|
Monthly Portfolio Holdings as of 3/28/2013
| Security Name |
Coupon |
Maturity Date |
Par / Shares |
Market Value($) |
| RUSSIAN FOREIGN BOND 4.5% 04/04/22 |
4.5
|
04/04/2022
|
4,600,000
|
5,011,700
|
| FIRST HORIZON MORTGA 2.6607% 04/25/35 |
2.661
|
04/25/2035
|
529,874
|
525,325
|
| HSBC HOME EQUITY LOA 1.4032% 11/20/36 |
1.403
|
11/20/2036
|
2,018,448
|
2,020,846
|
| HANOVER INSURANCE GR 7.5% 03/01/20 |
7.5
|
03/01/2020
|
700,000
|
824,011
|
| WESCO INTERNATIONAL L+4.5%, 12/04/19 |
4.5
|
12/04/2019
|
2,365,000
|
2,391,311
|
| FHLMC POOL #C01755 6% 01/01/34 |
6.0
|
01/01/2034
|
70,558
|
78,799
|
| GNMA POOL #621858 6.5% 01/15/34 |
6.5
|
01/15/2034
|
70,158
|
83,438
|
| AGILENT TECHNOLOGIES 6.5% 11/01/17 |
6.5
|
11/01/2017
|
5,366,000
|
6,426,279
|
| FREMF MORTGAGE TRUST 5.1639% 09/25/43 |
5.164
|
09/25/2043
|
600,000
|
680,944
|
| HSBC HOME EQUITY LOA 0.3932% 07/20/36 |
0.393
|
07/20/2036
|
789,751
|
772,695
|
| GNMA POOL #550537 6.5% 07/15/35 |
6.5
|
07/15/2035
|
152,965
|
175,631
|
| GNMA POOL #595762 6.5% 06/15/35 |
6.5
|
06/15/2035
|
14,511
|
15,614
|
| MACK-CALI REALTY LP 4.5% 04/18/22 |
4.5
|
04/18/2022
|
1,200,000
|
1,278,608
|
| CEVA GROUP PLC L+5.2985%, 08/31/16 |
5.299
|
08/31/2016
|
843,532
|
824,025
|
| EP ENERGY LLC / EP E 9.375% 05/01/20 |
9.375
|
05/01/2020
|
1,800,000
|
2,079,000
|
| FNMA POOL #535922 8% 03/01/31 |
8.0
|
03/01/2031
|
13,676
|
16,319
|
| BANC OF AMERICA ALTE 6% 03/25/34 |
6.0
|
03/25/2034
|
1,928,082
|
1,988,861
|
| BEAR STEARNS ASSET B 0.6142% 12/25/35 |
0.614
|
12/25/2035
|
500,000
|
476,656
|
| ASSURANT INC 4% 03/15/23 |
4.0
|
03/15/2023
|
3,900,000
|
3,846,800
|
| NEW CENTURY HOME EQU 0.5542% 03/25/35 |
0.554
|
03/25/2035
|
908,073
|
883,814
|
| JEFFERIES GROUP LLC 8.5% 07/15/19 |
8.5
|
07/15/2019
|
250,000
|
311,228
|
| SHORE RE LTD 0% 07/08/13 |
0.0
|
07/08/2013
|
1,500,000
|
1,514,400
|
| FHLMC POOL #B19033 4.5% 03/01/20 |
4.5
|
03/01/2020
|
460,198
|
491,745
|
| BANC OF AMERICA LARG 0.9532% 08/15/29 |
0.953
|
08/15/2029
|
878,927
|
865,843
|
| CROWN CASTLE TOWERS 4.883% 08/15/20 |
4.883
|
08/15/2020
|
3,015,000
|
3,470,331
|
| GNMA POOL #605047 4.5% 02/15/34 |
4.5
|
02/15/2034
|
67,486
|
74,827
|
| JANUS CAPITAL GROUP 6.7% 06/15/17 |
6.7
|
06/15/2017
|
4,050,000
|
4,636,108
|
| MASTR ALTERNATIVE LO 6% 07/25/34 |
6.0
|
07/25/2034
|
2,747,206
|
2,794,065
|
| FPL ENERGY WIND FUND 6.876% 06/27/17 |
6.876
|
06/27/2017
|
255,150
|
219,429
|
| NSG HOLDINGS LLC / N L+4.75%, 11/15/19 |
4.75
|
11/15/2019
|
812,963
|
827,189
|
| BLUE DANUBE LTD 6.2969% 04/10/15 |
6.297
|
04/10/2015
|
250,000
|
261,175
|
| FNMA POOL #660229 6% 09/01/32 |
6.0
|
09/01/2032
|
1,633
|
1,838
|
| GNMA POOL #568720 6% 03/15/17 |
6.0
|
03/15/2017
|
78,769
|
85,662
|
| UNITED STATES TREASU 0.625% 08/31/17 |
0.625
|
08/31/2017
|
5,000,000
|
4,994,920
|
| WACHOVIA BANK NA 6% 11/15/17 |
6.0
|
11/15/2017
|
3,520,000
|
4,202,211
|
| METROPOLITAN WATER R 5% 12/01/30 |
5.0
|
12/01/2030
|
1,415,000
|
1,639,065
|
| IMS HEALTH INC L+3.75%, 08/26/17 |
3.75
|
08/26/2017
|
457,795
|
463,326
|
| AMERICAN CREDIT ACCE 4.05% 02/15/18 |
4.05
|
02/15/2018
|
428,000
|
428,480
|
| NRG ENERGY INC L+3.25%, 07/01/18 |
3.25
|
07/01/2018
|
1,346,025
|
1,366,047
|
| ALTERNATIVE LOAN TRU 4.25% 04/25/34 |
4.25
|
04/25/2034
|
916,885
|
922,598
|
| WAMU MORTGAGE PASS T 2.4971% 03/25/35 |
2.497
|
03/25/2035
|
2,064,935
|
2,048,339
|
| GNMA POOL #561564 7.0000% 08/15/31 |
7.0
|
08/15/2031
|
291,905
|
361,430
|
| GNMA POOL #615583 5% 09/15/33 |
5.0
|
09/15/2033
|
221,305
|
245,137
|
| DAE AVIATION HOLDING L+0.05%, 10/18/18 |
0.05
|
10/18/2018
|
619,108
|
625,686
|
| AEGIS ASSET BACKED S 0.4741% 12/25/35 |
0.474
|
12/25/2035
|
2,052,851
|
1,932,705
|
| PRESIDENT AND FELLOW 6.3% 10/01/37 |
6.3
|
10/01/2037
|
3,095,000
|
3,564,320
|
| AVON PRODUCTS INC 5% 03/15/23 |
5.0
|
03/15/2023
|
3,720,000
|
3,816,980
|
| GNMA POOL #580873 6.5% 01/15/32 |
6.5
|
01/15/2032
|
186,964
|
220,646
|
| MYSTIC RE LTD 0% 03/12/15 |
0.0
|
03/12/2015
|
650,000
|
680,940
|
| CINEDIGM DIGITAL FUN L+3.75%, 03/31/16 |
3.75
|
03/31/2016
|
723,343
|
727,864
|
| SYNAGRO TECHNOLOGIES L+2.27985%, 04/02/14 |
2.28
|
04/02/2014
|
2,556,647
|
2,460,773
|
| FNMA POOL #721255 5.5% 07/01/33 |
5.5
|
07/01/2033
|
352,804
|
388,456
|
| FNMA POOL #AI2472 4.5% 05/01/41 |
4.5
|
05/01/2041
|
267,073
|
288,291
|
| GSAA HOME EQUITY TRU 0.4542% 10/25/35 |
0.454
|
10/25/2035
|
792,174
|
776,059
|
| ALLISON TRANSMISSION L+4.25%, 08/23/19 |
4.25
|
08/23/2019
|
1,007,811
|
1,021,794
|
| PUBLIC SERVICE CO OF 7.95% 05/15/18 |
7.95
|
05/15/2018
|
2,690,000
|
3,345,281
|
| GNMA POOL #627194 5.5% 04/15/19 |
5.5
|
04/15/2019
|
3,024
|
3,291
|
| GNMA POOL #615248 5% 07/15/19 |
5.0
|
07/15/2019
|
263,566
|
288,055
|
| MASSACHUSETTS INSTIT 5.6% 07/01/11 |
5.6
|
|
1,100,000
|
1,467,187
|
| COMBINE RE LTD 0% 01/07/15 |
0.0
|
01/07/2015
|
1,000,000
|
1,026,500
|
| FHLMC POOL #C67557 6.5% 06/01/32 |
6.5
|
06/01/2032
|
318
|
368
|
| GNMA POOL #498480 6.5% 03/15/29 |
6.5
|
03/15/2029
|
13,016
|
13,899
|
| NORTHSTAR 2012-1 MOR 1.404% 08/25/29 |
1.404
|
08/25/2029
|
2,859,576
|
2,859,576
|
| FNMA POOL #AB1149 5% 06/01/40 |
5.0
|
06/01/2040
|
1,934,476
|
2,124,896
|
| WELLS FARGO MORTGAGE 2.6544% 10/25/34 |
2.654
|
10/25/2034
|
509,450
|
523,288
|
| FNMA POOL #254814 4% 07/01/18 |
4.0
|
07/01/2018
|
77,316
|
82,941
|
| MORGAN STANLEY CAPIT 0.304% 10/15/20 |
0.304
|
10/15/2020
|
685,769
|
679,322
|
| GNMA II POOL #2702 7.0000% 01/20/29 |
7.0
|
01/20/2029
|
141,491
|
172,926
|
| FOUNDATION RE III LT 0% 02/03/14 |
0.0
|
02/03/2014
|
1,100,000
|
1,113,970
|
| SUNTRUST BANKS INC 3.5000% 01/20/17 |
3.5
|
01/20/2017
|
1,025,000
|
1,097,519
|
| UNITED STATES TREASU 2% 02/15/23 |
2.0
|
02/15/2023
|
3,400,000
|
3,443,030
|
| RALI SERIES 2004-QS1 5% 09/25/19 |
5.0
|
09/25/2019
|
3,291,907
|
3,385,420
|
| GNMA POOL #781129 7.0000% 11/15/28 |
7.0
|
11/15/2028
|
87,584
|
107,088
|
| CHL MORTGAGE PASS-TH 4.7889% 12/25/33 |
4.789
|
12/25/2033
|
1,125,731
|
1,127,389
|
| GNMA POOL #781561 6.5% 11/15/32 |
6.5
|
11/15/2032
|
116,930
|
136,435
|
| BEAM INC 3.25% 05/15/22 |
3.25
|
05/15/2022
|
1,500,000
|
1,533,827
|
| COMPASS RE LTD 0% 01/08/15 |
0.0
|
01/08/2015
|
300,000
|
309,660
|
| FNMA POOL #603278 6.5% 09/01/31 |
6.5
|
09/01/2031
|
21,172
|
23,613
|
| FNMA POOL #650188 5.5% 09/01/17 |
5.5
|
09/01/2017
|
153,663
|
165,186
|
| FHLMC POOL #A35084 5% 06/01/35 |
5.0
|
06/01/2035
|
804,912
|
868,768
|
| PILOT TRAVEL CENTERS L+3.75%, 03/30/18 |
3.75
|
03/30/2018
|
1,449,768
|
1,466,252
|
| FNMA POOL #AK9815 4% 04/01/42 |
4.0
|
04/01/2042
|
920,439
|
982,022
|
| JEFFERIES RESECURITI 2.8135% 05/26/37 |
2.814
|
05/26/2037
|
549,173
|
550,829
|
| DDR CORP 4.625% 07/15/22 |
4.625
|
07/15/2022
|
575,000
|
621,990
|
| KINDER MORGAN ENERGY 5.95% 02/15/18 |
5.95
|
02/15/2018
|
3,250,000
|
3,874,852
|
| FHLMC POOL #C01119 6.5% 11/01/30 |
6.5
|
11/01/2030
|
464
|
526
|
| CHARTER COMMUNICATIO L+3.46%, 09/06/16 |
3.46
|
09/06/2016
|
730,127
|
734,435
|
| NEW JERSEY ECONOMIC 02/15/18 |
0.0
|
02/15/2018
|
4,500,000
|
4,014,675
|
| RESIDENTIAL ASSET SE 5.75% 12/25/34 |
5.75
|
12/25/2034
|
1,970,333
|
2,016,651
|
| GOLDMAN SACHS GROUP 5.5% 11/15/14 |
5.5
|
11/15/2014
|
2,000,000
|
2,141,738
|
| FNMA POOL #AD7859 5% 06/01/40 |
5.0
|
06/01/2040
|
1,868,250
|
2,065,331
|
| BANC OF AMERICA ALTE 5.25% 05/25/34 |
5.25
|
05/25/2034
|
1,058,384
|
1,076,072
|
| SANTANDER DRIVE AUTO 1.8900% 05/15/17 |
1.89
|
05/15/2017
|
252,144
|
253,379
|
| INDIANAPOLIS AIRPORT 5.1% 01/15/17 |
5.1
|
01/15/2017
|
1,000,000
|
1,132,930
|
| ISRAEL ELECTRIC CORP 9.375% 01/28/20 |
9.375
|
01/28/2020
|
610,000
|
765,550
|
| FHLMC POOL #C01375 6.5% 07/01/32 |
6.5
|
07/01/2032
|
27,718
|
31,836
|
| NEWFIELD EXPLORATION 5.625% 07/01/24 |
5.625
|
07/01/2024
|
1,400,000
|
1,445,500
|
| MORTGAGEIT TRUST 200 0.5042% 08/25/35 |
0.504
|
08/25/2035
|
316,596
|
301,379
|
| CITY OF CHARLESTON S 5% 01/01/35 |
5.0
|
01/01/2035
|
2,400,000
|
2,753,184
|
| DDR CORP 7.5% 04/01/17 |
7.5
|
04/01/2017
|
2,905,000
|
3,453,293
|
| BANC OF AMERICA ALTE 5.5% 01/25/20 |
5.5
|
01/25/2020
|
1,332,617
|
1,354,868
|
| FNMA POOL #776837 6% 09/01/34 |
6.0
|
09/01/2034
|
49,111
|
54,764
|
| US 2YR NOTE (CBT) JU |
0.0
|
06/28/2013
|
-218
|
-48,058,781
|
| FHLMC POOL #C01702 6.5% 10/01/33 |
6.5
|
10/01/2033
|
117,987
|
137,382
|
| PORT AUTHORITY OF NE 4.458% 10/01/62 |
4.458
|
10/01/2062
|
600,000
|
599,400
|
| GNMA POOL #552704 6.5% 08/15/32 |
6.5
|
08/15/2032
|
56,476
|
66,650
|
| FNMA POOL #562049 7.0000% 12/01/30 |
7.0
|
12/01/2030
|
9,155
|
10,922
|
| WELLS FARGO & CO 7.5% 12/31/99 |
0.2
|
|
5,610
|
7,229,888
|
| GNMA POOL #615673 6.5% 10/15/33 |
6.5
|
10/15/2033
|
4,173
|
4,803
|
| ESTERLINE TECHNO 6.625% 03/01/17 |
6.625
|
03/01/2017
|
3,020,000
|
3,087,950
|
| JP MORGAN ALTERNATIV 5.95% 09/25/36 |
5.95
|
09/25/2036
|
56,650
|
56,654
|
| FNMA POOL #667742 6% 04/01/33 |
6.0
|
04/01/2033
|
269,576
|
302,040
|
| FEDERAL-MOGUL CORP L+2.1375%, 12/28/15 |
2.138
|
12/28/2015
|
535,680
|
502,125
|
| GNMA POOL #602212 6% 03/15/33 |
6.0
|
03/15/2033
|
210,061
|
238,347
|
| MASSACHUSETTS HEALTH 6% 07/01/36 |
6.0
|
07/01/2036
|
1,000,000
|
1,207,560
|
| GNMA POOL #781635 6% 03/15/33 |
6.0
|
03/15/2033
|
262,226
|
298,543
|
| GNMA POOL #609428 5.5% 06/15/33 |
5.5
|
06/15/2033
|
33,814
|
37,123
|
| MARATHON OIL CORP 5.9% 03/15/18 |
5.9
|
03/15/2018
|
901,000
|
1,073,541
|
| CUMMINS INC 5.65% 03/01/98 |
5.65
|
|
3,200,000
|
3,256,925
|
| HLSS SERVICER ADVANC 2.487% 01/15/44 |
2.487
|
01/15/2044
|
800,000
|
802,240
|
| GNMA POOL #592643 6% 04/15/33 |
6.0
|
04/15/2033
|
81,459
|
92,428
|
| RAAC SERIES 2006-SP1 0.3942% 09/25/45 |
0.394
|
09/25/2045
|
595,871
|
585,148
|
| ALTA WIND HOLDINGS L 7.0000% 06/30/35 |
7.0
|
06/30/2035
|
622,768
|
667,810
|
| FHLMC POOL #C55390 6.5% 07/01/31 |
6.5
|
07/01/2031
|
14,147
|
16,390
|
| JP MORGAN MORTGAGE T 6% 09/25/34 |
6.0
|
09/25/2034
|
2,307,733
|
2,369,486
|
| HOME EQUITY ASSET TR 0.5842% 01/25/36 |
0.584
|
01/25/2036
|
555,846
|
535,796
|
| GNMA POOL #632411 5% 07/15/19 |
5.0
|
07/15/2019
|
3,495
|
3,821
|
| FHLMC POOL #A35525 6% 06/01/35 |
6.0
|
06/01/2035
|
308,591
|
340,775
|
| BEAR STEARNS COMMERC 5.214% 02/11/41 |
5.214
|
02/11/2041
|
1,000,000
|
1,025,843
|
| IMPAC CMB TRUST SERI 0.9242% 10/25/34 |
0.924
|
10/25/2034
|
823,188
|
786,264
|
| GNMA II POOL #2729 6.5% 03/20/29 |
6.5
|
03/20/2029
|
1,695
|
2,035
|
| MASSACHUSETTS HEALTH 5.5% 11/15/36 |
5.5
|
11/15/2036
|
6,500,000
|
7,756,385
|
| CHL MORTGAGE PASS-TH 5.25% 06/25/34 |
5.25
|
06/25/2034
|
1,388,393
|
1,432,904
|
| CONNECTICUT STATE HE 5% 07/01/40 |
5.0
|
07/01/2040
|
3,000,000
|
3,472,980
|
| LEAF RECEIVABLES FUN 4.9% 02/20/22 |
4.9
|
02/20/2022
|
257,491
|
257,491
|
| CARRINGTON MORTGAGE 0.9392% 02/25/35 |
0.939
|
02/25/2035
|
310,276
|
304,260
|
| GMACM MORTGAGE LOAN 4.5358% 10/19/33 |
4.536
|
10/19/2033
|
1,766,353
|
1,821,479
|
| BIOMED REALTY LP 4.25% 07/15/22 |
4.25
|
07/15/2022
|
900,000
|
940,591
|
| FNMA POOL #254405 6% 08/01/32 |
6.0
|
08/01/2032
|
11,708
|
13,176
|
| MASTR ALTERNATIVE LO 5.5% 02/25/35 |
5.5
|
02/25/2035
|
1,959,194
|
1,956,026
|
| PVH CORP L+0.025%, 12/19/19 |
0.025
|
12/19/2019
|
908,000
|
918,995
|
| SOUTHERN UNION CO 3.3159% 11/01/66 |
3.316
|
11/01/2066
|
1,200,000
|
1,053,000
|
| BEAR STEARNS ASSET B 0.7042% 08/25/35 |
0.704
|
08/25/2035
|
1,685,304
|
1,677,567
|
| HUNTSMAN INTERNATION L+2.743%, 04/19/17 |
2.743
|
04/19/2017
|
257,302
|
259,499
|
| GOLDCORP INC 3.7000% 03/15/23 |
3.7
|
03/15/2023
|
1,650,000
|
1,656,958
|
| GNMA POOL #520410 6.5% 01/15/35 |
6.5
|
01/15/2035
|
5,924
|
6,675
|
| JOHNSTON RE LTD 0% 05/08/13 |
0.0
|
05/08/2013
|
1,875,000
|
1,882,875
|
| UNISON GROUND LEASE 2.981% 03/16/20 |
2.981
|
03/16/2020
|
1,500,000
|
1,500,000
|
| GNMA POOL #591202 4.5% 04/15/35 |
4.5
|
04/15/2035
|
631,769
|
692,399
|
| FNMA POOL #252211 6% 01/01/29 |
6.0
|
01/01/2029
|
1,693
|
1,896
|
| THORNBURG MORTGAGE S 3.1726% 06/25/43 |
3.173
|
06/25/2043
|
1,056,526
|
1,043,980
|
| STATE OF FLORIDA 4% 06/01/27 |
4.0
|
06/01/2027
|
1,800,000
|
1,959,354
|
| CINCINNATI BELL INC 8.25% 10/15/17 |
8.25
|
10/15/2017
|
2,530,000
|
2,681,800
|
| GOODMAN FUNDING PTY 6% 03/22/22 |
6.0
|
03/22/2022
|
1,050,000
|
1,197,691
|
| FHLMC POOL #C51793 6.5% 05/01/31 |
6.5
|
05/01/2031
|
16,230
|
18,804
|
| GNMA POOL #486593 5.5% 01/15/35 |
5.5
|
01/15/2035
|
387,898
|
426,579
|
| GNMA POOL #599853 5.5% 02/15/18 |
5.5
|
02/15/2018
|
271,941
|
293,439
|
| EMBARCADERO REINSURA 0% 08/07/15 |
0.0
|
08/07/2015
|
650,000
|
669,890
|
| FNMA POOL #255581 6% 02/01/35 |
6.0
|
02/01/2035
|
11,012
|
12,279
|
| GNMA POOL #645460 6% 09/15/35 |
6.0
|
09/15/2035
|
1,225,423
|
1,390,434
|
| INTESA SANPAOLO SPA 3.6249% 08/12/15 |
3.625
|
08/12/2015
|
3,476,000
|
3,473,532
|
| SIRIUS INTERNATIONAL 7.506% 05/29/49 |
7.506
|
05/29/2049
|
2,110,000
|
2,233,245
|
| BOWDOIN COLLEGE 4.693% 07/01/12 |
4.693
|
|
1,000,000
|
915,299
|
| GSR MORTGAGE LOAN TR 5.7317% 02/25/34 |
5.732
|
02/25/2034
|
274,209
|
267,360
|
| ORCAL GEOTHERMAL 6.21% 12/30/20 |
6.21
|
12/30/2020
|
802,596
|
786,544
|
| PRUDENTIAL FINANCIAL 5.625% 06/15/43 |
5.625
|
06/15/2043
|
1,500,000
|
1,552,500
|
| LEAF RECEIVABLES FUN 1.55% 11/15/17 |
1.55
|
11/15/2017
|
1,326,000
|
1,339,857
|
| INTELSAT JACKSON HOL L+3.2047%, 02/01/14 |
3.205
|
02/01/2014
|
1,180,000
|
1,180,922
|
| TIMBERSTAR TRUST 5.668% 10/15/36 |
5.668
|
10/15/2036
|
4,470,000
|
5,103,426
|
| US 5YR NOTE (CBT) JU |
0.0
|
06/28/2013
|
-374
|
-46,396,453
|
| CAPITAL ONE BANK 8.8% 07/15/19 |
8.8
|
07/15/2019
|
1,465,000
|
1,994,923
|
| FIRST INVESTORS AUTO 1.47% 05/15/18 |
1.47
|
05/15/2018
|
1,140,381
|
1,141,946
|
| FHLMC POOL #C01511 6% 03/01/33 |
6.0
|
03/01/2033
|
411,518
|
459,581
|
| BAYVIEW OPPORTUNITY 2.9814% 01/28/33 |
2.981
|
01/28/2033
|
994,644
|
996,932
|
| FNMA POOL #AQ3279 3.5000% 11/01/42 |
3.5
|
11/01/2042
|
377,715
|
402,054
|
| GNMA POOL #608228 4.5% 07/15/33 |
4.5
|
07/15/2033
|
150,555
|
165,521
|
| STORE MASTER FUNDING 5.77% 08/20/42 |
5.77
|
08/20/2042
|
2,078,728
|
2,192,954
|
| BANC OF AMERICA MORT 4.5% 08/25/19 |
4.5
|
08/25/2019
|
174,624
|
177,446
|
| IBIS RE LTD 0% 05/03/13 |
0.0
|
05/03/2013
|
2,750,000
|
2,758,800
|
| AXA SA 6.4630% 12/29/49 |
6.463
|
12/29/2049
|
1,300,000
|
1,290,250
|
| FIDELITY NATIONAL FI 5.5% 09/01/22 |
5.5
|
09/01/2022
|
1,200,000
|
1,362,236
|
| OPTION ONE MORTGAGE 0.4642% 11/25/35 |
0.464
|
11/25/2035
|
830,653
|
816,251
|
| GNMA POOL #637880 4.5% 04/15/35 |
4.5
|
04/15/2035
|
37,723
|
41,343
|
| JP MORGAN MORTGAGE T 4.4441% 10/25/33 |
4.444
|
10/25/2033
|
1,517,747
|
1,551,908
|
| EAST LANE RE V LTD 0% 03/16/16 |
0.0
|
03/16/2016
|
250,000
|
270,225
|
| GNMA POOL #647714 6.5% 07/15/35 |
6.5
|
07/15/2035
|
96,652
|
110,113
|
| COBANK ACB 7.875% 04/16/18 |
7.875
|
04/16/2018
|
1,190,000
|
1,509,935
|
| MACQUARIE GROUP LTD 6% 01/14/20 |
6.0
|
01/14/2020
|
2,730,000
|
2,995,083
|
| BANC OF AMERICA MORT 5.75% 01/25/35 |
5.75
|
01/25/2035
|
1,795,238
|
1,840,239
|
| JP MORGAN MORTGAGE T 5% 09/25/34 |
5.0
|
09/25/2034
|
1,658,902
|
1,711,903
|
| SPRINGLEAF FUNDING T 2.58% 09/15/21 |
2.58
|
09/15/2021
|
2,800,000
|
2,799,796
|
| WELLS FARGO COMMERCI 3.3489% 11/15/43 |
3.349
|
11/15/2043
|
3,299,697
|
3,540,076
|
| BLUE FIN LTD 0% 05/28/13 |
0.0
|
05/28/2013
|
250,000
|
253,375
|
| METLIFE INC 10.75% 08/01/39 |
10.75
|
08/01/2039
|
4,200,000
|
6,520,500
|
| AEROFLEX INC L+5.75%, 04/25/18 |
5.75
|
04/25/2018
|
3,178,241
|
3,240,481
|
| CARRINGTON MORTGAGE 0.6042% 09/25/35 |
0.604
|
09/25/2035
|
207,984
|
203,916
|
| GNMA POOL #466472 6.5% 05/15/29 |
6.5
|
05/15/2029
|
5,759
|
6,505
|
| NUANCE COMMUNICATION L+3.21%, 03/31/16 |
3.21
|
03/31/2016
|
377,330
|
380,278
|
| GNMA POOL #592467 6% 12/15/32 |
6.0
|
12/15/2032
|
274,770
|
314,045
|
| FNMA POOL #672953 5% 12/01/17 |
5.0
|
12/01/2017
|
31,623
|
34,206
|
| GNMA POOL #781035 6.5% 05/15/29 |
6.5
|
05/15/2029
|
135,821
|
154,276
|
| ORIGEN MANUFACTURED 5.46% 11/15/35 |
5.46
|
11/15/2035
|
484,000
|
508,772
|
| FHLMC POOL #A22080 6% 05/01/34 |
6.0
|
05/01/2034
|
312,882
|
346,296
|
| AVIATION CAPITAL GRO 6.75% 04/06/21 |
6.75
|
04/06/2021
|
3,525,000
|
3,919,987
|
| GNMA POOL #565083 6% 05/15/17 |
6.0
|
05/15/2017
|
75,871
|
82,511
|
| CREDIT SUISSE FIRST 1.5542% 12/25/33 |
1.554
|
12/25/2033
|
1,032,022
|
1,010,095
|
| FHLMC POOL #J05288 7.0000% 08/01/22 |
7.0
|
08/01/2022
|
151,786
|
165,372
|
| CHL MORTGAGE PASS-TH 5.25% 01/25/35 |
5.25
|
01/25/2035
|
56,933
|
56,866
|
| GNMA II POOL #3619 5.5% 10/20/19 |
5.5
|
10/20/2019
|
902,987
|
972,536
|
| LONGPOINT RE LTD 0% 06/12/15 |
0.0
|
06/12/2015
|
600,000
|
625,080
|
| FNMA POOL #555091 5.5% 12/01/17 |
5.5
|
12/01/2017
|
469,310
|
504,449
|
| FHLMC POOL #C50729 6.5% 05/01/31 |
6.5
|
05/01/2031
|
401
|
465
|
| MASSACHUSETTS DEVELO 5% 10/15/40 |
5.0
|
10/15/2040
|
1,200,000
|
1,384,644
|
| CHESAPEAKE FUNDING L 0.6532% 05/07/24 |
0.653
|
05/07/2024
|
700,000
|
699,884
|
| GNMA II POOL #3010 7.0000% 12/20/30 |
7.0
|
12/20/2030
|
3,809
|
4,574
|
| JOBSOHIO BEVERAGE SY 4.532% 01/01/35 |
4.532
|
01/01/2035
|
1,035,000
|
1,074,206
|
| FANNIE MAE REMICS 4.5% 06/25/29 |
4.5
|
06/25/2029
|
1,000,000
|
1,111,666
|
| SANTANDER DRIVE AUTO 2.7% 08/15/18 |
2.7
|
08/15/2018
|
850,000
|
887,126
|
| GOVERNMENT NATIONAL 1.0683% 09/16/52 |
1.068
|
09/16/2052
|
12,827,835
|
1,156,404
|
| FREMF MORTGAGE TRUST 4.1632% 09/25/44 |
4.163
|
09/25/2044
|
1,250,000
|
1,291,011
|
| MASTR ALTERNATIVE LO 5.5% 10/25/19 |
5.5
|
10/25/2019
|
1,307,985
|
1,345,061
|
| FREMF MORTGAGE TRUST 4.5972% 11/25/49 |
4.597
|
11/25/2049
|
1,500,000
|
1,638,494
|
| GNMA POOL #527070 7.75% 02/15/30 |
7.75
|
02/15/2030
|
5,217
|
5,739
|
| ALTERRA FINANCE 6.25% 09/30/20 |
6.25
|
09/30/2020
|
3,000,000
|
3,528,951
|
| SOVEREIGN BANK/WILMI 8.75% 05/30/18 |
8.75
|
05/30/2018
|
4,080,000
|
4,931,516
|
| SIERRA TIMESHARE 201 1.87% 08/20/29 |
1.87
|
08/20/2029
|
606,518
|
610,397
|
| US LONG BOND(CBT) JU |
0.0
|
06/19/2013
|
-14
|
-2,022,563
|
| FNMA POOL #AJ7293 4% 01/01/42 |
4.0
|
01/01/2042
|
1,602,013
|
1,715,456
|
| MASTR SEASONED SECUR 6.5991% 09/25/32 |
6.599
|
09/25/2032
|
1,045,265
|
1,095,769
|
| LEHMAN BROTHERS SMAL 1.0542% 10/25/37 |
1.054
|
10/25/2037
|
133,177
|
132,700
|
| LEHMAN BROTHERS SMAL 0.4542% 09/25/30 |
0.454
|
09/25/2030
|
353,870
|
308,801
|
| NSG HOLDINGS LLC 7.75% 12/15/25 |
7.75
|
12/15/2025
|
1,016,000
|
1,066,800
|
| UNIVERSITY OF CALIFO 3.38% 05/15/28 |
3.38
|
05/15/2028
|
2,600,000
|
2,655,718
|
| UBS AG/STAMFORD CT 7.625% 08/17/22 |
7.625
|
08/17/2022
|
1,450,000
|
1,620,318
|
| STATE OF CALIFORNIA 2.5% 06/20/13 |
2.5
|
06/20/2013
|
800,000
|
804,240
|
| CITICORP RESIDENTIAL 5.892% 03/25/37 |
5.892
|
03/25/2037
|
1,700,000
|
1,679,272
|
| GNMA POOL #580607 6% 02/15/33 |
6.0
|
02/15/2033
|
72,327
|
82,066
|
| ACE SECURITIES CORP 6.5% 08/15/30 |
6.5
|
08/15/2030
|
1,327,911
|
1,391,863
|
| GNMA POOL #549193 7.5% 02/15/31 |
7.5
|
02/15/2031
|
16,399
|
16,835
|
| GNMA POOL #595850 4.5% 09/15/35 |
4.5
|
09/15/2035
|
103,568
|
113,508
|
| FNMA POOL #934262 6% 06/01/38 |
6.0
|
06/01/2038
|
808,839
|
903,768
|
| ACCO BRANDS CORP L+4.25%, 01/04/19 |
4.25
|
01/04/2019
|
430,764
|
436,956
|
| COMMERCIAL MORTGAGE 0.3232% 02/15/22 |
0.323
|
02/15/2022
|
820,890
|
812,827
|
| HCA INC L+3.5336%, 03/17/17 |
3.534
|
03/17/2017
|
1,793,613
|
1,811,540
|
| MICROSEMI CORP L+3.75%, 02/02/18 |
3.75
|
02/02/2018
|
887,320
|
895,305
|
| STRUCTURED ASSET MOR 0.8832% 05/19/35 |
0.883
|
05/19/2035
|
988,799
|
943,819
|
| ASSET BACKED SECURIT 0.8642% 04/25/35 |
0.864
|
04/25/2035
|
59,457
|
59,338
|
| COUNTRYWIDE ASSET-BA 0.3142% 05/25/37 |
0.314
|
05/25/2037
|
546,026
|
544,465
|
| BANK OF AMERICA CORP 7.75% 08/15/15 |
7.75
|
08/15/2015
|
1,100,000
|
1,242,828
|
| ALTERNATIVE LOAN TRU 4.75% 10/25/33 |
4.75
|
10/25/2033
|
911,707
|
931,589
|
| PARISH OF ST JOHN TH 5.125% 06/01/37 |
5.125
|
06/01/2037
|
2,560,000
|
2,709,965
|
| FREDDIE MAC REMICS 5% 06/15/34 |
5.0
|
06/15/2034
|
1,484,107
|
1,534,210
|
| GSAMP TRUST 2005-HE2 0.8492% 03/25/35 |
0.849
|
03/25/2035
|
334,466
|
327,507
|
| FIRST HORIZON MORTGA 6% 05/25/36 |
6.0
|
05/25/2036
|
172,269
|
172,422
|
| GNMA POOL #502981 6% 02/15/29 |
6.0
|
02/15/2029
|
179,096
|
202,541
|
| BANC OF AMERICA LARG 1.3032% 08/15/29 |
1.303
|
08/15/2029
|
400,000
|
390,322
|
| FNMA POOL #675600 6% 01/01/32 |
6.0
|
01/01/2032
|
7,444
|
8,340
|
| GNMA POOL #612926 5.5% 07/15/33 |
5.5
|
07/15/2033
|
169,112
|
186,398
|
| NEW YORK STATE ELECT 6.15% 12/15/17 |
6.15
|
12/15/2017
|
5,055,000
|
5,652,668
|
| FNMA POOL #AK1083 4% 01/01/42 |
4.0
|
01/01/2042
|
1,114,819
|
1,189,407
|
| GS MORTGAGE SECURITI 3.3769% 05/10/45 |
3.377
|
05/10/2045
|
1,250,000
|
1,327,410
|
| GRIFOLS INC L+4.25%, 06/04/17 |
4.25
|
06/04/2017
|
1,008,272
|
1,020,064
|
| TNK-BP FINANCE SA 7.875% 03/13/18 |
7.875
|
03/13/2018
|
1,000,000
|
1,200,000
|
| KIBOU LTD 0% 02/16/15 |
0.0
|
02/16/2015
|
625,000
|
646,813
|
| GNMA II POOL #2714 6.5% 02/20/29 |
6.5
|
02/20/2029
|
3,893
|
4,509
|
| B&G FOODS INC L+4.00316%, 11/30/18 |
4.003
|
11/30/2018
|
303,656
|
308,401
|
| TNK-BP FINANCE SA 7.5% 07/18/16 |
7.5
|
07/18/2016
|
2,080,000
|
2,383,264
|
| FHLMC POOL #A37171 5.5% 08/01/35 |
5.5
|
08/01/2035
|
744,120
|
810,566
|
| FNMA POOL #687112 6.5% 02/01/33 |
6.5
|
02/01/2033
|
66,089
|
77,999
|
| GNMA POOL #613877 5.5% 09/15/33 |
5.5
|
09/15/2033
|
367,752
|
409,371
|
| GNMA POOL #514950 6.5% 03/15/31 |
6.5
|
03/15/2031
|
13,439
|
15,890
|
| FHLMC POOL #A17066 6% 12/01/33 |
6.0
|
12/01/2033
|
49,232
|
54,982
|
| UNITED STATES TREASU 5.375% 02/15/31 |
5.375
|
02/15/2031
|
4,000,000
|
5,564,376
|
| MERRILL LYNCH MORTGA 5.236% 11/12/35 |
5.236
|
11/12/2035
|
771,653
|
783,008
|
| BAYLOR UNIVERSITY 4.313% 03/01/42 |
4.313
|
03/01/2042
|
1,025,000
|
1,062,648
|
| FNMA POOL #982885 5% 05/01/23 |
5.0
|
05/01/2023
|
899,345
|
974,762
|
| HLSS SERVICER ADVANC 1.7436% 01/16/46 |
1.744
|
01/16/2046
|
1,620,000
|
1,626,075
|
| MACQUARIE BANK LTD 6.625% 04/07/21 |
6.625
|
04/07/2021
|
3,000,000
|
3,352,320
|
| VALMONT INDUSTRIES I 6.625% 04/20/20 |
6.625
|
04/20/2020
|
1,810,000
|
2,143,263
|
| FHLMC POOL #A15953 6.5% 11/01/33 |
6.5
|
11/01/2033
|
210,780
|
242,213
|
| GNMA POOL #486515 6% 09/15/28 |
6.0
|
09/15/2028
|
553,682
|
626,162
|
| HCA HOLDINGS INC L+3.4537%, 05/01/18 |
3.454
|
05/01/2018
|
747,900
|
755,064
|
| NAKILAT INC 6.267% 12/31/33 |
6.267
|
12/31/2033
|
2,324,545
|
2,794,952
|
| BANC OF AMERICA ALTE 5.5% 03/25/19 |
5.5
|
03/25/2019
|
1,536,436
|
1,579,581
|
| PRUDENTIAL FINANCIAL 5.875% 09/15/42 |
5.875
|
09/15/2042
|
1,800,000
|
1,917,000
|
| RESIDENTIAL REINSURA 0% 06/06/16 |
0.0
|
06/06/2016
|
800,000
|
843,120
|
| CREDIT-BASED ASSET S 5.9733% 10/25/36 |
5.973
|
10/25/2036
|
700,000
|
681,250
|
| FNMA POOL #535533 8% 10/01/30 |
8.0
|
10/01/2030
|
875
|
1,080
|
| MBNA CREDIT CARD MAS 0.2632% 10/15/15 |
0.263
|
10/15/2015
|
2,500,000
|
2,499,758
|
| GNMA POOL #586772 6% 03/15/33 |
6.0
|
03/15/2033
|
209,258
|
237,436
|
| SUCCESSOR X LTD 9.4114% 02/25/14 |
9.411
|
02/25/2014
|
1,400,000
|
1,406,860
|
| S2 HOSPITALITY LLC 4.5% 04/15/25 |
4.5
|
04/15/2025
|
390,961
|
391,057
|
| PPL CAPITAL FUNDING 5.9% 04/30/73 |
5.9
|
04/30/2073
|
164,000
|
4,136,080
|
| WAMU MORTGAGE PASS T 2.4345% 08/25/34 |
2.435
|
08/25/2034
|
164,754
|
162,803
|
| FNMA POOL #255668 5.5% 03/01/25 |
5.5
|
03/01/2025
|
439,548
|
483,827
|
| JG WENTWORTH XXII LL 3.82% 12/15/48 |
3.82
|
12/15/2048
|
883,105
|
955,107
|
| GNMA POOL #587115 6.5% 06/15/32 |
6.5
|
06/15/2032
|
30,793
|
36,340
|
| CRONOS CONTAINERS PR 3.81% 09/18/27 |
3.81
|
09/18/2027
|
1,757,500
|
1,819,253
|
| TUFTS UNIVERSITY 5.017% 04/15/12 |
5.017
|
|
3,550,000
|
3,853,007
|
| BANC OF AMERICA MORT 5.0707% 09/25/35 |
5.071
|
09/25/2035
|
714,219
|
715,583
|
| GNMA POOL #602224 6% 04/15/18 |
6.0
|
04/15/2018
|
84,718
|
90,389
|
| GNMA POOL #684833 4.5% 04/15/38 |
4.5
|
04/15/2038
|
396,700
|
433,779
|
| RESIDENTIAL REINSURA 0% 06/06/15 |
0.0
|
06/06/2015
|
400,000
|
419,720
|
| BANC OF AMERICA FUND 0.3318% 08/26/36 |
0.332
|
08/26/2036
|
1,325,499
|
1,297,239
|
| GNMA POOL #579961 6.5% 04/15/32 |
6.5
|
04/15/2032
|
16,121
|
19,103
|
| MASSACHUSETTS HEALTH 5.5% 07/01/32 |
5.5
|
07/01/2032
|
1,425,000
|
1,979,040
|
| SNAAC AUTO RECEIVABL 3.11% 06/15/17 |
3.11
|
06/15/2017
|
1,400,000
|
1,421,760
|
| DRUG ROYALTY II LP 1 4.304% 01/15/25 |
4.304
|
01/15/2025
|
293,067
|
293,067
|
| INTERGEN NV 9% 06/30/17 |
9.0
|
06/30/2017
|
2,675,000
|
2,628,188
|
| ORMAT FUNDING CO 8.25% 12/30/20 |
8.25
|
12/30/2020
|
336,944
|
313,358
|
| VALERO ENERGY CORP 9.375% 03/15/19 |
9.375
|
03/15/2019
|
2,890,000
|
3,942,769
|
| FANNIE MAE REMICS 10.3% 04/25/19 |
10.3
|
04/25/2019
|
6,588
|
7,358
|
| FHLMC POOL #C01623 5.5% 09/01/33 |
5.5
|
09/01/2033
|
649,943
|
709,604
|
| INDUSTRIAL BANK OF K 7.1249% 04/23/14 |
7.125
|
04/23/2014
|
1,855,000
|
1,972,238
|
| HIGHWOODS REALTY LP 3.6249% 01/15/23 |
3.625
|
01/15/2023
|
2,100,000
|
2,075,300
|
| ALTERNATIVE LOAN TRU 0.6542% 08/25/18 |
0.654
|
08/25/2018
|
889,912
|
834,917
|
| PNC BANK NA 6% 12/07/17 |
6.0
|
12/07/2017
|
1,435,000
|
1,708,091
|
| ALLSTATE CORP/THE 5.1% 01/15/53 |
0.0
|
01/15/2053
|
147,475
|
3,860,896
|
| IMPAC SECURED ASSETS 0.4042% 12/25/36 |
0.404
|
12/25/2036
|
1,523,615
|
1,395,693
|
| ALEXANDRIA REAL ESTA 4.6% 04/01/22 |
4.6
|
04/01/2022
|
2,670,000
|
2,877,392
|
| FANNIE MAE REMICS 5.69% 01/25/32 |
5.69
|
01/25/2032
|
10,996
|
11,037
|
| WILTON RE FINANCE LL 5.875% 03/30/33 |
5.875
|
03/30/2033
|
1,400,000
|
1,414,116
|
| WAMU MORTGAGE PASS T 2.4569% 08/25/33 |
2.457
|
08/25/2033
|
1,157,222
|
1,059,359
|
| MASCO CORP 5.95% 03/15/22 |
5.95
|
03/15/2022
|
825,000
|
927,987
|
| INTERACTIVE DATA COR L+3.75%, 02/11/18 |
3.75
|
02/11/2018
|
2,287,834
|
2,317,148
|
| TI GROUP AUTOMOTIVE L+6.75%, 03/01/19 |
6.75
|
03/01/2019
|
838,663
|
845,477
|
| CATALENT PHARMA SOLU L+3.7037%, 09/15/16 |
3.704
|
09/15/2016
|
2,707,622
|
2,729,621
|
| DCP MIDSTREAM LLC 9.75% 03/15/19 |
9.75
|
03/15/2019
|
2,900,000
|
3,819,228
|
| BEAR STEARNS ALT-A T 0.7642% 01/25/35 |
0.764
|
01/25/2035
|
1,296,505
|
1,242,685
|
| UNITED STATES TREASU 2.75% 02/15/19 |
2.75
|
02/15/2019
|
8,750,000
|
9,646,875
|
| COMM 2013-LC6 MORTGA 2.941% 01/10/46 |
2.941
|
01/10/2046
|
1,900,000
|
1,920,885
|
| STRUCTURED ASSET MOR 0.9432% 12/19/33 |
0.943
|
12/19/2033
|
303,113
|
283,682
|
| CONN FUNDING II LP 4% 04/15/16 |
4.0
|
04/15/2016
|
337,760
|
337,971
|
| ATLAS REINSURANCE VI 8.178% 01/07/16 |
8.178
|
01/07/2016
|
250,000
|
252,800
|
| GNMA POOL #604724 5.5% 10/15/33 |
5.5
|
10/15/2033
|
168,392
|
185,604
|
| GATX CORP 6% 02/15/18 |
6.0
|
02/15/2018
|
5,660,000
|
6,367,364
|
| BOMBARDIER INC 4.25% 01/15/16 |
4.25
|
01/15/2016
|
2,250,000
|
2,334,375
|
| GNMA POOL #574326 7.5% 12/15/31 |
7.5
|
12/15/2031
|
95,702
|
111,390
|
| HUB INTERNATIONAL HO L+4.7037%, 06/13/17 |
4.704
|
06/13/2017
|
1,750,578
|
1,768,521
|
| GSR MORTGAGE LOAN TR 2.9631% 01/25/35 |
2.963
|
01/25/2035
|
404,491
|
397,050
|
| CREDIT SUISSE FIRST 1.7041% 08/25/33 |
1.704
|
08/25/2033
|
495,662
|
473,521
|
| FNMA POOL #683100 5.5% 02/01/18 |
5.5
|
02/01/2018
|
208,490
|
224,273
|
| WACHOVIA BANK COMMER 0.0104% 06/15/45 |
0.01
|
06/15/2045
|
672,923,843
|
92,863
|
| JP MORGAN CHASE COMM 4.1712% 08/15/46 |
4.171
|
08/15/2046
|
1,350,000
|
1,509,347
|
| STRUCTURED ADJUSTABL 2.5831% 01/25/35 |
2.583
|
01/25/2035
|
732,938
|
709,140
|
| HOME EQUITY ASSET TR 0.6142% 11/25/35 |
0.614
|
11/25/2035
|
1,095,898
|
1,085,530
|
| UNITED STATES TREASU 4.5% 05/15/38 |
4.5
|
05/15/2038
|
8,435,000
|
10,744,081
|
| GNMA POOL #781530 6.5% 12/15/32 |
6.5
|
12/15/2032
|
718,820
|
822,201
|
| FNMA POOL #254676 6% 03/01/33 |
6.0
|
03/01/2033
|
213,774
|
240,587
|
| BANC OF AMERICA MERR 4.877% 07/10/42 |
4.877
|
07/10/2042
|
1,440,000
|
1,498,725
|
| FNMA POOL #MA0500 5% 08/01/40 |
5.0
|
08/01/2040
|
2,035,141
|
2,235,393
|
| BANC OF AMERICA ALTE 5.5% 11/25/19 |
5.5
|
11/25/2019
|
1,184,236
|
1,199,552
|
| FNMA POOL #627702 6.5% 02/01/32 |
6.5
|
02/01/2032
|
8,122
|
9,573
|
| PERMANENT UNIVERSITY 5% 07/01/30 |
5.0
|
07/01/2030
|
800,000
|
973,160
|
| MRFC MORTGAGE PASS-T 0.6432% 12/15/30 |
0.643
|
12/15/2030
|
1,130,478
|
1,094,427
|
| RESIDENTIAL ASSET SE 0.7042% 07/25/33 |
0.704
|
07/25/2033
|
144,700
|
144,441
|
| GENWORTH FINANCIAL I 7.2000% 02/15/21 |
7.2
|
02/15/2021
|
3,960,000
|
4,613,400
|
| EASTMAN CHEMICAL CO 4.8% 09/01/42 |
4.8
|
09/01/2042
|
980,000
|
1,017,533
|
| NEW YORK STATE DORMI 5% 10/01/41 |
5.0
|
10/01/2041
|
2,590,000
|
2,978,189
|
| HLSS SERVICER ADVANC 3.2199% 10/15/43 |
3.22
|
10/15/2043
|
750,000
|
757,500
|
| CATHOLIC HEALTH INIT 4.35% 11/01/42 |
4.35
|
11/01/2042
|
2,600,000
|
2,619,690
|
| NEW YORK STATE DORMI 5% 07/01/40 |
5.0
|
07/01/2040
|
1,600,000
|
1,813,952
|
| GNMA POOL #479813 7.0000% 12/15/30 |
7.0
|
12/15/2030
|
8,216
|
9,279
|
| BEAR STEARNS ASSET B 0.7042% 06/25/35 |
0.704
|
06/25/2035
|
2,874,363
|
2,807,172
|
| ACE SECURITIES CORP 0.3842% 03/25/36 |
0.384
|
03/25/2036
|
753,218
|
727,621
|
| WACHOVIA BANK COMMER 4.803% 10/15/41 |
4.803
|
10/15/2041
|
3,787,250
|
3,994,628
|
| GNMA POOL #553125 6% 03/15/33 |
6.0
|
03/15/2033
|
674,031
|
770,376
|
| RESIDENTIAL REINSURA 0% 06/06/16 |
0.0
|
06/06/2016
|
275,000
|
300,465
|
| TELEFONICA EMISIONES 6.221% 07/03/17 |
6.221
|
07/03/2017
|
2,750,000
|
3,076,931
|
| WFRBS COMMERCIAL MOR 5.392% 02/15/44 |
5.392
|
02/15/2044
|
350,000
|
394,431
|
| NEW YORK STATE DORMI 5% 07/01/35 |
5.0
|
07/01/2035
|
2,150,000
|
2,458,633
|
| FNMA POOL #747637 6% 11/01/33 |
6.0
|
11/01/2033
|
59,266
|
66,700
|
| FREDDIE MAC REMICS 5% 06/15/33 |
5.0
|
06/15/2033
|
2,676,304
|
2,746,030
|
| FREMF MORTGAGE TRUST 5.4353% 04/25/20 |
5.435
|
04/25/2020
|
850,000
|
975,450
|
| FNMA POOL #912555 5% 02/01/22 |
5.0
|
02/01/2022
|
593,544
|
640,906
|
| UNITED STATES TREASU 0.25% 09/15/15 |
0.25
|
09/15/2015
|
10,000,000
|
9,985,940
|
| UNITED STATES TREASU 6.25% 08/15/23 |
6.25
|
08/15/2023
|
4,750,000
|
6,722,732
|
| GNMA POOL #605689 6.5% 09/15/34 |
6.5
|
09/15/2034
|
17,050
|
19,440
|
| BARCLAYS BANK PL 6.05% 12/04/17 |
6.05
|
12/04/2017
|
3,515,000
|
3,917,872
|
| GSR MORTGAGE LOAN TR 3.0644% 06/25/34 |
3.064
|
06/25/2034
|
1,847,439
|
1,860,207
|
| STANDARD CHARTERED P 3.95% 01/11/23 |
3.95
|
01/11/2023
|
1,300,000
|
1,294,721
|
| HOUSTON HIGHER EDUCA 4.5% 11/15/37 |
4.5
|
11/15/2037
|
2,300,000
|
2,464,496
|
| GEORGE WASHINGTON UN 1.8269% 09/15/17 |
1.827
|
09/15/2017
|
1,900,000
|
1,941,665
|
| AFFINION GROUP INC L+5%, 10/09/16 |
5.0
|
10/09/2016
|
1,084,136
|
1,061,776
|
| UNITED STATES TREASU 4.5% 02/15/36 |
4.5
|
02/15/2036
|
8,440,000
|
10,720,117
|
| CANTOR FITZGERALD LP 7.875% 10/15/19 |
7.875
|
10/15/2019
|
5,205,000
|
5,411,389
|
| MELLON FUNDING CORP 5.5% 11/15/18 |
5.5
|
11/15/2018
|
2,505,000
|
2,956,138
|
| FANNIE MAE REMICS 5% 09/25/39 |
5.0
|
09/25/2039
|
287,825
|
295,470
|
| FNMA POOL #AE4561 4% 05/01/41 |
4.0
|
05/01/2041
|
1,748,150
|
1,865,113
|
| HANOVER INSURANCE GR 7.625% 10/15/25 |
7.625
|
10/15/2025
|
5,000,000
|
5,839,355
|
| TASC INC L+4.5%, 04/25/15 |
4.5
|
04/25/2015
|
1,569,216
|
1,575,591
|
| GNMA POOL #594294 6% 09/15/32 |
6.0
|
09/15/2032
|
105,413
|
119,871
|
| JOBSOHIO BEVERAGE SY 3.9849% 01/01/29 |
3.985
|
01/01/2029
|
4,075,000
|
4,179,157
|
| CITY OF CHARLESTON S 5% 01/01/41 |
5.0
|
01/01/2041
|
2,800,000
|
3,158,064
|
| FNMA POOL #AJ9531 4% 12/01/41 |
4.0
|
12/01/2041
|
3,963,255
|
4,228,422
|
| KKR GROUP FINANCE CO 5.5% 02/01/43 |
5.5
|
02/01/2043
|
4,000,000
|
3,852,280
|
| SELMA INDUSTRIAL DEV 5.8% 05/01/34 |
5.8
|
05/01/2034
|
2,310,000
|
2,604,710
|
| BANC OF AMERICA MORT 3.1323% 09/25/33 |
3.132
|
09/25/2033
|
814,911
|
820,586
|
| FNMA POOL #790605 6% 09/01/34 |
6.0
|
09/01/2034
|
161,578
|
180,178
|
| FANNIE MAE REMICS 5% 07/25/33 |
5.0
|
07/25/2033
|
3,636,237
|
3,758,313
|
| FNMA POOL #981756 6% 07/01/38 |
6.0
|
07/01/2038
|
206,387
|
226,339
|
| AMERICREDIT AUTOMOBI 4.04% 07/10/17 |
4.04
|
07/10/2017
|
500,000
|
530,164
|
| CITIGROUP INC 5.95% 12/29/49 |
5.95
|
12/29/2049
|
2,000,000
|
2,075,000
|
| LODESTONE RE LTD 0% 01/08/14 |
0.0
|
01/08/2014
|
750,000
|
757,200
|
| BANC OF AMERICA MORT 5.5% 11/25/34 |
5.5
|
11/25/2034
|
1,468,718
|
1,532,977
|
| GNMA POOL #569703 6.5% 02/15/32 |
6.5
|
02/15/2032
|
60,491
|
69,172
|
| FNMA POOL #323602 8% 02/01/29 |
8.0
|
02/01/2029
|
3,779
|
4,396
|
| FNMA POOL #323908 6% 09/01/29 |
6.0
|
09/01/2029
|
2,620
|
2,935
|
| FREMF MORTGAGE TRUST 4.8867% 07/25/44 |
4.887
|
07/25/2044
|
1,250,000
|
1,394,165
|
| FHLMC POOL #C79161 6% 04/01/33 |
6.0
|
04/01/2033
|
37,654
|
42,052
|
| GNMA POOL #520534 4.5% 03/15/35 |
4.5
|
03/15/2035
|
335,684
|
367,899
|
| UNITED STATES TREASU 7.875% 02/15/21 |
7.875
|
02/15/2021
|
450,000
|
669,024
|
| VALEANT PHARMACEUTIC L+2.75%, 12/11/19 |
2.75
|
12/11/2019
|
623,438
|
629,591
|
| FREMF MORTGAGE TRUST 4.2859% 07/25/48 |
4.286
|
07/25/2048
|
5,000,000
|
5,389,310
|
| DT AUTO OWNER TR 4.89% 01/17/17 |
4.89
|
01/17/2017
|
1,400,000
|
1,431,280
|
| EMBARCADERO REINSURA 0% 08/04/14 |
0.0
|
08/04/2014
|
500,000
|
508,450
|
| STRUCTURED ASSET SEC 0.8542% 10/25/37 |
0.854
|
10/25/2037
|
1,408,140
|
1,393,179
|
| FNMA POOL #535248 8% 04/01/30 |
8.0
|
04/01/2030
|
800
|
954
|
| FNMA POOL #AQ9047 3.5000% 12/01/42 |
3.5
|
12/01/2042
|
1,010,497
|
1,075,611
|
| AMERICREDIT AUTOMOBI 4.2% 11/08/16 |
4.2
|
11/08/2016
|
650,000
|
681,269
|
| ANGLOGOLD ASHANTI HO 5.125% 08/01/22 |
5.125
|
08/01/2022
|
900,000
|
912,328
|
| JEFFERIES GROUP LLC 6.8750% 04/15/21 |
6.875
|
04/15/2021
|
4,125,000
|
4,815,278
|
| MORGAN STANLEY MORTG 0.4842% 11/25/35 |
0.484
|
11/25/2035
|
1,761,664
|
1,656,332
|
| FNMA POOL #253433 7.5% 08/01/20 |
7.5
|
08/01/2020
|
1,509
|
1,674
|
| IMMUCOR INC L+5%, 08/19/18 |
5.0
|
08/19/2018
|
2,172,076
|
2,192,101
|
| COBALT CMBS COMMERCI 5.174% 08/15/48 |
5.174
|
08/15/2048
|
23,393
|
23,448
|
| HLSS SERVICER ADVANC 1.6442% 01/15/44 |
1.644
|
01/15/2044
|
1,150,000
|
1,152,875
|
| GNMA II POOL #3663 4.5% 01/20/35 |
4.5
|
01/20/2035
|
674,206
|
744,091
|
| UNITED STATES TREASU 1.625% 08/15/22 |
1.625
|
08/15/2022
|
5,000,000
|
4,935,545
|
| FHLMC POOL #A15484 6% 11/01/33 |
6.0
|
11/01/2033
|
45,361
|
50,659
|
| GOODMAN FUNDING PTY 6.375% 04/15/21 |
6.375
|
04/15/2021
|
3,455,000
|
3,998,807
|
| FNMA POOL #829096 5% 10/01/20 |
5.0
|
10/01/2020
|
887,178
|
974,050
|
| FNMA POOL #899044 5% 02/01/22 |
5.0
|
02/01/2022
|
48,872
|
52,771
|
| COMM 2006-FL12 MORTG 0.3332% 12/15/20 |
0.333
|
12/15/2020
|
5,745,000
|
5,505,175
|
| MORGAN STANLEY 4.875% 11/01/22 |
4.875
|
11/01/2022
|
300,000
|
318,034
|
| FOUNDATION RE III LT 0% 02/25/15 |
0.0
|
02/25/2015
|
1,050,000
|
1,095,150
|
| MYTHEN LTD 8.2157% 05/07/15 |
8.216
|
05/07/2015
|
500,000
|
533,250
|
| OMNICARE INC 3.25% 12/15/35 |
3.25
|
12/15/2035
|
766,000
|
765,043
|
| CALIFORNIA STATEWIDE 6% 08/15/42 |
6.0
|
08/15/2042
|
2,925,000
|
3,520,296
|
| BAYVIEW COMMERCIAL A 3.8900% 09/25/37 |
3.89
|
09/25/2037
|
8,309,611
|
768,639
|
| GNMA POOL #781354 6% 11/15/31 |
6.0
|
11/15/2031
|
78,444
|
89,067
|
| DIGITAL REALTY TRUST 4.5% 07/15/15 |
4.5
|
07/15/2015
|
1,765,000
|
1,875,344
|
| FHLMC POOL #C56176 6.5% 08/01/31 |
6.5
|
08/01/2031
|
4,646
|
5,383
|
| SVO 2012-A VOI MORTG 2% 09/20/29 |
2.0
|
09/20/2029
|
1,034,572
|
1,044,488
|
| LEHMAN BROTHERS FLOA 1.1032% 06/15/22 |
1.103
|
06/15/2022
|
550,000
|
533,788
|
| BBVA BANCOMER SA/TEX 6.5% 03/10/21 |
6.5
|
03/10/2021
|
3,815,000
|
4,330,025
|
| ASCIANO FINANCE LTD 4.625% 09/23/20 |
4.625
|
09/23/2020
|
529,000
|
561,430
|
| CITIGROUP MORTGAGE L 0.6142% 07/25/35 |
0.614
|
07/25/2035
|
200,353
|
200,279
|
| CEMEX ESPANA LUX 9.875% 04/30/19 |
9.875
|
04/30/2019
|
3,328,000
|
3,831,194
|
| TIMBERSTAR TRUST 5.7467% 10/15/36 |
5.747
|
10/15/2036
|
1,435,000
|
1,605,972
|
| CHARTER COMMUNICATIO L+4%, 03/28/19 |
4.0
|
03/28/2019
|
915,750
|
926,968
|
| CONNECTICUT STATE HE 5% 07/01/42 |
5.0
|
07/01/2042
|
4,600,000
|
5,076,744
|
| FNMA POOL #789678 5% 01/01/20 |
5.0
|
01/01/2020
|
828,746
|
909,897
|
| JPMORGAN CHASE & CO 1% 06/20/17 |
0.0
|
06/20/2017
|
14,000,000
|
14,179,512
|
| RPI FINANCE TRUST L+3.5%, 05/10/18 |
3.5
|
05/10/2018
|
1,713,451
|
1,733,441
|
| FNMA POOL #735040 6% 11/01/34 |
6.0
|
11/01/2034
|
33,499
|
37,355
|
| UNITED STATES TREASU 4.625% 02/15/40 |
4.625
|
02/15/2040
|
4,000,000
|
5,207,500
|
| FNMA POOL #850968 6% 12/01/35 |
6.0
|
12/01/2035
|
1,002,304
|
1,106,721
|
| OXFORD FINANCE FUNDI 3.9% 03/15/17 |
3.9
|
03/15/2017
|
506,199
|
510,628
|
| ONEBEACON US HOLDING 4.6% 11/09/22 |
4.6
|
11/09/2022
|
1,000,000
|
1,046,675
|
| UNITED STATES TREASU 4.375% 11/15/39 |
4.375
|
11/15/2039
|
1,365,000
|
1,710,516
|
| TYCO ELECTRONICS GRO 6.5500% 10/01/17 |
6.55
|
10/01/2017
|
2,950,000
|
3,527,710
|
| GNMA POOL #564927 6.5% 10/15/31 |
6.5
|
10/15/2031
|
12,588
|
14,884
|
| FNMA POOL #696675 6% 03/01/33 |
6.0
|
03/01/2033
|
20,697
|
23,294
|
| FNMA POOL #AJ7901 4.5% 12/01/41 |
4.5
|
12/01/2041
|
2,120,159
|
2,288,601
|
| GNMA POOL #592769 6% 05/15/33 |
6.0
|
05/15/2033
|
324,884
|
368,631
|
| PORT FREEPORT TX 5.95% 05/15/33 |
5.95
|
05/15/2033
|
3,965,000
|
4,544,366
|
| GNMA POOL #781595 6.5% 01/15/33 |
6.5
|
01/15/2033
|
8,096
|
9,335
|
| LEHMAN ABS MANUFACTU 5.873% 04/15/40 |
5.873
|
04/15/2040
|
388,286
|
424,457
|
| STORE MASTER FUNDING 4.16% 03/20/43 |
4.16
|
03/20/2043
|
300,000
|
299,937
|
| FREMF MORTGAGE TRUST 5.1639% 09/25/45 |
5.164
|
09/25/2045
|
890,000
|
1,006,622
|
| MADISON AVENUE MANUF 2.4542% 03/25/32 |
2.454
|
03/25/2032
|
2,200,000
|
2,212,258
|
| EXPEDIA INC 5.95% 08/15/20 |
5.95
|
08/15/2020
|
800,000
|
889,530
|
| ALLISON TRANSMISSION L+0.03%, 08/07/17 |
0.03
|
08/07/2017
|
237,388
|
238,525
|
| SUCCESSOR X LTD 0% 11/10/15 |
0.0
|
11/10/2015
|
250,000
|
251,925
|
| CREDIT SUISSE FIRST 5.5% 06/25/33 |
5.5
|
06/25/2033
|
357,131
|
356,397
|
| JP MORGAN MORTGAGE A 0.4442% 12/25/35 |
0.444
|
12/25/2035
|
181,242
|
180,615
|
| GNMA POOL #558897 6.5% 08/15/32 |
6.5
|
08/15/2032
|
19,692
|
22,347
|
| ALLY MASTER OWNER TR 1.0732% 01/15/16 |
1.073
|
01/15/2016
|
1,400,000
|
1,407,507
|
| THORNBURG MORTGAGE S 0.9442% 09/25/44 |
0.944
|
09/25/2044
|
4,174,056
|
4,001,430
|
| SIRIUS INTERNATIONAL 6.375% 03/20/17 |
6.375
|
03/20/2017
|
3,600,000
|
4,050,130
|
| AMHERST COLLEGE 3.794% 11/01/42 |
3.794
|
11/01/2042
|
525,000
|
509,483
|
| SOUTHERN CALIFORNIA 6.25% 08/01/49 |
6.25
|
08/01/2049
|
2,200,000
|
2,420,616
|
| FHLMC POOL #A20131 6.5% 04/01/34 |
6.5
|
04/01/2034
|
21,877
|
23,325
|
| GNMA II POOL #3650 4.5% 12/20/34 |
4.5
|
12/20/2034
|
276,613
|
305,286
|
| COMMERCIAL MORTGAGE 4.111% 07/05/35 |
4.111
|
07/05/2035
|
28,357
|
28,351
|
| COUNTRYWIDE ASSET-BA 0.9042% 12/25/34 |
0.904
|
12/25/2034
|
1,400,000
|
1,385,426
|
| GNMA POOL #603629 6% 04/15/33 |
6.0
|
04/15/2033
|
210,802
|
239,188
|
| RESIDENTIAL REINSURA 0% 12/06/16 |
0.0
|
12/06/2016
|
2,500,000
|
2,528,500
|
| GNMA POOL #584399 6.5% 05/15/32 |
6.5
|
05/15/2032
|
16,703
|
19,200
|
| AMERICREDIT AUTOMOBI 1.5700% 01/08/19 |
1.57
|
01/08/2019
|
800,000
|
801,905
|
| GENERAL ELECTRIC CAP 5.3% 02/11/21 |
5.3
|
02/11/2021
|
4,860,000
|
5,571,387
|
| FNMA POOL #725598 5.5% 07/01/34 |
5.5
|
07/01/2034
|
1,975,862
|
2,179,849
|
| BAYVIEW COMMERCIAL A 4.2766% 07/25/37 |
4.277
|
07/25/2037
|
12,330,585
|
644,890
|
| FNMA POOL #708545 5.5% 06/01/33 |
5.5
|
06/01/2033
|
97,504
|
107,357
|
| KIOWA POWER PARTNERS 5.737% 03/30/21 |
5.737
|
03/30/2021
|
2,105,000
|
2,224,341
|
| CAELUS RE II LTD 0% 05/24/13 |
0.0
|
05/24/2013
|
1,600,000
|
1,610,080
|
| FHLMC POOL #B11279 5.5% 12/01/18 |
5.5
|
12/01/2018
|
499,467
|
540,278
|
| HEALTH MANAGEMENT AS L+4.5%, 11/01/18 |
4.5
|
11/01/2018
|
1,637,702
|
1,653,342
|
| FNMA POOL #254148 7.0000% 01/01/32 |
7.0
|
01/01/2032
|
38,613
|
44,961
|
| GNMA POOL #634644 5.5% 11/15/34 |
5.5
|
11/15/2034
|
1,060,347
|
1,167,078
|
| FNMA POOL #535812 7.0000% 04/01/31 |
7.0
|
04/01/2031
|
16,666
|
19,881
|
| GNMA POOL #550684 4.5% 10/15/35 |
4.5
|
10/15/2035
|
436,773
|
478,689
|
| FNMA POOL #255412 6% 10/01/34 |
6.0
|
10/01/2034
|
45,002
|
50,182
|
| COMM 2005-FL11 MORTG 0.5432% 11/15/17 |
0.543
|
11/15/2017
|
1,377,109
|
1,279,016
|
| ENDO HEALTH SOLUTION L+4%, 04/14/18 |
4.0
|
04/14/2018
|
152,673
|
153,786
|
| NYU HOSPITALS CENTER 4.428% 07/01/42 |
4.428
|
07/01/2042
|
2,400,000
|
2,334,449
|
| FHLMC POOL #G12432 5% 12/01/21 |
5.0
|
12/01/2021
|
62,059
|
66,528
|
| QUEEN STREET VI RE L 0% 04/09/15 |
0.0
|
04/09/2015
|
250,000
|
260,950
|
| GS MORTGAGE SECURITI 1.2600% 03/06/20 |
1.26
|
03/06/2020
|
3,000,000
|
3,004,668
|
| GNMA POOL #443191 7.0000% 12/15/30 |
7.0
|
12/15/2030
|
23,821
|
28,385
|
| UNITED STATES TREASU 4.375% 02/15/38 |
4.375
|
02/15/2038
|
5,450,000
|
6,813,350
|
| GNMA POOL #612235 5.5% 08/15/33 |
5.5
|
08/15/2033
|
40,379
|
44,506
|
| TAL ADVANTAGE I LLC 4.31% 05/20/26 |
4.31
|
05/20/2026
|
898,333
|
902,637
|
| GNMA POOL #583047 6% 09/15/34 |
6.0
|
09/15/2034
|
185,906
|
210,940
|
| LIVE NATION ENTERTAI L+4.5%, 10/20/16 |
4.5
|
10/20/2016
|
1,649,033
|
1,664,134
|
| DYNCORP INTERNATIONA L+6.25%, 07/07/16 |
6.25
|
07/07/2016
|
743,451
|
749,492
|
| US BANCORP 6% 12/31/99 |
6.0
|
|
235,000
|
6,542,400
|
| WELLS FARGO MORTGAGE 5% 11/25/36 |
5.0
|
11/25/2036
|
563,653
|
583,824
|
| CKE RESTAURANT HOLDI 4.474% 03/20/43 |
4.474
|
03/20/2043
|
3,000,000
|
3,000,000
|
| SCOTTRADE FINANCIAL 6.125% 07/11/21 |
6.125
|
07/11/2021
|
4,750,000
|
4,941,824
|
| FNMA POOL #AI7368 4.5% 07/01/41 |
4.5
|
07/01/2041
|
3,140,960
|
3,390,503
|
| GOVERNMENT NATIONAL 0.5574% 11/16/51 |
0.557
|
11/16/2051
|
54,642,859
|
2,122,875
|
| SOUTHWEST AIRLINES C 7.6700% 01/02/14 |
7.67
|
01/02/2014
|
135,834
|
139,447
|
| FIRST INVESTORS AUTO 2.02% 01/15/19 |
2.02
|
01/15/2019
|
1,200,000
|
1,198,130
|
| JP MORGAN CHASE COMM 2.103% 11/15/28 |
2.103
|
11/15/2028
|
1,926,978
|
1,940,916
|
| COMM 2005-FL11 MORTG 0.5032% 11/15/17 |
0.503
|
11/15/2017
|
645,185
|
612,132
|
| MONDELEZ INTERNATION 6.5% 02/09/40 |
6.5
|
02/09/2040
|
3,725,000
|
4,837,192
|
| GNMA POOL #637280 5.5% 11/15/19 |
5.5
|
11/15/2019
|
500,604
|
542,369
|
| JP MORGAN MORTGAGE T 2.9046% 05/25/34 |
2.905
|
05/25/2034
|
330,103
|
333,922
|
| SLM STUDENT LOAN 1.051% 04/27/26 |
1.051
|
04/27/2026
|
900,000
|
896,112
|
| DAE AVIATION HOLDING L+0.05%, 10/18/18 |
0.05
|
10/18/2018
|
1,365,676
|
1,380,186
|
| LB-UBS COMMERCIAL MO 4.664% 07/15/30 |
4.664
|
07/15/2030
|
1,902,464
|
1,933,729
|
| COUNTRYWIDE ASSET-BA 5.069% 02/25/36 |
5.069
|
02/25/2036
|
1,935,480
|
1,960,640
|
| LEAR CORP |
0.0
|
11/05/2014
|
247
|
27,389
|
| GNMA POOL #569720 6% 03/15/17 |
6.0
|
03/15/2017
|
86,356
|
93,913
|
| IMPAC SECURED ASSETS 0.5542% 08/25/36 |
0.554
|
08/25/2036
|
678,768
|
657,697
|
| GNMA POOL #782111 6% 08/15/36 |
6.0
|
08/15/2036
|
751,375
|
846,760
|
| LOEWS CORP 5.25% 03/15/16 |
5.25
|
03/15/2016
|
2,650,000
|
2,950,007
|
| BANC OF AMERICA ALTE 5.75% 04/25/33 |
5.75
|
04/25/2033
|
961,950
|
1,043,839
|
| GNMA POOL #781324 7.0000% 07/15/31 |
7.0
|
07/15/2031
|
6,883
|
8,453
|
| BEACON CONTAINER FIN 3.72% 09/20/27 |
3.72
|
09/20/2027
|
285,923
|
298,014
|
| FNMA POOL #625146 6% 02/01/32 |
6.0
|
02/01/2032
|
58,297
|
65,317
|
| REINSURANCE GROUP OF 6.75% 12/15/65 |
6.75
|
12/15/2065
|
1,450,000
|
1,464,500
|
| UNIVERSITY OF TEXAS 5% 08/15/43 |
5.0
|
08/15/2043
|
525,000
|
604,716
|
| RESIDENTIAL ASSET SE 5.5% 07/25/35 |
5.5
|
07/25/2035
|
1,661,467
|
1,657,180
|
| OPTION ONE MORTGAGE 0.3242% 02/25/38 |
0.324
|
02/25/2038
|
56,314
|
56,140
|
| FNMA POOL #253031 6.5% 01/01/15 |
6.5
|
01/01/2015
|
720
|
741
|
| FNMA POOL #253950 7.0000% 09/01/31 |
7.0
|
09/01/2031
|
26,095
|
31,112
|
| CVS PASS-THROUGH TRU 5.773% 01/10/33 |
5.773
|
01/10/2033
|
1,473,964
|
1,714,615
|
| GNMA POOL #571256 7.0000% 10/15/31 |
7.0
|
10/15/2031
|
13,623
|
16,207
|
| NATIONSTAR HOME EQUI 0.3542% 03/25/37 |
0.354
|
03/25/2037
|
550,000
|
514,594
|
| CVS PASS-THROUGH TRU 5.298% 01/11/27 |
5.298
|
01/11/2027
|
737,069
|
831,554
|
| UNITED STATES TREASU 5.5% 08/15/28 |
5.5
|
08/15/2028
|
840,000
|
1,164,450
|
| GNMA POOL #782138 5.5% 02/15/37 |
5.5
|
02/15/2037
|
121,614
|
133,234
|
| GNMA POOL #552839 6.5% 10/15/32 |
6.5
|
10/15/2032
|
208,579
|
247,153
|
| MORGAN STANLEY CAPIT 5.569% 12/15/44 |
5.569
|
12/15/2044
|
1,000,000
|
1,116,919
|
| GNMA POOL #623368 6% 01/15/19 |
6.0
|
01/15/2019
|
45,981
|
49,257
|
| CITICORP RESIDENTIAL 5.775% 09/25/36 |
5.775
|
09/25/2036
|
420,998
|
428,332
|
| FNMA POOL #529259 7.5% 04/01/30 |
7.5
|
04/01/2030
|
1,920
|
2,030
|
| GNMA POOL #467760 7.0000% 04/15/28 |
7.0
|
04/15/2028
|
4,198
|
5,011
|
| FNMA POOL #882039 5.5% 05/01/36 |
5.5
|
05/01/2036
|
826,329
|
902,342
|
| SANTANDER DRIVE AUTO 2.66% 01/15/16 |
2.66
|
01/15/2016
|
1,350,000
|
1,372,550
|
| PFS FINANCING CORP 1.7032% 10/17/16 |
1.703
|
10/17/2016
|
775,712
|
781,892
|
| SANTANDER DRIVE AUTO 3.35% 06/15/17 |
3.35
|
06/15/2017
|
1,034,892
|
1,042,964
|
| GNMA POOL #781288 6.5% 05/15/31 |
6.5
|
05/15/2031
|
35,033
|
42,425
|
| GNMA POOL #599414 5% 07/15/33 |
5.0
|
07/15/2033
|
279,191
|
306,464
|
| FHLMC POOL #A32812 6% 04/01/35 |
6.0
|
04/01/2035
|
167,205
|
184,644
|
| INTEL CORP 2.95% 12/15/35 |
2.95
|
12/15/2035
|
4,725,000
|
5,014,406
|
| FHLMC POOL #C01646 6% 09/01/33 |
6.0
|
09/01/2033
|
318,790
|
356,023
|
| GS MORTGAGE SECURITI 2.2017% 03/06/20 |
2.202
|
03/06/2020
|
700,000
|
703,087
|
| LINCOLN NATIONAL COR 8.75% 07/01/19 |
8.75
|
07/01/2019
|
1,690,000
|
2,290,629
|
| MISSOURI STATE HEALT 5% 11/15/39 |
5.0
|
11/15/2039
|
2,850,000
|
3,368,700
|
| HOLCIM US FINANCE SA 6% 12/30/19 |
6.0
|
12/30/2019
|
475,000
|
554,895
|
| GS MORTGAGE SECURITI 3.682% 02/10/46 |
3.682
|
02/10/2046
|
1,000,000
|
1,025,780
|
| UNITED STATES TREASU 4.25% 05/15/39 |
4.25
|
05/15/2039
|
7,620,000
|
9,364,264
|
| FHLMC POOL #C01095 7.0000% 11/01/30 |
7.0
|
11/01/2030
|
6,106
|
7,224
|
| GNMA POOL #485857 6.5% 10/15/31 |
6.5
|
10/15/2031
|
92,218
|
109,037
|
| NEW CENTURY HOME EQU 0.4642% 06/25/35 |
0.464
|
06/25/2035
|
1,260,165
|
1,255,538
|
| GNMA POOL #612658 5.5% 06/15/35 |
5.5
|
06/15/2035
|
262,104
|
287,708
|
| FLEXTRONICS SEMICOND L+2.4537%, 10/01/14 |
2.454
|
10/01/2014
|
53,182
|
53,348
|
| BEAR STEARNS ALT-A T 0.8042% 06/25/34 |
0.804
|
06/25/2034
|
3,785,151
|
3,530,660
|
| STRUCTURED ASSET SEC 0.4242% 10/25/36 |
0.424
|
10/25/2036
|
4,255,948
|
4,102,976
|
| THORNBURG MORTGAGE S 4.1070% 03/25/44 |
4.107
|
03/25/2044
|
1,256,817
|
1,259,137
|
| GNMA POOL #641256 4.5% 03/15/35 |
4.5
|
03/15/2035
|
104,134
|
115,462
|
| SEQUOIA MORTGAGE TRU 0.4232% 03/20/35 |
0.423
|
03/20/2035
|
1,569,155
|
1,460,301
|
| US 10YR NOTE (CBT)JU |
0.0
|
06/19/2013
|
-156
|
-20,589,563
|
| FNMA POOL #811342 5% 02/01/20 |
5.0
|
02/01/2020
|
118,014
|
128,463
|
| HOLOGIC INC L+4.5%, 04/29/19 |
4.5
|
04/29/2019
|
696,500
|
707,020
|
| FAIRMOUNT MINERALS L L+5.25%, 03/01/17 |
5.25
|
03/01/2017
|
1,181,750
|
1,190,859
|
| GOVERNMENT NATIONAL 1.0956% 08/16/52 |
1.096
|
08/16/2052
|
13,793,236
|
1,080,245
|
| RAS LAFFAN LIQUEFIED 5.832% 09/30/16 |
5.832
|
09/30/2016
|
1,037,472
|
1,116,839
|
| PRUDENTIAL FINANCIAL 8.875% 06/15/38 |
8.875
|
06/15/2038
|
2,140,000
|
2,629,504
|
| FHLMC POOL #C55683 6.5% 03/01/31 |
6.5
|
03/01/2031
|
16,903
|
19,068
|
| MORGAN STANLEY RE-RE 5% 11/26/36 |
5.0
|
11/26/2036
|
2,950,000
|
2,986,226
|
| GNMA POOL #623596 4.5% 10/15/33 |
4.5
|
10/15/2033
|
508,514
|
556,040
|
| GNMA POOL #577734 6% 10/15/32 |
6.0
|
10/15/2032
|
63,049
|
71,814
|
| ACE SECURITIES CORP 6.5% 08/15/30 |
6.5
|
08/15/2030
|
874,992
|
882,497
|
| QUEEN STREET II CAPI 0% 04/09/14 |
0.0
|
04/09/2014
|
750,000
|
757,950
|
| COMMSCOPE INC L+3.75%, 01/14/18 |
3.75
|
01/14/2018
|
928,161
|
938,592
|
| BANQUE PSA FINANCE S 5.75% 04/04/21 |
5.75
|
04/04/2021
|
2,850,000
|
2,803,602
|
| LEAF RECEIVABLES FUN 1.92% 09/15/20 |
1.92
|
09/15/2020
|
2,203,000
|
2,241,332
|
| GOVERNMENT NATIONAL 3% 04/20/41 |
3.0
|
04/20/2041
|
1,972,875
|
2,068,268
|
| JP MORGAN CHASE COMM 0.3582% 05/15/47 |
0.358
|
05/15/2047
|
1,100,000
|
1,094,267
|
| MYTHEN RE LTD SERIES 8.7102% 01/05/17 |
8.71
|
01/05/2017
|
500,000
|
504,750
|
| TRITON CONTAINER FIN 4.21% 05/14/27 |
4.21
|
05/14/2027
|
1,182,500
|
1,219,088
|
| HOMESTAR MORTGAGE AC 0.5542% 06/25/34 |
0.554
|
06/25/2034
|
3,173,407
|
3,143,145
|
| FNMA POOL #AK7568 4% 07/01/42 |
4.0
|
07/01/2042
|
552,114
|
591,211
|
| GNMA POOL #621697 4.5% 10/15/33 |
4.5
|
10/15/2033
|
530,376
|
583,098
|
| PNC FINANCIAL SERVIC 6.75% 07/29/49 |
6.75
|
07/29/2049
|
1,050,000
|
1,200,924
|
| FHLMC POOL #C76269 6% 02/01/33 |
6.0
|
02/01/2033
|
17,874
|
19,961
|
| GNMA POOL #562311 5.5% 08/15/19 |
5.5
|
08/15/2019
|
392,859
|
425,020
|
| ORES NPL LLC 4% 09/25/44 |
4.0
|
09/25/2044
|
1,375,653
|
1,376,791
|
| JEFFERIES GROUP LLC 5.125% 01/20/23 |
5.125
|
01/20/2023
|
1,000,000
|
1,058,776
|
| MASSACHUSETTS DEVELO 5.25% 04/01/37 |
5.25
|
04/01/2037
|
325,000
|
363,701
|
| MORGAN STANLEY ABS C 0.2642% 12/25/36 |
0.264
|
12/25/2036
|
317,108
|
167,378
|
| GNMA POOL #553320 6% 06/15/33 |
6.0
|
06/15/2033
|
19,092
|
21,955
|
| GNMA POOL #584253 6% 05/15/17 |
6.0
|
05/15/2017
|
95,910
|
101,315
|
| ALTERNATIVE LOAN TRU 5.5% 01/25/35 |
5.5
|
01/25/2035
|
995,155
|
1,012,982
|
| FLEXTRONICS SEMICOND L+2.4537%, 10/01/14 |
2.454
|
10/01/2014
|
387,481
|
388,288
|
| FOREST CITY ENTE 7.625% 06/01/15 |
7.625
|
06/01/2015
|
54,000
|
54,000
|
| FNMA POOL #AD7136 5% 07/01/40 |
5.0
|
07/01/2040
|
1,727,565
|
1,897,551
|
| FNMA POOL #614995 7.0000% 12/01/31 |
7.0
|
12/01/2031
|
27,984
|
33,364
|
| LODESTONE RE LTD 0% 05/17/13 |
0.0
|
05/17/2013
|
2,800,000
|
2,816,240
|
| WILLIAMS COS INC/THE 7.75% 06/15/31 |
7.75
|
06/15/2031
|
2,475,000
|
3,083,684
|
| SEMTECH CORP L+4.25%, 02/21/17 |
4.25
|
02/21/2017
|
506,175
|
512,502
|
| FNMA POOL #837535 6% 10/01/35 |
6.0
|
10/01/2035
|
567,275
|
626,372
|
| GNMA POOL #615898 5.5% 08/15/33 |
5.5
|
08/15/2033
|
82,535
|
90,971
|
| UBS COMMERCIAL MORTG 0.7782% 07/15/24 |
0.778
|
07/15/2024
|
2,553,356
|
2,529,383
|
| FNMA POOL #619972 6.5% 12/01/31 |
6.5
|
12/01/2031
|
190,776
|
216,645
|
| HEALTH CARE REIT INC 6.2% 06/01/16 |
6.2
|
06/01/2016
|
4,125,000
|
4,700,120
|
| CREDIT SUISSE FIRST 2.6906% 11/25/33 |
2.691
|
11/25/2033
|
700,371
|
688,859
|
| BCAP LLC 2010-RR11-I 2.9824% 06/27/36 |
2.982
|
06/27/2036
|
196,597
|
196,841
|
| GSR MORTGAGE LOAN TR 2.5405% 08/25/33 |
2.541
|
08/25/2033
|
1,713,012
|
1,725,789
|
| UNITED STATES TREASU 2.125% 08/15/21 |
2.125
|
08/15/2021
|
8,000,000
|
8,360,000
|
| FNMA POOL #604810 7.0000% 09/01/31 |
7.0
|
09/01/2031
|
10,829
|
12,911
|
| SPIRIT AEROSYSTEMS I L+3.75%, 03/27/19 |
3.75
|
03/27/2019
|
645,125
|
651,979
|
| GNMA POOL #569158 6% 03/15/32 |
6.0
|
03/15/2032
|
3,921
|
4,473
|
| NEW YORK STATE DORMI 5% 07/01/37 |
5.0
|
07/01/2037
|
875,000
|
1,004,833
|
| EATON VANCE CORP 6.5% 10/02/17 |
6.5
|
10/02/2017
|
3,945,000
|
4,737,823
|
| CARNOW AUTO RECEIVAB 2.09% 01/15/15 |
2.09
|
01/15/2015
|
497,484
|
497,654
|
| FNMA POOL #608740 6.5% 06/01/31 |
6.5
|
06/01/2031
|
156,089
|
183,689
|
| FNMA POOL #568443 6.5% 01/01/31 |
6.5
|
01/01/2031
|
4,489
|
5,283
|
| CINCINNATI BELL 8.375% 10/15/20 |
8.375
|
10/15/2020
|
469,000
|
487,760
|
| GNMA POOL #521291 6.5% 04/15/35 |
6.5
|
04/15/2035
|
77,417
|
88,416
|
| SPRINGLEAF FINANCE C 6.9% 12/15/17 |
6.9
|
12/15/2017
|
4,435,000
|
4,457,175
|
| HEALTHCARE REALTY TR 6.5% 01/17/17 |
6.5
|
01/17/2017
|
2,425,000
|
2,791,005
|
| GNMA POOL #780844 6% 08/15/13 |
6.0
|
08/15/2013
|
89
|
89
|
| BURGER KING CORP L+3.75%, 09/28/19 |
3.75
|
09/28/2019
|
487,550
|
494,811
|
| NORDEA BANK AB 4.25% 09/21/22 |
4.25
|
09/21/2022
|
4,500,000
|
4,602,492
|
| ALTERNATIVE LOAN TRU 5.5% 08/25/34 |
5.5
|
08/25/2034
|
1,550,346
|
1,533,996
|
| DIGITALGLOBE INC L+0.0275%, 01/25/20 |
0.028
|
01/25/2020
|
1,320,000
|
1,337,016
|
| UNIVISION COMMUNICAT L+4.75%, 02/22/20 |
4.75
|
02/22/2020
|
2,306,174
|
2,322,606
|
| ANIXTER INC 5.95% 03/01/15 |
5.95
|
03/01/2015
|
2,665,000
|
2,831,563
|
| FHLMC POOL #A26100 6% 08/01/34 |
6.0
|
08/01/2034
|
379,719
|
420,271
|
| WELLPOINT INC 2.75% 10/15/42 |
2.75
|
10/15/2042
|
5,725,000
|
6,254,563
|
| BANC OF AMERICA MORT 2.9979% 06/25/34 |
2.998
|
06/25/2034
|
384,025
|
383,716
|
| PLAINS ALL AMERICAN 6.125% 01/15/17 |
6.125
|
01/15/2017
|
3,500,000
|
4,106,522
|
| HOSPITALITY PROPERTI 5% 08/15/22 |
5.0
|
08/15/2022
|
1,985,000
|
2,115,222
|
| FNMA POOL #545944 6% 10/01/32 |
6.0
|
10/01/2032
|
141,472
|
159,216
|
| MORGAN STANLEY 5.5% 01/26/20 |
5.5
|
01/26/2020
|
3,125,000
|
3,580,488
|
| GNMA POOL #467451 6.5% 01/15/29 |
6.5
|
01/15/2029
|
28,308
|
33,299
|
| GNMA POOL #586580 7.0000% 05/15/32 |
7.0
|
05/15/2032
|
114,340
|
135,761
|
| BB&T CORP 5.625% 12/31/99 |
5.625
|
|
85,000
|
2,170,900
|
| ARCELORMITTAL 6% 03/01/21 |
6.0
|
03/01/2021
|
500,000
|
525,680
|
| FEDERAL-MOGUL CORP L+2.1375%, 12/29/14 |
2.138
|
12/29/2014
|
1,049,932
|
984,166
|
| GNMA POOL #564662 7.0000% 06/15/31 |
7.0
|
06/15/2031
|
14,311
|
17,026
|
| FNMA POOL #685330 6% 02/01/33 |
6.0
|
02/01/2033
|
38,260
|
43,059
|
| EAST LANE RE LTD 0% 03/13/15 |
0.0
|
03/13/2015
|
850,000
|
884,935
|
| BAYVIEW FINANCIAL MO 0.6537% 04/28/39 |
0.654
|
04/28/2039
|
1,486,142
|
1,457,740
|
| SMA ISSUER I LLC 3.5000% 08/20/25 |
3.5
|
08/20/2025
|
731,880
|
735,050
|
| JP MORGAN CHASE COMM 3.6159% 11/15/43 |
3.616
|
11/15/2043
|
1,600,000
|
1,741,019
|
| UNITED STATES TREASU 4.375% 05/15/40 |
4.375
|
05/15/2040
|
2,000,000
|
2,506,876
|
| NEW YORK STATE DORMI 5% 07/01/38 |
5.0
|
07/01/2038
|
3,700,000
|
4,253,298
|
| GNMA POOL #485858 6.5% 10/15/31 |
6.5
|
10/15/2031
|
181,141
|
214,177
|
| SPIRIT MASTER FUNDIN 5.74% 03/20/25 |
5.74
|
03/20/2025
|
274,194
|
281,863
|
| SUNOCO LOGISTICS PAR 6.1% 02/15/42 |
6.1
|
02/15/2042
|
2,200,000
|
2,497,682
|
| ALTERNATIVE LOAN TRU 5.75% 12/25/33 |
5.75
|
12/25/2033
|
1,637,156
|
1,686,703
|
| GNMA POOL #603650 6% 04/15/33 |
6.0
|
04/15/2033
|
46,163
|
52,581
|
| DEL CORONADO TRUST 1.503% 03/15/26 |
1.503
|
03/15/2026
|
1,895,000
|
1,895,000
|
| CUBESMART LP 4.8% 07/15/22 |
4.8
|
07/15/2022
|
730,000
|
799,451
|
| RALI SERIES 2004-QS1 5.5% 12/25/34 |
5.5
|
12/25/2034
|
1,434,883
|
1,413,800
|
| GMAC COMMERCIAL MORT 4.864% 12/10/41 |
4.864
|
12/10/2041
|
3,375,000
|
3,553,180
|
| IMPAC SECURED ASSETS 1.0042% 11/25/34 |
1.004
|
11/25/2034
|
2,214,401
|
2,159,001
|
| MASTR ADJUSTABLE RAT 5.2854% 01/25/35 |
5.285
|
01/25/2035
|
1,240,825
|
1,193,785
|
| FNMA POOL #253301 8% 04/01/20 |
8.0
|
04/01/2020
|
2,278
|
2,567
|
| LODESTONE RE LTD 0% 01/08/14 |
0.0
|
01/08/2014
|
2,400,000
|
2,420,880
|
| GNMA POOL #579539 6.5% 03/15/32 |
6.5
|
03/15/2032
|
35,183
|
40,096
|
| FNMA POOL #AI1643 4.5% 07/01/41 |
4.5
|
07/01/2041
|
3,658,719
|
3,949,396
|
| CROCKETT COGENERATIO 5.869% 03/30/25 |
5.869
|
03/30/2025
|
667,350
|
741,006
|
| WORLDPAY L+5.25%, 08/06/17 |
5.25
|
08/06/2017
|
999,288
|
1,006,033
|
| CALIFORNIA REPUBLIC 1.18% 08/15/17 |
1.18
|
08/15/2017
|
1,767,259
|
1,766,371
|
| FNMA POOL #AD2739 5% 07/01/40 |
5.0
|
07/01/2040
|
3,203,953
|
3,477,156
|
| SBP DPR FINANCE CO 3.0301% 03/15/17 |
3.03
|
03/15/2017
|
1,684,211
|
1,678,435
|
| MERRILL LYNCH MORTGA 2.44% 10/25/35 |
2.44
|
10/25/2035
|
348,253
|
344,548
|
| WELLS FARGO MORTGAGE 4.9395% 08/25/34 |
4.94
|
08/25/2034
|
2,133,869
|
2,195,706
|
| GNMA POOL #770525 4.5% 08/15/41 |
4.5
|
08/15/2041
|
4,298,979
|
4,700,799
|
| NEVADA POWER CO 6.5% 08/01/18 |
6.5
|
08/01/2018
|
910,000
|
1,132,350
|
| FHLMC POOL #G04815 5% 09/01/38 |
5.0
|
09/01/2038
|
1,193,124
|
1,283,304
|
| JP MORGAN CHASE COMM 2.5722% 10/15/25 |
2.572
|
10/15/2025
|
2,800,000
|
2,838,542
|
| FHLMC POOL #G01552 6.5% 01/01/33 |
6.5
|
01/01/2033
|
1,017
|
1,178
|
| HLSS SERVICER ADVANC 3.9599% 10/15/45 |
3.96
|
10/15/2045
|
224,000
|
232,288
|
| WESTGATE RESORTS LLC 2.5% 03/20/25 |
2.5
|
03/20/2025
|
487,672
|
488,281
|
| FREMF MORTGAGE TRUST 3.4895% 11/25/46 |
3.49
|
11/25/2046
|
650,000
|
682,057
|
| FNMA POOL #254800 5.5% 07/01/23 |
5.5
|
07/01/2023
|
105,629
|
116,138
|
| CATERPILLAR FINANCIA 7.0499% 10/01/18 |
7.05
|
10/01/2018
|
2,575,000
|
3,304,868
|
| ARCELORMITTAL 6.125% 06/01/18 |
6.125
|
06/01/2018
|
3,900,000
|
4,212,000
|
| CARLYLE HOLDINGS II 5.625% 03/30/43 |
5.625
|
03/30/2043
|
2,810,000
|
2,811,895
|
| GNMA POOL #498380 6.5% 02/15/29 |
6.5
|
02/15/2029
|
3,059
|
3,456
|
| TARRANT REGIONAL WAT 5% 03/01/52 |
5.0
|
03/01/2052
|
1,750,000
|
1,942,605
|
| RESIDENTIAL ASSET SE 5.5% 02/25/35 |
5.5
|
02/25/2035
|
655,028
|
669,549
|
| GLENN POOL OIL & GAS L+4.5%, 06/01/16 |
4.5
|
06/01/2016
|
2,195,512
|
2,206,490
|
| CEVA GROUP PLC L+0.211%, 08/31/16 |
0.211
|
08/31/2016
|
462,700
|
452,000
|
| ANGLOGOLD ASHANTI HO 5.375% 04/15/20 |
5.375
|
04/15/2020
|
3,085,000
|
3,265,398
|
| IRWIN WHOLE LOAN HOM 0.9042% 03/25/25 |
0.904
|
03/25/2025
|
654,742
|
565,381
|
| FIRST DATA CORP 8.25% 01/15/21 |
8.25
|
01/15/2021
|
447,000
|
464,880
|
| LEHMAN BROTHERS SMAL 1.1542% 10/25/37 |
1.154
|
10/25/2037
|
417,633
|
415,521
|
| PRESTIGE AUTO RECEIV 3.9% 07/16/18 |
3.9
|
07/16/2018
|
800,000
|
826,758
|
| CITICORP RESIDENTIAL 5.703% 11/25/36 |
5.703
|
11/25/2036
|
2,761,876
|
2,755,418
|
| HOSPITALITY PROPERTI 7.875% 08/15/14 |
7.875
|
08/15/2014
|
4,175,000
|
4,407,105
|
| EVERGLADES RE LTD 0% 03/28/16 |
0.0
|
03/28/2016
|
250,000
|
250,000
|
| UNITED STATES TREASU 3.125% 02/15/43 |
3.125
|
02/15/2043
|
1,200,000
|
1,202,250
|
| CELANESE US HOLDINGS L+3.058%, 10/31/16 |
3.058
|
10/31/2016
|
126,174
|
127,407
|
| LSTAR COMMERCIAL MOR 5.4910% 06/25/43 |
5.491
|
06/25/2043
|
1,395,000
|
1,500,543
|
| GOVERNMENT NATIONAL 4.973% 04/16/42 |
4.973
|
04/16/2042
|
375,000
|
423,435
|
| STATE OF WASHINGTON 5% 07/01/18 |
5.0
|
07/01/2018
|
1,660,000
|
1,995,503
|
| GNMA POOL #781485 6% 08/15/32 |
6.0
|
08/15/2032
|
16,100
|
18,269
|
| DELPHI FINANCIAL GRO 7.376% 05/15/37 |
0.0
|
05/15/2037
|
153,800
|
3,849,814
|
| CNL COMMERCIAL MORTG 0.6442% 10/25/30 |
0.644
|
10/25/2030
|
889,782
|
791,906
|
| GNMA POOL #605389 5% 04/15/34 |
5.0
|
04/15/2034
|
251,390
|
275,476
|
| ELECTRICITE DE FRANC 5.25% 01/29/49 |
5.25
|
01/29/2049
|
5,400,000
|
5,364,576
|
| FHLMC POOL #A14995 6.5% 02/01/33 |
6.5
|
02/01/2033
|
3,879
|
4,494
|
| GNMA POOL #542757 6.5% 04/15/31 |
6.5
|
04/15/2031
|
138,094
|
163,280
|
| FHLMC POOL #G08020 5% 11/01/34 |
5.0
|
11/01/2034
|
45,394
|
49,052
|
| GNMA II POOL #3530 5.5% 03/20/34 |
5.5
|
03/20/2034
|
483,467
|
536,314
|
| GNMA POOL #582352 5.5% 10/15/17 |
5.5
|
10/15/2017
|
98,136
|
105,458
|
| DOMINO'S PIZZA MASTE 5.216% 01/25/42 |
5.216
|
01/25/2042
|
4,900,375
|
5,499,387
|
| GOLD FIELDS OROGEN H 4.875% 10/07/20 |
4.875
|
10/07/2020
|
5,000,000
|
4,912,500
|
| JP MORGAN MORTGAGE T 4.8894% 02/25/34 |
4.889
|
02/25/2034
|
1,265,960
|
1,290,183
|
| GNMA POOL #591005 6.5% 07/15/32 |
6.5
|
07/15/2032
|
49,987
|
56,688
|
| BWAY HOLDING CO L+4.5025%, 08/06/17 |
4.503
|
08/06/2017
|
425,000
|
430,578
|
| ASTORIA FINANCIAL CO 5% 06/19/17 |
5.0
|
06/19/2017
|
2,300,000
|
2,462,980
|
| PINNACLE FOODS GROUP L+2.7037%, 04/19/14 |
2.704
|
04/19/2014
|
153,597
|
154,124
|
| NISSAN MOTOR ACCEPTA 4.5% 01/30/15 |
4.5
|
01/30/2015
|
790,000
|
841,097
|
| WEATHERFORD INTERNAT 5.95% 04/15/42 |
5.95
|
04/15/2042
|
125,000
|
128,839
|
| FHLMC POOL #A44264 6% 04/01/36 |
6.0
|
04/01/2036
|
1,172,905
|
1,283,869
|
| ELLINGTON LOAN ACQUI 1.0042% 05/27/37 |
1.004
|
05/27/2037
|
182,928
|
180,955
|
| COMM 2012-CCRE2 MORT 3.147% 08/15/45 |
3.147
|
08/15/2045
|
850,000
|
881,834
|
| STRUCTURED ASSET SEC 4.77% 10/25/34 |
4.77
|
10/25/2034
|
615,765
|
629,115
|
| SIERRA TIMESHARE 201 2.38% 03/20/29 |
2.38
|
03/20/2029
|
2,292,640
|
2,323,859
|
| GNMA POOL #631651 6% 09/15/19 |
6.0
|
09/15/2019
|
148,261
|
160,032
|
| FREMONT HOME LOAN TR 0.6642% 06/25/35 |
0.664
|
06/25/2035
|
931,688
|
916,911
|
| CREDIT SUISSE FIRST 6.4480% 09/15/34 |
6.448
|
09/15/2034
|
3,250,000
|
1,545,489
|
| LOUISIANA LOCAL GOVE 6.5% 11/01/35 |
6.5
|
11/01/2035
|
2,350,000
|
2,740,500
|
| FHLMC POOL #A39717 5.5% 11/01/35 |
5.5
|
11/01/2035
|
166,104
|
180,936
|
| CITIGROUP CAPITAL XI 7.875% 10/30/40 |
7.875
|
10/30/2040
|
116,000
|
3,316,440
|
| MASTR ADJUSTABLE RAT 1.3042% 11/25/34 |
1.304
|
11/25/2034
|
1,430,000
|
1,268,288
|
| WELLS FARGO MORTGAGE 2.5155% 02/25/33 |
2.516
|
02/25/2033
|
804,860
|
823,464
|
| JP MORGAN CHASE COMM 3.9767% 10/15/45 |
3.977
|
10/15/2045
|
900,000
|
934,913
|
| TNK-BP FINANCE SA 6.625% 03/20/17 |
6.625
|
03/20/2017
|
1,000,000
|
1,130,000
|
| CAPITAL AUTO RECEIVA 1.7399% 10/22/18 |
1.74
|
10/22/2018
|
1,900,000
|
1,903,532
|
| HOUSTON HIGHER EDUCA 5% 05/15/40 |
5.0
|
05/15/2040
|
1,500,000
|
1,691,250
|
| WEA FINANCE LLC 7.1249% 04/15/18 |
7.125
|
04/15/2018
|
4,125,000
|
5,089,029
|
| FNMA POOL #606344 6.5% 10/01/31 |
6.5
|
10/01/2031
|
17,846
|
21,035
|
| GNMA II POOL #3689 4.5% 03/20/35 |
4.5
|
03/20/2035
|
129,054
|
142,431
|
| TRONOX INC L+4.25%, 01/24/17 |
4.25
|
01/24/2017
|
781,786
|
786,834
|
| COMM 2012-CCRE2 MORT 3.791% 08/15/45 |
3.791
|
08/15/2045
|
450,000
|
480,267
|
| JP MORGAN MORTGAGE T 2.5838% 07/25/35 |
2.584
|
07/25/2035
|
476,607
|
478,889
|
| TIERS TRUST/UNITED S 7.697% 10/15/97 |
7.697
|
|
1,250,000
|
820,329
|
| FHLMC POOL #A14289 6.5% 10/01/33 |
6.5
|
10/01/2033
|
54,698
|
59,444
|
| COOPERATIEVE CENTRAL 3.875% 02/08/22 |
3.875
|
02/08/2022
|
3,435,000
|
3,623,434
|
| RASC SERIES 2005-KS7 0.6442% 08/25/35 |
0.644
|
08/25/2035
|
928,677
|
905,002
|
| JP MORGAN MORTGAGE T 2.1956% 10/25/33 |
2.196
|
10/25/2033
|
1,572,206
|
1,598,426
|
| BANC OF AMERICA ALTE 5.5% 09/25/33 |
5.5
|
09/25/2033
|
1,906,205
|
1,940,252
|
| CHESAPEAKE FUNDING L 1.3532% 05/07/24 |
1.353
|
05/07/2024
|
400,000
|
400,000
|
| IRWIN HOME EQUITY LO 5.32% 06/25/35 |
5.32
|
06/25/2035
|
1,328,224
|
1,294,704
|
| FHLMC POOL #A16897 6% 12/01/33 |
6.0
|
12/01/2033
|
167,771
|
187,900
|
| SUNGARD DATA SYSTEMS L+3.9552%, 02/28/17 |
3.955
|
02/28/2017
|
1,017,010
|
1,023,998
|
| TRINITY RAIL LEA 2.266% 01/15/43 |
2.266
|
01/15/2043
|
1,766,082
|
1,844,177
|
| FHLMC POOL #C46652 6.5% 01/01/31 |
6.5
|
01/01/2031
|
293
|
341
|
| BANC OF AMERICA FUND 5.5% 10/25/33 |
5.5
|
10/25/2033
|
1,359,774
|
1,429,325
|
| WAMU MORTGAGE PASS T 2.4424% 01/25/35 |
2.442
|
01/25/2035
|
4,142,146
|
4,148,699
|
| GSAMP TRUST 2005-WMC 0.5842% 09/25/35 |
0.584
|
09/25/2035
|
152,421
|
152,277
|
| UNITED STATES TREASU 4.5% 08/15/39 |
4.5
|
08/15/2039
|
9,068,000
|
11,578,703
|
| FHLMC POOL #C01210 6.5% 08/01/31 |
6.5
|
08/01/2031
|
2,006
|
2,325
|
| GNMA POOL #570671 6.5% 11/15/31 |
6.5
|
11/15/2031
|
8,245
|
9,291
|
| SASCO MORTGAGE PASS- 2.6792% 12/25/34 |
2.679
|
12/25/2034
|
2,204,075
|
2,240,950
|
| UNITED STATES TREASU 5.25% 11/15/28 |
5.25
|
11/15/2028
|
5,100,000
|
6,908,909
|
| ALPHA APPALACHIA 3.25% 08/01/15 |
3.25
|
08/01/2015
|
2,560,000
|
2,464,000
|
| GNMA POOL #781594 6.5% 01/15/33 |
6.5
|
01/15/2033
|
766,401
|
905,281
|
| KLA-TENCOR CORP 6.9% 05/01/18 |
6.9
|
05/01/2018
|
3,100,000
|
3,716,299
|
| BCAP LLC 2010-RR10 T 2.7297% 12/27/34 |
2.73
|
12/27/2034
|
385,502
|
387,094
|
| FNMA POOL #AJ9736 4.5% 01/01/42 |
4.5
|
01/01/2042
|
1,378,852
|
1,488,399
|
| DENBURY RESOURCES IN 8.25% 02/15/20 |
8.25
|
02/15/2020
|
2,292,000
|
2,567,040
|
| OPTEUM MORTGAGE ACCE 0.4542% 12/25/35 |
0.454
|
12/25/2035
|
989,355
|
966,707
|
| CHEMTURA CORP L+5.5%, 08/11/16 |
5.5
|
08/11/2016
|
1,620,000
|
1,644,300
|
| GE CAPITAL COMMERCIA 5.145% 07/10/37 |
5.145
|
07/10/2037
|
1,824,614
|
1,833,974
|
| LA HIPOTECARIA PANAM 3% 09/08/39 |
3.0
|
09/08/2039
|
623,642
|
651,706
|
| GNMA POOL #457127 6.5% 02/15/29 |
6.5
|
02/15/2029
|
13,480
|
15,226
|
| NEW YORK CITY TRANSI 5% 11/01/33 |
5.0
|
11/01/2033
|
2,400,000
|
2,762,328
|
| XL GROUP PLC 6.5% 12/29/49 |
6.5
|
12/29/2049
|
5,005,000
|
4,892,388
|
| TI GROUP AUTOMOTIVE L+4.25%, 03/27/19 |
4.25
|
03/27/2019
|
838,663
|
830,276
|
| JP MORGAN MORTGAGE T 2.5171% 02/25/34 |
2.517
|
02/25/2034
|
2,537,609
|
2,618,234
|
| BEAR STERNS ARM TRUS 2.3415% 08/25/33 |
2.342
|
08/25/2033
|
1,398,162
|
1,389,346
|
| RESIDENTIAL REINSURA 0% 06/06/13 |
0.0
|
06/06/2013
|
800,000
|
807,680
|
| FIRST HORIZON MORTGA 5.7100% 10/25/34 |
5.71
|
10/25/2034
|
399,813
|
405,951
|
| GNMA POOL #617250 6% 10/15/36 |
6.0
|
10/15/2036
|
347,250
|
390,971
|
| RESIDENTIAL REINSURA 6.6000% 06/06/13 |
6.6
|
06/06/2013
|
1,500,000
|
1,515,600
|
| FNMA POOL #506298 6.5% 07/01/29 |
6.5
|
07/01/2029
|
10,409
|
10,880
|
| GNMA POOL #552269 6% 01/15/17 |
6.0
|
01/15/2017
|
18,548
|
20,171
|
| FHLMC POOL #C46590 6.5% 01/01/31 |
6.5
|
01/01/2031
|
347
|
404
|
| PROTECTIVE LIFE CORP 7.375% 10/15/19 |
7.375
|
10/15/2019
|
4,250,000
|
5,216,845
|
| STRUCTURED ASSET INV 0.4042% 01/25/36 |
0.404
|
01/25/2036
|
2,072,570
|
2,023,117
|
| WEATHERFORD INTERNAT 9.625% 03/01/19 |
9.625
|
03/01/2019
|
2,815,000
|
3,676,534
|
| QUESTAR PIPELINE CO 5.83% 02/01/18 |
5.83
|
02/01/2018
|
3,885,000
|
4,536,301
|
| WESTGATE RESORTS 201 3% 01/20/25 |
3.0
|
01/20/2025
|
1,860,877
|
1,876,579
|
| PRUDENTIAL FINANCIAL 4.5% 11/16/21 |
4.5
|
11/16/2021
|
1,090,000
|
1,212,551
|
| AMERICAN CREDIT ACCE 1.6399% 11/15/16 |
1.64
|
11/15/2016
|
1,997,825
|
1,997,699
|
| GNMA POOL #604471 5.5% 07/15/33 |
5.5
|
07/15/2033
|
173,813
|
191,580
|
| FNMA POOL #797677 4.5% 10/01/35 |
4.5
|
10/01/2035
|
712,045
|
767,726
|
| GNMA POOL #483789 7.0000% 12/15/13 |
7.0
|
12/15/2013
|
361
|
366
|
| CHASE MORTGAGE FINAN 5% 10/25/33 |
5.0
|
10/25/2033
|
220,195
|
228,123
|
| FNMA POOL #598534 6.5% 08/01/31 |
6.5
|
08/01/2031
|
9,998
|
11,784
|
| BOARDWALK PIPELINES 5.5% 02/01/17 |
5.5
|
02/01/2017
|
435,000
|
485,626
|
| FNMA POOL #259573 6.5% 10/01/32 |
6.5
|
10/01/2032
|
128,104
|
151,191
|
| USI INSURANCE SERVIC L+5.25%, 11/29/19 |
5.25
|
11/29/2019
|
6,319,163
|
6,384,989
|
| MID-STATE CAPITAL TR 5.25% 12/15/45 |
|
