
280,343
|
291,465
|
| BANC OF AMERICA LARG 0.9532% 08/15/29 |
0.953
|
08/15/2029
|
3,169,028
|
3,121,854
|
| FREDDIE MAC REMICS 0.6032% 11/15/37 |
0.603
|
11/15/2037
|
1,546,861
|
1,551,787
|
| EXPERT GLOBAL SOLUTI L+8%, 03/13/18 |
8.0
|
03/13/2018
|
248,460
|
250,944
|
| FANNIE MAE REMICS 0.7542% 09/25/37 |
0.754
|
09/25/2037
|
470,046
|
474,507
|
| FREDDIE MAC REMICS 0.5032% 04/15/35 |
0.503
|
04/15/2035
|
613,509
|
614,210
|
| FANNIE MAE REMICS 5.5% 10/25/32 |
5.5
|
10/25/2032
|
285,625
|
287,318
|
| CHEVY CHASE FUNDING 0.5342% 01/25/35 |
0.534
|
01/25/2035
|
157,256
|
134,214
|
| LEHMAN BROTHERS FLOA 0.3232% 09/15/21 |
0.323
|
09/15/2021
|
2,081,398
|
2,078,238
|
| SLC STUDENT LOAN TRU 0.4001% 08/15/19 |
0.4
|
08/15/2019
|
39,521
|
39,524
|
| WINDSTREAM CORP L+4%, 07/23/19 |
4.0
|
07/23/2019
|
719,563
|
728,557
|
| CHL MORTGAGE PASS-TH 5.5% 08/25/35 |
5.5
|
08/25/2035
|
898,415
|
918,731
|
| CREDIT SUISSE MORTGA 0.3732% 10/15/21 |
0.373
|
10/15/2021
|
2,956,723
|
2,899,233
|
| FREDDIE MAC REMICS 0.6532% 08/15/33 |
0.653
|
08/15/2033
|
3,114,431
|
3,138,384
|
| RAMP SERIES 2005-RS8 0.4941% 10/25/33 |
0.494
|
10/25/2033
|
71,768
|
71,139
|
| STATE OF CALIFORNIA 2.5% 06/20/13 |
2.5
|
06/20/2013
|
1,000,000
|
1,005,300
|
| SLM STUDENT LOAN TRU 0.701% 07/27/20 |
0.701
|
07/27/2020
|
100,794
|
100,794
|
| WARNER CHILCOTT CORP L+4.25%, 03/15/18 |
4.25
|
03/15/2018
|
154,263
|
156,577
|
| LEHMAN BROTHERS SMAL 1.0542% 10/25/37 |
1.054
|
10/25/2037
|
66,661
|
66,422
|
| AMERICAN EXPRESS BAN 5.5% 04/16/13 |
5.5
|
04/16/2013
|
1,660,000
|
1,662,314
|
| IMPAC CMB TRUST SERI 0.9642% 01/25/35 |
0.964
|
01/25/2035
|
1,266,004
|
1,180,175
|
| TI GROUP AUTOMOTIVE L+4.25%, 03/27/19 |
4.25
|
03/27/2019
|
646,369
|
639,905
|
| AMERICAN EXPRESS CRE 1.9032% 06/19/13 |
1.903
|
06/19/2013
|
1,100,000
|
1,103,785
|
| HYUNDAI AUTO RECEIVA 0.4% 12/15/15 |
0.4
|
12/15/2015
|
1,780,000
|
1,779,494
|
| SANTANDER DRIVE AUTO 0.91% 05/15/15 |
0.91
|
05/15/2015
|
980,182
|
982,174
|
| EXETER AUTOMOBILE RE 1.3% 06/15/17 |
1.3
|
06/15/2017
|
778,517
|
780,568
|
| FREDDIE MAC REMICS 0.6532% 03/15/39 |
0.653
|
03/15/2039
|
575,874
|
579,515
|
| MORGAN STANLEY 1.5381% 02/25/16 |
1.538
|
02/25/2016
|
1,700,000
|
1,707,244
|
| RAAC SERIES 2006-RP1 0.5042% 10/25/45 |
0.504
|
10/25/2045
|
1,537,208
|
1,524,977
|
| FEDERAL HOME LOAN MO 0.39% 11/18/13 |
0.39
|
11/18/2013
|
6,240,000
|
6,251,519
|
| METLIFE INSTITUTIONA 0.675% 01/06/15 |
0.675
|
01/06/2015
|
1,000,000
|
1,001,056
|
| BANC OF AMERICA FUND 0.3042% 09/26/46 |
0.304
|
09/26/2046
|
1,143,841
|
1,134,328
|
| BEAR STEARNS COMMERC 4.715% 02/11/41 |
4.715
|
02/11/2041
|
558,847
|
568,693
|
| LB-UBS COMMERCIAL MO 6.1533% 04/15/41 |
6.153
|
04/15/2041
|
336,472
|
357,049
|
| BAYVIEW FINANCIAL MO 0.5037% 04/28/36 |
0.504
|
04/28/2036
|
2,345,043
|
2,254,641
|
| BANK OF NOVA SCOTIA 1.345% 01/12/15 |
1.345
|
01/12/2015
|
250,000
|
253,290
|
| FORD CREDIT FLOORPLA 1.7032% 01/15/16 |
1.703
|
01/15/2016
|
3,240,000
|
3,261,011
|
| SUCCESSOR X LTD 0% 04/04/13 |
0.0
|
04/04/2013
|
250,000
|
250,550
|
| NEW CENTURY HOME EQU 1.3292% 10/25/33 |
1.329
|
10/25/2033
|
1,778,592
|
1,739,434
|
| BEAR STEARNS ARM TRU 2.24% 08/25/35 |
2.24
|
08/25/2035
|
827,504
|
831,164
|
| GE SEACO FINANCE SRL 0.4531% 11/17/20 |
0.453
|
11/17/2020
|
500,000
|
493,825
|
| BAYVIEW FINANCIAL MO 0.5037% 02/28/41 |
0.504
|
02/28/2041
|
467,351
|
461,536
|
| UNITED AUTO CREDIT S 1.1% 03/16/15 |
1.1
|
03/16/2015
|
1,230,000
|
1,230,260
|
| WENDY'S INTERNATIONA L+4.75%, 04/03/19 |
4.75
|
04/03/2019
|
1,049,725
|
1,062,468
|
| WESTPAC BANKING CORP 1.055% 07/10/13 |
1.055
|
07/10/2013
|
250,000
|
250,553
|
| JP MORGAN CHASE COMM 6.45% 05/12/34 |
6.45
|
05/12/2034
|
257,000
|
261,181
|
| SOUNDVIEW HOME LOAN 0.4642% 12/25/35 |
0.464
|
12/25/2035
|
1,295,868
|
1,282,265
|
| FANNIE MAE REMICS 0.7542% 08/25/36 |
0.754
|
08/25/2036
|
475,250
|
476,403
|
| FREDDIE MAC REMICS 5% 10/15/31 |
5.0
|
10/15/2031
|
161,023
|
162,142
|
| BANC OF AMERICA MORT 3.1594% 02/25/33 |
3.159
|
02/25/2033
|
144,132
|
141,230
|
| RALI SERIES 2003-QS2 0.6542% 12/26/33 |
0.654
|
12/26/2033
|
1,192,537
|
1,088,492
|
| FANNIE MAE REMICS 0.8042% 05/25/40 |
0.804
|
05/25/2040
|
386,580
|
390,523
|
| RESIDENTIAL REINSURA 0% 06/06/16 |
0.0
|
06/06/2016
|
750,000
|
790,425
|
| FREDDIE MAC REMICS 5.5% 03/15/33 |
5.5
|
03/15/2033
|
307,571
|
310,964
|
| ALTERNATIVE LOAN TRU 0.8342% 05/25/33 |
0.834
|
05/25/2033
|
956,671
|
927,145
|
| MORGAN STANLEY CAPIT 0.334% 10/15/20 |
0.334
|
10/15/2020
|
1,750,000
|
1,700,311
|
| BEAR STEARNS ASSET B 0.7042% 08/25/34 |
0.704
|
08/25/2034
|
7,688
|
7,425
|
| RESIDENTIAL REINSURA 6.6000% 06/06/13 |
6.6
|
06/06/2013
| |
