|
Monthly Portfolio Holdings as of 3/28/2013
| Security Name |
Coupon |
Maturity Date |
Par / Shares |
Market Value($) |
| ELLINGTON LOAN ACQUI 1.1042% 05/28/37 |
1.104
|
05/28/2037
|
550,000
|
519,813
|
| GS MORTGAGE SECURITI 4.209% 02/10/21 |
4.209
|
02/10/2021
|
350,000
|
353,115
|
| FNMA POOL #323792 6.5% 06/01/14 |
6.5
|
06/01/2014
|
1,457
|
1,472
|
| SAXON ASSET SECURITI 0.6642% 11/25/35 |
0.664
|
11/25/2035
|
361,000
|
347,492
|
| FLORIDA POWER CORP 0.65% 11/15/15 |
0.65
|
11/15/2015
|
500,000
|
500,052
|
| LB-UBS COMMERCIAL MO 4.568% 01/15/31 |
4.568
|
01/15/2031
|
243,949
|
250,087
|
| RESIDENTIAL ASSET SE 0.6042% 05/25/33 |
0.604
|
05/25/2033
|
1,863,504
|
1,685,036
|
| NORTHSTAR 2012-1 MOR 1.404% 08/25/29 |
1.404
|
08/25/2029
|
475,567
|
475,567
|
| US 5YR NOTE (CBT) JU |
0.0
|
06/28/2013
|
-38
|
-4,714,078
|
| DEUTSCHE MORTGAGE SE 1.4527% 06/28/47 |
1.453
|
06/28/2047
|
53,684
|
54,490
|
| FREDDIE MAC REMICS 0.5032% 01/15/36 |
0.503
|
01/15/2036
|
129,552
|
129,889
|
| INDYMAC INDX MORTGAG 0.3042% 02/25/37 |
0.304
|
02/25/2037
|
8,590
|
8,583
|
| PERMANENT MASTER ISS 1.6901% 07/15/42 |
1.69
|
07/15/2042
|
700,000
|
706,075
|
| FHLMC POOL #B15072 6.5% 06/01/17 |
6.5
|
06/01/2017
|
5,769
|
5,933
|
| AMERICREDIT AUTOMOBI 9.79% 04/15/14 |
9.79
|
04/15/2014
|
16,913
|
17,049
|
| FANNIE MAE GRANTOR T 3.7448% 10/25/40 |
3.745
|
10/25/2040
|
4,205,780
|
4,044,955
|
| VODAFONE GROUP PLC 0.6751% 02/19/16 |
0.675
|
02/19/2016
|
275,000
|
274,730
|
| TRITON CONTAINER FIN 0.37% 11/26/21 |
0.37
|
11/26/2021
|
476,667
|
467,861
|
| FANNIE MAE REMICS 6% 06/25/29 |
6.0
|
06/25/2029
|
174,768
|
197,393
|
| ARI FLEET LEASE TRUS 0.7% 12/15/15 |
0.7
|
12/15/2015
|
260,000
|
259,983
|
| GOVERNMENT NATIONAL 0.6532% 01/20/34 |
0.653
|
01/20/2034
|
831,312
|
832,730
|
| MACK-CALI REALTY LP 5.125% 02/15/14 |
5.125
|
02/15/2014
|
385,000
|
397,630
|
| RESIDENTIAL REINSURA 0% 06/06/13 |
0.0
|
06/06/2013
|
250,000
|
253,525
|
| COMPASS RE LTD 0% 01/08/15 |
0.0
|
01/08/2015
|
375,000
|
388,538
|
| COUNTRYWIDE ASSET-BA 0.5742% 01/25/36 |
0.574
|
01/25/2036
|
133,398
|
132,901
|
| WELLS FARGO MORTGAGE 5% 11/25/36 |
5.0
|
11/25/2036
|
68,891
|
71,356
|
| COUNTRYWIDE ASSET-BA 0.3142% 05/25/37 |
0.314
|
05/25/2037
|
170,257
|
169,770
|
| NEWTEK SMALL BUSINES 3.9552% 07/25/38 |
3.955
|
07/25/2038
|
250,000
|
250,000
|
| WAMU MORTGAGE PASS T 2.4274% 09/25/33 |
2.427
|
09/25/2033
|
515,910
|
526,101
|
| CREDIT SUISSE FIRST 4.9% 12/15/36 |
4.9
|
12/15/2036
|
170,483
|
172,237
|
| CONSECO FINANCE 7.55% 04/15/32 |
7.55
|
04/15/2032
|
512,214
|
530,457
|
| GLENCORE FUNDING LLC 6% 04/15/14 |
6.0
|
04/15/2014
|
1,000,000
|
1,047,487
|
| GSAMP TRUST 2005-HE2 0.8492% 03/25/35 |
0.849
|
03/25/2035
|
53,886
|
52,765
|
| LINCOLN NATIONAL COR 4.3% 06/15/15 |
4.3
|
06/15/2015
|
250,000
|
267,700
|
| BEAR STEARNS ASSET B 0.3142% 12/25/36 |
0.314
|
12/25/2036
|
21,444
|
21,406
|
| DISCOVERY COMMUNICAT 3.7000% 06/01/15 |
3.7
|
06/01/2015
|
750,000
|
794,573
|
| METROPOLITAN LIFE IN 7.7% 11/01/15 |
7.7
|
11/01/2015
|
250,000
|
287,643
|
| RESIDENTIAL ASSET SE 5.5% 07/25/35 |
5.5
|
07/25/2035
|
401,044
|
400,009
|
| MASSACHUSETTS PORT A 5% 07/01/14 |
5.0
|
07/01/2014
|
300,000
|
309,183
|
| FANNIE MAE REMICS 5% 02/25/40 |
5.0
|
02/25/2040
|
294,863
|
299,409
|
| JP MORGAN MORTGAGE T 2.5171% 02/25/34 |
2.517
|
02/25/2034
|
452,410
|
466,784
|
| UNIVERSITY OF CALIFO 0.966% 05/15/17 |
0.966
|
05/15/2017
|
500,000
|
502,370
|
| HOSPITALITY PROPERTI 7.875% 08/15/14 |
7.875
|
08/15/2014
|
780,000
|
823,363
|
| AMERICREDIT AUTOMOBI 6.24% 06/08/16 |
6.24
|
06/08/2016
|
567,000
|
606,110
|
| GOVERNMENT NATIONAL 0.5574% 11/16/51 |
0.557
|
11/16/2051
|
11,996,045
|
466,046
|
| BANC OF AMERICA FUND 5.5% 10/25/33 |
5.5
|
10/25/2033
|
215,201
|
226,208
|
| CHARLES SCHWAB CORP/ 0.8500% 12/04/15 |
0.85
|
12/04/2015
|
250,000
|
251,016
|
| LB-UBS COMMERCIAL MO 6.1533% 04/15/41 |
6.153
|
04/15/2041
|
170,674
|
181,112
|
| GOVERNMENT NATIONAL 4.0089% 05/16/37 |
4.009
|
05/16/2037
|
29,443
|
29,491
|
| RALI SERIES 2004-QS1 5.5% 12/25/34 |
5.5
|
12/25/2034
|
298,934
|
294,542
|
| COMMUNITY HEALTH SYS L+3.78652%, 07/25/14 |
3.787
|
07/25/2014
|
367,918
|
372,344
|
| VITA CAPITAL IV LTD 3.096% 01/15/16 |
3.096
|
01/15/2016
|
250,000
|
253,325
|
| AMERIQUEST MORTGAGE 0.4042% 08/25/35 |
0.404
|
08/25/2035
|
91,426
|
89,181
|
| TELECOM ITALIA CAPIT 4.95% 09/30/14 |
4.95
|
09/30/2014
|
750,000
|
776,784
|
| GNMA POOL #608656 5% 08/15/19 |
5.0
|
08/15/2019
|
463,083
|
511,176
|
| GENWORTH FINANCI 5.75% 06/15/14 |
5.75
|
06/15/2014
|
500,000
|
524,264
|
| BANK OF AMERICA CORP 1.1041% 03/22/16 |
1.104
|
03/22/2016
|
1,000,000
|
996,205
|
| SWEDBANK HYPOTEK AB 0.7336% 03/28/14 |
0.734
|
03/28/2014
|
500,000
|
501,779
|
| POPULAR ABS MORTGAGE 5.1296% 09/25/34 |
5.13
|
09/25/2034
|
761,886
|
646,247
|
| GS MORTGAGE SECURITI 2.2017% 03/06/20 |
2.202
|
03/06/2020
|
100,000
|
100,441
|
| RALI SERIES 2004-QS5 4.75% 04/25/34 |
4.75
|
04/25/2034
|
203,628
|
211,501
|
| CHL MORTGAGE PASS-TH 5.5% 08/25/35 |
5.5
|
08/25/2035
|
241,075
|
246,526
|
| WACHOVIA COMMERCIAL 5.606% 04/15/35 |
5.606
|
04/15/2035
|
500,000
|
499,147
|
| IMPAC SECURED ASSETS 0.4042% 12/25/36 |
0.404
|
12/25/2036
|
234,402
|
214,722
|
| FNMA POOL #768870 6% 02/01/34 |
6.0
|
02/01/2034
|
135,967
|
152,613
|
| SECTOR RE V LTD 03/01/18 |
100.0
|
03/01/2018
|
250,000
|
250,000
|
| SABMILLER HOLDINGS I 1.8500% 01/15/15 |
1.85
|
01/15/2015
|
500,000
|
508,061
|
| MORGAN STANLEY 4% 09/22/20 |
4.0
|
09/22/2020
|
1,000,000
|
1,004,850
|
| FOUNDATION RE III LT 0% 02/25/15 |
0.0
|
02/25/2015
|
500,000
|
521,500
|
| GE CAPITAL COMMERCIA 5.145% 07/10/37 |
5.145
|
07/10/2037
|
278,494
|
279,922
|
| IMPAC CMB TRUST SERI 0.8442% 09/25/34 |
0.844
|
09/25/2034
|
1,622,061
|
1,546,296
|
| BANC OF AMERICA MORT 3.1361% 09/25/33 |
3.136
|
09/25/2033
|
1,527,304
|
1,529,834
|
| FREDDIE MAC REMICS 0.4531% 11/15/36 |
0.453
|
11/15/2036
|
128,187
|
128,193
|
| BEAR STEARNS COMMERC 4.705% 11/11/41 |
4.705
|
11/11/2041
|
305,636
|
311,458
|
| GE BUSINESS LOAN TRU 0.4932% 05/15/32 |
0.493
|
05/15/2032
|
309,576
|
299,129
|
| CITIGROUP INC 1.0844% 04/01/16 |
1.084
|
04/01/2016
|
500,000
|
500,291
|
| EVERGLADES RE LTD 0% 03/28/16 |
0.0
|
03/28/2016
|
250,000
|
250,000
|
| GNMA POOL #780921 7.0000% 11/15/13 |
7.0
|
11/15/2013
|
1,328
|
1,337
|
| COUNTRYWIDE ASSET-BA 0.5942% 11/25/34 |
0.594
|
11/25/2034
|
187,311
|
182,053
|
| CHRYSLER GROUP LLC / L+6%, 04/28/17 |
6.0
|
04/28/2017
|
913,725
|
932,897
|
| CAPITAL AUTO RECEIVA 1.7399% 10/22/18 |
1.74
|
10/22/2018
|
300,000
|
300,558
|
| FREDDIE MAC REMICS 4% 06/15/22 |
4.0
|
06/15/2022
|
274,229
|
277,919
|
| SENIOR HOUSING PROPE 4.3% 01/15/16 |
4.3
|
01/15/2016
|
290,000
|
303,435
|
| HLSS SERVICER ADVANC 1.7436% 01/16/46 |
1.744
|
01/16/2046
|
250,000
|
250,938
|
| FANNIE MAE REMICS 5.5% 10/25/32 |
5.5
|
10/25/2032
|
89,675
|
90,207
|
| GOLDMAN SACHS GROUP 1.2891% 11/21/14 |
1.289
|
11/21/2014
|
250,000
|
251,225
|
| LEAF RECEIVABLES FUN 1.55% 11/15/17 |
1.55
|
11/15/2017
|
195,000
|
197,038
|
| HSBC BANK PLC 0.942% 08/12/13 |
0.942
|
08/12/2013
|
1,000,000
|
1,002,088
|
| HEALTH CARE REIT INC 2.25% 03/15/18 |
2.25
|
03/15/2018
|
500,000
|
504,536
|
| GE CAPITAL COMMERCIA 5.3606% 07/10/37 |
5.361
|
07/10/2037
|
445,000
|
451,100
|
| FH POOL #786661 2.648% 04/01/29 |
2.648
|
04/01/2029
|
2,083
|
2,101
|
| STRUCTURED ASSET SEC 0.3142% 12/25/36 |
0.314
|
12/25/2036
|
216,229
|
214,550
|
| CREDIT SUISSE FIRST 1.5542% 12/25/33 |
1.554
|
12/25/2033
|
138,103
|
135,168
|
| AMORTIZING RESIDENTI 1.2042% 10/25/34 |
1.204
|
10/25/2034
|
338,550
|
333,471
|
| MORGAN STANLEY CAPIT 4.66% 09/13/45 |
4.66
|
09/13/2045
|
451,186
|
458,127
|
| HLSS SERVICER ADVANC 2.487% 01/15/44 |
2.487
|
01/15/2044
|
125,000
|
125,350
|
| BEAR STEARNS ASSET B 1.2542% 10/25/34 |
1.254
|
10/25/2034
|
300,000
|
284,021
|
| ACE SECURITIES CORP 0.3842% 03/25/36 |
0.384
|
03/25/2036
|
112,983
|
109,143
|
| GOLDMAN SACHS GROUP 3.7000% 08/01/15 |
3.7
|
08/01/2015
|
340,000
|
359,322
|
| IXIS REAL ESTATE CAP 0.5442% 02/25/36 |
0.544
|
02/25/2036
|
79,596
|
77,250
|
| LPL HOLDINGS INC L+4%, 03/06/19 |
4.0
|
03/06/2019
|
148,500
|
149,985
|
| RAMP SERIES 2004-SL4 6.2578% 05/25/18 |
6.258
|
05/25/2018
|
259,502
|
265,146
|
| AMERICAN HOME MORTGA 2.4474% 06/25/45 |
2.447
|
06/25/2045
|
286,557
|
282,814
|
| CHL MORTGAGE PASS-TH 0.7442% 02/25/35 |
0.744
|
02/25/2035
|
554,700
|
528,351
|
| DEL CORONADO TRUST 1.503% 03/15/26 |
1.503
|
03/15/2026
|
300,000
|
300,000
|
| COMM 2007-FL14 MORTG 0.3832% 06/15/22 |
0.383
|
06/15/2022
|
318,051
|
313,375
|
| WACHOVIA BANK COMMER 0.0104% 06/15/45 |
0.01
|
06/15/2045
|
78,410,257
|
10,821
|
| MORGAN STANLEY HOME 0.5242% 09/25/35 |
0.524
|
09/25/2035
|
128,815
|
123,763
|
| AMERICAN HONDA FINAN 6.7% 10/01/13 |
6.7
|
10/01/2013
|
380,000
|
391,396
|
| GNMA II POOL #3904 6% 10/20/21 |
6.0
|
10/20/2021
|
833,102
|
922,629
|
| SNAAC AUTO RECEIVABL 1.78% 06/15/16 |
1.78
|
06/15/2016
|
658,920
|
662,685
|
| TRANSCANADA PIPELINE 0.75% 01/15/16 |
0.75
|
01/15/2016
|
650,000
|
649,213
|
| AMERICREDIT AUTOMOBI 1.5700% 01/08/19 |
1.57
|
01/08/2019
|
150,000
|
150,357
|
| MORGAN STANLEY RE-RE 5% 11/26/36 |
5.0
|
11/26/2036
|
700,000
|
708,596
|
| FREDDIE MAC REMICS 5.5% 10/15/35 |
5.5
|
10/15/2035
|
239,587
|
249,892
|
| GOVERNMENT NATIONAL 1.0683% 09/16/52 |
1.068
|
09/16/2052
|
1,776,162
|
160,117
|
| NORWEGIAN KRONE |
|
|
1
|
0
|
| CARDINAL HEALTH INC 4% 06/15/15 |
4.0
|
06/15/2015
|
500,000
|
533,051
|
| FNMA POOL #675481 3.068% 02/01/33 |
3.068
|
02/01/2033
|
2,050
|
2,181
|
| PRUDENTIAL COVERED T 2.997% 09/30/15 |
2.997
|
09/30/2015
|
475,000
|
495,247
|
| QUEEN STREET VII RE 0% 04/08/16 |
0.0
|
04/08/2016
|
250,000
|
251,425
|
| STRUCTURED ASSET SEC 0.7042% 12/25/33 |
0.704
|
12/25/2033
|
529,875
|
514,424
|
| GNMA POOL #664404 6.5% 10/15/37 |
6.5
|
10/15/2037
|
73,363
|
84,675
|
| SEQUOIA MORTGAGE TRU 0.4732% 01/20/35 |
0.473
|
01/20/2035
|
867,257
|
808,725
|
| RESIMAC MBS TRUST 0% 03/07/14 |
0.0
|
03/07/2014
|
400,000
|
400,000
|
| BEAR STEARNS ASSET B 0.7042% 06/25/35 |
0.704
|
06/25/2035
|
462,702
|
451,886
|
| STRUCTURED ASSET MOR 3.7281% 05/25/45 |
3.728
|
05/25/2045
|
688,120
|
491,202
|
| LEHMAN BROTHERS FLOA 0.3732% 09/15/21 |
0.373
|
09/15/2021
|
939,326
|
935,552
|
| MASTR ADJUSTABLE RAT 1.3042% 11/25/34 |
1.304
|
11/25/2034
|
250,000
|
221,729
|
| FREDDIE MAC REMICS 5% 06/15/34 |
5.0
|
06/15/2034
|
309,157
|
319,594
|
| MASSACHUSETTS HEALTH 2.7% 10/01/37 |
2.7
|
10/01/2037
|
690,000
|
703,276
|
| FREDDIE MAC REMICS 5.5% 03/15/33 |
5.5
|
03/15/2033
|
75,575
|
76,409
|
| BBVA US SENIOR SAU 3.25% 05/16/14 |
3.25
|
05/16/2014
|
500,000
|
503,025
|
| LEHMAN BROTHERS SMAL 0.7242% 09/25/30 |
0.724
|
09/25/2030
|
339,476
|
167,487
|
| RESI FINANCE LP 1.6022% 09/10/35 |
1.602
|
09/10/2035
|
357,711
|
314,979
|
| BEAR STEARNS ALT-A T 0.9442% 11/25/34 |
0.944
|
11/25/2034
|
139,003
|
136,965
|
| GE BUSINESS LOAN TRU 0.3732% 04/16/35 |
0.373
|
04/16/2035
|
591,139
|
542,779
|
| CHESAPEAKE FUNDING L 0.6532% 05/07/24 |
0.653
|
05/07/2024
|
200,000
|
199,967
|
| FNMA POOL #515674 2.405% 10/01/29 |
2.405
|
10/01/2029
|
92,089
|
96,665
|
| ASCENTIUM EQUIPMENT 1.83% 09/15/19 |
1.83
|
09/15/2019
|
405,625
|
405,584
|
| FNMA POOL #344313 2.245% 11/01/25 |
2.245
|
11/01/2025
|
4,466
|
4,756
|
| FORD MOTOR CREDIT CO 3.875% 01/15/15 |
3.875
|
01/15/2015
|
200,000
|
207,913
|
| GTP TOWERS ISSUER LL 4.436% 02/15/15 |
4.436
|
02/15/2015
|
550,000
|
574,917
|
| FNMA POOL #889406 6% 04/01/38 |
6.0
|
04/01/2038
|
92,878
|
101,857
|
| SIRIUS INTERNATIONAL 6.375% 03/20/17 |
6.375
|
03/20/2017
|
500,000
|
562,518
|
| WESTGATE RESORTS LLC 2.5% 03/20/25 |
2.5
|
03/20/2025
|
221,669
|
221,946
|
| VITA CAPITAL V LTD 2.896% 01/15/17 |
2.896
|
01/15/2017
|
750,000
|
766,575
|
| LODESTONE RE LTD 0% 05/17/13 |
0.0
|
05/17/2013
|
500,000
|
501,800
|
| BAYVIEW FINANCIAL MO 0.4737% 04/28/36 |
0.474
|
04/28/2036
|
80,812
|
77,134
|
| GE CAPITAL COMMERCIA 5.1518% 07/10/45 |
5.152
|
07/10/2045
|
500,000
|
501,631
|
| SLM STUDENT LOAN 1.051% 04/27/26 |
1.051
|
04/27/2026
|
380,000
|
378,358
|
| SOUNDVIEW HOME LOAN 0.9842% 06/25/35 |
0.984
|
06/25/2035
|
197,748
|
195,455
|
| FIRST NLC TRUST 2005 0.6042% 09/25/35 |
0.604
|
09/25/2035
|
918,254
|
894,016
|
| LEHMAN BROTHERS SMAL 0.4542% 09/25/30 |
0.454
|
09/25/2030
|
521,918
|
455,446
|
| FREDDIE MAC REMICS 4.5% 08/15/17 |
4.5
|
08/15/2017
|
1,672
|
1,672
|
| FHLMC POOL #J10420 4.5% 07/01/19 |
4.5
|
07/01/2019
|
379,205
|
408,636
|
| JP MORGAN CHASE COMM 0.3332% 11/15/18 |
0.333
|
11/15/2018
|
1,310,922
|
1,291,093
|
| GNMA POOL #574308 6% 12/15/31 |
6.0
|
12/15/2031
|
82,796
|
94,359
|
| TEXAS MUNICIPAL GAS 5% 12/15/15 |
5.0
|
12/15/2015
|
500,000
|
539,850
|
| CREDIT SUISSE FIRST 5.5% 06/25/33 |
5.5
|
06/25/2033
|
71,426
|
71,279
|
| NEW JERSEY ECONOMIC 1.28% 06/15/13 |
1.28
|
06/15/2013
|
1,500,000
|
1,500,570
|
| SANTANDER DRIVE AUTO 2.7% 08/15/18 |
2.7
|
08/15/2018
|
125,000
|
130,460
|
| MORGAN STANLEY ABS C 0.4042% 12/25/35 |
0.404
|
12/25/2035
|
179,957
|
178,788
|
| CAMPBELL SOUP CO 0.5985% 08/01/14 |
0.599
|
08/01/2014
|
250,000
|
250,664
|
| BB&T CORP 5.7% 04/30/14 |
5.7
|
04/30/2014
|
500,000
|
527,805
|
| COUNTRYWIDE ASSET-BA 5.069% 02/25/36 |
5.069
|
02/25/2036
|
346,796
|
351,304
|
| GENERAL ELECTRIC CAP 1.002% 04/24/14 |
1.002
|
04/24/2014
|
500,000
|
503,559
|
| MASSACHUSETTS DEVELO 3% 02/15/36 |
3.0
|
02/15/2036
|
250,000
|
267,088
|
| CITIGROUP MORTGAGE L 2.8342% 04/25/35 |
2.834
|
04/25/2035
|
247,418
|
181,627
|
| PHH MORTGAGE CAPITAL 6.6000% 12/25/27 |
6.6
|
12/25/2027
|
198,192
|
193,949
|
| ABN AMRO BANK NV 1.375% 01/22/16 |
1.375
|
01/22/2016
|
500,000
|
500,267
|
| THORNBURG MORTGAGE S 0.9442% 09/25/44 |
0.944
|
09/25/2044
|
1,455,798
|
1,395,590
|
| FNMA POOL #901708 2.558% 10/01/36 |
2.558
|
10/01/2036
|
329,045
|
342,793
|
| RALI SERIES 2003-QS1 5% 07/25/18 |
5.0
|
07/25/2018
|
65,078
|
66,474
|
| SHORE RE LTD 0% 07/08/13 |
0.0
|
07/08/2013
|
250,000
|
252,400
|
| PENN NATIONAL GAMING L+3.75%, 06/29/18 |
3.75
|
06/29/2018
|
497,481
|
502,247
|
| COUNTY OF POWER ID 5.625% 10/01/14 |
5.625
|
10/01/2014
|
1,000,000
|
1,000,950
|
| CNL COMMERCIAL MORTG 0.6442% 10/25/30 |
0.644
|
10/25/2030
|
177,956
|
158,381
|
| AIRGAS INC 2.85% 10/01/13 |
2.85
|
10/01/2013
|
500,000
|
505,431
|
| STRUCTURED ASSET SEC 2.5958% 07/25/33 |
2.596
|
07/25/2033
|
1,216,708
|
1,192,968
|
| JP MORGAN MORTGAGE T 5% 09/25/34 |
5.0
|
09/25/2034
|
269,174
|
277,774
|
| FNMA POOL #370882 2.7% 02/01/27 |
2.7
|
02/01/2027
|
20,449
|
20,582
|
| CITIGROUP COMMERCIAL 5.3647% 04/15/40 |
5.365
|
04/15/2040
|
600,000
|
622,375
|
| FH POOL #1B0188 2.783% 12/01/31 |
2.783
|
12/01/2031
|
286,674
|
289,735
|
| STANWICH MORTGAGE LO 2.9814% 02/16/43 |
2.981
|
02/16/2043
|
344,540
|
344,757
|
| TRINITY RAIL LEA 2.266% 01/15/43 |
2.266
|
01/15/2043
|
245,289
|
256,136
|
| UNITED STATES TREASU 0.125% 09/30/13 |
0.125
|
09/30/2013
|
5,700,000
|
5,700,000
|
| CITIGROUP MORTGAGE L 0.6142% 07/25/35 |
0.614
|
07/25/2035
|
332,831
|
332,708
|
| FANNIE MAE GRANTOR T 3.3772% 07/25/43 |
3.377
|
07/25/2043
|
1,142,099
|
1,223,897
|
| COMMERCIAL MORTGAGE 4.111% 07/05/35 |
4.111
|
07/05/2035
|
14,179
|
14,176
|
| FREDDIE MAC REMICS 0.6032% 12/15/32 |
0.603
|
12/15/2032
|
127,285
|
127,702
|
| MERRILL LYNCH MORTGA 1.1102% 01/25/30 |
1.11
|
01/25/2030
|
294,425
|
285,047
|
| JP MORGAN CHASE COMM 2.0682% 10/15/25 |
2.068
|
10/15/2025
|
650,000
|
658,333
|
| CONSECO FINANCE 6.69% 11/15/32 |
6.69
|
11/15/2032
|
68,866
|
69,197
|
| HSBC HOME EQUITY LOA 0.3932% 07/20/36 |
0.393
|
07/20/2036
|
120,179
|
117,584
|
| GNMA POOL #660132 7.5% 10/15/36 |
7.5
|
10/15/2036
|
92,559
|
109,962
|
| BAYVIEW FINANCIAL MO 0.5037% 04/28/36 |
0.504
|
04/28/2036
|
576,729
|
554,496
|
| PRECISION CASTPARTS 1.25% 01/15/18 |
1.25
|
01/15/2018
|
500,000
|
501,039
|
| MASTR ASSET SECURITI 0.6042% 07/25/18 |
0.604
|
07/25/2018
|
159,019
|
157,209
|
| MORGAN STANLEY CAPIT 5.11% 06/15/40 |
5.11
|
06/15/2040
|
961,136
|
997,761
|
| WACHOVIA CORP 5.25% 08/01/14 |
5.25
|
08/01/2014
|
820,000
|
867,571
|
| LIBERTY MUTUAL G 7.3% 06/15/14 |
7.3
|
06/15/2014
|
410,000
|
436,148
|
| CREDIT SUISSE FIRST 7.13% 11/15/30 |
7.13
|
11/15/2030
|
724,076
|
725,522
|
| DT AUTO OWNER TR 4.89% 01/17/17 |
4.89
|
01/17/2017
|
325,000
|
332,261
|
| HOME EQUITY ASSET TR 0.3842% 07/25/36 |
0.384
|
07/25/2036
|
97,170
|
96,588
|
| EXTENDED STAY AMERIC 1.3037% 12/05/31 |
1.304
|
12/05/2031
|
200,000
|
200,000
|
| LONGPOINT RE LTD 0% 06/12/15 |
0.0
|
06/12/2015
|
250,000
|
260,450
|
| CREDIT SUISSE FIRST 7.5% 05/25/32 |
7.5
|
05/25/2032
|
344,761
|
357,031
|
| FRANKLIN RESOURCES I 3.125% 05/20/15 |
3.125
|
05/20/2015
|
300,000
|
315,252
|
| FH POOL #788628 2.375% 08/01/31 |
2.375
|
08/01/2031
|
1,581
|
1,586
|
| CITIGROUP MORTGAGE L 7.0000% 09/25/33 |
7.0
|
09/25/2033
|
216,243
|
223,553
|
| EXTENDED STAY AMERIC 0.9037% 12/05/31 |
0.904
|
12/05/2031
|
200,000
|
200,170
|
| MERRILL LYNCH & CO I 5% 02/03/14 |
5.0
|
02/03/2014
|
500,000
|
517,330
|
| FORD MOTOR CREDIT CO 2.375% 01/16/18 |
2.375
|
01/16/2018
|
250,000
|
248,538
|
| MERRILL LYNCH MORTGA 2.3979% 01/25/29 |
2.398
|
01/25/2029
|
208,200
|
205,820
|
| FANNIE MAE REMICS 1.0687% 01/25/24 |
1.069
|
01/25/2024
|
808,527
|
812,639
|
| SANTANDER DRIVE AUTO 2.66% 01/15/16 |
2.66
|
01/15/2016
|
285,000
|
289,761
|
| GE BUSINESS LOAN TRU 0.3832% 11/15/34 |
0.383
|
11/15/2034
|
388,297
|
358,523
|
| LIVE NATION ENTERTAI L+4.5%, 10/20/16 |
4.5
|
10/20/2016
|
194,004
|
195,781
|
| ZOETIS INC 1.15% 02/01/16 |
1.15
|
02/01/2016
|
500,000
|
501,332
|
| BANC OF AMERICA MORT 3.1348% 07/25/33 |
3.135
|
07/25/2033
|
272,970
|
275,223
|
| FANNIE MAE REMICS 3% 01/25/21 |
3.0
|
01/25/2021
|
358,171
|
372,348
|
| DIGITAL REALTY TRUST 4.5% 07/15/15 |
4.5
|
07/15/2015
|
350,000
|
371,881
|
| CALIFORNIA REPUBLIC 1.18% 08/15/17 |
1.18
|
08/15/2017
|
273,485
|
273,347
|
| SVO 2012-A VOI MORTG 2% 09/20/29 |
2.0
|
09/20/2029
|
172,429
|
174,081
|
| RASC SERIES 2005-KS7 0.6442% 08/25/35 |
0.644
|
08/25/2035
|
148,588
|
144,800
|
| WACHOVIA CORP 2.0685% 05/01/13 |
2.069
|
05/01/2013
|
350,000
|
350,490
|
| FNMA POOL #563483 1.575% 11/01/40 |
1.575
|
11/01/2040
|
121,518
|
125,983
|
| JP MORGAN CHASE COMM 0.5632% 11/15/18 |
0.563
|
11/15/2018
|
211,896
|
179,383
|
| GOVERNMENT NATIONAL 5% 04/20/36 |
5.0
|
04/20/2036
|
211,154
|
227,266
|
| SASCO MORTGAGE PASS- 2.6792% 12/25/34 |
2.679
|
12/25/2034
|
344,387
|
350,148
|
| FANNIE MAE REMICS 5% 03/25/24 |
5.0
|
03/25/2024
|
622,989
|
638,449
|
| WALGREEN CO 4.875% 08/01/13 |
4.875
|
08/01/2013
|
500,000
|
507,008
|
| IBERDROLA FINANCE IR 3.8% 09/11/14 |
3.8
|
09/11/2014
|
1,000,000
|
1,029,680
|
| BB&T CORP 1.6% 08/15/17 |
1.6
|
08/15/2017
|
103,000
|
104,003
|
| STRUCTURED ADJUSTABL 3.0010% 03/25/34 |
3.001
|
03/25/2034
|
217,164
|
212,122
|
| ALLSTATE LIFE GLOBAL 5.375% 04/30/13 |
5.375
|
04/30/2013
|
50,000
|
50,201
|
| GLOBAL SC FINANCE II 4.11% 07/19/27 |
4.11
|
07/19/2027
|
233,333
|
241,893
|
| HOME EQUITY MORTGAGE 5.821% 04/25/35 |
5.821
|
04/25/2035
|
315,599
|
310,169
|
| RESOURCE REAL ESTATE 2.8331% 12/20/15 |
2.833
|
12/20/2015
|
700,000
|
699,999
|
| FANNIE MAE REMICS 0.5042% 07/25/35 |
0.504
|
07/25/2035
|
225,508
|
225,634
|
| GSAA HOME EQUITY TRU 0.4542% 10/25/35 |
0.454
|
10/25/2035
|
256,921
|
251,695
|
| FNMA POOL #576596 2.445% 12/01/28 |
2.445
|
12/01/2028
|
83,284
|
89,338
|
| FNMA POOL #545891 6.5% 07/01/32 |
6.5
|
07/01/2032
|
11,672
|
13,369
|
| FREDDIE MAC REMICS 0.6532% 01/15/41 |
0.653
|
01/15/2041
|
455,335
|
458,000
|
| MORGAN STANLEY 3.1% 11/09/18 |
3.1
|
11/09/2018
|
275,000
|
276,794
|
| GNMA II POOL #2596 6% 05/20/13 |
6.0
|
05/20/2013
|
227
|
227
|
| PARK PLACE SECURITIE 0.5742% 09/25/35 |
0.574
|
09/25/2035
|
375,899
|
373,142
|
| BEAR STEARNS ARM TRU 3.1292% 07/25/34 |
3.129
|
07/25/2034
|
117,311
|
113,880
|
| COMBINE RE LTD 0% 01/07/15 |
0.0
|
01/07/2015
|
250,000
|
256,625
|
| LODESTONE RE LTD 0% 05/17/13 |
0.0
|
05/17/2013
|
750,000
|
754,350
|
| CITIGROUP MORTGAGE L 1.2242% 11/25/34 |
1.224
|
11/25/2034
|
230,851
|
217,808
|
| PVH CORP L+0.025%, 12/19/19 |
0.025
|
12/19/2019
|
115,000
|
116,393
|
| INTEL CORP 1.35% 12/15/17 |
1.35
|
12/15/2017
|
700,000
|
702,384
|
| WELLS FARGO HOME EQU 0.2942% 04/25/37 |
0.294
|
04/25/2037
|
61,877
|
60,911
|
| PSEG POWER LLC 2.75% 09/15/16 |
2.75
|
09/15/2016
|
500,000
|
520,010
|
| FORD AUTO SECURITIZA 2.431% 11/15/14 |
2.431
|
11/15/2014
|
450,704
|
450,593
|
| GMAC COMMERCIAL MORT 5.31% 05/10/36 |
5.31
|
05/10/2036
|
250,000
|
249,822
|
| FIRST INVESTORS AUTO 2.02% 01/15/19 |
2.02
|
01/15/2019
|
200,000
|
199,688
|
| WAMU MORTGAGE PASS T 1.5767% 06/25/42 |
1.577
|
06/25/2042
|
105,733
|
101,634
|
| WESCO INTERNATIONAL L+4.5%, 12/04/19 |
4.5
|
12/04/2019
|
245,000
|
247,726
|
| UNITED STATES TREASU 0.125% 12/31/13 |
0.125
|
12/31/2013
|
8,500,000
|
8,498,674
|
| MORGAN STANLEY MORTG 0.4842% 11/25/35 |
0.484
|
11/25/2035
|
286,255
|
269,140
|
| GNMA POOL #781285 6.5% 05/15/31 |
6.5
|
05/15/2031
|
50,742
|
58,901
|
| FNMA POOL #653124 7.0000% 07/01/17 |
7.0
|
07/01/2017
|
112,716
|
120,726
|
| FNMA POOL #316585 2.865% 01/01/25 |
2.865
|
01/01/2025
|
63,987
|
64,727
|
| AES CORP/VA L+5%, 05/27/18 |
5.0
|
05/27/2018
|
333,338
|
338,494
|
| HONDA AUTO RECEIVABL 0.35% 06/22/15 |
0.35
|
06/22/2015
|
500,000
|
499,859
|
| LEHMAN BROTHERS FLOA 0.9032% 06/15/22 |
0.903
|
06/15/2022
|
80,088
|
79,730
|
| CITIGROUP INC 1.3% 04/01/16 |
1.3
|
04/01/2016
|
500,000
|
499,941
|
| JOHNSTON RE LTD 0% 05/08/13 |
0.0
|
05/08/2013
|
250,000
|
251,175
|
| FANNIE MAE REMICS 0.5042% 12/25/42 |
0.504
|
12/25/2042
|
1,083,419
|
1,084,784
|
| FHLMC POOL #J10421 4.5% 07/01/19 |
4.5
|
07/01/2019
|
361,334
|
388,870
|
| FNMA POOL #544861 4.482% 12/01/36 |
4.482
|
12/01/2036
|
352,266
|
372,934
|
| FNMA POOL #745778 2.937% 07/01/36 |
2.937
|
07/01/2036
|
81,834
|
87,672
|
| BANC OF AMERICA LARG 1.3032% 08/15/29 |
1.303
|
08/15/2029
|
650,000
|
634,273
|
| HOME EQUITY ASSET TR 0.8642% 08/25/35 |
0.864
|
08/25/2035
|
112,265
|
109,350
|
| GS MORTGAGE SECURITI 1.6522% 11/08/29 |
1.652
|
11/08/2029
|
400,000
|
400,358
|
| HYUNDAI CAPITAL AUTO 1.2032% 09/20/16 |
1.203
|
09/20/2016
|
609,008
|
610,287
|
| GSAA HOME EQUITY TRU 0.9842% 06/25/34 |
0.984
|
06/25/2034
|
645,486
|
617,625
|
| COMM 2006-FL12 MORTG 0.3332% 12/15/20 |
0.333
|
12/15/2020
|
1,000,000
|
958,255
|
| WILLIAMS PARTNERS LP 3.8% 02/15/15 |
3.8
|
02/15/2015
|
750,000
|
789,793
|
| MGM RESORTS INTERNAT L+4.25%, 12/13/19 |
4.25
|
12/13/2019
|
349,125
|
355,422
|
| JOHNSON CONTROLS INC 0.708% 02/04/14 |
0.708
|
02/04/2014
|
725,000
|
727,041
|
| MORGAN STANLEY CAPIT 4.97% 04/14/40 |
4.97
|
04/14/2040
|
425,376
|
443,087
|
| CITIGROUP COMMERCIAL 0.4132% 04/15/22 |
0.413
|
04/15/2022
|
522,521
|
502,915
|
| BEAR STEARNS ARM TRU 3.4846% 11/25/34 |
3.485
|
11/25/2034
|
115,174
|
115,555
|
| BANK OF AMERICA CORP 3.7000% 09/01/15 |
3.7
|
09/01/2015
|
500,000
|
526,972
|
| TIMBERSTAR TRUST 5.668% 10/15/36 |
5.668
|
10/15/2036
|
525,000
|
599,396
|
| AMERIQUEST MORTGAGE 0.5067% 11/25/34 |
0.507
|
11/25/2034
|
341,782
|
339,305
|
| SEQUOIA MORTGAGE TRU 1.8745% 08/20/34 |
1.875
|
08/20/2034
|
361,607
|
361,359
|
| AEGIS ASSET BACKED S 0.4741% 12/25/35 |
0.474
|
12/25/2035
|
391,019
|
368,134
|
| GOVERNMENT NATIONAL 1.0507% 03/16/53 |
1.051
|
03/16/2053
|
1,184,740
|
100,862
|
| FREDDIE MAC REMICS 5.5% 03/15/32 |
5.5
|
03/15/2032
|
16,509
|
16,674
|
| THORNBURG MORTGAGE S 4.1070% 03/25/44 |
4.107
|
03/25/2044
|
253,968
|
254,437
|
| MERRILL LYNCH MORTGA 0.5342% 11/25/29 |
0.534
|
11/25/2029
|
341,587
|
326,692
|
| TOTAL CAPITAL CANADA 0.683% 01/15/16 |
0.683
|
01/15/2016
|
940,000
|
944,165
|
| BAYVIEW COMMERCIAL A 4.2766% 07/25/37 |
4.277
|
07/25/2037
|
2,642,268
|
138,191
|
| RAS LAFFAN LIQUEFIED 5.5% 09/30/14 |
5.5
|
09/30/2014
|
250,000
|
265,625
|
| INTESA SANPAOLO SPA 3.125% 01/15/16 |
3.125
|
01/15/2016
|
500,000
|
488,772
|
| JPMORGAN CHASE & CO 3.9779% 02/25/21 |
3.978
|
02/25/2021
|
500,000
|
528,400
|
| EQUITY ONE MORTGAGE 4.145% 04/25/34 |
4.145
|
04/25/2034
|
460,229
|
470,569
|
| MASTR ASSET BACKED S 0.4342% 02/25/36 |
0.434
|
02/25/2036
|
1,004,659
|
992,314
|
| UNITED TECHNOLOGIES 1.2% 06/01/15 |
1.2
|
06/01/2015
|
500,000
|
507,015
|
| HSBC BANK PLC 1.103% 01/17/14 |
1.103
|
01/17/2014
|
1,700,000
|
1,709,945
|
| CAELUS RE II LTD 0% 05/24/13 |
0.0
|
05/24/2013
|
250,000
|
251,575
|
| SPRINGLEAF MORTGAGE 2.22% 10/25/57 |
2.22
|
10/25/2057
|
363,559
|
368,395
|
| FHLMC POOL #J10419 4.5% 07/01/19 |
4.5
|
07/01/2019
|
73,788
|
78,570
|
| FREDDIE MAC REMICS 0.5532% 11/15/36 |
0.553
|
11/15/2036
|
186,315
|
186,858
|
| SMART TRUST/AUSTRALI 0.5332% 06/14/15 |
0.533
|
06/14/2015
|
600,000
|
600,305
|
| WAMU COMMERCIAL MORT 5.3% 05/25/36 |
5.3
|
05/25/2036
|
650,000
|
666,179
|
| GMAC COMMERCIAL MORT 5.023% 04/10/40 |
5.023
|
04/10/2040
|
482,950
|
491,106
|
| RALI SERIES 2004-QS1 0.7542% 01/25/34 |
0.754
|
01/25/2034
|
182,324
|
175,718
|
| ML-CFC COMMERCIAL MO 5.291% 07/12/46 |
5.291
|
07/12/2046
|
137,638
|
139,262
|
| SANTANDER DRIVE AUTO 3.35% 06/15/17 |
3.35
|
06/15/2017
|
227,257
|
229,029
|
| ALTERNATIVE LOAN TRU 0.7542% 07/25/33 |
0.754
|
07/25/2033
|
78,486
|
77,958
|
| GRACECHURCH CARD FUN 1.0532% 05/15/19 |
1.053
|
05/15/2019
|
500,000
|
506,520
|
| THORNBURG MORTGAGE S 1.7682% 03/25/44 |
1.768
|
03/25/2044
|
397,875
|
400,128
|
| DOMINION RESOURCES I 1.8000% 03/15/14 |
1.8
|
03/15/2014
|
580,000
|
586,417
|
| LODESTONE RE LTD 0% 01/08/14 |
0.0
|
01/08/2014
|
500,000
|
504,800
|
| ST JUDE MEDICAL INC 2.5% 01/15/16 |
2.5
|
01/15/2016
|
510,000
|
529,030
|
| NEW CENTURY HOME EQU 0.5542% 03/25/35 |
0.554
|
03/25/2035
|
162,497
|
158,156
|
| EVERGLADES RE LTD 0% 04/30/14 |
0.0
|
04/30/2014
|
250,000
|
273,100
|
| RESIDENTIAL REINSURA 0% 12/06/16 |
0.0
|
12/06/2016
|
650,000
|
657,410
|
| ALTERNATIVE LOAN TRU 0.6542% 08/25/18 |
0.654
|
08/25/2018
|
239,304
|
224,516
|
| FIFTH THIRD BANCORP 0.7001% 12/20/16 |
0.7
|
12/20/2016
|
500,000
|
492,214
|
| GTP ACQUISITION PART 4.347% 06/15/16 |
4.347
|
06/15/2016
|
500,000
|
530,890
|
| STRUCTURED ASSET SEC 0.2542% 02/25/37 |
0.254
|
02/25/2037
|
27,101
|
27,020
|
| MERRILL LYNCH & CO I 6.15% 04/25/13 |
6.15
|
04/25/2013
|
800,000
|
802,806
|
| GEORGIA POWER CO 0.6001% 03/15/16 |
0.6
|
03/15/2016
|
350,000
|
350,203
|
| WELLS FARGO MORTGAGE 5.0017% 04/25/35 |
5.002
|
04/25/2035
|
452,784
|
461,555
|
| GSR MORTGAGE LOAN TR 5.25% 07/25/35 |
5.25
|
07/25/2035
|
226,200
|
222,479
|
| METROPOLITAN LIFE GL 1.055% 01/10/14 |
1.055
|
01/10/2014
|
350,000
|
351,836
|
| GOVERNMENT NATIONAL 5% 01/20/16 |
5.0
|
01/20/2016
|
1,077,580
|
1,124,140
|
| FNMA POOL #323258 6.5% 08/01/13 |
6.5
|
08/01/2013
|
67
|
67
|
| PNC FINANCIAL SERVIC 8.25% 05/29/49 |
8.25
|
05/29/2049
|
275,000
|
276,677
|
| AMERICAN GENERAL MOR 5.75% 09/25/48 |
5.75
|
09/25/2048
|
34,146
|
34,131
|
| STATE OF OHIO 3% 06/15/15 |
3.0
|
06/15/2015
|
500,000
|
523,455
|
| FANNIE MAE REMICS 0.4042% 10/27/37 |
0.404
|
10/27/2037
|
191,000
|
191,125
|
| GNMA II POOL #3972 6% 04/20/22 |
6.0
|
04/20/2022
|
288,229
|
316,437
|
| WELLS FARGO MORTGAGE 4.9395% 08/25/34 |
4.94
|
08/25/2034
|
386,026
|
397,212
|
| FANNIE MAE TRUST 200 2.2905% 06/25/35 |
2.291
|
06/25/2035
|
299,033
|
310,896
|
| FH POOL #786223 2.497% 01/01/28 |
2.497
|
01/01/2028
|
3,676
|
3,945
|
| GSR MORTGAGE LOAN TR 3.0644% 06/25/34 |
3.064
|
06/25/2034
|
417,631
|
420,518
|
| ADJUSTABLE RATE MORT 0.4842% 09/25/35 |
0.484
|
09/25/2035
|
376,819
|
346,445
|
| SUNTRUST BANKS INC 3.5000% 01/20/17 |
3.5
|
01/20/2017
|
500,000
|
535,375
|
| FANNIE MAE TRUST 200 2.7476% 04/25/45 |
2.748
|
04/25/2045
|
286,870
|
306,303
|
| SYNAGRO TECHNOLOGIES L+2.27985%, 04/02/14 |
2.28
|
04/02/2014
|
170,443
|
164,052
|
| CSMC SERIES 2010-16 3.5630% 06/25/50 |
3.563
|
06/25/2050
|
600,000
|
589,340
|
| STRUCTURED ASSET SEC 4.65% 02/25/35 |
4.65
|
02/25/2035
|
425,020
|
435,694
|
| JP MORGAN CHASE COMM 5.7143% 02/12/49 |
5.714
|
02/12/2049
|
475,000
|
485,493
|
| PARK PLACE SECURITIE 0.8242% 10/25/34 |
0.824
|
10/25/2034
|
207,555
|
207,217
|
| FH POOL #846963 2.944% 10/01/31 |
2.944
|
10/01/2031
|
462,798
|
466,555
|
| UBS COMMERCIAL MORTG 0.7782% 07/15/24 |
0.778
|
07/15/2024
|
404,080
|
400,286
|
| FANNIE MAE REMICS 5% 09/25/39 |
5.0
|
09/25/2039
|
44,973
|
46,167
|
| GSR MORTGAGE LOAN TR 2.5405% 08/25/33 |
2.541
|
08/25/2033
|
375,372
|
378,172
|
| HLSS SERVICER ADVANC 4.94% 10/15/45 |
4.94
|
10/15/2045
|
350,000
|
366,188
|
| GOVERNMENT NATIONAL 1.0304% 02/16/53 |
1.03
|
02/16/2053
|
1,974,971
|
174,791
|
| FANNIE MAE BENCHMARK 5.45% 12/25/20 |
5.45
|
12/25/2020
|
75,289
|
76,591
|
| HCP INC 2.7% 02/01/14 |
2.7
|
02/01/2014
|
1,000,000
|
1,015,672
|
| RALI SERIES 2004-QS1 4.25% 01/25/34 |
4.25
|
01/25/2034
|
840,495
|
850,001
|
| ACE SECURITIES CORP 6.5% 08/15/30 |
6.5
|
08/15/2030
|
132,811
|
133,950
|
| COLLATERALIZED MORTG 1.1537% 07/01/18 |
1.154
|
07/01/2018
|
92,995
|
93,968
|
| PENARTH MASTER ISSUE 0.7732% 03/18/14 |
0.773
|
03/18/2014
|
250,000
|
250,023
|
| NATIONAL RURAL UTILI 5.4% 10/15/13 |
5.4
|
10/15/2013
|
500,000
|
510,587
|
| FNMA POOL #297344 2.831% 11/01/24 |
2.831
|
11/01/2024
|
99,921
|
100,346
|
| BMW VEHICLE LEASE TR 0.4% 01/20/15 |
0.4
|
01/20/2015
|
370,000
|
369,754
|
| MASSACHUSETTS PORT A 5% 07/01/16 |
5.0
|
07/01/2016
|
475,000
|
505,552
|
| BEAR STEARNS ASSET B 0.7042% 08/25/35 |
0.704
|
08/25/2035
|
271,854
|
270,606
|
| LODESTONE RE LTD 0% 01/08/14 |
0.0
|
01/08/2014
|
500,000
|
504,350
|
| FANNIE MAE REMICS 5.69% 01/25/32 |
5.69
|
01/25/2032
|
10,996
|
11,037
|
| XL GROUP PLC 5.25% 09/15/14 |
5.25
|
09/15/2014
|
500,000
|
527,562
|
| CANADIAN DOLLARS |
|
|
81,402
|
80,077
|
| MYTHEN LTD 8.2157% 05/07/15 |
8.216
|
05/07/2015
|
250,000
|
266,625
|
| ASTORIA FINANCIAL CO 5% 06/19/17 |
5.0
|
06/19/2017
|
325,000
|
348,030
|
| ASSET BACKED SECURIT 0.8642% 04/25/35 |
0.864
|
04/25/2035
|
33,403
|
33,336
|
| SUCCESSOR X LTD 9.4114% 02/25/14 |
9.411
|
02/25/2014
|
300,000
|
301,470
|
| THORNBURG MORTGAGE S 1.8215% 03/25/44 |
1.822
|
03/25/2044
|
327,795
|
326,323
|
| DSLA MORTGAGE LOAN T 0.5732% 07/19/44 |
0.573
|
07/19/2044
|
145,745
|
137,679
|
| JP MORGAN CHASE COM 4.92% 10/15/37 |
4.92
|
10/15/2037
|
420,798
|
423,397
|
| FHLMC POOL #E00996 6.5% 07/01/16 |
6.5
|
07/01/2016
|
21,554
|
22,951
|
| OPTEUM MORTGAGE ACCE 0.4542% 12/25/35 |
0.454
|
12/25/2035
|
162,634
|
158,911
|
| OPTION ONE MORTGAGE 0.3242% 02/25/38 |
0.324
|
02/25/2038
|
41,408
|
41,280
|
| DIRECT CAPITAL FUNDI 1.6730% 12/20/17 |
1.673
|
12/20/2017
|
160,280
|
160,280
|
| RESIDENTIAL ASSET SE 0.7042% 07/25/33 |
0.704
|
07/25/2033
|
20,879
|
20,842
|
| GOVERNMENT NATIONAL 1.0956% 08/16/52 |
1.096
|
08/16/2052
|
1,970,462
|
154,321
|
| MERRILL LYNCH MORTGA 2.5275% 02/25/35 |
2.528
|
02/25/2035
|
147,480
|
149,588
|
| VOLKSWAGEN INTERNATI 1.6% 11/20/17 |
1.6
|
11/20/2017
|
500,000
|
501,445
|
| JP MORGAN CHASE COMM 5.819% 06/12/43 |
5.819
|
06/12/2043
|
198,801
|
200,243
|
| STATE OF CALIFORNIA 2.5% 06/20/13 |
2.5
|
06/20/2013
|
2,000,000
|
2,010,600
|
| COOPERATIEVE CENTRAL 0.7601% 03/18/16 |
0.76
|
03/18/2016
|
500,000
|
500,887
|
| AMERICAN HOME MORTGA 5.01% 10/25/34 |
5.01
|
10/25/2034
|
689,097
|
713,593
|
| CINEDIGM DIGITAL FUN L+3.75%, 03/31/16 |
3.75
|
03/31/2016
|
249,429
|
250,987
|
| FANNIE MAE REMICS 1.5% 11/25/20 |
1.5
|
11/25/2020
|
316,591
|
320,072
|
| CPS AUTO TRUST 1.8900% 06/15/20 |
1.89
|
06/15/2020
|
690,000
|
689,624
|
| ALTERNATIVE LOAN TRU 4.25% 04/25/34 |
4.25
|
04/25/2034
|
328,633
|
330,680
|
| BARRICK GOLD CORP 1.7500% 05/30/14 |
1.75
|
05/30/2014
|
500,000
|
505,487
|
| MORGAN STANLEY DEAN 6.79% 07/15/33 |
6.79
|
07/15/2033
|
460,000
|
469,511
|
| JEFFERSON-PILOT CORP 4.75% 01/30/14 |
4.75
|
01/30/2014
|
500,000
|
516,272
|
| WESTGATE RESORTS 201 3% 01/20/25 |
3.0
|
01/20/2025
|
283,177
|
285,566
|
| STRUCTURED ASSET SEC 2.7652% 10/25/33 |
2.765
|
10/25/2033
|
284,224
|
289,331
|
| FHLMC POOL #G18100 5% 02/01/21 |
5.0
|
02/01/2021
|
138,700
|
148,690
|
| MYTHEN RE LTD SERIES 8.7102% 01/05/17 |
8.71
|
01/05/2017
|
250,000
|
252,375
|
| CRONOS CONTAINERS PR 3.81% 09/18/27 |
3.81
|
09/18/2027
|
237,500
|
245,845
|
| NEXTERA ENERGY CAPIT 2.55% 11/15/13 |
2.55
|
11/15/2013
|
500,000
|
506,047
|
| GS MORTGAGE SECURITI 1.2600% 03/06/20 |
1.26
|
03/06/2020
|
500,000
|
500,778
|
| FH POOL #865004 2.351% 07/01/18 |
2.351
|
07/01/2018
|
6,782
|
7,014
|
| KEYCORP 6.5% 05/14/13 |
6.5
|
05/14/2013
|
965,000
|
971,633
|
| ANZ NEW ZEALAND INT' 1.125% 03/24/16 |
1.125
|
03/24/2016
|
1,000,000
|
1,000,905
|
| GENERAL ELECTRIC CAP 1.375% 08/01/17 |
1.375
|
08/01/2017
|
500,000
|
500,151
|
| COUNTRYWIDE ASSET-BA 5.6265% 10/25/46 |
5.627
|
10/25/2046
|
48,125
|
47,964
|
| GNMA POOL #617295 6% 11/15/36 |
6.0
|
11/15/2036
|
325,470
|
366,448
|
| RAAC SERIES 2004-SP2 6% 01/25/32 |
6.0
|
01/25/2032
|
678,907
|
692,552
|
| UNITED STATES TREASU 0.25% 10/31/13 |
0.25
|
10/31/2013
|
7,250,000
|
7,254,814
|
| NATIONSTAR AGENCY AD 0.997% 02/15/45 |
0.997
|
02/15/2045
|
550,000
|
550,748
|
| SIERRA TIMESHARE 200 1.2032% 09/20/19 |
1.203
|
09/20/2019
|
428,070
|
424,755
|
| FANNIE MAE REMICS 0.5142% 02/25/35 |
0.514
|
02/25/2035
|
148,717
|
149,047
|
| STANDARD CHARTERED P 3.85% 04/27/15 |
3.85
|
04/27/2015
|
500,000
|
527,950
|
| PFS FINANCING CORP 1.4032% 02/15/16 |
1.403
|
02/15/2016
|
923,000
|
929,029
|
| AUTOTRADER.COM INC L+4%, 12/15/16 |
4.0
|
12/15/2016
|
245,000
|
247,678
|
| GOVERNMENT NATIONAL 4.549% 06/16/28 |
4.549
|
06/16/2028
|
251,340
|
254,890
|
| STRUCTURED ASSET SEC 0.8542% 10/25/37 |
0.854
|
10/25/2037
|
256,026
|
253,305
|
| CAPITAL AUTO RECEIVA 2.19% 09/20/21 |
2.19
|
09/20/2021
|
125,000
|
124,838
|
| BAYVIEW FINANCIAL AS 4.91% 02/25/33 |
4.91
|
02/25/2033
|
350,219
|
357,482
|
| CAPITAL ONE FINANCIA 1% 11/06/15 |
1.0
|
11/06/2015
|
475,000
|
473,233
|
| RALI SERIES 2003-QS1 5.5% 09/25/33 |
5.5
|
09/25/2033
|
325,000
|
333,890
|
| HOME EQUITY ASSET TR 0.6142% 11/25/35 |
0.614
|
11/25/2035
|
203,712
|
201,785
|
| HARLEY-DAVIDSON FINA 3.875% 03/15/16 |
3.875
|
03/15/2016
|
175,000
|
187,926
|
| AMERICAN EXPRESS CRE 1.1341% 06/24/14 |
1.134
|
06/24/2014
|
500,000
|
503,754
|
| ABBEY NATIONAL TREAS 1.6306% 06/10/13 |
1.631
|
06/10/2013
|
500,000
|
501,205
|
| HLSS SERVICER ADVANC 1.6442% 01/15/44 |
1.644
|
01/15/2044
|
200,000
|
200,500
|
| RALI SERIES 2003-QS1 5.5% 08/25/33 |
5.5
|
08/25/2033
|
250,000
|
257,716
|
| FANNIE MAE REMICS 0.6042% 04/25/34 |
0.604
|
04/25/2034
|
120,589
|
121,202
|
| GOLDMAN SACHS GROUP 1.2955% 02/07/14 |
1.296
|
02/07/2014
|
1,000,000
|
1,004,877
|
| JP MORGAN CHASE COMM 5.45% 12/12/43 |
5.45
|
12/12/2043
|
272,824
|
272,793
|
| OXFORD FINANCE FUNDI 3.9% 03/15/17 |
3.9
|
03/15/2017
|
385,386
|
388,758
|
| NEW CENTURY HOME EQU 0.5042% 06/25/35 |
0.504
|
06/25/2035
|
667,119
|
661,542
|
| MERRILL LYNCH MORTGA 0.6642% 04/25/29 |
0.664
|
04/25/2029
|
266,547
|
260,327
|
| FANNIE MAE REMICS 0.7542% 05/25/40 |
0.754
|
05/25/2040
|
559,277
|
562,701
|
| INTESA SANPAOLO SPA 2.6881% 02/24/14 |
2.688
|
02/24/2014
|
500,000
|
502,893
|
| WELLS FARGO MORTGAGE 5.75% 03/25/36 |
5.75
|
03/25/2036
|
622,211
|
622,445
|
| NISSAN MOTOR ACCEPTA 4.5% 01/30/15 |
4.5
|
01/30/2015
|
100,000
|
106,468
|
| FNMA POOL #252801 7.0000% 10/01/19 |
7.0
|
10/01/2019
|
201,196
|
224,632
|
| RALI SERIES 2003-QR2 4% 07/25/33 |
4.0
|
07/25/2033
|
787,242
|
811,249
|
| JEFFERIES RESECURITI 2.8135% 05/26/37 |
2.814
|
05/26/2037
|
117,680
|
118,035
|
| GENERAL ELECTRIC CAP 1.1101% 12/20/13 |
1.11
|
12/20/2013
|
1,000,000
|
1,004,940
|
| FNMA POOL #849695 7.0000% 01/01/36 |
7.0
|
01/01/2036
|
89,886
|
106,564
|
| GMACM MORTGAGE LOAN 3.3181% 06/25/34 |
3.318
|
06/25/2034
|
219,382
|
220,072
|
| FNMA POOL #499332 6.5% 08/01/14 |
6.5
|
08/01/2014
|
926
|
953
|
| FNMA POOL #252481 6.5% 04/01/29 |
6.5
|
04/01/2029
|
384,004
|
442,808
|
| CITIGROUP INC 5% 09/15/14 |
5.0
|
09/15/2014
|
1,000,000
|
1,050,030
|
| EXPORT-IMPORT BANK O 1.25% 11/20/15 |
1.25
|
11/20/2015
|
500,000
|
500,308
|
| JP MORGAN MORTGAGE T 6% 08/25/36 |
6.0
|
08/25/2036
|
61,919
|
3,125
|
| FH POOL #788825 2.424% 11/01/31 |
2.424
|
11/01/2031
|
7,929
|
8,454
|
| COUNTRYWIDE ASSET-BA 0.5542% 08/25/47 |
0.554
|
08/25/2047
|
147,781
|
146,708
|
| CHEVY CHASE FUNDING 0.4042% 01/25/36 |
0.404
|
01/25/2036
|
507,977
|
427,812
|
| COUNTRYWIDE ASSET-BA 0.6442% 07/25/35 |
0.644
|
07/25/2035
|
719,728
|
718,992
|
| MASTR ALTERNATIVE LO 4.5% 01/25/15 |
4.5
|
01/25/2015
|
39,912
|
39,997
|
| CREDIT SUISSE FIRST 6.4480% 09/15/34 |
6.448
|
09/15/2034
|
750,000
|
356,651
|
| OPTION ONE MORTGAGE 0.4642% 11/25/35 |
0.464
|
11/25/2035
|
196,538
|
193,131
|
| FNMA POOL #834753 8% 04/01/14 |
8.0
|
04/01/2014
|
22,157
|
22,402
|
| SOUNDVIEW HOME LOAN 0.4642% 12/25/35 |
0.464
|
12/25/2035
|
356,057
|
352,320
|
| GE SEACO FINANCE SRL 0.4531% 11/17/20 |
0.453
|
11/17/2020
|
133,333
|
131,687
|
| HOMESTAR MORTGAGE AC 0.5542% 06/25/34 |
0.554
|
06/25/2034
|
470,066
|
465,583
|
| FNMA POOL #679221 6.5% 06/01/15 |
6.5
|
06/01/2015
|
9,793
|
9,893
|
| FNMA POOL #510271 2.57% 10/01/29 |
2.57
|
10/01/2029
|
223,044
|
238,822
|
| BANK OF MONTREAL 0.8% 11/06/15 |
0.8
|
11/06/2015
|
500,000
|
499,283
|
| NORTHSTAR 2012-1 MOR 4.449% 08/25/29 |
4.449
|
08/25/2029
|
200,000
|
203,343
|
| HLSS SERVICER ADVANC 0.8983% 01/15/44 |
0.898
|
01/15/2044
|
450,000
|
450,450
|
| CHL MORTGAGE PASS-TH 5.5% 10/25/32 |
5.5
|
10/25/2032
|
803,314
|
830,559
|
| BAYVIEW FINANCIAL AC 0.8337% 05/28/44 |
0.834
|
05/28/2044
|
350,077
|
345,216
|
| FOUNDATION RE III LT 0% 02/03/14 |
0.0
|
02/03/2014
|
500,000
|
506,350
|
| SOUTHERN PACIFIC SEC 0.6042% 03/25/28 |
0.604
|
03/25/2028
|
469,063
|
337,730
|
| FH POOL #846098 2.865% 04/01/25 |
2.865
|
04/01/2025
|
29,662
|
29,833
|
| ACCREDITED MORTGAGE 0.6042% 07/25/35 |
0.604
|
07/25/2035
|
240,000
|
231,030
|
| LB-UBS COMMERCIAL MO 4.367% 03/15/36 |
4.367
|
03/15/2036
|
500,000
|
513,234
|
| FNMA POOL #649633 6.5% 08/01/17 |
6.5
|
08/01/2017
|
30,099
|
32,544
|
| FREDDIE MAC REMICS 3.5000% 06/15/28 |
3.5
|
06/15/2028
|
392,926
|
406,250
|
| HOME EQUITY ASSET TR 0.3742% 08/25/36 |
0.374
|
08/25/2036
|
108,315
|
106,179
|
| CARNOW AUTO RECEIVAB 2.09% 01/15/15 |
2.09
|
01/15/2015
|
103,642
|
103,678
|
| SUCCESSOR X LTD 12.9332% 01/07/14 |
12.933
|
01/07/2014
|
350,000
|
351,540
|
| FNMA POOL #255831 5% 07/01/15 |
5.0
|
07/01/2015
|
69,663
|
75,179
|
| CHL MORTGAGE PASS-TH 5.25% 06/25/34 |
5.25
|
06/25/2034
|
216,936
|
223,891
|
| MAXIM INTEGRATED PRO 3.45% 06/14/13 |
3.45
|
06/14/2013
|
750,000
|
754,264
|
| THORNBURG MORTGAGE S 3.1726% 06/25/43 |
3.173
|
06/25/2043
|
167,848
|
165,855
|
| AMERICAN CREDIT ACCE 1.6399% 11/15/16 |
1.64
|
11/15/2016
|
297,548
|
297,530
|
| GENERAL ELECTRIC CAP 0.935% 04/07/14 |
0.935
|
04/07/2014
|
500,000
|
501,921
|
| QUEEN STREET II CAPI 0% 04/09/14 |
0.0
|
04/09/2014
|
250,000
|
252,650
|
| SMART TRUST/AUSTRALI 0.6532% 09/14/16 |
0.653
|
09/14/2016
|
500,000
|
501,528
|
| BMW VEHICLE OWNER TR 0.76% 08/25/15 |
0.76
|
08/25/2015
|
90,865
|
91,101
|
| AGILENT TECHNOLOGIES 5.5% 09/14/15 |
5.5
|
09/14/2015
|
620,000
|
685,274
|
| BEAR STEARNS ASSET B 4.6494% 06/25/43 |
4.649
|
06/25/2043
|
367,811
|
362,747
|
| CONOCOPHILLIPS CO 1.05% 12/15/17 |
1.05
|
12/15/2017
|
700,000
|
697,600
|
| BANC OF AMERICA ALTE 5.5% 03/25/19 |
5.5
|
03/25/2019
|
182,167
|
187,283
|
| NYSE EURONEXT 2% 10/05/17 |
2.0
|
10/05/2017
|
150,000
|
153,355
|
| GOVERNMENT NATIONAL 1.1017% 02/16/52 |
1.102
|
02/16/2052
|
12,080,999
|
574,669
|
| RESIDENTIAL ASSET SE 5.75% 12/25/34 |
5.75
|
12/25/2034
|
434,632
|
444,850
|
| CREDIT SUISSE FIRST 5.25% 10/25/19 |
5.25
|
10/25/2019
|
106,532
|
108,129
|
| STRUCTURED ADJUSTABL 0.9442% 01/25/35 |
0.944
|
01/25/2035
|
54,159
|
53,941
|
| IBIS RE LTD 0% 05/03/13 |
0.0
|
05/03/2013
|
1,000,000
|
1,003,200
|
| WACHOVIA MORTGAGE LO 0.5742% 10/25/35 |
0.574
|
10/25/2035
|
305,762
|
300,646
|
| WELLS FARGO HOME EQU 0.5842% 12/25/35 |
0.584
|
12/25/2035
|
115,694
|
113,853
|
| EAST LANE RE LTD 0% 03/13/15 |
0.0
|
03/13/2015
|
500,000
|
520,550
|
| CROWN CASTLE TOWERS 3.2140% 08/15/15 |
3.214
|
08/15/2015
|
500,000
|
521,649
|
| COMM 2006-FL12 MORTG 0.3732% 12/15/20 |
0.373
|
12/15/2020
|
362,087
|
345,668
|
| GNMA POOL #388531 7.5% 06/15/14 |
7.5
|
06/15/2014
|
11,714
|
11,847
|
| JP MORGAN CHASE COMM 0.3582% 05/15/47 |
0.358
|
05/15/2047
|
250,000
|
248,697
|
| FNMA POOL #409871 2.587% 04/01/28 |
2.587
|
04/01/2028
|
3,602
|
3,834
|
| PENARTH MASTER ISSUE 0.8532% 05/18/15 |
0.853
|
05/18/2015
|
400,000
|
399,952
|
| FANNIE MAE REMICS 6% 03/25/35 |
6.0
|
03/25/2035
|
313,214
|
329,798
|
| KEYBANK NA/CLEVELAND 1.6500% 02/01/18 |
1.65
|
02/01/2018
|
1,000,000
|
1,009,053
|
| MASTR SEASONED SECUR 6.5991% 09/25/32 |
6.599
|
09/25/2032
|
217,764
|
228,285
|
| FHLMC POOL #J08525 5.5% 08/01/23 |
5.5
|
08/01/2023
|
109,954
|
118,561
|
| CREDIT SUISSE FIRST 1.7041% 08/25/33 |
1.704
|
08/25/2033
|
130,111
|
124,299
|
| MERRILL LYNCH MORTGA 2.5275% 02/25/35 |
2.528
|
02/25/2035
|
243,617
|
245,004
|
| FIRST HORIZON MORTGA 6% 05/25/36 |
6.0
|
05/25/2036
|
41,345
|
41,381
|
| STRUCTURED ASSET MOR 0.7042% 08/26/35 |
0.704
|
08/26/2035
|
534,384
|
530,915
|
| JOBSOHIO BEVERAGE SY 0.872% 01/01/15 |
0.872
|
01/01/2015
|
500,000
|
501,675
|
| GE BUSINESS LOAN TRU 0.6332% 04/15/31 |
0.633
|
04/15/2031
|
124,978
|
118,844
|
| RALI SERIES 2002-QS1 0.7542% 10/25/17 |
0.754
|
10/25/2017
|
420,599
|
398,077
|
| CITIGROUP COMMERCIAL 0.3432% 04/15/22 |
0.343
|
04/15/2022
|
26,657
|
26,377
|
| FIRST INVESTORS AUTO 1.47% 05/15/18 |
1.47
|
05/15/2018
|
182,461
|
182,711
|
| BAYVIEW FINANCIAL AC 0.7887% 08/28/44 |
0.789
|
08/28/2044
|
241,167
|
236,364
|
| COMM 2006-FL12 MORTG 0.3032% 12/15/20 |
0.303
|
12/15/2020
|
314,846
|
310,619
|
| AMERICAN EXPRESS CRE 1.9032% 06/19/13 |
1.903
|
06/19/2013
|
270,000
|
270,929
|
| BEAR STEARNS ASSET B 0.6842% 06/25/35 |
0.684
|
06/25/2035
|
238,943
|
233,229
|
| FH POOL #1B0068 2.961% 08/01/31 |
2.961
|
08/01/2031
|
158,606
|
162,764
|
| SANTANDER DRIVE AUTO 3.7800% 11/15/17 |
3.78
|
11/15/2017
|
500,000
|
523,205
|
| LB-UBS COMMERCIAL MO 5.616% 10/15/35 |
5.616
|
10/15/2035
|
650,000
|
648,862
|
| FREDDIE MAC REMICS 6% 04/15/36 |
6.0
|
04/15/2036
|
45,391
|
45,393
|
| GOLDMAN SACHS GROUP 0.7341% 03/22/16 |
0.734
|
03/22/2016
|
475,000
|
469,593
|
| ARI FLEET LEASE TRUS 0.7532% 03/15/20 |
0.753
|
03/15/2020
|
325,573
|
326,597
|
| VITALITY RE IV LTD 0% 01/09/16 |
0.0
|
01/09/2016
|
500,000
|
506,350
|
| EMBARCADERO REINSURA 0% 08/04/14 |
0.0
|
08/04/2014
|
250,000
|
254,225
|
| GOVERNMENT NATIONAL 3% 04/20/41 |
3.0
|
04/20/2041
|
295,931
|
310,240
|
| MORGAN STANLEY 2.7921% 05/14/13 |
2.792
|
05/14/2013
|
750,000
|
751,968
|
| MORGAN STANLEY CAPIT 0.9039% 12/15/20 |
0.904
|
12/15/2020
|
250,000
|
243,919
|
| GOVERNMENT NATIONAL 1.6297% 10/16/43 |
1.63
|
10/16/2043
|
2,963,432
|
196,594
|
| CITIGROUP MORTGAGE L 5.5% 11/25/35 |
5.5
|
11/25/2035
|
216,777
|
26,181
|
| BANC OF AMERICA FUND 0.4142% 06/26/37 |
0.414
|
06/26/2037
|
581,844
|
576,624
|
| COMMERCIAL MORTGAGE 0.3232% 02/15/22 |
0.323
|
02/15/2022
|
326,402
|
323,196
|
| HYUNDAI MOTOR MANUFA 4.5% 04/15/15 |
4.5
|
04/15/2015
|
1,000,000
|
1,060,765
|
| SANTANDER HOLDINGS U 3% 09/24/15 |
3.0
|
09/24/2015
|
500,000
|
512,673
|
| MORGAN STANLEY 1.5381% 02/25/16 |
1.538
|
02/25/2016
|
500,000
|
502,131
|
| GENERAL ELECTRIC CAP 1.875% 09/16/13 |
1.875
|
09/16/2013
|
1,000,000
|
1,006,314
|
| BEAR STEARNS COMMERC 5.214% 02/11/41 |
5.214
|
02/11/2041
|
150,000
|
153,876
|
| NORTHEAST UTILITIES 5.65% 06/01/13 |
5.65
|
06/01/2013
|
380,000
|
383,139
|
| MERRILL LYNCH MORTGA 1.2814% 03/25/28 |
1.281
|
03/25/2028
|
599,207
|
590,391
|
| BANC OF AMERICA ALTE 0.6542% 12/25/33 |
0.654
|
12/25/2033
|
334,419
|
320,739
|
| RIVERBED TECHNOLOGY L+4%, 10/29/19 |
4.0
|
10/29/2019
|
465,638
|
471,459
|
| NAVISTAR FINANCIAL D 2.7042% 10/25/16 |
2.704
|
10/25/2016
|
800,000
|
806,301
|
| GE CAPITAL COMMERCIA 5.3606% 07/10/37 |
5.361
|
07/10/2037
|
600,000
|
604,279
|
| CREDIT SUISSE FIRST 2.6906% 11/25/33 |
2.691
|
11/25/2033
|
106,578
|
104,826
|
| BCMSC TRUST 1998-A 6.65% 04/15/28 |
6.65
|
04/15/2028
|
275,917
|
286,947
|
| GE DEALER FLOORPLAN 0.6432% 10/20/17 |
0.643
|
10/20/2017
|
256,000
|
256,528
|
| IRWIN HOME EQUITY LO 5.32% 06/25/35 |
5.32
|
06/25/2035
|
274,805
|
267,870
|
| ATLAS REINSURANCE VI 8.178% 01/07/16 |
8.178
|
01/07/2016
|
250,000
|
252,800
|
| SEQUOIA MORTGAGE TRU 0.5232% 11/20/34 |
0.523
|
11/20/2034
|
209,565
|
206,034
|
| BANQUE PSA FINANCE S 3.375% 04/04/14 |
3.375
|
04/04/2014
|
500,000
|
503,218
|
| KEYCORP 3.75% 08/13/15 |
3.75
|
08/13/2015
|
500,000
|
532,776
|
| BANC OF AMERICA ALTE 5.25% 05/25/34 |
5.25
|
05/25/2034
|
262,287
|
266,670
|
| NBCUNIVERSAL ENTERPR 0.8170% 04/15/16 |
0.817
|
04/15/2016
|
425,000
|
424,707
|
| BOMBARDIER INC 4.25% 01/15/16 |
4.25
|
01/15/2016
|
360,000
|
373,500
|
| GOVERNMENT NATIONAL 1.1748% 03/16/51 |
1.175
|
03/16/2051
|
3,380,367
|
136,847
|
| LEHMAN BROTHERS SMAL 0.4342% 04/25/31 |
0.434
|
04/25/2031
|
257,091
|
221,654
|
| BAYVIEW COMMERCIAL A 3.8900% 09/25/37 |
3.89
|
09/25/2037
|
1,888,548
|
174,691
|
| GNMA POOL #569720 6% 03/15/17 |
6.0
|
03/15/2017
|
445,214
|
484,175
|
| JP MORGAN MORTGAGE T 2.1956% 10/25/33 |
2.196
|
10/25/2033
|
537,265
|
546,225
|
| MASTR SPECIALIZED LO 0.5042% 01/25/36 |
0.504
|
01/25/2036
|
444,321
|
412,814
|
| JP MORGAN MORTGAGE T 2.5838% 07/25/35 |
2.584
|
07/25/2035
|
75,824
|
76,187
|
| HERCULES CAPITAL FUN 3.32% 12/16/17 |
3.32
|
12/16/2017
|
232,118
|
233,133
|
| GOVERNMENT NATIONAL 4.5% 05/20/33 |
4.5
|
05/20/2033
|
172,221
|
175,231
|
| BWAY HOLDING CO L+4.5025%, 08/06/17 |
4.503
|
08/06/2017
|
195,000
|
197,559
|
| GMAC COMMERCIAL MORT 5.4657% 05/10/40 |
5.466
|
05/10/2040
|
150,000
|
147,660
|
| AEGIS ASSET BACKED S 0.5642% 09/25/34 |
0.564
|
09/25/2034
|
605,050
|
593,599
|
| EXPRESS SCRIPTS HOLD 3.125% 05/15/16 |
3.125
|
05/15/2016
|
1,000,000
|
1,056,374
|
| CRH AMERICA INC 5.3% 10/15/13 |
5.3
|
10/15/2013
|
360,000
|
368,292
|
| GENERAL ELECTRIC CO 0.8500% 10/09/15 |
0.85
|
10/09/2015
|
500,000
|
501,668
|
| WELLS FARGO MORTGAGE 4.75% 12/25/18 |
4.75
|
12/25/2018
|
234,586
|
241,467
|
| SPRINGLEAF FUNDING T 2.58% 09/15/21 |
2.58
|
09/15/2021
|
500,000
|
499,964
|
| RAAC SERIES 2006-RP2 0.4542% 02/25/37 |
0.454
|
02/25/2037
|
217,445
|
208,942
|
| SEQUOIA MORTGAGE TRU 0.7984% 01/20/35 |
0.799
|
01/20/2035
|
300,328
|
283,846
|
| FORTESCUE METALS GRO L+5.25%, 09/18/17 |
5.25
|
09/18/2017
|
99,500
|
100,797
|
| COUNTRYWIDE ASSET-BA 0.3842% 06/25/36 |
0.384
|
06/25/2036
|
92,580
|
91,944
|
| GTP TOWERS ISSUER LL 8.112% 02/15/15 |
8.112
|
02/15/2015
|
200,000
|
213,388
|
| SUNGARD DATA SYSTEMS L+3.9552%, 02/28/17 |
3.955
|
02/28/2017
|
166,042
|
167,183
|
| COUNTRYWIDE ASSET-BA 1.1042% 05/25/35 |
1.104
|
05/25/2035
|
384,528
|
379,106
|
| KEYBANK NA/CLEVELAND 5.8% 07/01/14 |
5.8
|
07/01/2014
|
275,000
|
291,896
|
| FREDDIE MAC REMICS 4% 12/15/22 |
4.0
|
12/15/2022
|
144,330
|
147,301
|
| SMA ISSUER I LLC 3.5000% 08/20/25 |
3.5
|
08/20/2025
|
115,765
|
116,267
|
| ORIGEN MANUFACTURED 5.46% 11/15/35 |
5.46
|
11/15/2035
|
260,000
|
273,307
|
| RESIDENTIAL REINSURA 0% 06/06/13 |
0.0
|
06/06/2013
|
250,000
|
254,875
|
| FNMA POOL #864459 5.5% 12/01/35 |
5.5
|
12/01/2035
|
136,527
|
149,769
|
| ALTERNATIVE LOAN TRU 4.75% 10/25/33 |
4.75
|
10/25/2033
|
426,124
|
435,417
|
| BEAR STEARNS ALT-A T 0.8042% 06/25/34 |
0.804
|
06/25/2034
|
613,314
|
572,078
|
| MBNA CREDIT CARD MAS 0.2632% 10/15/15 |
0.263
|
10/15/2015
|
350,000
|
349,966
|
| RALI SERIES 2003-QR2 4% 07/25/33 |
4.0
|
07/25/2033
|
940,616
|
936,254
|
| VERICREST OPPORTUNIT 2.7344% 11/25/60 |
2.734
|
11/25/2060
|
388,950
|
389,160
|
| FIRST HORIZON MORTGA 2.594% 02/25/34 |
2.594
|
02/25/2034
|
63,723
|
62,526
|
| MADISON AVENUE MANUF 2.4542% 03/25/32 |
2.454
|
03/25/2032
|
550,000
|
553,065
|
| CARRINGTON MORTGAGE 0.3842% 02/25/36 |
0.384
|
02/25/2036
|
1,378,399
|
1,346,653
|
| RESIDENTIAL REINSURA 0% 06/06/16 |
0.0
|
06/06/2016
|
250,000
|
263,475
|
| COMMERCIAL MORTGAGE 5.268% 02/15/40 |
5.268
|
02/15/2040
|
26,993
|
26,999
|
| FH POOL #610216 2.159% 05/01/25 |
2.159
|
05/01/2025
|
7,814
|
7,840
|
| FNMA POOL #323642 2.36% 04/01/29 |
2.36
|
04/01/2029
|
3,107
|
3,306
|
| GMACM MORTGAGE LOAN 4.5358% 10/19/33 |
4.536
|
10/19/2033
|
270,019
|
278,446
|
| LB-UBS COMMERCIAL MO 4.664% 07/15/30 |
4.664
|
07/15/2030
|
114,557
|
116,440
|
| AGILENT TECHNOLOGIES 2.5% 07/15/13 |
2.5
|
07/15/2013
|
500,000
|
502,874
|
| BAYVIEW FINANCIAL MO 0.6537% 04/28/39 |
0.654
|
04/28/2039
|
425,000
|
416,878
|
| GNMA II POOL #4043 6% 11/20/22 |
6.0
|
11/20/2022
|
398,803
|
454,292
|
| ALTERNATIVE LOAN TRU 0.6542% 09/25/34 |
0.654
|
09/25/2034
|
220,129
|
218,354
|
| LEHMAN ABS MANUFACTU 0.6532% 06/15/33 |
0.653
|
06/15/2033
|
1,377,135
|
1,342,361
|
| RESIDENTIAL FUNDING 5.77% 04/25/28 |
5.77
|
04/25/2028
|
151,562
|
159,176
|
| RESIDENTIAL REINSURA 0% 06/06/15 |
0.0
|
06/06/2015
|
250,000
|
262,325
|
| KOREA DEVELOPMENT BA 1% 01/22/16 |
1.0
|
01/22/2016
|
500,000
|
495,938
|
| MORGAN STANLEY MORTG 0.4741% 09/25/35 |
0.474
|
09/25/2035
|
702,346
|
674,670
|
| FANNIE MAE TRUST 200 2.7878% 07/25/42 |
2.788
|
07/25/2042
|
1,114,501
|
1,096,674
|
| FANNIE MAE REMICS 4% 06/25/37 |
4.0
|
06/25/2037
|
266,586
|
269,714
|
| RASC SERIES 2007-KS3 0.3842% 04/25/37 |
0.384
|
04/25/2037
|
228,999
|
223,878
|
| WAMU MORTGAGE PASS T 5% 10/25/18 |
5.0
|
10/25/2018
|
948,731
|
978,823
|
| PNC FUNDING CORP 0.5005% 01/31/14 |
0.5
|
01/31/2014
|
500,000
|
500,421
|
| SEQUOIA MORTGAGE TRU 0.8231% 09/20/33 |
0.823
|
09/20/2033
|
279,397
|
275,783
|
| FNMA POOL #545025 6.5% 06/01/16 |
6.5
|
06/01/2016
|
5,630
|
6,003
|
| CAPITAL ONE FINANCIA 2.125% 07/15/14 |
2.125
|
07/15/2014
|
500,000
|
507,821
|
| GENERAL ELECTRIC CAP 1.625% 07/02/15 |
1.625
|
07/02/2015
|
485,000
|
493,281
|
| BANC OF AMERICA FUND 5.75% 10/25/35 |
5.75
|
10/25/2035
|
54,353
|
54,603
|
| TELEFONICA EMISIONES 3.9919% 02/16/16 |
3.992
|
02/16/2016
|
500,000
|
521,170
|
| SEQUOIA MORTGAGE TRU 0.7365% 02/20/35 |
0.737
|
02/20/2035
|
536,893
|
528,390
|
| ORES NPL LLC 4% 09/25/44 |
4.0
|
09/25/2044
|
200,616
|
200,782
|
| GNMA II POOL #3591 6% 08/20/19 |
6.0
|
08/20/2019
|
338,983
|
366,224
|
| CITIGROUP INC 5.5% 04/11/13 |
5.5
|
04/11/2013
|
1,095,000
|
1,096,277
|
| CENDANT MORTGAGE COR 6.25% 03/25/32 |
6.25
|
03/25/2032
|
692,390
|
655,859
|
| TEREX CORP L+4.5%, 04/28/17 |
4.5
|
04/28/2017
|
147,758
|
150,011
|
| STORE MASTER FUNDING 5.77% 08/20/42 |
5.77
|
08/20/2042
|
341,328
|
360,084
|
| COMMERCIAL MORTGAGE 2.1407% 11/17/26 |
2.141
|
11/17/2026
|
596,604
|
604,958
|
| HEWLETT-PACKARD CO 2.625% 12/09/14 |
2.625
|
12/09/2014
|
470,000
|
481,870
|
| SPIRIT AEROSYSTEMS I L+3.75%, 03/27/19 |
3.75
|
03/27/2019
|
248,125
|
250,761
|
| FHLMC POOL #G13517 4% 05/01/24 |
4.0
|
05/01/2024
|
425,397
|
451,980
|
| MERRILL LYNCH MORTGA 2.44% 10/25/35 |
2.44
|
10/25/2035
|
219,883
|
217,543
|
| SPECIALTY UNDERWRITI 0.5042% 12/25/36 |
0.504
|
12/25/2036
|
615,147
|
590,570
|
| UNITED STATES TREASU 0.5% 11/15/13 |
0.5
|
11/15/2013
|
2,500,000
|
2,505,665
|
| AMERICREDIT AUTOMOBI 4.04% 07/10/17 |
4.04
|
07/10/2017
|
100,000
|
106,033
|
| NORTH TEXAS TOLLWAY 2.441% 09/01/13 |
2.441
|
09/01/2013
|
500,000
|
504,305
|
| BANC OF AMERICA MORT 4.5% 08/25/19 |
4.5
|
08/25/2019
|
25,469
|
25,881
|
| GNMA POOL #635384 6.5% 07/15/35 |
6.5
|
07/15/2035
|
19,520
|
21,016
|
| CAELUS RE LTD 0% 03/07/16 |
0.0
|
03/07/2016
|
250,000
|
249,800
|
| JP MORGAN MORTGAGE A 5.453% 11/25/36 |
5.453
|
11/25/2036
|
9,405
|
9,385
|
| NEW YORK STATE DORMI 3% 07/01/13 |
3.0
|
07/01/2013
|
200,000
|
201,460
|
| CITIGROUP MORTGAGE L 1.0042% 08/25/35 |
1.004
|
08/25/2035
|
52,562
|
52,563
|
| FANNIE MAE REMICS 0.4542% 02/25/37 |
0.454
|
02/25/2037
|
469,828
|
469,414
|
| SANTANDER DRIVE AUTO 1.8900% 05/15/17 |
1.89
|
05/15/2017
|
56,032
|
56,307
|
The portfolio is actively managed, and current holdings may be different.
For fund descriptions, historical and current performance, standardized returns as of the most
recent quarter-end, risk disclosure or a prospectus, please click
here.
Please request a free information kit on any Pioneer fund by
ordering from this web site or by calling 1-800-225-6292. The kit includes a quarterly fact sheet and a prospectus.
You should consider a fund's investment objectives, risks, charges and expenses carefully before investing.
The prospectus contains this and other information about each fund and should be read carefully before you invest or
send money. To obtain a prospectus directly and for other information on any Pioneer fund please visit our
download literature page.
|
