|
Schedule of Investments
|
||||||||||||
|
June 30, 2013 (Unaudited)
|
||||||||||||
|
Principal Amount/Shares
|
Security Description
|
Rate
|
Maturity
|
Value $
|
||||||||
|
Collateralized Loan Obligations - 2.1%
|
||||||||||||
| 1,000,000 |
BlueMountain Ltd., Series 2012-2A-C
|
3.02 | % |
# ^
|
11/20/2024
|
986,279 | ||||||
| 1,000,000 |
Brookside Mill Ltd., Series 2013-1A-D
|
3.27 | % |
# ^
|
04/17/2025
|
931,032 | ||||||
| 1,000,000 |
Canyon Capital Ltd, Series 2012-1A-C
|
3.08 | % |
# ^
|
01/15/2024
|
988,962 | ||||||
| 750,000 |
Finn Square Ltd, Series 2012-1A-B1
|
3.07 | % |
# ^
|
12/24/2023
|
740,644 | ||||||
| 250,000 |
Finn Square Ltd, Series 2012-1A-C
|
3.87 | % |
# ^
|
12/24/2023
|
239,605 | ||||||
| 1,500,000 |
LCM LP, Series 11A-INC
|
13.00 | % |
# ^@
|
04/19/2022
|
1,422,730 | ||||||
| 1,000,000 |
Navigare Funding Ltd., Series 2007-2A-D
|
1.98 | % |
# ^
|
04/17/2021
|
938,804 | ||||||
| 166,299 |
Tricadia Ltd., Series 2003-1AR-A3L
|
0.97 | % |
# ^
|
02/28/2016
|
166,133 | ||||||
| 900,000 |
Venture Ltd., Series 2005-1A-A2
|
0.72 | % |
# ^
|
11/22/2018
|
873,467 | ||||||
|
Total Collateralized Loan Obligations (Cost $7,239,502)
|
7,287,656 | |||||||||||
|
Non-Agency Commercial Mortgage Backed Obligations - 1.3%
|
||||||||||||
| 43,332,291 |
JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2012-CBX-XA
|
2.21 | % | # I/O |
06/15/2045
|
4,607,263 | ||||||
|
Total Non-Agency Commercial Mortgage Backed Obligations (Cost $4,631,720)
|
4,607,263 | |||||||||||
|
Non-Agency Residential Collateralized Mortgage Obligations - 58.0%
|
||||||||||||
| 4,492,872 |
Adjustable Rate Mortgage Trust, Series 2006-1-2A1
|
3.22 | % | # |
03/25/2036
|
3,477,602 | ||||||
| 3,026,881 |
Banc of America Alternative Loan Trust, Series 2005-8-2CB1
|
6.00 | % |
09/25/2035
|
2,797,547 | |||||||
| 3,703,684 |
Banc of America Funding Corporation, Series 2006-A-4A1
|
3.00 | % | # |
02/20/2036
|
2,950,601 | ||||||
| 5,269,567 |
BCAP LLC Trust, Series 2010-RR6-2216
|
4.73 | % |
# ^
|
06/26/2036
|
4,105,504 | ||||||
| 3,559,853 |
BCAP LLC Trust, Series 2010-RR6-6A2
|
5.75 | % |
# ^
|
07/26/2037
|
3,165,947 | ||||||
| 5,130,420 |
Chase Mortgage Finance Corporation, Series 2007-S1-A7
|
6.00 | % |
02/25/2037
|
4,575,916 | |||||||
| 4,658,567 |
Chaseflex Trust, Series 2007-1-1A1
|
6.50 | % |
02/25/2037
|
2,967,253 | |||||||
| 1,875,000 |
Citicorp Mortgage Securities, Inc., Series 2006-2-IA14
|
5.50 | % |
04/25/2036
|
1,731,598 | |||||||
| 1,920,634 |
Citigroup Mortgage Loan Trust, Inc., Series 2006-8-A4
|
19.13 | % |
# ^I/F
|
10/25/2035
|
2,396,480 | ||||||
| 4,399,516 |
Citigroup Mortgage Loan Trust, Inc., Series 2010-9-3A7
|
9.83 | % |
^
|
01/25/2036
|
3,722,171 | ||||||
| 5,860,374 |
Citigroup Mortgage Loan Trust, Inc., Series 2010-9-4A3
|
7.19 | % |
# ^
|
09/25/2035
|
5,896,221 | ||||||
| 6,403,775 |
CitiMortgage Alternative Loan Trust, Series 2007-A4-IA6
|
5.75 | % |
04/25/2037
|
5,838,444 | |||||||
| 5,149,956 |
CitiMortgage Alternative Loan Trust, Series 2007-A6-IA16
|
6.00 | % |
06/25/2037
|
4,318,230 | |||||||
| 3,412,929 |
Countrywide Alternative Loan Trust, Series 2005-85CB-2A5
|
1.29 | % | # |
02/25/2036
|
2,455,918 | ||||||
| 720,757 |
Countrywide Alternative Loan Trust, Series 2005-85CB-2A6
|
20.93 | % | #I/F |
02/25/2036
|
951,036 | ||||||
| 7,878,576 |
Countrywide Home Loans, Series 2006-HYB1-3A1
|
2.73 | % | # |
03/20/2036
|
5,997,857 | ||||||
| 6,430,194 |
Credit Suisse Mortgage Capital Certificates, Series 2006-5-3A3
|
6.50 | % |
06/25/2036
|
3,678,354 | |||||||
| 1,793,374 |
Credit Suisse Mortgage Capital Certificates, Series 2006-9-2A1
|
5.50 | % |
11/25/2036
|
1,824,638 | |||||||
| 2,416,168 |
Credit Suisse Mortgage Capital Certificates, Series 2006-9-6A14
|
6.00 | % |
11/25/2036
|
2,158,225 | |||||||
| 3,205,116 |
First Horizon Asset Securities, Inc., Series 2007-AR3-2A2
|
5.90 | % | # |
11/25/2037
|
2,875,225 | ||||||
| 5,769,338 |
GSAA Home Equity Trust, Series 2007-8-A2
|
0.54 | % | # |
08/25/2037
|
4,557,607 | ||||||
| 3,312,382 |
Indymac Mortgage Loan Trust, Series 2005-AR1-2A1
|
2.85 | % | # |
11/25/2035
|
2,843,452 | ||||||
| 5,253,369 |
Indymac Mortgage Loan Trust, Series 2005-AR23-6A1
|
4.81 | % | # |
11/25/2035
|
4,323,131 | ||||||
| 4,321,411 |
Indymac Mortgage Loan Trust, Series 2007-FLX1-A2
|
0.37 | % | # |
02/25/2037
|
4,104,740 | ||||||
| 3,263,916 |
JP Morgan Alternative Loan Trust, Series 2006-S1-2A5
|
5.50 | % |
02/25/2021
|
3,154,526 | |||||||
| 5,702,978 |
JP Morgan Resecuritization Trust, Series 2011-1-1A10
|
7.64 | % |
# ^
|
12/26/2036
|
4,753,930 | ||||||
| 7,428,311 |
JP Morgan Resecuritization Trust, Series 2011-1-2A10
|
6.62 | % |
# ^
|
06/26/2037
|
6,218,914 | ||||||
| 5,535,972 |
Lehman Mortgage Trust, Series 2007-10-1A1
|
6.00 | % |
01/25/2038
|
5,381,136 | |||||||
| 3,992,511 |
Lehman Mortgage Trust, Series 2007-4-1A3
|
5.75 | % |
05/25/2037
|
2,747,656 | |||||||
| 3,409,537 |
Lehman XS Trust, Series 2005-2-1A2
|
0.54 | % | # |
08/25/2035
|
3,111,772 | ||||||
| 2,986,971 |
MASTR Asset Securitization Trust, Series 2007-2-A3
|
6.25 | % |
01/25/2038
|
2,816,161 | |||||||
| 5,023,133 |
Nomura Resecuritization Trust, Series 2010-2RA-A2
|
5.50 | % |
^
|
01/26/2036
|
4,730,599 | ||||||
| 3,589,905 |
RBSGC Structured Trust, Series 2008-B-A1
|
6.00 | % |
^
|
06/25/2037
|
3,227,146 | ||||||
| 3,833,919 |
Residential Accredit Loans, Inc., Series 2005-AS14-3A1
|
6.00 | % |
09/25/2035
|
3,616,104 | |||||||
| 5,788,492 |
Residential Accredit Loans, Inc., Series 2005-QS13-2A3
|
5.75 | % |
09/25/2035
|
5,136,323 | |||||||
| 4,077,644 |
Residential Accredit Loans, Inc., Series 2006-QS10-A1
|
6.00 | % |
08/25/2036
|
3,357,296 | |||||||
| 4,864,866 |
Residential Accredit Loans, Inc., Series 2006-QS6-1A5
|
5.75 | % |
06/25/2036
|
3,747,620 | |||||||
| 8,149,492 |
Residential Accredit Loans, Inc., Series 2006-QS7-A3
|
6.00 | % |
06/25/2036
|
6,277,354 | |||||||
| 2,056,760 |
Residential Accredit Loans, Inc., Series 2007-QS1-1A1
|
6.00 | % |
01/25/2037
|
1,688,149 | |||||||
| 8,576,275 |
Residential Accredit Loans, Inc., Series 2007-QS3-A1
|
6.50 | % |
02/25/2037
|
6,833,627 | |||||||
| 3,637,068 |
Residential Accredit Loans, Inc., Series 2007-QS6-A1
|
0.52 | % | # |
04/25/2037
|
2,103,909 | ||||||
| 3,850,531 |
Residential Accredit Loans, Inc., Series 2007-QS6-A102
|
5.75 | % |
04/25/2037
|
3,038,820 | |||||||
| 828,542 |
Residential Accredit Loans, Inc., Series 2007-QS6-A2
|
53.98 | % | #I/F |
04/25/2037
|
2,111,977 | ||||||
| 2,474,768 |
Residential Asset Securities Corporation, Series 2006-EMX2-A2
|
0.39 | % | # |
02/25/2036
|
2,410,056 | ||||||
| 4,883,392 |
Residential Asset Securities Corporation, Series 2006-EMX6-A3
|
0.34 | % | # |
07/25/2036
|
4,153,318 | ||||||
| 2,510,474 |
Residential Asset Securitization Trust, Series 2006-A6-1A12
|
6.91 | % |
#I/F I/O
|
07/25/2036
|
820,612 | ||||||
| 2,482,274 |
Residential Asset Securitization Trust, Series 2006-A6-1A9
|
6.00 | % |
07/25/2036
|
1,584,547 | |||||||
| 7,653,115 |
Residential Asset Securitization Trust, Series 2007-A2-1A2
|
6.00 | % |
04/25/2037
|
6,768,901 | |||||||
| 3,948,703 |
Residential Asset Securitization Trust, Series 2007-A7-A1
|
6.00 | % |
07/25/2037
|
3,123,051 | |||||||
| 2,345,569 |
Residential Asset Securitization Trust, Series 2007-A8-1A3
|
6.00 | % |
08/25/2037
|
2,036,423 | |||||||
| 5,145,335 |
Residential Funding Mortgage Securities Trust, Series 2006-S5-A9
|
6.00 | % |
06/25/2036
|
4,728,805 | |||||||
| 2,953,142 |
Residential Funding Mortgage Securities Trust, Series 2007-S2-A4
|
6.00 | % |
02/25/2037
|
2,688,713 | |||||||
| 3,550,955 |
Residential Funding Mortgage Securities Trust, Series 2007-S6-1A10
|
6.00 | % |
06/25/2037
|
3,200,414 | |||||||
| 3,804,072 |
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-1-2A2
|
2.77 | % | # |
02/25/2036
|
3,238,557 | ||||||
| 6,541,000 |
Structured Asset Securities Corporation, Series 2005-11H-A3
|
5.50 | % |
06/25/2035
|
5,412,233 | |||||||
| 6,639,629 |
Washington Mutual Mortgage Pass-Through Certificates, Series 2006-8-A4
|
6.00 | % | # |
10/25/2036
|
4,888,095 | ||||||
|
Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $180,299,127)
|
202,820,441 | |||||||||||
|
US Government / Agency Mortgage Backed Obligations - 53.4%
|
||||||||||||
| 2,487,034 |
Federal Home Loan Mortgage Corporation, Series 3211-SI
|
26.86 | % |
#I/F I/O
|
09/15/2036
|
1,651,390 | ||||||
| 5,178,070 |
Federal Home Loan Mortgage Corporation, Series 3236-ES
|
6.51 | % |
#I/F I/O
|
11/15/2036
|
833,800 | ||||||
| 3,568,123 |
Federal Home Loan Mortgage Corporation, Series 3256-S
|
6.50 | % |
#I/F I/O
|
12/15/2036
|
708,014 | ||||||
| 3,370,566 |
Federal Home Loan Mortgage Corporation, Series 3292-SD
|
5.91 | % |
#I/F I/O
|
03/15/2037
|
387,979 | ||||||
| 18,014,987 |
Federal Home Loan Mortgage Corporation, Series 3311-BI
|
6.57 | % |
#I/F I/O
|
05/15/2037
|
3,223,919 | ||||||
| 6,888,265 |
Federal Home Loan Mortgage Corporation, Series 3314-SH
|
6.21 | % |
#I/F I/O
|
11/15/2036
|
766,110 | ||||||
| 1,458,849 |
Federal Home Loan Mortgage Corporation, Series 3317-DS
|
14.52 | % | #I/F‡ |
05/15/2037
|
1,807,098 | ||||||
| 5,988,971 |
Federal Home Loan Mortgage Corporation, Series 3330-KS
|
6.36 | % |
#I/F I/O
|
06/15/2037
|
717,814 | ||||||
| 2,723,587 |
Federal Home Loan Mortgage Corporation, Series 3339-AI
|
6.36 | % |
#I/F I/O
|
07/15/2037
|
328,263 | ||||||
| 9,666,524 |
Federal Home Loan Mortgage Corporation, Series 3339-TI
|
5.95 | % |
#I/F I/O
|
07/15/2037
|
1,515,376 | ||||||
| 6,998,004 |
Federal Home Loan Mortgage Corporation, Series 3374-SD
|
6.26 | % |
#I/F I/O
|
10/15/2037
|
1,120,911 | ||||||
| 4,949,752 |
Federal Home Loan Mortgage Corporation, Series 3382-SU
|
6.11 | % |
#I/F I/O
|
11/15/2037
|
589,938 | ||||||
| 4,128,440 |
Federal Home Loan Mortgage Corporation, Series 3423-GS
|
5.46 | % |
#I/F I/O
|
03/15/2038
|
400,099 | ||||||
| 4,684,310 |
Federal Home Loan Mortgage Corporation, Series 3508-PS
|
6.46 | % |
#I/F I/O
|
02/15/2039
|
514,986 | ||||||
| 4,985,718 |
Federal Home Loan Mortgage Corporation, Series 3725-CS
|
5.81 | % |
#I/F I/O
|
05/15/2040
|
680,061 | ||||||
| 12,008,705 |
Federal Home Loan Mortgage Corporation, Series 3728-SV
|
4.26 | % |
#I/F I/O
|
09/15/2040
|
1,309,708 | ||||||
| 7,927,736 |
Federal Home Loan Mortgage Corporation, Series 3815-ST
|
5.66 | % |
#I/F I/O
|
02/15/2041
|
1,002,682 | ||||||
| 1,174,966 |
Federal Home Loan Mortgage Corporation, Series 3905-SC
|
21.78 | % | #I/F |
08/15/2041
|
1,917,370 | ||||||
| 6,210,802 |
Federal Home Loan Mortgage Corporation, Series 3924-SJ
|
5.81 | % |
#I/F I/O
|
09/15/2041
|
806,029 | ||||||
| 6,727,202 |
Federal Home Loan Mortgage Corporation, Series 3997-LZ
|
3.50 | % |
02/15/2042
|
6,747,690 | |||||||
| 7,382,813 |
Federal Home Loan Mortgage Corporation, Series 3998-AZ
|
4.00 | % | ‡ |
02/15/2042
|
7,661,836 | ||||||
| 3,009,275 |
Federal Home Loan Mortgage Corporation, Series 4011-S
|
7.19 | % | #I/F |
03/15/2042
|
3,031,499 | ||||||
| 7,285,191 |
Federal Home Loan Mortgage Corporation, Series 4057-ZA
|
4.00 | % | ‡ |
06/15/2042
|
7,394,057 | ||||||
| 8,541,391 |
Federal Home Loan Mortgage Corporation, Series 4064-SA
|
5.81 | % |
#I/F I/O
|
06/15/2042
|
1,820,211 | ||||||
| 6,223,704 |
Federal Home Loan Mortgage Corporation, Series 4084-TZ
|
4.00 | % | ‡ |
07/15/2042
|
6,379,035 | ||||||
| 17,000,000 |
Federal Home Loan Mortgage Corporation, Series 4217-CS
|
5.05 | % | #I/F |
06/15/2043
|
13,809,100 | ||||||
| 3,900,621 |
Federal National Mortgage Association, Series 2005-104-SI
|
6.51 | % |
#I/F I/O
|
12/25/2033
|
401,170 | ||||||
| 1,433,304 |
Federal National Mortgage Association, Series 2005-72-WS
|
6.56 | % |
#I/F I/O
|
08/25/2035
|
188,494 | ||||||
| 11,040,529 |
Federal National Mortgage Association, Series 2005-90-SP
|
6.56 | % |
#I/F I/O
|
09/25/2035
|
1,751,873 | ||||||
| 6,838,924 |
Federal National Mortgage Association, Series 2006-117-SQ
|
6.36 | % |
#I/F I/O
|
12/25/2036
|
824,909 | ||||||
| 3,753,210 |
Federal National Mortgage Association, Series 2006-119-HS
|
6.46 | % |
#I/F I/O
|
12/25/2036
|
502,992 | ||||||
| 9,570,770 |
Federal National Mortgage Association, Series 2007-15-BI
|
6.51 | % |
#I/F I/O
|
03/25/2037
|
1,577,582 | ||||||
| 6,820,671 |
Federal National Mortgage Association, Series 2007-20-S
|
6.55 | % |
#I/F I/O
|
03/25/2037
|
877,049 | ||||||
| 3,671,070 |
Federal National Mortgage Association, Series 2007-21-SD
|
6.29 | % |
#I/F I/O
|
03/25/2037
|
400,123 | ||||||
| 3,496,832 |
Federal National Mortgage Association, Series 2007-30-IE
|
6.55 | % |
#I/F I/O
|
04/25/2037
|
760,063 | ||||||
| 15,050,545 |
Federal National Mortgage Association, Series 2007-32-SA
|
5.91 | % |
#I/F I/O
|
04/25/2037
|
2,076,867 | ||||||
| 7,532,091 |
Federal National Mortgage Association, Series 2007-40-SA
|
5.91 | % |
#I/F I/O
|
05/25/2037
|
1,057,707 | ||||||
| 3,605,095 |
Federal National Mortgage Association, Series 2007-48-SE
|
5.91 | % |
#I/F I/O
|
05/25/2037
|
531,468 | ||||||
| 4,572,310 |
Federal National Mortgage Association, Series 2007-64-LI
|
6.37 | % |
#I/F I/O
|
07/25/2037
|
653,999 | ||||||
| 3,969,938 |
Federal National Mortgage Association, Series 2007-68-SA
|
6.46 | % |
#I/F I/O
|
07/25/2037
|
524,465 | ||||||
| 3,417,194 |
Federal National Mortgage Association, Series 2008-5-GS
|
6.06 | % |
#I/F I/O
|
02/25/2038
|
453,879 | ||||||
| 12,731,925 |
Federal National Mortgage Association, Series 2008-62-SD
|
5.86 | % |
#I/F I/O
|
07/25/2038
|
1,741,278 | ||||||
| 7,346,506 |
Federal National Mortgage Association, Series 2008-68-SB
|
5.91 | % |
#I/F I/O
|
08/25/2038
|
1,001,792 | ||||||
| 4,437,414 |
Federal National Mortgage Association, Series 2009-111-SE
|
6.06 | % |
#I/F I/O
|
01/25/2040
|
553,905 | ||||||
| 3,818,366 |
Federal National Mortgage Association, Series 2009-12-CI
|
6.41 | % |
#I/F I/O
|
03/25/2036
|
881,312 | ||||||
| 7,277,599 |
Federal National Mortgage Association, Series 2009-26-SM
|
6.16 | % |
#I/F I/O
|
08/25/2038
|
452,662 | ||||||
| 4,002,418 |
Federal National Mortgage Association, Series 2009-47-SA
|
5.91 | % |
#I/F I/O
|
07/25/2039
|
344,279 | ||||||
| 3,168,716 |
Federal National Mortgage Association, Series 2009-48-WS
|
5.76 | % |
#I/F I/O
|
07/25/2039
|
306,682 | ||||||
| 1,960,343 |
Federal National Mortgage Association, Series 2009-67-SA
|
4.96 | % |
#I/F I/O
|
07/25/2037
|
163,404 | ||||||
| 4,931,856 |
Federal National Mortgage Association, Series 2009-87-SA
|
5.81 | % |
#I/F I/O
|
11/25/2049
|
555,355 | ||||||
| 7,218,594 |
Federal National Mortgage Association, Series 2009-91-SD
|
5.96 | % |
#I/F I/O
|
11/25/2039
|
939,793 | ||||||
| 332,945 |
Federal National Mortgage Association, Series 2010-109-BS
|
52.87 | % | #I/F |
10/25/2040
|
1,149,518 | ||||||
| 2,829,977 |
Federal National Mortgage Association, Series 2010-115-SD
|
6.41 | % |
#I/F I/O
|
11/25/2039
|
335,525 | ||||||
| 5,745,866 |
Federal National Mortgage Association, Series 2010-11-SC
|
4.61 | % |
#I/F I/O
|
02/25/2040
|
442,847 | ||||||
| 12,404,671 |
Federal National Mortgage Association, Series 2010-150-MS
|
6.34 | % |
#I/F I/O
|
01/25/2041
|
1,761,616 | ||||||
| 6,850,973 |
Federal National Mortgage Association, Series 2010-15-SL
|
4.76 | % |
#I/F I/O
|
03/25/2040
|
544,315 | ||||||
| 3,891,751 |
Federal National Mortgage Association, Series 2010-19-AI
|
5.00 | % | I/O |
08/25/2037
|
92,882 | ||||||
| 3,141,877 |
Federal National Mortgage Association, Series 2010-19-SA
|
5.21 | % |
#I/F I/O
|
03/25/2050
|
291,518 | ||||||
| 5,664,301 |
Federal National Mortgage Association, Series 2010-31-SB
|
4.81 | % |
#I/F I/O
|
04/25/2040
|
611,899 | ||||||
| 7,981,853 |
Federal National Mortgage Association, Series 2010-39-SL
|
5.48 | % |
#I/F I/O
|
05/25/2040
|
1,039,853 | ||||||
| 6,970,170 |
Federal National Mortgage Association, Series 2010-40-EI
|
4.50 | % | I/O |
05/25/2024
|
373,438 | ||||||
| 5,563,252 |
Federal National Mortgage Association, Series 2010-8-US
|
4.61 | % |
#I/F I/O
|
02/25/2040
|
405,780 | ||||||
| 5,742,135 |
Federal National Mortgage Association, Series 2010-9-GS
|
4.56 | % |
#I/F I/O
|
02/25/2040
|
532,072 | ||||||
| 6,412,924 |
Federal National Mortgage Association, Series 2011-111-CZ
|
4.00 | % | ‡ |
11/25/2041
|
6,656,583 | ||||||
| 9,744,280 |
Federal National Mortgage Association, Series 2011-114-S
|
5.81 | % |
#I/F I/O
|
09/25/2039
|
1,243,911 | ||||||
| 3,798,361 |
Federal National Mortgage Association, Series 2011-146-US
|
6.73 | % | #I/F‡ |
01/25/2042
|
3,565,421 | ||||||
| 157,371 |
Federal National Mortgage Association, Series 2011-40-SA
|
9.52 | % | #I/F |
09/25/2040
|
167,593 | ||||||
| 2,840,466 |
Federal National Mortgage Association, Series 2011-55-BZ
|
3.50 | % | ‡ |
06/25/2041
|
2,782,415 | ||||||
| 5,147,699 |
Federal National Mortgage Association, Series 2011-58-SA
|
6.36 | % |
#I/F I/O
|
07/25/2041
|
886,566 | ||||||
| 7,484,890 |
Federal National Mortgage Association, Series 2011-5-PS
|
6.21 | % |
#I/F I/O
|
11/25/2040
|
756,189 | ||||||
| 7,382,813 |
Federal National Mortgage Association, Series 2012-15-PZ
|
4.00 | % |
03/25/2042
|
7,497,347 | |||||||
| 1,094,467 |
Federal National Mortgage Association, Series 2012-16-BS
|
42.06 | % | #I/F |
03/25/2042
|
1,441,387 | ||||||
| 4,218,751 |
Federal National Mortgage Association, Series 2012-22-AZ
|
4.00 | % | ‡ |
03/25/2042
|
4,244,325 | ||||||
| 7,454,982 |
Federal National Mortgage Association, Series 2012-29-SG
|
5.81 | % |
#I/F I/O
|
04/25/2042
|
766,482 | ||||||
| 1,582,934 |
Federal National Mortgage Association, Series 2012-55-SC
|
6.66 | % | #I/F‡ |
05/25/2042
|
1,601,851 | ||||||
| 2,484,112 |
Federal National Mortgage Association, Series 2012-82-SC
|
7.19 | % | #I/F‡ |
08/25/2042
|
2,412,511 | ||||||
| 8,643,989 |
Federal National Mortgage Association, Series 2013-17-MS
|
5.17 | % | #I/F‡ |
03/25/2043
|
7,412,040 | ||||||
| 4,159,040 |
Federal National Mortgage Association, Series 2013-18-BS
|
5.17 | % | #I/F‡ |
03/25/2043
|
3,723,027 | ||||||
| 2,912,952 |
Federal National Mortgage Association, Series 2013-41-SC
|
5.71 | % | #I/F‡ |
05/25/2043
|
2,469,821 | ||||||
| 5,968,030 |
Federal National Mortgage Association, Series 2013-51-SH
|
5.71 | % | #I/F‡ |
05/25/2033
|
5,500,302 | ||||||
| 15,000,000 |
Federal National Mortgage Association, Series 2013-55-KS
|
5.71 | % | #I/F‡ |
06/25/2043
|
13,487,782 | ||||||
| 9,241,694 |
Federal National Mortgage Association, Series 2013-66-MZ
|
3.00 | % |
07/25/2043
|
7,280,722 | |||||||
| 12,000,000 |
Federal National Mortgage Association, Series 2013-74-HZ
|
3.00 | % |
07/25/2043
|
9,369,480 | |||||||
| 2,163,098 |
Federal National Mortgage Association, Series 374-19
|
6.50 | % | I/O |
09/01/2036
|
361,717 | ||||||
| 4,093,402 |
Government National Mortgage Association, Series 2009-104-SD
|
6.16 | % |
#I/F I/O
|
11/16/2039
|
595,237 | ||||||
| 3,271,033 |
Government National Mortgage Association, Series 2010-98-IA
|
5.93 | % | # I/O |
03/20/2039
|
368,402 | ||||||
| 10,553,541 |
Government National Mortgage Association, Series 2011-56-BS
|
5.91 | % |
#I/F I/O
|
11/16/2036
|
1,238,058 | ||||||
| 13,014,479 |
Government National Mortgage Association, Series 2011-56-KS
|
5.91 | % |
#I/F I/O
|
08/16/2036
|
1,551,148 | ||||||
| 4,815,625 |
Government National Mortgage Association, Series 2011-69-SB
|
5.16 | % |
#I/F I/O
|
05/20/2041
|
601,110 | ||||||
| 7,794,308 |
Government National Mortgage Association, Series 2011-71-SG
|
5.21 | % |
#I/F I/O
|
05/20/2041
|
1,049,195 | ||||||
| 8,723,453 |
Government National Mortgage Association, Series 2011-72-AS
|
5.19 | % |
#I/F I/O
|
05/20/2041
|
1,152,404 | ||||||
| 10,253,525 |
Government National Mortgage Association, Series 2011-89-SA
|
5.26 | % |
#I/F I/O
|
06/20/2041
|
1,455,407 | ||||||
| 4,127,076 |
Government National Mortgage Association, Series 2012-34-LI
|
6.00 | % | #I/F I/O |
12/16/2039
|
822,160 | ||||||
|
Total US Government / Agency Mortgage Backed Obligations (Cost $200,281,757)
|
186,689,933 | |||||||||||
|
Short Term Investments - 0.6%
|
||||||||||||
| 2,291,609 |
Fidelity Institutional Government Portfolio
|
0.01 | % | ♦ | 2,291,609 | |||||||
|
Total Short Term Investments (Cost $2,291,609)
|
2,291,609 | |||||||||||
|
Total Investments - 115.4% (Cost $394,743,715)
|
403,696,902 | |||||||||||
|
Liabilities in Excess of Other Assets - (15.4)%
|
(54,020,574 | ) | ||||||||||
|
NET ASSETS - 100.0%
|
$ | 349,676,328 | ||||||||||
|
#
|
Variable rate security. Rate disclosed as of June 30, 2013.
|
|
^
|
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund's Board of Trustees. As of June 30, 2013, the value of these securities amounted to $45,504,568 or 13.0% of net assets.
|
|
I/O
|
Interest only security
|
|
I/F
|
Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates
|
|
♦
|
Seven-day yield as of June 30, 2013
|
|
@
|
Security pays interest at rates that represent residual cashflows available after more senior tranches have been paid. The interest rate disclosed reflects the estimated rate in effect as of June 30, 2013.
|
| ‡ | All or partial amount transferred for the benefit of the counterparty as collateral for reverse repurchase agreements. |
|
Reverse Repurchase Agreements
|
|||||||||||||||
|
Counterparty
|
Rate
|
Trade Date
|
Maturity Date
|
Principal
|
Principal & Interest
|
||||||||||
|
JP Morgan Securities LLC
|
0.85 | % |
5/29/2013
|
7/2/2013
|
$ | 14,691,000 | $ | 14,702,396 | |||||||
|
Bank of America Merrill Lynch
|
0.74 | % |
6/4/2013
|
7/2/2013
|
9,334,000 | 9,339,372 | |||||||||
|
JP Morgan Securities LLC
|
0.79 | % |
6/18/2013
|
7/18/2013
|
1,346,000 | 1,346,857 | |||||||||
|
Bank of America Merrill Lynch
|
0.75 | % |
6/27/2013
|
7/29/2013
|
16,840,000 | 16,850,876 | |||||||||
|
JP Morgan Securities LLC
|
0.85 | % |
6/27/2013
|
7/29/2013
|
13,561,000 | 13,570,871 | |||||||||
| $ | 55,772,000 | $ | 55,810,372 | ||||||||||||
|
The weighted average daily balance of reverse repurchase agreements outstanding during the reporting period ended June 30, 2013 was $9,625,527, at a weighted average interest rate of 0.80%. Total market value of underlying collateral (refer to the Schedule of Investments for positions transferred for the benefit of the counterparty as collateral) for open reverse repurchase agreements at June 30, 2013 was $74,441,682.
|
|||||||||||||||
|
The cost basis of investments for federal income tax purposes at June 30, 2013 was as follows+:
|
||||
|
Tax Cost of Investments
|
$ | 373,386,068 | ||
|
Gross Tax Unrealized Appreciation
|
48,709,723 | |||
|
Gross Tax Unrealized Depreciation
|
(18,398,889 | ) | ||
|
Net Tax Unrealized Appreciation (Depreciation)
|
$ | 30,310,834 | ||
| + |
Because tax adjustments are calculated annually, the above table reflects the tax adjustments outstanding at the Fund's previous fiscal year end. For the previous fiscal year's federal income tax information, please refer to the Notes to Financial Statements section in the Fund's most recent annual report.
|
||||
|
Summary of Fair Value Disclosure
|
|
June 30, 2013 (Unaudited)
|
|
Security Valuation. The Fund has adopted accounting principles generally accepted in the United States of America ("US GAAP") fair value accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion of changes in valuation techniques and related inputs during the period. These inputs are summarized in the three broad levels listed below:
|
|
Level 1—Unadjusted quoted market prices in active markets
|
|
Level 2—Quoted prices for identical or similar assets in markets that are not active, or inputs derived from observable market data
|
|
Level 3—Significant unobservable inputs (including the reporting entity's estimates and assumptions)
|
|
Assets and liabilities may be transferred between levels. The Fund uses end of period timing recognition to account for any transfers.
|
|
Market values for domestic and foreign fixed income securities are normally determined on the basis of valuations provided by independent pricing services. Vendors typically value such securities based on one or more inputs described in the following table which is not intended to be a complete list. The table provides examples of inputs that are commonly relevant for valuing particular classes of fixed income securities in which the Fund is authorized to invest. However, these classifications are not exclusive, and any of the inputs may be used to value any other class of fixed-income securities. Securities that use similar valuation techniques and inputs as described in the following table are categorized as Level 2 of the fair value hierarchy. To the extent the significant inputs are unobservable, the values generally would be categorized as Level 3.
|
|
Fixed-income class
|
Examples of Standard Inputs
|
|
|
All
|
Benchmark yields, transactions, bids, offers, quotations from dealers and trading systems, new issues, spreads and other relationships observed in the markets among comparable securities; and pricing models such as yield measures calculated using factors such as cash flows, financial or collateral performance and other reference data (collectively referred to as “standard inputs”)
|
|
|
Corporate bonds and notes; convertible securities
|
Standard inputs and underlying equity of the issuer
|
|
|
Bonds and notes of government and government agencies
|
Standard inputs and interest rate volatilities
|
|
|
Mortgage-backed; asset-backed obligations
(including collateralized loan obligations)
|
Standard inputs and cash flows, prepayment information, default rates, delinquency and loss assumptions, collateral characteristics, credit enhancements and specific deal information, trustee reports
|
|
Investments in registered open-end management investment companies will be valued based upon the net asset value ("NAV") of such investments and are categorized as Level 1 of the fair value hierarchy. Investments in private investment funds typically will be valued based upon the NAVs of such investments and are categorized as Level 2 of the fair value hierarchy. As of June 30, 2013, the Fund did not hold any investments in private investment funds.
|
|
Short-term investments having a maturity of 60 days or less are generally valued at amortized cost which approximates fair market value. These investments are categorized as Level 2 of the fair value hierarchy.
|
|
Certain securities may be fair valued in accordance with the fair valuation procedures approved by the Board of Trustees (the "Board"). The Valuation Committee is generally responsible for overseeing the day to day valuation processes and reports periodically to the Board. The Valuation Committee is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are deemed to be unreliable indicators of market value. As of June 30, 2013, the Fund did not hold securities fair valued by the Valuation Committee.
|
|
The following is a summary of the fair valuations according to the inputs used to value the Fund's investments as of June 30, 20131:
|
||||
|
Category
|
||||
|
Investments in Securities
|
||||
|
Level 1
|
||||
|
Money Market Funds
|
$ | 2,291,609 | ||
|
Total Level 1
|
2,291,609 | |||
|
Level 2
|
||||
|
US Government / Agency Mortgage Backed Obligations
|
186,689,933 | |||
|
Non-Agency Residential Collateralized Mortgage Obligations
|
173,218,923 | |||
|
Collateralized Loan Obligations
|
7,287,656 | |||
|
Non-Agency Commercial Mortgage Backed Obligations
|
4,607,263 | |||
|
Total Level 2
|
371,803,775 | |||
|
Level 3
|
||||
|
Non-Agency Residential Collateralized Mortgage Obligations
|
29,601,518 | |||
|
Total Level 3
|
29,601,518 | |||
|
Total
|
S | 403,696,902 | ||
|
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:
|
|||||||||
|
Balance as of 3/31/2013
|
Net Realized Gain (Loss)
|
Change in Net Unrealized Appreciation (Depreciation)
|
Net Accretion (Amortization)
|
Purchases
|
Sales 1
|
Transfers Into Level 3 2
|
Transfers Out of Level 3 2
|
Balance as of 6/30/2013
|
|
|
Investments in Securities
|
|||||||||
|
Non-Agency Residential Collateralized Mortgage Obligations
|
$ 25,222,705
|
$ 106,347
|
$ 4,486,915
|
$ 236,225
|
$ -
|
$ (450,674)
|
$ -
|
$ -
|
$ 29,601,518
|
|
Total
|
$ 25,222,705
|
$ 106,347
|
$ 4,486,915
|
$ 236,225
|
$ -
|
$ (450,674)
|
$ -
|
$ -
|
$ 29,601,518
|
|
1 Sales include all sales of securities, maturities, and paydowns.
|
|||||||||
|
2 Transfers between Level 2 and Level 3 were due to a change in observable and/or unobservable inputs.
|
|||||||||
|
The following is a summary of quantitative information about Level 3 Fair Value Measurements:
|
||||
|
Fair Value as of 6/30/2013 *
|
Valuation Techniques
|
Unobservable Input
|
Input Values
|
|
|
Non-Agency Residential Collateralized Mortgage Obligations
|
$ 29,601,518
|
Market Comparables, Discounted Cash Flow
|
Market Quotes
|
$77.91 - $100.61
|
|
* Level 3 securities typically are valued by pricing vendors. The appropriateness of fair values for these securities is monitored on an ongoing basis by the Adviser, which may include back testing, results of vendor due diligence, unchanged price review and consideration of market and/or sector events.
|
||||
|
(a)
|
The Registrant’s principal executive and principal financial officers have concluded that the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) (17 CFR 270.30a-3(c)) are effective as of a date within 90 days of the filing date of this Form N-Q based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(d)).
|
|
(b)
|
There were no changes in the Registrant's internal controls over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) (17 CFR 270.30a-3(d)) that occurred during the Registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
|