Pioneer Investments: Pioneer Bond Fund


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Pioneer Bond Fund

Monthly Portfolio Holdings as of 7/31/2014

Security Name Coupon Maturity Date Par / Shares Market Value($)
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 1.3562 11/20/2036 5,300,000 1,412,323
Digital Realty Trust LP, 5.875%, 2/1/20 5.875 02/01/2020 725,000 827,530
Bank of America Corp., 7.75%, 8/15/15 7.75 08/15/2015 1,100,000 1,215,667
FREMF Mortgage Trust 2010-K8, 5.238%, 9/25/43 (144A) 5.2382 09/25/2043 600,000 664,041
Fannie Mae, 4.5%, 8/12/14 4.5 08/12/2014 35,000,000 37,731,369
Fannie Mae, 6.0%, 2/1/32 6.0 02/01/2032 2,379,023 44,825
Government National Mortgage Association I, 6.0%, 5/15/17 6.0 05/15/2017 1,413,485 55,363
Government National Mortgage Association I, 5.5%, 10/15/35 5.5 10/15/2035 1,001,204 163,722
MASTR Adjustable Rate Mortgages Trust 2005-1, Floating Rate Note, 1/25/35 5.2429 01/25/2035 6,959,000 977,124
Chrysler Group LLC, Term Loan B, 5/24/17 3.5 05/24/2017 3,797,550 3,803,467
Federal Home Loan Mortgage Corp., 3.5%, 8/1/43 3.5 08/01/2043 4,521,618 4,516,018
Fannie Mae, 7.0%, 4/1/31 7.0 04/01/2031 2,160,818 13,821
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 9,171,532 469,638
Fannie Mae, 3.5%, 2/1/44 3.5 02/01/2044 18,215,601 18,385,644
Viacom, Inc., 5.25%, 4/1/44 5.25 04/01/2044 3,200,000 3,421,509
Senior Housing Properties Trust, 6.75%, 4/15/20 6.75 04/15/2020 2,865,000 3,344,879
Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43 2.1537 06/25/2043 24,278,000 853,765
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 0.935 11/25/2034 19,339,000 2,763,273
Wells Fargo & Co., 7.5% (Perpetual) 7.5   5,610 6,788,100
Federal Home Loan Mortgage Corp., 6.0%, 11/1/33 6.0 11/01/2033 1,151,218 36,126
Government National Mortgage Association I, 6.0%, 4/15/33 6.0 04/15/2033 1,000,000 33,354
Government National Mortgage Association I, 5.5%, 9/15/33 5.5 09/15/2033 3,636,072 249,371
New Jersey Transportation Trust Fund Authority, 5.5%, 6/15/41 5.5 06/15/2041 2,750,000 3,065,391
DBUBS 2011-LC3 Mortgage Trust, Floating Rate Note, 8/10/44 (144A) 5.5777 08/10/2044 1,900,000 2,138,627
JP Morgan Mortgage Trust 2013-1, Floating Rate Note, 3/25/43 (144A) 2.5 03/25/2043 6,600,000 5,075,291
Government National Mortgage Association I, 4.5%, 7/15/33 4.5 07/15/2033 633,571 130,403
City Center Trust 2011-CCHP, Floating Rate Note, 7/15/28 (144A) 4.65 07/15/2028 1,000,000 1,001,845
WaMu Mortgage Pass-Through Certificates Series 2003-AR6 Trust, Floating Rate Note, 6/25/33 2.4385 06/25/2033 47,783,250 2,405,376
Government National Mortgage Association I, 6.0%, 9/15/35 6.0 09/15/2035 5,000,000 1,097,741
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.7703 04/30/2018 1,950,000 1,960,316
CEMEX Espana SA, 9.875%, 4/30/19 (144A) 9.875 04/30/2019 3,328,000 3,810,433
Fannie Mae, 4.5%, 7/1/41 4.5 07/01/2041 750,000 467,070
Alexandria Real Estate Equities, Inc., 3.9%, 6/15/23 3.9 06/15/2023 1,093,000 1,089,832
Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33 2.6657 09/25/2033 11,000,000 669,755
Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A) 1.55 11/15/2017 1,326,000 1,333,729
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/17/31 (144A) 2.205 09/17/2031 2,500,000 2,500,000
Government National Mortgage Association I, 6.5%, 1/15/33 6.5 01/15/2033 263,074 6,570
The Bank of New York Mellon Corp., Floating Rate Note (Perpetual) 4.5 12/29/2049 1,250,000 1,159,531
Freeport-McMoRan, Inc., 3.875%, 3/15/23 3.875 03/15/2023 1,850,000 1,858,848
Fannie Mae, 4.5%, 2/1/41 4.5 02/01/2041 2,435,128 1,479,302
Fannie Mae, 4.0%, 1/1/42 4.0 01/01/2042 1,821,298 879,846
Kiowa Power Partners LLC, 5.737%, 3/30/21 (144A) 5.737 03/30/2021 2,105,000 2,095,042
Banc of America Mortgage 2005-H Trust, Floating Rate Note, 9/25/35 5.1082 09/25/2035 2,398,000 502,696
Spirit AeroSystems, Inc., Term Loan B, 9/30/20 3.25 09/30/2020 635,375 632,913
Federal Home Loan Mortgage Corp., 4.5%, 10/1/20 4.5 10/01/2020 6,000,000 566,549
Sequoia Mortgage Trust 2005-2, Floating Rate Note, 3/20/35 0.3762 03/20/2035 13,325,000 1,409,254
Truman Capital Mortgage Loan Trust, Floating Rate Note, 1/25/34 1.855 01/25/2034 765,000 754,304
Fannie Mae, 6.0%, 7/1/38 6.0 07/01/2038 974,925 93,068
Scotiabank Peru SAA, Floating Rate Note, 12/13/27 (144A) 4.5 12/13/2027 2,600,000 2,511,600
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 4.59 11/25/2034 3,907,000 435,542
Fannie Mae, 6.0%, 9/1/34 6.0 09/01/2034 352,132 23,271
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 1,082,000 1,140,964
Government National Mortgage Association I, 6.5%, 7/15/35 6.5 07/15/2035 666,356 75,495
Tronox Pigments BV, New Term Loan, 3/19/20 4.0 01/24/2017 772,669 773,715
Fannie Mae, 4.0%, 7/1/42 4.0 07/01/2042 624,000 469,623
Structured Asset Securities Corp Mortgage Loan Trust 2006-GEL4, Floating Rate Note, 10/25/36 (144A) 0.375 10/25/2036 5,952,000 2,464,651
U.S. Treasury Floating Rate Note, 0.099%, 7/31/16 0.099 07/31/2016 8,625,000 8,612,793
Kinder Morgan Energy Partners LP, 5.95%, 2/15/18 5.95 02/15/2018 3,250,000 3,768,791
Mellon Funding Corp., 5.5%, 11/15/18 5.5 11/15/2018 2,505,000 2,863,536
First Horizon Mortgage Pass-Through Trust 2005-AR1, Floating Rate Note, 4/25/35 2.5746 04/25/2035 2,113,000 458,604
U.S. Treasury Bonds, 5.375%, 2/15/31 5.375 02/15/2031 4,000,000 5,346,061
Fannie Mae, 6.5%, 6/1/31 6.5 06/01/2031 2,750,000 89,938
Aviation Capital Group Corp., 6.75%, 4/6/21 (144A) 6.75 04/06/2021 3,525,000 4,045,711
Export-Import Bank of Korea, 5.875%, 1/14/15 5.875 01/14/2015 625,000 641,002
Federal Home Loan Mortgage Corp., 5.0%, 10/1/38 5.0 10/01/2038 6,600,000 722,168
US Airways 2013-1 Class A Pass Through Trust, 3.95%, 5/15/27 3.95 11/15/2025 1,500,000 1,540,708
Fidelity National Financial, Inc., 5.5%, 9/1/22 5.5 09/01/2022 1,200,000 1,332,812
VOLT XXIII LLC, 3.625%, 11/25/53 (Step) 3.625 11/25/2053 1,050,000 1,019,084
Masco Corp., 7.125%, 3/15/20 7.125 03/15/2020 4,260,000 5,109,515
U.S. Treasury Bonds, 4.5%, 8/15/39 4.5 08/15/2039 9,068,000 11,276,708
Carlyle Holdings II Finance LLC, 5.625%, 3/30/43 (144A) 5.625 03/30/2043 5,930,000 6,817,135
Davita Healthcare Partners Inc 1st Lien Tl-B L + 2.75% 19jun21   06/19/2021 253,678 253,610
Countrywide Asset-Backed Certificates, Floating Rate Note, 12/25/34 1.205 12/25/2034 1,400,000 920,276
Fannie Mae, 4.5%, 5/1/41 4.5 05/01/2041 454,433 213,280
Government National Mortgage Association I, 4.5%, 8/15/41 4.5 08/15/2041 5,900,000 2,958,621
Blue Danube II, Ltd., Floating Rate Note, 5/23/16 (Cat Bond) (144A) 4.2734 05/23/2016 500,000 508,205
Home Equity Asset Trust 2005-7, Floating Rate Note, 1/25/36 0.535 01/25/2036 750,000 406,511
Intesa Sanpaolo S.p.A., 6.5%, 2/24/21 (144A) 6.5 02/24/2021 1,400,000 1,663,669
Piedmont Operating Partnership LP, 3.4%, 6/1/23 3.4 06/01/2023 2,550,000 2,423,172
Bear Stearns ARM Trust 2003-6, Floating Rate Note, 8/25/33 2.5839 08/25/2033 69,274,000 3,731,801
Fannie Mae, 8.0%, 2/1/29 8.0 02/01/2029 240,000 3,098
CubeSmart LP, 4.8%, 7/15/22 4.8 07/15/2022 730,000 782,091
HOA Funding LLC, 4.846%, 8/20/44 (144A) 4.846 08/20/2044 3,050,000 3,050,000
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2.58 09/15/2021 2,800,000 2,823,544
Massachusetts Health & Educational Facilities Authority, 5.5%, 11/15/36 5.5 11/15/2036 6,500,000 7,659,217
Government National Mortgage Association, 4.973%, 4/16/42 4.973 04/16/2042 375,000 312,669
Government National Mortgage Association I, 6.5%, 1/15/35 6.5 01/15/2035 62,679 6,386
General Electric Capital Corp., Floating Rate Note (Perpetual) 7.125 12/29/2049 1,800,000 2,122,388
Fannie Mae, 3.0%, 12/1/42 3.0 12/01/2042 2,352,529 2,099,392
Federal Home Loan Mortgage Corp., 6.5%, 7/1/32 6.5 07/01/2032 1,000,000 21,713
The PNC Financial Services Group, Inc., Floating Rate Note (Perpetual) 4.447 05/29/2049 6,273,000 6,317,814
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 0.8362 05/19/2035 79,912,853 4,588,419
Glencore Funding LLC, 4.125%, 5/30/23 (144A) 4.125 05/30/2023 1,175,000 1,180,487
Residential Asset Securitization Trust 2004-A9, 5.75%, 12/25/34 5.75 12/25/2034 3,690,000 1,605,478
Fannie Mae, 6.5%, 10/1/32 6.5 10/01/2032 2,811,012 140,055
Banc of America Alternative Loan Trust 2004-6, 5.0%, 7/25/19 5.0 07/25/2019 10,861,500 1,678,692
HCA, Inc., Tranche B-5 Term Loan, 3/31/17 2.905 03/31/2017 1,780,161 1,783,491
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 4.25 04/25/2034 8,370,000 399,708
Government National Mortgage Association I, 4.5%, 10/15/33 4.5 10/15/2033 2,103,237 530,391
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 1.505 06/25/2033 2,336,716 1,483,497
Government National Mortgage Association I, 6.0%, 8/15/32 6.0 08/15/2032 300,000 13,549
Springleaf Mortgage Loan Trust, Floating Rate Note, 6/25/58 (144A) 3.79 06/25/2058 750,000 758,271
La Hipotecaria Panamanian Mortgage Trust 2014-1, Floating Rate Note, 11/24/42 (144A) 3.508 11/24/2042 4,250,000 4,399,578
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 8.7804 06/06/2015 725,000 764,158
Government National Mortgage Association I, 6.5%, 4/15/35 6.5 04/15/2035 517,486 85,850
Fannie Mae, 5.0%, 1/1/20 5.0 01/01/2020 4,159,304 439,977
CKE Restaurant Holdings, Inc., 4.474%, 3/20/43 (144A) 4.474 03/20/2043 3,924,000 3,943,553
FPL Energy American Wind LLC, 6.639%, 6/20/23 (144A) 6.639 06/20/2023 2,520,000 643,875
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 0.855 03/25/2035 5,700,000 908,679
The Bank of New York Mellon Corp., 4.95%, 3/15/15 4.95 03/15/2015 2,000,000 2,093,104
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 3,475,000 199,678
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 2.7257 01/15/2017 1,500,000 1,525,781
Federal Home Loan Mortgage Corp., 5.5%, 9/1/33 5.5 09/01/2033 5,200,000 467,795
Nordea Bank AB, 4.25%, 9/21/22 (144A) 4.25 09/21/2022 4,500,000 4,732,935
Astoria Financial Corp., 5.0%, 6/19/17 5.0 06/19/2017 2,300,000 2,497,440
Citicorp Residential Mortgage Trust Series 2006-2, 5.775%, 9/25/36 (Step) 5.775 09/25/2036 600,000 332,777
Federal Home Loan Mortgage Corp., 6.5%, 8/1/31 6.5 08/01/2031 192,020 1,477
Fannie Mae, 4.0%, 12/1/41 4.0 12/01/2041 5,950,000 3,006,507
Government National Mortgage Association I, 6.0%, 1/15/19 6.0 01/15/2019 548,488 36,727
Prestige Auto Receivables Trust 2011-1, 3.9%, 7/16/18 (144A) 3.9 07/16/2018 800,000 589,398
Aquarius + Investments Plc for Swiss Reinsurance Co, Ltd., Floating Rate Note, 9/1/24 6.375 09/01/2024 1,800,000 2,015,438
Government National Mortgage Association I, 6.5%, 10/15/32 6.5 10/15/2032 6,591,983 128,980
Fannie Mae, 3.5%, 12/1/42 3.5 12/01/2042 1,000,000 944,229
Government National Mortgage Association I, 5.5%, 12/15/18 5.5 12/15/2018 406,708 44,006
Federal Home Loan Mortgage Corp., 6.0%, 9/1/33 6.0 09/01/2033 3,396,240 241,964
Government National Mortgage Association I, 6.5%, 5/15/32 6.5 05/15/2032 1,000,000 14,564
Fannie Mae, 4.5%, 1/1/42 4.5 01/01/2042 11,834,581 10,258,455
Legg Mason, Inc., 5.625%, 1/15/44 5.625 01/15/2044 4,290,000 4,710,128
Tradewynd Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 6.2703 01/08/2015 250,000 250,470
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 10.0304 06/06/2016 275,000 304,743
Mystic Re, Ltd., Floating Rate Note, 3/12/15 (Cat Bond) (144A) 9.0203 03/12/2015 650,000 666,348
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 1.6 06/19/2031 600,000 600,738
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 0.7762 09/20/2033 27,000,000 1,293,092
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 2.1 05/19/2031 1,800,000 1,800,072
Government National Mortgage Association I, 5.0%, 10/15/18 5.0 10/15/2018 3,153,375 180,943
Government National Mortgage Association I, 6.5%, 7/15/35 6.5 07/15/2035 3,323,439 106,225
JPMorgan Chase & Co., Floating Rate Note (Perpetual) 5.15 12/29/2049 2,325,000 2,228,454
Impac CMB Trust Series 2004-5, Floating Rate Note, 10/25/34 0.875 10/25/2034 9,913,800 593,844
Government National Mortgage Association I, 6.0%, 6/15/17 6.0 06/15/2017 519,853 8,540
JP Morgan Mortgage Trust 2014-2, Floating Rate Note, 6/25/29 (144A) 3.0 06/25/2029 10,055,000 10,220,912
Fannie Mae, 6.0%, 2/1/35 6.0 02/01/2035 180,000 21,043
Bowdoin College, 4.693%, 7/1/12 4.693   1,000,000 935,171
Government National Mortgage Association I, 7.0%, 4/15/28 7.0 04/15/2028 266,017 2,895
Government National Mortgage Association I, 6.5%, 11/15/31 6.5 11/15/2031 100,000 8,569
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 11/25/34 0.955 11/25/2034 75,831,301 2,084,543
Government National Mortgage Association I, 4.5%, 4/15/35 4.5 04/15/2035 1,999,800 322,606
Canadian Natural Resources, Ltd., 6.5%, 2/15/37 6.5 02/15/2037 2,230,000 2,868,278
Federal Home Loan Mortgage Corp., 6.0%, 5/1/34 6.0 05/01/2034 1,440,424 260,973
Dartmouth Zero% 31dec14 0.0 12/31/2014 1,700,000 1,646,110
Halliburton Co., 7.6%, 8/15/96 (144A) 7.6   1,300,000 1,993,954
Irwin Whole Loan Home Equity Trust 2005-C, Floating Rate Note, 3/25/25 0.855 03/25/2025 800,000 336,257
Telefonica Emisiones SAU, 6.221%, 7/3/17 6.221 07/03/2017 2,750,000 3,108,720
Sequoia Mortgage Trust 2013-6, Floating Rate Note, 5/25/43 3.0 05/25/2043 2,300,000 2,027,450
HLSS Servicer Advance Receivables Trust, 3.96%, 10/15/45 (144A) 3.96 10/15/2045 224,000 228,068
Federal Home Loan Mortgage Corp., 5.5%, 11/1/34 5.5 11/01/2034 550,000 45,519
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A) 9.03 03/16/2016 250,000 267,738
Alternative Loan Trust 2005-J4, Floating Rate Note, 7/25/35 0.595 07/25/2035 5,426,539 5,262,347
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 9.0304 06/06/2015 1,125,000 1,177,650
Pride International, Inc., 6.875%, 8/15/20 6.875 08/15/2020 1,025,000 1,265,204
Tasc Inc/Va 1st Lien Tl-B L + 5.5% 12may20 6.5 05/12/2020 647,771 634,816
Federal Home Loan Mortgage Corp., 5.0%, 11/1/34 5.0 11/01/2034 250,000 30,380
Fannie Mae, 6.0%, 10/1/35 6.0 10/01/2035 7,125,770 200,178
GTP Towers Issuer LLC, 4.436%, 2/15/15 (144A) 4.436 02/15/2015 3,950,000 4,026,466
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 2.35 10/25/2035 1,049,340 275,564
Fifth Third Bancorp, Floating Rate Note (Perpetual) 6.625 12/31/2049 22,050 593,366
Nationstar Mortgage Loan Trust 2013-A, Floating Rate Note, 12/25/52 (144A) 3.75 12/25/2052 1,100,000 948,729
Government National Mortgage Association I, 6.0%, 4/15/33 6.0 04/15/2033 2,000,000 64,551
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 3.5 08/16/2020 1,414,313 1,416,080
Federal Home Loan Mortgage Corp., 6.0%, 6/1/35 6.0 06/01/2035 3,778,102 163,240
Hyundai Motor Manufacturing Czech sro, 4.5%, 4/15/15 (144A) 4.5 04/15/2015 655,000 679,226
Oxford Finance Funding Trust 2012-1, 3.9%, 3/15/17 (144A) 3.9 03/15/2017 750,000 87,461
FREMF Mortgage Trust 2012-K710, 3.819%, 6/25/47 (144A) 3.8185 06/25/2047 858,000 888,430
BM&FBovespa SA, 5.5%, 7/16/20 (144A) 5.5 07/16/2020 3,200,000 3,471,333
Government National Mortgage Association I, 6.0%, 9/15/33 6.0 09/15/2033 500,663 28,103
Pilot Travel Centers LLC, Refinancing Tranche B Term Loan, 3/30/18 3.75 03/30/2018 1,427,912 1,432,660
Tiers Trust, Floating Rate Note, 10/15/97 (144A) 0.0   1,250,000 944,870
Fannie Mae, 7.5%, 8/1/20 7.5 08/01/2020 250,000 1,070
Wells Fargo Bank NA, 6.0%, 11/15/17 6.0 11/15/2017 3,540,000 4,078,475
Credit-Based Asset Servicing and Securitization LLC, 5.57315%, 10/25/36 (Step) (144A) 5.4997 10/25/2036 700,000 687,978
STORE Master Funding LLC, 5.77%, 8/20/42 (144A) 5.77 08/20/2042 2,095,000 2,226,136
Government National Mortgage Association I, 5.5%, 10/15/35 5.5 10/15/2035 2,002,398 343,325
NYU Hospitals Center, 4.428%, 7/1/42 4.428 07/01/2042 2,400,000 2,289,242
Thornburg Mortgage Securities Trust 2004-3, Floating Rate Note, 9/25/44 0.895 09/25/2044 32,426,000 3,141,753
Crockett Cogeneration LP, 5.869%, 3/30/25 (144A) 5.869 03/30/2025 1,010,000 636,453
Government National Mortgage Association II, 6.5%, 2/20/29 6.5 02/20/2029 210,000 3,726
CVS Pass-Through Trust, 5.773%, 1/10/33 (144A) 5.773 01/10/2033 1,555,000 1,587,095
Government National Mortgage Association I, 6.0%, 5/15/17 6.0 05/15/2017 1,900,000 52,229
California Educational Facilities Authority, 5.0%, 6/1/43 5.0 06/01/2043 1,980,000 2,537,179
New York State Electric & Gas Corp., 6.15%, 12/15/17 (144A) 6.15 12/15/2017 5,055,000 5,751,363
Port Authority of New York & New Jersey, 4.458%, 10/1/62 4.458 10/01/2062 600,000 620,478
Federal National Mortgage Association REMICS, 5.0%, 7/25/33 5.0 07/25/2033 5,000,000 1,161,050
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 4.0 07/09/2018 1,500,000 1,515,083
Blackstone Holdings Finance Co LLC, 5.0%, 6/15/44 (144A) 5.0 06/15/2044 1,725,000 1,833,969
HSBC Bank USA NA New York NY, 6.0%, 8/9/17 6.0 08/09/2017 3,350,000 3,854,087
Fannie Mae, 4.0%, 8/12/14 4.0 08/12/2014 30,000,000 31,578,034
Verizon Communications, Inc., 6.55%, 9/15/43 6.55 09/15/2043 3,460,000 4,430,860
Banc of America Alternative Loan Trust 2004-2, 6.0%, 3/25/34 6.0 03/25/2034 6,010,000 1,592,335
Domino's Pizza Master Issuer LLC, 5.216%, 1/25/42 (144A) 5.216 01/25/2042 4,051,000 4,174,627
Federal Home Loan Mortgage Corp., 4.0%, 5/1/44 4.0 05/01/2044 9,000,000 9,418,133
The Hanover Insurance Group, Inc., 7.5%, 3/1/20 7.5 03/01/2020 700,000 853,458
Bear Stearns ALT-A Trust 2005-1, Floating Rate Note, 1/25/35 0.715 01/25/2035 12,790,000 1,065,120
Fannie Mae, 6.0%, 9/1/29 6.0 09/01/2029 124,691 2,030
Government National Mortgage Association I, 7.0%, 12/15/30 7.0 12/15/2030 500,000 5,456
Federal Home Loan Mortgage Corp., 6.0%, 4/1/35 6.0 04/01/2035 2,582,414 69,842
Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36 0.645 06/25/2036 1,949,000 1,136,655
Citigroup, Inc., Floating Rate Note (Perpetual) 5.95 12/29/2049 2,000,000 1,994,331
Fannie Mae, 6.0%, 10/1/34 6.0 10/01/2034 389,152 30,599
Fannie Mae, 8.0%, 4/1/20 8.0 04/01/2020 215,000 1,938
Fannie Mae, 5.5%, 9/1/17 5.5 09/01/2017 3,705,000 89,226
Banc of America Mortgage Trust 2004-11, 5.75%, 1/25/35 5.75 01/25/2035 11,116,000 1,154,240
Weatherford International, Ltd. Bermuda, 9.625%, 3/1/19 9.625 03/01/2019 2,815,000 3,769,232
U.S. Treasury Bonds, 4.375%, 2/15/38 4.375 02/15/2038 4,650,000 5,660,045
Citigroup, Inc., Floating Rate Note (Perpetual) 7.125   197,000 5,380,070
Morgan Stanley Capital I, Inc., Floating Rate Note, 10/15/20 (144A) 0.282 10/15/2020 5,102,000 5,087,960
Fannie Mae, 4.5%, 7/1/41 4.5 07/01/2041 5,000,000 2,624,502
FREMF Mortgage Trust 2012-K501, 3.486%, 11/25/46 (144A) 3.4859 11/25/2046 650,000 669,882
Bear Stearns Commercial Mortgage Securities Trust 2002-TOP6, Floating Rate Note, 10/15/36 (144A) 7.6585 10/15/2036 1,600,000 115,945
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 5.2855 03/07/2016 1,250,000 1,262,651
Federal Home Loan Mortgage Corp., 6.5%, 1/1/31 6.5 01/01/2031 66,916 200
PPL Capital Funding, Inc., 5.9%, 4/30/73 5.9 04/30/2073 164,000 3,890,080
Morgan Stanley Capital I Trust 2007-HQ13, 5.569%, 12/15/44 5.569 12/15/2044 1,000,000 1,076,367
DCT Industrial Operating Partnership LP, 4.5%, 10/15/23 4.5 10/15/2023 1,475,000 1,525,464
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 0.322 04/15/2022 1,682,691 892,136
Government National Mortgage Association I, 5.5%, 11/15/19 5.5 11/15/2019 2,683,028 435,287
Government National Mortgage Association I, 7.0%, 8/15/31 7.0 08/15/2031 17,500,000 227,446
Aegis Asset Backed Securities Trust 2005-5, Floating Rate Note, 12/25/35 0.425 12/25/2035 5,250,000 1,387,987
Alternative Loan Trust 2003-21T1, 5.75%, 12/25/33 5.75 12/25/2033 4,205,000 1,829,416
Government National Mortgage Association I, 6.0%, 5/15/33 6.0 05/15/2033 4,328,221 236,387
Government National Mortgage Association I, 7.0%, 8/15/28 7.0 08/15/2028 200,000 2,432
Federal Home Loan Mortgage Corp., 6.5%, 8/1/31 6.5 08/01/2031 1,070,805 5,048
Federal Home Loan Mortgage Corp., 7.0%, 9/1/22 7.0 09/01/2022 1,775,260 305,241
Assurant, Inc., 4.0%, 3/15/23 4.0 03/15/2023 3,900,000 3,971,312
GS Mortgage Securities Trust 2006-GG8 REMICS, 5.56%, 11/10/39 5.56 11/10/2039 900,000 975,097
Fannie Mae, 6.0%, 3/1/33 6.0 03/01/2033 3,500,000 160,098
Fannie Mae, 5.0%, 7/1/40 5.0 07/01/2040 5,000,000 2,498,955
DAE Aviation Holdings, Inc., Replacement Tranche B-1 Loan, 11/2/18 5.0 11/02/2018 1,344,309 1,356,918
Banc of America Alternative Loan Trust 2004-12, 5.5%, 1/25/20 5.5 01/25/2020 6,780,000 838,678
SCE Trust III, Floating Rate Note (Perpetual) 5.75 12/31/2049 167,900 4,346,931
JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8, Floating Rate Note, 10/17/45 (144A) 3.9767 10/15/2045 900,000 926,182
RALI Series 2004-QS13 Trust, 5.0%, 9/25/19 5.0 09/25/2019 18,375,000 2,286,725
Federal Home Loan Mortgage Corp., 5.5%, 11/1/34 5.5 11/01/2034 1,900,000 235,161
Leaf Receivables Funding 8 LLC, 1.92%, 9/15/20 (144A) 1.92 09/15/2020 2,203,000 2,211,533
Prudential Financial, Inc., Floating Rate Note, 6/15/43 5.625 06/15/2043 1,500,000 1,615,781
Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 6.0 12/01/2033 635,770 42,947
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 8.0304 06/06/2016 800,000 874,516
Federal Home Loan Mortgage Corp., 6.5%, 1/1/33 6.5 01/01/2033 39,165 545
Government National Mortgage Association I, 5.5%, 1/15/35 5.5 01/15/2035 2,222,000 246,534
Fannie Mae, 5.0%, 4/1/39 5.0 04/01/2039 2,924,816 441,234
The Allstate Corp., Floating Rate Note, 1/15/53 5.1 01/15/2053 147,475 3,679,501
Aeroflex, Inc., Tranche B-1 Term Loan, 11/9/19 4.5 11/24/2019 3,048,411 3,060,477
Fannie Mae, 5.0%, 2/1/41 5.0 02/01/2041 17,669,429 7,656,136
Banc of America Alternative Loan Trust 2004-4, 5.25%, 5/25/34 5.25 05/25/2034 5,500,000 704,433
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 1.3055 05/07/2024 400,000 403,424
Citicorp Residential Mortgage Trust Series 2006-3, 5.703%, 11/25/36 (Step) 5.703 11/25/2036 3,850,000 2,214,841
Ras Laffan Liquefied Natural Gas Co, Ltd. III, 5.832%, 9/30/16 (144A) 5.832 09/30/2016 1,605,000 777,174
Marathon Oil Corp., 5.9%, 3/15/18 5.9 03/15/2018 901,000 1,044,693
Government National Mortgage Association II, 4.5%, 9/20/41 4.5 09/20/2041 5,800,000 3,184,921
Valmont Industries, Inc., 6.625%, 4/20/20 6.625 04/20/2020 1,810,000 2,170,155
PNC Bank NA, 6.0%, 12/7/17 6.0 12/07/2017 1,435,000 1,648,387
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 0.355 12/25/2036 4,900,000 1,169,988
Interactive Data 1st Lien Tl-B L + 3.75% 24apr21 4.75 04/24/2021 750,547 754,535
Federal Home Loan Mortgage Corp., 7.0%, 8/1/22 7.0 08/01/2022 687,553 117,551
Government National Mortgage Association I, 7.0%, 7/15/31 7.0 07/15/2031 536,209 6,267
Government National Mortgage Association I, 6.5%, 6/15/34 6.5 06/15/2034 1,330,499 203,616
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 0.505 06/25/2034 24,782,615 2,311,216
Government National Mortgage Association, Floating Rate Note, 3/16/53 1.0276 03/16/2053 8,300,000 586,295
JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2, 3.6159%, 11/15/43 (144A) 3.6159 11/15/2043 1,600,000 1,698,596
Fannie Mae, 4.0%, 4/1/42 4.0 04/01/2042 2,200,000 1,183,543
CoBank ACB, 7.875%, 4/16/18 (144A) 7.875 04/16/2018 1,190,000 1,436,215
Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A) 2.38 03/20/2029 4,692,000 1,566,124
Bayview Opportunity Master Fund Trust, Floating Rate Note, 1/28/33 (144A) 2.9814 01/28/2033 1,000,000 377,848
General Electric Capital Corp., 5.3%, 2/11/21 5.3 02/11/2021 4,860,000 5,664,723
Capital One Bank USA NA, 8.8%, 7/15/19 8.8 07/15/2019 1,465,000 1,889,847
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 0.425 04/25/2032 19,275,000 1,966,692
Government National Mortgage Association I, 6.0%, 12/15/32 6.0 12/15/2032 1,500,000 237,926
Mohawk Industries, Inc., 3.85%, 2/1/23 3.85 02/01/2023 800,000 815,400
Parish of St John the Baptist Louisiana, 5.125%, 6/1/37 5.125 06/01/2037 2,560,000 2,708,331
Australia & New Zealand Banking Group, Ltd., 4.5%, 3/19/24 (144A) 4.5 03/19/2024 1,865,000 1,934,829
Government National Mortgage Association I, 6.5%, 8/15/32 6.5 08/15/2032 2,400,000 39,986
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.855 01/25/2035 14,000,000 1,881,171
Government National Mortgage Association, 5.25%, 8/16/35 5.25 08/16/2035 450,000 802,722
Government National Mortgage Association I, 6.0%, 3/15/17 6.0 03/15/2017 2,000,000 46,811
FREMF Mortgage Trust 2010-K9 REMICS, 5.192%, 9/25/45 (144A) 5.3609 09/25/2045 890,000 982,834
Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A) 1.87 08/20/2029 750,000 295,514
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 0.596 10/25/2030 5,000,000 462,057
EnLink Midstream Partners LP, 4.4%, 4/1/24 4.4 04/01/2024 1,340,000 1,422,413
Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34 0.895 11/25/2034 32,667,000 2,276,083
Federal Home Loan Mortgage Corp., 4.162%, 9/26/44 (144A) 4.3042 09/25/2044 1,250,000 1,296,534
Loma Reinsurance, Ltd. Bermuda, Floating Rate Note, 1/8/18 (Cat Bond) (144A) 9.7625 01/08/2018 250,000 256,575
Citigroup, Inc., Floating Rate Note (Perpetual) 5.9 12/31/2049 2,000,000 2,042,293
Delphi Financial Group, Inc., Floating Rate Note, 5/15/37 7.376 05/15/2037 153,800 3,820,976
Government National Mortgage Association I, 5.5%, 4/15/19 5.5 04/15/2019 25,000 2,527
Lear Corp., 11/9/14   11/09/2014 247 46,632
Fannie Mae, 3.0%, 8/1/42 3.0 08/01/2042 24,375,000 22,477,993
Government National Mortgage Association I, 6.0%, 11/15/34 6.0 11/15/2034 3,188,149 225,476
Government National Mortgage Association I, 5.0%, 7/15/19 5.0 07/15/2019 1,587,453 191,737
KLA-Tencor Corp., 6.9%, 5/1/18 6.9 05/01/2018 3,100,000 3,660,620
The Goldman Sachs Group, Inc., 5.5%, 11/15/14 5.5 11/15/2014 2,000,000 2,052,064
Federal Home Loan Mortgage Corp., 5.0%, 9/1/38 5.0 09/01/2038 7,240,000 758,207
Government National Mortgage Association I, 6.5%, 7/15/32 6.5 07/15/2032 5,169,128 54,879
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/25/29 (144A) 1.3534 08/25/2029 2,951,282 2,081,163
Federal Home Loan Mortgage Corp., 6.0%, 5/1/34 6.0 05/01/2034 7,192,224 841,486
U.S. Treasury Bonds, 4.25%, 5/15/39 4.25 05/15/2039 7,620,000 9,045,955
Government National Mortgage Association I, 7.0%, 9/15/31 7.0 09/15/2031 2,202,152 15,804
Masco Corp., 5.95%, 3/15/22 5.95 03/15/2022 825,000 932,232
WP Carey, Inc., 4.6%, 4/1/24 4.6 04/01/2024 1,715,000 1,797,021
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-5, Floating Rate Note, 1 0.405 12/25/2035 3,650,000 443,846
LeasePlan Corp NV, 2.5%, 5/16/18 (144A) 2.5 05/16/2018 1,475,000 1,496,133
Fannie Mae, 3.0%, 8/18/14 3.0 08/18/2014 3,900,000 4,026,181
Fannie Mae, 5.0%, 5/1/23 5.0 05/01/2023 4,380,644 689,256
Government National Mortgage Association I, 7.0%, 4/15/29 7.0 04/15/2029 1,014,372 27,072
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 8.5152 05/09/2016 300,000 312,095
Fannie Mae, 4.5%, 1/1/42 4.5 01/01/2042 23,783,862 13,139,950
Alterra Finance LLC, 6.25%, 9/30/20 6.25 09/30/2020 3,000,000 3,523,767
Goldcorp, Inc., 3.7%, 3/15/23 3.7 03/15/2023 1,650,000 1,644,800
Government National Mortgage Association I, 4.5%, 9/15/33 4.5 09/15/2033 2,256,215 355,705
Federal Home Loan Mortgage Corp., 4.0%, 2/1/44 4.0 02/01/2044 700,000 733,083
Government National Mortgage Association I, 7.0%, 11/15/28 7.0 11/15/2028 2,367,683 30,312
Fannie Mae, 8.0%, 4/1/30 8.0 04/01/2030 150,000 799
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 9.2804 06/06/2017 250,000 263,922
Fannie Mae, 5.5%, 5/1/36 5.5 05/01/2036 4,000,000 503,623
WideOpenWest Finance LLC, Term B Loan, 4/1/19 4.75 03/27/2019 161,107 161,850
Federal Home Loan Mortgage Corp., 6.0%, 1/1/33 6.0 01/01/2033 1,890,000 91,353
Fannie Mae, 5.0%, 2/1/20 5.0 02/01/2020 700,000 77,941
Government National Mortgage Association I, 5.5%, 10/15/33 5.5 10/15/2033 1,509,492 132,294
Government National Mortgage Association, Floating Rate Note, 8/16/52 1.0623 08/16/2052 14,000,000 891,294
Fannie Mae, 6.0%, 2/1/35 6.0 02/01/2035 62,166 8,283
Fannie Mae, 4.0%, 1/1/44 4.0 01/01/2044 273,906 283,807
Prudential Financial, Inc., Floating Rate Note, 9/15/42 5.875 09/15/2042 1,800,000 1,988,450
A10 Securitization 2013-1 LLC, 2.4%, 11/15/25 (144A) 2.4 11/15/2025 1,750,000 1,261,234
Government National Mortgage Association I, 6.5%, 3/15/29 6.5 03/15/2029 5,001,628 101,179
Massachusetts Health & Educational Facilities Authority, 6.0%, 7/1/36 6.0 07/01/2036 1,000,000 1,184,120
Bayview Commercial Asset Trust, 3.526662%, 9/25/37 (Step) (144A) 3.5267 09/25/2037 13,200,000 467,706
Bayview Financial Mortgage Pass-Through Trust 2006-A, 5.865%, 2/28/41 (Step) 5.865 02/28/2041 1,462,628 1,496,111
GTP Acquisition Partners I LLC, 4.347%, 6/15/16 (144A) 4.347 06/15/2016 3,355,000 3,437,110
Fannie Mae, 6.0%, 4/1/35 6.0 04/01/2035 4,000,000 393,359
Government National Mortgage Association I, 4.5%, 3/15/35 4.5 03/15/2035 784,949 46,917
U.S. Treasury Notes, 2.75%, 2/15/24 2.75 02/15/2024 6,000,000 6,188,619
Selma Industrial Development Board, 5.8%, 5/1/34 5.8 05/01/2034 2,310,000 2,599,605
Fannie Mae, 6.5%, 7/1/34 6.5 07/01/2034 1,095,000 52,986
Government National Mortgage Association I, 6.0%, 10/15/33 6.0 10/15/2033 2,000,000 77,818
First Franklin Mortgage Loan Trust 2004-FF10, Floating Rate Note, 9/25/34 1.235 09/25/2034 1,792,033 57,933
Federal National Mortgage Association, 5.0%, 8/1/40 5.0 08/01/2040 3,000,000 1,725,761
WaMu Mortgage Pass-Through Certificates Series 2005-AR3 Trust, Floating Rate Note, 3/25/35 2.4079 03/25/2035 8,713,500 2,046,328
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 0.905 12/25/2034 5,642,356 584,168
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/26/35 0.89 02/25/2035 810,000 215,111
Wells Fargo Commercial Mortgage Trust 2012-LC5 REMICS, 3.539%, 10/17/45 3.539 10/15/2045 1,927,000 1,957,023
Bosphorus 1 Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 2.5304 05/03/2016 350,000 350,334
Hospitality Properties Trust, 5.0%, 8/15/22 5.0 08/15/2022 1,930,000 2,081,394
Federal Mogul 1st Lien Tl-C L + 3.75% 15apr21 4.75 04/15/2021 1,433,078 1,434,153
Fannie Mae, 6.0%, 1/1/29 6.0 01/01/2029 60,204 1,300
Colbun SA, 4.5%, 7/10/24 (144A) 4.5 07/10/2024 4,300,000 4,285,823
Government National Mortgage Association I, 6.5%, 6/15/35 6.5 06/15/2035 190,431 7,954
CF Industries, Inc., 5.15%, 3/15/34 5.15 03/15/2034 4,845,000 5,237,061
U.S. Treasury Bonds, 4.5%, 5/15/38 4.5 05/15/2038 8,435,000 10,364,566
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 3.0 03/27/2024 1,550,000 1,427,671
Wells Fargo Mortgage Backed Securities 2006-16 Trust, 5.0%, 11/25/36 5.0 11/25/2036 4,500,000 272,811
Fannie Mae, 6.0%, 8/1/34 6.0 08/01/2034 3,757,089 279,858
The Williams Companies, Inc., 7.75%, 6/15/31 7.75 06/15/2031 2,475,000 2,983,545
FREMF Mortgage Trust 2011-K702, 4.77%, 4/25/44 (144A) 4.7704 04/25/2044 1,750,000 1,881,602
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 0.555 09/25/2035 4,700,000 2,029,600
Government National Mortgage Association II, 6.5%, 4/20/29 6.5 04/20/2029 2,900,000 49,882
Chesapeake Funding LLC, Floating Rate Note, 3/4/26 1.3555 03/04/2026 400,000 400,376
Government National Mortgage Association I, 6.5%, 4/15/32 6.5 04/15/2032 235,320 17,884
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 9.0325 01/08/2015 300,000 303,210
BWAY Holding Co., Initial Term Loan, 8/6/17 4.5 08/06/2017 418,625 420,326
Government National Mortgage Association I, 6.0%, 11/15/31 6.0 11/15/2031 1,614,291 61,516
Fannie Mae, 7.0%, 9/1/31 7.0 09/01/2031 2,000,000 11,046
Texas Competitive Electric Holdings Co LLC, DIP Delayed Draw Term Loan (2014), 5/5/16 3.75 05/05/2016 1,285,660 1,292,691
Federal Home Loan Mortgage Corp., 6.5%, 6/1/32 6.5 06/01/2032 39,022 319
Santander Drive Auto Receivables Trust 2011-2, 2.66%, 1/15/16 2.66 01/15/2016 1,350,000 25,911
Embarcadero Reinsurance, Ltd., Floating Rate Note, 8/7/15 (Cat Bond) (144A) 5.0 08/07/2015 650,000 670,150
Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 6.0 12/01/2033 3,297,768 141,141
JP Morgan Mortgage Trust 2004-S1, 5.0%, 9/25/34 5.0 09/25/2034 15,340,288 1,006,313
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 1.47 05/15/2018 1,250,000 428,915
Structured Asset Securities Corp Trust 2005-14, Floating Rate Note, 7/25/35 0.455 07/25/2035 6,935,000 778,160
Delphi Financial Group, Inc., 7.875%, 1/31/20 7.875 01/31/2020 1,850,000 2,297,805
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 0.755 06/25/2034 34,555,000 2,960,696
Successor X, Ltd., Floating Rate Note, 11/10/15 (Cat Bond) (144A) 11.2652 11/10/2015 250,000 264,928
Government National Mortgage Association I, 6.5%, 4/15/31 6.5 04/15/2031 8,257,522 126,331
Williams Partners LP, 4.3%, 3/4/24 4.3 03/04/2024 3,605,000 3,798,316
Fannie Mae, 5.5%, 3/1/25 5.5 03/01/2025 2,500,000 331,933
Cincinnati Bell, Inc., 8.375%, 10/15/20 8.375 10/15/2020 469,000 520,430
Massachusetts Development Finance Agency, 5.375%, 4/1/41 5.375 04/01/2041 550,000 612,280
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 7.5175 04/09/2015 500,000 508,425
Mid-State Capital Trust 2010-1, 5.25%, 12/15/45 (144A) 5.25 12/15/2045 950,000 765,822
Fannie Mae, 5.5%, 6/1/36 5.5 06/01/2036 6,000,000 473,490
Ginnie Mae I pool, 4.5%, 9/15/39 4.5 09/15/2039 8,000,000 8,689,250
Fannie Mae, 8.0%, 10/1/30 8.0 10/01/2030 155,531 822
SNAAC Auto Receivables Trust 2013-1, 1.14%, 7/16/18 (144A) 1.14 07/16/2018 2,100,000 570,987
TimberStar Trust 1 REMICS, 5.668%, 10/15/36 (144A) 5.668 10/15/2036 4,470,000 4,861,632
Monsanto Co., 3.375%, 7/15/24 3.375 07/15/2024 2,675,000 2,683,326
Government National Mortgage Association I, 6.0%, 9/15/34 6.0 09/15/2034 1,315,000 141,897
Prudential Financial, Inc., Floating Rate Note, 6/15/68 8.875 06/15/2038 2,140,000 2,635,068
Alternative Loan Trust 2003-14T1, Floating Rate Note, 8/25/18 0.605 08/25/2018 11,900,000 512,302
WaMu Mortgage Pass-Through Certificates Series 2004-AR14 Trust, Floating Rate Note, 1/25/35 2.3967 01/25/2035 15,238,744 3,374,765
Valeant Pharmaceuticals International, Inc., Series C-2 Tranche B Term Loan, 12/11/19 3.75 12/11/2019 532,996 533,129
Federal Home Loan Mortgage Corp., 4.5%, 3/1/42 4.5 03/01/2042 22,167,426 9,895,416
Government National Mortgage Association I, 6.5%, 6/15/32 6.5 06/15/2032 1,561,662 26,412
Fannie Mae, 4.5%, 10/1/35 4.5 10/01/2035 3,754,694 372,553
LB-UBS Commercial Mortgage Trust 2005-C2 REMICS, Floating Rate Note, 4/15/30 5.205 04/15/2030 2,255,000 2,319,706
Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37 0.305 03/25/2037 550,000 358,538
Fannie Mae, 5.0%, 8/12/14 5.0 08/12/2014 30,000,000 33,130,208
GLP Capital LP, 4.375%, 11/1/18 4.375 11/01/2018 1,010,000 1,036,197
American Honda Finance Corp., 1.2%, 7/14/17 1.2 07/14/2017 5,985,000 5,973,690
New Residential Mortgage Loan Trust 2014-1, Floating Rate Note, 1/25/54 (144A) 3.75 01/25/2054 1,900,000 1,908,689
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 2.63 12/25/2034 3,200,000 884,379
Fannie Mae, 3.5%, 12/1/42 3.5 12/01/2042 1,015,373 853,141
Alexandria Real Estate Equities, Inc., 4.6%, 4/1/22 4.6 04/01/2022 2,670,000 2,851,903
Fannie Mae, 5.0%, 6/1/40 5.0 06/01/2040 3,004,062 1,521,953
Fannie Mae, 6.5%, 4/1/31 6.5 04/01/2031 500,000 3,871
Fannie Mae, 7.0%, 7/1/21 7.0 07/01/2021 500,000 6,384
Morgan Stanley Capital I, Inc., Floating Rate Note, 10/15/20 (144A) 0.252 10/15/2020 2,000,000 643,116
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 6/25/33 5.5 06/25/2033 1,000,000 243,426
Wells Fargo Commercial Mortgage Trust, 3.349%, 11/15/43 (144A) 3.349 11/15/2043 3,900,000 3,053,837
Microsemi Corp., Term Loan (2014), 3/14/21 3.25 03/14/2021 395,014 393,533
SunGard Data Systems, Inc., Tranche C Term Loan, 2/28/17 3.9055 02/28/2017 953,650 957,226
Sunoco Logistics Partners Operations LP, 4.25%, 4/1/24 4.25 04/01/2024 1,500,000 1,549,330
La Hipotecaria Panamanian Mortgage Trust 2010-1, Floating Rate Note, 9/8/39 (144A) 2.75 09/08/2039 750,000 552,069
Pinnacle Entertainment, Inc., Tranche B-2 Term Loan, 8/13/20 3.75 08/05/2020 866,277 869,071
Fannie Mae, 5.0%, 6/1/40 5.0 06/01/2040 3,850,000 1,529,413
Countrywide Asset-Backed Certificates, Floating Rate Note, 2/25/36 5.069 02/25/2036 10,124,000 1,978,772
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 2/15/38 5.014 02/15/2038 2,155,000 1,777,123
Fannie Mae, 4.5%, 11/1/43 4.5 11/01/2043 800,000 838,700
JP Morgan Mortgage Trust 2013-2, Floating Rate Note, 5/25/43 (144A) 3.5 05/25/2043 2,101,900 1,853,842
SBP DPR Finance Co., Floating Rate Note, 3/15/17 (144A) 2.9806 03/15/2017 2,000,000 1,160,057
Queen Street VI Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 10.581 04/09/2015 250,000 257,494
Israel Electric Corp, Ltd., 7.25%, 1/15/19 (144A) 7.25 01/15/2019 1,925,000 2,171,828
Government National Mortgage Association, 3.0%, 4/20/41 3.0 04/20/2041 2,000,000 1,808,480
Government National Mortgage Association I, 5.5%, 8/15/19 5.5 08/15/2019 4,380,618 315,775
Government National Mortgage Association II, 5.5%, 3/20/34 5.5 03/20/2034 3,000,000 378,377
Huntsman International LLC, Extended Term B Loan, 4/19/17 2.6964 04/19/2017 254,694 254,344
Government National Mortgage Association I, 6.5%, 12/15/32 6.5 12/15/2032 25,822,328 635,641
Banc of America Mortgage Trust 2004-9, 5.5%, 11/25/34 5.5 11/25/2034 2,350,000 1,178,877
Fannie Mae, 7.0%, 12/1/30 7.0 12/01/2030 499,950 883
Corporate Office Properties LP, 3.6%, 5/15/23 3.6 05/15/2023 1,500,000 1,447,313
Federal Home Loan Mortgage Corp., 5.0%, 12/1/21 5.0 12/01/2021 450,000 41,815
Fannie Mae, 6.0%, 9/1/34 6.0 09/01/2034 408,807 46,509
Fannie Mae, 8.0%, 3/1/31 8.0 03/01/2031 1,495,060 11,550
Pangaea Zero% 01jul18 0.0 07/01/2018 2,000,000 2,037,200
Spirit Master Funding LLC, 5.74%, 3/20/42 (144A) 5.74 03/20/2042 268,008 297,032
Government National Mortgage Association I, 6.5%, 2/15/34 6.5 02/15/2034 733,600 106,416
Alternative Loan Trust 2003-J1, 4.75%, 10/25/33 4.75 10/25/2033 9,200,000 455,563
Teachers Insurance & Annuity Association of America, 6.85%, 12/16/39 (144A) 6.85 12/16/2039 3,205,000 4,274,808
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 3.0836 07/15/2023 750,000 740,731
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 0.402 06/15/2033 3,840,084 2,239,470
Federal National Mortgage Association REMICS, 10.3%, 4/25/19 10.3 04/25/2019 1,000,000 4,563
Worthington Industries, Inc., 4.55%, 4/15/26 4.55 04/15/2026 3,135,000 3,302,109
Government National Mortgage Association I, 6.0%, 3/15/32 6.0 03/15/2032 80,300 3,262
Springleaf Funding Trust 2014-A, 2.41%, 12/25/22 (144A) 2.41 12/25/2022 1,200,000 1,198,677
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 5.25 04/25/2032 3,090,877 988,360
Government National Mortgage Association I, 5.5%, 7/15/34 5.5 07/15/2034 6,580,000 717,011
Sanders Re, Ltd., Floating Rate Note, 5/25/18 (Cat Bond)   05/25/2018 800,000 791,520
Fannie Mae, 6.5%, 3/1/32 6.5 03/01/2032 3,500,000 94,550
Government National Mortgage Association I, 6.5%, 5/15/29 6.5 05/15/2029 6,774,704 121,442
Government National Mortgage Association I, 7.5%, 10/15/29 7.5 10/15/2029 514,502 7,151
NCR Corp., 4.625%, 2/15/21 4.625 02/15/2021 2,100,000 2,113,285
Government National Mortgage Association I, 6.5%, 11/15/32 6.5 11/15/2032 3,929,947 100,248
Panoche Energy Center LLC, 6.885%, 7/31/29 (144A) 6.885 07/31/2029 2,610,000 2,620,115
Government National Mortgage Association II, 7.0%, 11/20/28 7.0 11/20/2028 10,000,000 116,966
Federal Home Loan Mortgage Corp., 4.0%, 1/1/44 4.0 01/01/2044 4,260,000 4,311,114
Government National Mortgage Association I, 6.0%, 6/15/33 6.0 06/15/2033 368,522 17,248
Enel S.p.A., Floating Rate Note, 9/24/73 (144A) 8.75 09/24/2073 2,320,000 2,809,214
Fannie Mae, 5.5%, 7/1/33 5.5 07/01/2033 3,800,000 194,520
Louisiana Local Government Environmental Facilities & Community Development Authority, 6.5%, 11/1/35 6.5 11/01/2035 2,350,000 2,735,941
Global SC Finance II SRL, 4.11%, 7/19/27 (144A) 4.11 07/19/2027 1,000,000 802,114
Protective Life Corp., 7.375%, 10/15/19 7.375 10/15/2019 4,250,000 5,338,103
Government National Mortgage Association I, 5.0%, 4/15/34 5.0 04/15/2034 1,504,329 181,167
Newfield Exploration Co., 5.625%, 7/1/24 5.625 07/01/2024 1,400,000 1,518,563
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 6.8855 04/07/2017 1,350,000 1,400,596
Wilton Re Finance LLC, Floating Rate Note, 3/30/33 (144A) 5.875 03/30/2033 1,400,000 1,487,145
Government National Mortgage Association I, 5.0%, 4/15/35 5.0 04/15/2035 2,500,000 679,175
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 8.5262 01/05/2017 500,000 531,339
Commonwealth Edison Co., 6.15%, 9/15/17 6.15 09/15/2017 980,000 1,141,287
Sequoia Mortgage Trust 2013-9, 3.5%, 7/25/43 (144A) 3.5 07/25/2043 2,190,000 2,067,314
COMM 2012-CCRE2 Mortgage Trust, 3.147%, 8/15/45 3.147 08/15/2045 850,000 857,605
UBS AG, 7.625%, 8/17/22 7.625 08/17/2022 700,000 856,579
Federal Home Loan Mortgage Corp., 6.0%, 6/1/35 6.0 06/01/2035 3,600,000 146,381
Standard Aero, Ltd., Replacement Tranche B-2 Loan, 11/2/18 5.0 11/02/2018 609,421 613,040
Government National Mortgage Association II, 5.5%, 4/20/34 5.5 04/20/2034 2,500,000 348,519
Amherst College, 3.794%, 11/1/42 3.794 11/01/2042 525,000 486,550
Fannie Mae, 6.5%, 2/1/32 6.5 02/01/2032 1,000,100 8,866
Federal Home Loan Mortgage Corp., 6.5%, 11/1/33 6.5 11/01/2033 1,109,301 171,534
Fannie Mae, 4.0%, 6/1/42 4.0 06/01/2042 3,678,905 1,533,038
Government National Mortgage Association I, 5.5%, 10/15/17 5.5 10/15/2017 2,400,000 58,528
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 3.9669 08/25/2053 1,450,000 1,412,421
RESI Finance LP, Floating Rate Note, 9/10/35 (144A) 1.5525 09/10/2035 2,500,000 495,606
Fannie Mae, 3.5%, 8/18/14 3.5 08/18/2014 3,800,000 4,011,065
Federal Home Loan Mortgage Corp., 6.0%, 1/1/34 6.0 01/01/2034 3,744,314 98,500
Bank of Tokyo-Mitsubishi UFJ, Ltd. New York NY, 0.1%, 8/5/14 0.1 08/05/2014 4,335,000 4,334,994
State Street Corp., Floating Rate Note, 12/31/73 5.9 12/31/2073 54,200 1,396,734
NBTY, Inc., Term B-2 Loan, 10/1/17 3.5 10/01/2017 861,429 861,321
JPMorgan Chase & Co., Floating Rate Note, 8/29/49 6.75 08/29/2049 4,015,000 4,428,294
Agilent Technologies, Inc., 6.5%, 11/1/17 6.5 11/01/2017 5,366,000 6,231,348
Fannie Mae, 6.0%, 8/1/32 6.0 08/01/2032 315,000 8,057
Fannie Mae, 4.0%, 4/1/42 4.0 04/01/2042 1,100,000 796,182
Bayview Commercial Asset Trust, 0.0%, 7/25/37 (Step) (144A) 0.0 07/25/2037 21,000,000 0
RALI Series 2004-QS3 Trust, 5.0%, 3/25/19 5.0 03/25/2019 13,042,000 1,313,634
Fannie Mae, 6.0%, 10/1/32 6.0 10/01/2032 4,502,006 105,630
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 0.5962 10/20/2017 1,659,000 1,662,831
Cantor Fitzgerald LP, 7.875%, 10/15/19 (144A) 7.875 10/15/2019 2,980,000 3,361,999
JP Morgan Mortgage Trust 2005-A4, Floating Rate Note, 7/25/35 2.2054 07/25/2035 2,200,000 347,790
Government National Mortgage Association II, 7.0%, 12/20/30 7.0 12/20/2030 400,864 3,557
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 3,594,840 309,791
Altair Re, Floating Rate Note, 4/30/16 (Cat Bond) 0.0 04/30/2016 420,899 525,871
Federal Home Loan Mortgage Corp., 6.0%, 5/1/17 6.0 05/01/2017 7,876,244 84,278
Mondelez International, Inc., 6.5%, 2/9/40 6.5 02/09/2040 2,581,000 3,382,941
Silverton RE, Ltd., 0.0%, 9/16/16 (Cat Bond) (144A) 0.0 09/16/2016 250,000 291,450
New York City Transitional Finance Authority Future Tax Secured Revenue, 5.0%, 11/1/33 5.0 11/01/2033 2,400,000 2,767,368
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 1.256 12/05/2031 1,100,000 1,100,417
Fannie Mae, 4.0%, 2/1/42 4.0 02/01/2042 24,300,000 13,646,184
Federal Home Loan Mortgage Corp., 3.5%, 11/1/28 3.5 11/01/2028 2,200,200 2,218,331
Kane Flt% 12jun15   06/12/2015 1,600,000 1,429,600
US Bancorp, Floating Rate Note (Perpetual) 6.0   235,000 6,422,550
Citicorp Residential Mortgage Trust Series 2006-1, 5.939%, 7/25/36 (Step) 5.939 07/25/2036 2,791,000 2,057,711
LB-UBS Commercial Mortgage Trust 2005-C2, Floating Rate Note, 4/15/30 5.15 04/15/2030 1,000,000 1,023,548
Permanent University Fund, 5.0%, 7/1/30 5.0 07/01/2030 800,000 960,389
Fannie Mae, 4.5%, 11/1/43 4.5 11/01/2043 430,000 464,414
Wells Fargo Mortgage Backed Securities 2003-L Trust, Floating Rate Note, 11/25/33 2.5455 11/25/2033 3,100,000 256,572
Sequoia Mortgage Trust 2004-9, Floating Rate Note, 10/20/34 0.4962 10/20/2034 9,485,000 1,031,275
HSBC Holdings Plc, 4.25%, 3/14/24 4.25 03/14/2024 3,940,000 4,078,975
TimberStar Trust 1, 5.7467%, 10/15/36 (144A) 5.7467 10/15/2036 1,435,000 1,559,997
American Credit Acceptance Receivables Trust 2012-2, 4.05%, 2/15/18 (144A) 4.05 02/15/2018 428,000 435,367
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 3.25 12/19/2020 1,251,863 1,251,456
Fannie Mae, 4.5%, 11/1/20 4.5 11/01/2020 6,500,000 573,773
DCP Midstream Operating LP, 5.6%, 4/1/44 5.6 04/01/2044 2,125,000 2,381,527
Israel Electric Corp, Ltd., 9.375%, 1/28/20 (144A) 9.375 01/28/2020 610,000 759,164
Tufts University, 5.017%, 4/15/12 5.017   3,550,000 3,652,759
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 0.6043 04/28/2039 1,486,142 1,466,925
GMAC Commercial Mortgage Securities Inc Series 2004-C3 Trust, 4.864%, 12/10/41 4.864 12/10/2041 3,375,000 3,408,964
COMM 2012-CCRE4 Mortgage Trust, 2.436%, 10/17/45 2.436 10/15/2045 915,000 906,244
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 2.49 02/25/2034 11,243,500 1,007,448
President and Fellows of Harvard College, 6.3%, 10/1/37 6.3 10/01/2037 3,095,000 3,450,247
Fannie Mae, 4.5%, 5/1/41 4.5 05/01/2041 17,795,568 5,363,154
Cincinnati Bell, Inc., Tranche B Term Loan, 9/10/20 4.0 08/20/2020 1,940,338 1,938,721
Fannie Mae, 6.5%, 10/1/31 6.5 10/01/2031 1,000,100 14,514
Banc of America Mortgage Trust 2004-7, 4.5%, 8/25/19 4.5 08/25/2019 1,241,000 100,132
Fannie Mae, 4.0%, 7/1/18 4.0 07/01/2018 675,000 44,422
Fannie Mae, 4.5%, 7/1/41 4.5 07/01/2041 5,000,000 2,981,719
Fannie Mae, 4.0%, 5/1/44 4.0 05/01/2044 3,800,000 3,991,053
Catalent 1st Lien Tl-B L + 3.5% 08may21 4.5 05/08/2021 899,887 904,738
Government National Mortgage Association I, 6.5%, 10/15/31 6.5 10/15/2031 3,015,231 58,229
Intesa Sanpaolo S.p.A., 3.625%, 8/12/15 (144A) 3.625 08/12/2015 3,476,000 3,610,856
AngloGold Ashanti Holdings Plc, 5.375%, 4/15/20 5.375 04/15/2020 2,335,000 2,422,057
Massachusetts Health & Educational Facilities Authority, 5.5%, 7/1/32 5.5 07/01/2032 1,425,000 1,898,946
Universal Health Services, Inc., Tranche B-1 Term Loan, 11/15/16 2.402 11/30/2016 704,687 706,009
LSTAR Commercial Mortgage Trust, Floating Rate Note, 6/25/43 (144A) 5.2645 06/25/2043 1,395,000 1,421,575
Fannie Mae, 6.5%, 1/1/31 6.5 01/01/2031 1,000,000 4,276
Government National Mortgage Association I, 6.0%, 9/15/19 6.0 09/15/2019 1,829,714 128,272
Federal Home Loan Mortgage Corp., 4.5%, 3/1/42 4.5 03/01/2042 4,169,408 4,077,671
Government National Mortgage Association I, 6.5%, 10/15/33 6.5 10/15/2033 32,450 3,368
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 6.2336 04/10/2015 250,000 254,343
Fannie Mae, 6.5%, 2/1/33 6.5 02/01/2033 2,000,000 31,564
North American Development Bank, 2.3%, 10/10/18 2.3 10/10/2018 643,000 653,798
GSR Mortgage Loan Trust 2004-7, Floating Rate Note, 6/25/34 2.6667 06/25/2034 14,810,263 1,889,296
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 3,044,810 190,186
Nissan Motor Acceptance Corp., 4.5%, 1/30/15 (144A) 4.5 01/30/2015 790,000 805,215
Fannie Mae, 6.5%, 9/1/31 6.5 09/01/2031 2,000,200 12,910
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 8.6152 04/08/2016 900,000 933,960
Fannie Mae, 6.0%, 9/1/32 6.0 09/01/2032 65,856 1,043
Government National Mortgage Association I, 4.5%, 7/15/41 4.5 07/15/2041 1,442,000 928,395
GTP Cellular Sites LLC, 3.721%, 3/15/17 (144A) 3.721 03/15/2017 800,000 811,314
Massachusetts Development Finance Agency, 5.0%, 10/15/40 5.0 10/15/2040 1,200,000 1,392,867
NSG Holdings LLC, New Term Loan, 12/11/19 3.75 11/15/2019 784,624 785,604
Government National Mortgage Association I, 6.0%, 10/15/36 6.0 10/15/2036 3,000,000 202,430
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 3.0 01/23/2021 670,166 669,259
Federal Home Loan Mortgage Corp., 6.0%, 12/1/36 6.0 12/01/2036 860,000 84,479
JPMorgan Chase & Co., Floating Rate Note, 12/29/49 6.125 12/29/2049 1,890,000 1,963,690
Government National Mortgage Association I, 6.0%, 2/15/33 6.0 02/15/2033 1,254,640 59,865
Tyco Electronics Group SA, 6.55%, 10/1/17 6.55 10/01/2017 2,950,000 3,454,637
Banc of America Alternative Loan Trust 2003-2, 5.75%, 4/25/33 5.75 04/25/2033 6,525,000 743,525
Ormat Funding Corp., 8.25%, 12/30/20 8.25 12/30/2020 555,000 287,032
Federal Home Loan Mortgage Corp., 5.5%, 12/1/18 5.5 12/01/2018 2,500,000 350,925
JobsOhio Beverage System, 4.532%, 1/1/35 4.532 01/01/2035 1,035,000 1,078,839
Government National Mortgage Association I, 6.5%, 5/15/33 6.5 05/15/2033 1,672,708 62,372
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 4.568 01/15/2031 1,700,000 212,245
QBE Insurance Group, Ltd., 2.4%, 5/1/18 (144A) 2.4 05/01/2018 1,100,000 1,101,253
Federal Home Loan Mortgage Corp., 5.0%, 10/1/20 5.0 10/01/2020 9,000,000 1,456,996
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 4,256,655 222,524
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 3.5203 05/05/2017 1,200,000 1,199,297
WASH Multifamily Laundry Systems LLC, U.S. Term Loan, 2/21/19 4.5 01/22/2019 160,388 160,588
COMM 2012-CCRE2 Mortgage Trust REMICS, 3.791%, 8/17/45 3.791 08/15/2045 450,000 464,303
Origen Manufactured Housing Contract Trust 2004-A, Floating Rate Note, 1/15/35 5.91 01/15/2035 1,400,000 635,985
Government National Mortgage Association I, 6.5%, 1/15/34 6.5 01/15/2034 1,311,303 36,895
JP Morgan Mortgage Trust 2004-A5, Floating Rate Note, 12/25/34 2.2769 12/25/2034 1,450,000 1,151,801
Crown Castle Towers LLC, 4.883%, 8/15/20 (144A) 4.883 08/15/2020 3,015,000 3,341,863
Irwin Home Equity Loan Trust 2005-1, 5.32%, 6/25/35 (Step) 5.32 06/25/2035 4,350,000 704,451
GATX Corp., 5.2%, 3/15/44 5.2 03/15/2044 2,260,000 2,466,608
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 2.0911 11/17/2026 4,000,000 3,629,441
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.5203 04/30/2018 350,000 349,151
Fannie Mae, 5.5%, 3/1/36 5.5 03/01/2036 5,005,809 600,964
Government National Mortgage Association I, 5.5%, 2/15/35 5.5 02/15/2035 500,000 75,832
Government National Mortgage Association I, 7.0%, 3/15/31 7.0 03/15/2031 1,750,000 20,946
Intel Corp., 2.95%, 12/15/35 2.95 12/15/2035 3,375,000 4,328,503
HCA, Inc., Tranche B-4 Term Loan, 5/1/18 2.9841 05/01/2018 742,291 742,365
Government National Mortgage Association, Floating Rate Note, 2/16/53 1.0154 02/16/2053 12,000,000 891,499
Texas Transportation Commission State Highway Fund, 5.0%, 4/1/33 5.0 04/01/2033 1,000,000 1,179,588
Fannie Mae, 3.0%, 9/1/42 3.0 09/01/2042 7,819,203 6,995,498
Federal Home Loan Mortgage Corp., 6.5%, 5/1/31 6.5 05/01/2031 1,043,809 12,480
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/25/33 1.505 12/25/2033 5,231,000 267,548
Queen Street V Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 8.5175 04/09/2015 250,000 255,379
Highwoods Realty LP, 3.625%, 1/15/23 3.625 01/15/2023 2,100,000 2,070,151
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 1,500,000 1,581,742
Government National Mortgage Association I, 6.0%, 9/15/28 6.0 09/15/2028 12,973,600 425,107
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 11/25/33 2.5766 11/25/2033 9,200,000 518,587
Federal Home Loan Mortgage Corp., 4.5%, 3/1/20 4.5 03/01/2020 4,000,000 314,651
Fannie Mae, 6.0%, 2/1/33 6.0 02/01/2033 2,200,000 28,734
Port Freeport Texas, 5.95%, 5/15/33 5.95 05/15/2033 3,965,000 4,379,585
WF-RBS Commercial Mortgage Trust 2011-C2, Floating Rate Note, 2/15/44 (144A) 5.392 02/15/2044 350,000 386,777
Banc of America Alternative Loan Trust 2004-10, 5.5%, 11/25/19 5.5 11/25/2019 5,500,000 814,858
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 5.46 11/15/2035 484,000 432,640
Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 6.0 12/01/2033 2,000,000 182,355
American Credit Acceptance Receivables Trust, 1.64%, 11/15/16 (144A) 1.64 11/15/2016 2,350,000 510,716
BB&T Corp., 5.625% (Perpetual) 5.625   85,000 2,002,600
Federal Home Loan Mortgage Corp., 6.5%, 4/1/34 6.5 04/01/2034 299,956 4,569
MASTR Alternative Loan Trust 2004-10, 5.5%, 10/25/19 5.5 10/25/2019 10,100,000 890,147
Government National Mortgage Association I, 4.5%, 3/15/35 4.5 03/15/2035 1,722,219 184,822
Fannie Mae, 6.5%, 7/1/29 6.5 07/01/2029 500,000 10,841
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 1.18 08/15/2017 2,126,000 743,016
COMM 2012-LC4 Mortgage Trust, 4.063%, 12/10/44 4.063 12/10/2044 4,000,000 4,218,415
Government National Mortgage Association I, 7.0%, 5/15/32 7.0 05/15/2032 5,500,000 111,469
Burger King Corp., Tranche B Term Loan (2012), 9/28/19 3.75 09/28/2019 481,425 483,597
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 6.5 08/15/2030 2,083,000 1,214,032
Enel Finance International NV, 5.125%, 10/7/19 (144A) 5.125 10/07/2019 3,365,000 3,818,428
Fannie Mae, 6.0%, 1/1/32 6.0 01/01/2032 183,200 6,363
Cisco Systems, Inc., 3.625%, 3/4/24 3.625 03/04/2024 3,485,000 3,614,558
Fannie Mae, 4.5%, 4/1/41 4.5 04/01/2041 6,978,836 3,723,428
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.435 11/25/2035 17,591,000 3,072,371
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 2.6902 10/25/2033 7,000,000 842,627
Fannie Mae, 5.0%, 10/1/20 5.0 10/01/2020 4,036,945 584,415
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 0.307 05/15/2047 1,100,000 461,282
Ohio Higher Educational Facility Commission, 5.0%, 1/1/42 5.0 01/01/2042 1,765,000 1,934,275
Springleaf Mortgage Loan Trust 2012-2, Floating Rate Note, 10/25/57 (144A) 2.22 10/25/2057 3,200,000 1,762,796
Merna Reinsurance V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2.0355 04/07/2017 1,000,000 1,002,378
Government National Mortgage Association I, 6.5%, 2/15/32 6.5 02/15/2032 3,127,662 46,921
Fannie Mae, 6.5%, 12/1/31 6.5 12/01/2031 3,300,000 161,100
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 8.2229 05/07/2015 500,000 526,559
Government National Mortgage Association I, 7.0%, 10/15/31 7.0 10/15/2031 2,044,706 7,762
Government National Mortgage Association I, 4.5%, 10/15/35 4.5 10/15/2035 2,106,954 285,669
Sequoia Mortgage Trust 2003-2, Floating Rate Note, 6/20/33 0.8162 06/20/2033 48,555,000 3,043,560
Government National Mortgage Association I, 5.5%, 2/15/35 5.5 02/15/2035 2,043,628 117,632
Government National Mortgage Association I, 4.5%, 4/15/35 4.5 04/15/2035 200,000 39,505
BCMSC Trust 1998-A, 6.65%, 4/15/28 6.65 04/15/2028 10,000,000 360,679
Massachusetts Institute of Technology, 5.6%, 7/1/11 5.6   1,100,000 1,387,775
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 8.1046 01/07/2016 250,000 258,813
Government National Mortgage Association II, 4.5%, 1/20/35 4.5 01/20/2035 2,500,000 532,121
Federal Home Loan Mortgage Corp., 6.0%, 3/1/33 6.0 03/01/2033 5,524,534 307,469
JP Morgan Chase Commercial Mortgage Securities Corp., Floating Rate Note, 10/15/25 (144A) 2.521 10/15/2025 2,800,000 2,806,542
Government National Mortgage Association II, 5.5%, 10/20/19 5.5 10/20/2019 4,728,248 582,706
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 2.49 02/25/2034 20,103,000 2,108,400
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5, 4.1712%, 8/17/46 4.1712 08/15/2046 1,350,000 1,461,578
Montpelier Re Holdings, Ltd., 4.7%, 10/15/22 4.7 10/15/2022 2,650,000 2,767,196
Bear Stearns ARM Trust 2003-5, Floating Rate Note, 8/25/33 2.325 08/25/2033 10,580,000 841,173
Fannie Mae, 4.5%, 10/1/35 4.5 10/01/2035 3,754,911 446,383
Ice: (Cdx.Na.Hy.22.V2) Usd 20jun19 Z91jjbdd5 500.0 06/20/2019 0 -623,998
Immucor, Inc., Term B-2 Loan, 8/19/18 5.0 08/19/2018 2,144,857 2,156,922
Lehman ABS Manufactured Housing Contract Trust 2001-B, 5.873%, 4/15/40 5.873 04/15/2040 2,450,000 378,744
FREMF Mortgage Trust 2011-K703, 4.884%, 7/25/44 (144A) 4.8839 07/25/2044 1,250,000 1,348,991
GS Mortgage Securities Trust 2012-GCJ7, 3.377%, 5/10/45 3.377 05/10/2045 1,250,000 1,290,225
Government National Mortgage Association I, 5.0%, 7/15/19 5.0 07/15/2019 26,391 2,218
Chemtura Corp., New Term Loan, 8/29/16 3.5 08/27/2016 801,537 803,876
Activision Blizzard, Inc., 6.125%, 9/15/23 (144A) 6.125 09/15/2023 650,000 715,415
Morgan Stanley Capital I Trust 2004-HQ4 REMICS, 4.97%, 4/14/40 4.97 04/14/2040 4,191,937 740,839
Fannie Mae, 5.0%, 2/1/22 5.0 02/01/2022 450,000 29,251
JG Wentworth XXII LLC, 3.82%, 12/15/48 (144A) 3.82 12/15/2048 1,100,000 780,269
Federal Home Loan Mortgage Corp., 6.0%, 2/1/33 6.0 02/01/2033 4,851,146 114,229
The Goodyear Tire & Rubber Co., Loan (Second Lien), 4/30/19 4.75 03/27/2019 4,190,000 4,226,663
Government National Mortgage Association I, 6.0%, 10/15/32 6.0 10/15/2032 2,001,957 64,089
Fannie Mae, 6.0%, 9/1/34 6.0 09/01/2034 6,273,165 185,160
Federal Home Loan Mortgage Corp., 4.5%, 11/1/40 4.5 11/01/2040 12,403,700 6,507,103
Glenn Pool Oil & Gas Trust, Term Loan, 5/2/16 4.5 06/01/2016 1,221,649 1,224,703
USI, Inc. New York, Initial Term Loan 2013, 12/30/19 4.25 12/30/2019 6,240,331 6,249,430
Government National Mortgage Association I, 6.0%, 4/15/18 6.0 04/15/2018 1,038,016 37,668
Banc of America Mortgage 2003-I Trust, Floating Rate Note, 10/25/33 2.8185 10/25/2033 3,969,000 866,345
Government National Mortgage Association I, 7.75%, 2/15/30 7.75 02/15/2030 500,000 2,548
Impac CMB Trust Series 2004-9, Floating Rate Note, 1/25/35 0.915 01/25/2035 10,000,000 703,764
FPL Energy Wind Funding LLC, 6.876%, 6/27/17 (144A) 6.876 06/27/2017 1,050,000 94,616
Government National Mortgage Association I, 5.0%, 7/15/33 5.0 07/15/2033 1,500,150 178,611
Federal Home Loan Mortgage Corp., 7.0%, 11/1/30 7.0 11/01/2030 1,000,100 5,039
Government National Mortgage Association I, 6.5%, 1/15/32 6.5 01/15/2032 7,587,058 138,625
Massachusetts Development Finance Agency, 5.25%, 4/1/37 5.25 04/01/2037 325,000 359,993
Government National Mortgage Association I, 6.5%, 1/15/33 6.5 01/15/2033 25,065,172 660,408
RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35 5.25 07/25/2035 1,745,152 1,020,250
Sunoco Logistics Partners Operations LP, 6.1%, 2/15/42 6.1 02/15/2042 2,200,000 2,591,815
Banc of America Funding 2010-R4 Trust REMICS, Floating Rate Note, 8/26/36 (144A) 0.2802 08/26/2036 3,200,000 567,165
Fannie Mae, 4.0%, 4/1/41 4.0 04/01/2041 1,850,000 1,417,926
Government National Mortgage Association I, 6.0%, 8/15/36 6.0 08/15/2036 4,350,000 547,797
Carrington Mortgage Loan Trust Series 2005-NC4, Floating Rate Note, 9/25/35 0.555 09/25/2035 725,000 104,141
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.855 01/25/2035 14,715,000 1,822,723
Government National Mortgage Association, Floating Rate Note, 9/16/52 1.0659 09/16/2052 13,000,000 1,000,878
SunTrust Banks, Inc., 3.5%, 1/20/17 3.5 01/20/2017 1,025,000 1,082,160
DigitalGlobe, Inc., Term Loan, 1/31/20 3.75 01/25/2020 1,303,500 1,304,804
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 0.322 04/16/2035 3,115,635 1,415,354
Morgan Stanley, 5.5%, 1/26/20 5.5 01/26/2020 3,135,000 3,549,550
Fannie Mae, 5.5%, 6/1/33 5.5 06/01/2033 1,148,000 57,053
Government National Mortgage Association I, 5.5%, 11/15/18 5.5 11/15/2018 1,443,964 75,249
HLSS Servicer Advance Receivables Trust, 1.7436%, 1/16/46 (144A) 1.7436 01/16/2046 1,620,000 1,616,881
Government National Mortgage Association I, 6.5%, 5/15/31 6.5 05/15/2031 2,567,327 35,418
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 4.5304 12/06/2016 2,800,000 2,876,440
Hercules Capital Funding Trust 2012-1, 3.32%, 12/16/17 (144A) 3.32 12/16/2017 650,000 179,224
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 0.955 10/25/2034 9,584,000 544,814
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 2.6468 07/25/2033 24,092,878 1,218,576
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 0.6543 06/28/2044 400,000 386,659
MRFC Mortgage Pass-Through Trust Series 2000-TBC3, Floating Rate Note, 12/15/30 0.592 12/15/2030 15,000,000 798,307
Fannie Mae, 4.5%, 12/1/43 4.5 12/01/2043 900,000 893,250
Federal Home Loan Mortgage Corp., 6.0%, 1/1/34 6.0 01/01/2034 500,000 57,254
Spectra Energy Capital LLC, 6.75%, 7/15/18 6.75 07/15/2018 1,500,000 1,717,856
Triton Container Finance LLC, 4.21%, 5/14/27 (144A) 4.21 05/14/2027 1,415,000 1,111,569
Alta Wind Holdings LLC, 7.0%, 6/30/35 (144A) 7.0 06/30/2035 700,000 645,649
Government National Mortgage Association I, 4.5%, 10/15/33 4.5 10/15/2033 2,981,200 325,242
Rosneft Finance SA, 6.625%, 3/20/17 (144A) 6.625 03/20/2017 1,000,000 1,064,108
Government National Mortgage Association I, 5.5%, 9/15/19 5.5 09/15/2019 3,000,000 225,017
Fannie Mae, 4.5%, 8/1/40 4.5 08/01/2040 5,950,444 1,763,745
Fannie Mae, 3.5%, 7/1/43 3.5 07/01/2043 3,767,763 3,582,699
Rosneft Finance SA, 7.5%, 7/18/16 (144A) 7.5 07/18/2016 2,080,000 2,205,233
Government National Mortgage Association II, 7.0%, 1/20/29 7.0 01/20/2029 8,400,000 123,041
U.S. Treasury Bonds, 2.875%, 5/15/43 2.875 05/15/2043 10,375,000 9,595,254
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 4.0203 05/05/2017 1,250,000 1,250,056
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/34 5.0 06/15/2034 1,925,000 215,143
Residential Asset Securitization Trust 2004-A10, 5.5%, 2/25/35 5.5 02/25/2035 9,400,000 284,202
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 3.7703 04/24/2017 550,000 545,359
Blackstone Holdings Finance Co LLC, 4.75%, 2/15/23 (144A) 4.75 02/15/2023 1,400,000 1,569,979
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 4.7321 01/07/2015 1,000,000 1,011,050
KKR Group Finance Co II LLC, 5.5%, 2/1/43 (144A) 5.5 02/01/2043 5,025,000 5,601,910
The University of Texas System, 5.0%, 8/15/43 5.0 08/15/2043 525,000 600,451
Orcal Geothermal, Inc., 6.21%, 12/30/20 (144A) 6.21 12/30/2020 1,730,000 679,488
Fannie Mae, 7.0%, 12/1/30 7.0 12/01/2030 525,099 10,178
JP Morgan Mortgage Trust 2014-1 REMICS, Floating Rate Note, 1/25/44 (144A) 3.5 01/25/2044 1,000,000 989,010
PVH Corp., Tranche B Term Loan, 2/13/20 3.25 12/19/2019 518,107 521,919
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/33 5.0 06/15/2033 5,000,000 481,620
Government National Mortgage Association I, 6.5%, 8/15/32 6.5 08/15/2032 129,066 4,680
Beacon Container Finance LLC, 3.72%, 9/20/27 (144A) 3.72 09/20/2027 500,000 417,118
Electricite de France SA, Floating Rate Note (Perpetual) (144A) 5.25 01/29/2049 2,150,000 2,185,307
State of Washington, 3.0%, 7/1/28 3.0 07/01/2028 560,000 558,096
Federal Home Loan Mortgage Corp., 6.5%, 3/1/31 6.5 03/01/2031 527,335 9,443
Government National Mortgage Association I, 6.5%, 3/15/29 6.5 03/15/2029 1,120,633 13,198
Cme: (Cdx.Na.Hy.22.V2) Usd 20jun19 Z91jjmp14 500.0 06/20/2019 0 -589,845
Standard Chartered Plc, 3.95%, 1/11/23 (144A) 3.95 01/11/2023 1,300,000 1,286,201
Fannie Mae, 3.5%, 11/1/42 3.5 11/01/2042 380,000 357,025
California Statewide Communities Development Authority, 6.0%, 8/15/42 6.0 08/15/2042 2,925,000 3,581,858
Government National Mortgage Association I, 6.0%, 2/15/29 6.0 02/15/2029 2,700,000 174,499
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 5/25/50 (144A) 0.855 05/25/2050 3,750,000 41,929
HSBC Bank Plc, 7.65%, 5/1/25 7.65 05/01/2025 1,305,000 1,708,433
Federal Home Loan Mortgage Corp., 4.5%, 11/1/43 4.5 11/01/2043 637,703 603,163
Government National Mortgage Association I, 6.0%, 10/15/34 6.0 10/15/2034 2,897,739 455,945
Fannie Mae, 6.0%, 4/1/33 6.0 04/01/2033 4,000,000 199,855
Santander Holdings USA, Inc. Pennsylvania, 3.0%, 9/24/15 3.0 09/24/2015 2,000,000 2,071,321
Government National Mortgage Association I, 4.5%, 9/15/40 4.5 09/15/2040 900,000 618,937
Charter Communications Operating LLC, Term F Loan, 12/31/20 3.0 01/01/2021 1,707,750 1,673,443
Citigroup Mortgage Loan Trust, Inc. REMICS, Floating Rate Note, 8/25/34 2.142 08/25/2034 15,850,000 2,971,307
Lorillard Tobacco Co., 3.75%, 5/20/23 3.75 05/20/2023 1,050,000 1,036,437
Government National Mortgage Association I, 5.5%, 7/15/33 5.5 07/15/2033 2,100,000 130,974
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 3.75 12/04/2019 590,405 591,881
Houston Higher Education Finance Corp., 5.0%, 5/15/40 5.0 05/15/2040 1,500,000 1,693,478
Indianapolis Airport Authority, 5.1%, 1/15/17 5.1 01/15/2017 1,000,000 1,101,307
Structured Asset Mortgage Investments Trust 2003-AR2, Floating Rate Note, 12/19/33 0.8962 12/19/2033 20,990,377 1,119,070
Fannie Mae, 5.0%, 7/1/40 5.0 07/01/2040 3,750,000 1,271,497
Government National Mortgage Association I, 5.5%, 2/15/37 5.5 02/15/2037 575,000 88,178
CVS Pass-Through Trust, 5.298%, 1/11/27 (144A) 5.298 01/11/2027 1,200,000 759,491
DCP Midstream LLC, Floating Rate Note, 5/21/43 (144A) 5.85 05/21/2043 3,950,000 3,876,431
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 0.405 09/25/2030 2,760,310 485,460
GS Mortgage Securities Corp II, 3.682%, 2/10/46 (144A) 3.682 02/10/2046 1,000,000 1,001,766
BBVA Bancomer SA Texas, 4.375%, 4/10/24 (144A) 4.375 04/10/2024 2,400,000 2,480,375
Federal Home Loan Mortgage Corp., 6.0%, 4/1/33 6.0 04/01/2033 379,183 17,247
Government National Mortgage Association I, 6.0%, 1/15/17 6.0 01/15/2017 705,441 10,897
Sirius International Group, Ltd., Floating Rate Note (Perpetual) (144A) 7.506 05/29/2049 2,110,000 2,239,688
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 0.655 06/25/2035 4,920,000 1,949,728
Fannie Mae, 6.0%, 11/1/34 6.0 11/01/2034 271,485 23,308
Enterprise Products Operating LLC, 3.9%, 2/15/24 3.9 02/15/2024 5,310,000 5,535,820
Fannie Mae, 5.5%, 12/1/17 5.5 12/01/2017 12,031,696 265,641
DCP Midstream LLC, 9.75%, 3/15/19 (144A) 9.75 03/15/2019 2,900,000 3,812,367
JP Morgan Mortgage Trust 2004-S1, 6.0%, 9/25/34 6.0 09/25/2034 9,800,000 1,883,076
JP Morgan Chase Commercial Mortgage Securities Trust 2013-FL3, Floating Rate Note, 4/15/28 (144A) 1.952 04/15/2028 1,500,000 1,507,290
PFS Financing Corp., Floating Rate Note, 10/17/16 (144A) 1.652 10/17/2016 775,712 776,645
MASTR Alternative Loan Trust 2004-6, 6.0%, 7/25/34 6.0 07/25/2034 11,100,000 2,305,080
U.S. Treasury Bonds, 3.125%, 2/15/43 3.125 02/15/2043 2,000,000 1,963,209
Fannie Mae, 5.0%, 7/1/40 5.0 07/01/2040 5,000,000 1,927,297
CoBank ACB, Floating Rate Note (Perpetual) (144A) 6.25   28,000 2,910,250
Prudential Financial, Inc., 4.5%, 11/16/21 4.5 11/16/2021 1,090,000 1,202,217
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 2.7703 01/09/2017 500,000 511,946
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 0.405 02/25/2030 11,253,656 1,662,883
HLSS Servicer Advance Receivables Trust, 1.2437%, 1/17/45 1.2437 01/17/2045 1,300,000 1,301,889
CHS, 2017 Term E Loan, 1/25/17 3.4776 07/25/2014 597,145 598,309
Government National Mortgage Association I, 6.5%, 5/15/29 6.5 05/15/2029 273,319 6,097
Weatherford International, Ltd. Bermuda, 5.95%, 4/15/42 5.95 04/15/2042 125,000 143,678
Merrill Lynch Mortgage Investors Trust Series 2005-A3, Floating Rate Note, 4/25/35 0.425 04/25/2035 27,604,109 3,450,791
University of California, 3.38%, 5/15/28 3.38 05/15/2028 2,600,000 2,529,346
Wells Fargo Mortgage Backed Securities Trust, Floating Rate Note, 8/25/34 2.6152 08/25/2034 17,226,000 1,044,120
Federal Home Loan Mortgage Corp., 5.0%, 6/1/35 5.0 06/01/2035 4,244,107 789,589
Fannie Mae, 4.0%, 12/1/42 4.0 12/01/2042 142,828 46,138
Fannie Mae, 6.0%, 6/1/38 6.0 06/01/2038 2,250,000 539,113
Platinum Underwriters Finance, Inc., 7.5%, 6/1/17 7.5 06/01/2017 5,048,000 5,817,613
RPI Finance Trust, Term B-2 Term Loan, 5/9/18 3.25 05/09/2018 1,665,299 1,668,205
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7, Floating Rate Note, 2/11/41 5.214 02/11/2041 1,000,000 1,012,950
Rosneft Finance SA, 7.875%, 3/13/18 (144A) 7.875 03/13/2018 1,000,000 1,098,938
Arlington Flt% 01aug15   08/01/2015 700,000 710,500
SLM Student Loan Trust 2004-10, Floating Rate Note, 4/27/26 (144A) 0.9841 04/27/2026 900,000 903,581
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 2.2844 08/25/2033 18,254,000 1,264,606
Fannie Mae, 8.0%, 5/1/31 8.0 05/01/2031 45,000 419
Allison Transmission, Inc., Term B-3 Loan, 8/23/19 3.75 08/23/2019 1,142,918 1,144,705
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 3.0 06/25/2043 891,000 799,721
Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40 5.361 02/15/2040 3,500,000 2,854,895
Ardent Medical Services, Inc., Term Loan (First Lien), 7/2/18 6.75 05/02/2018 503,819 506,181
BBVA Bancomer SA Texas, 6.5%, 3/10/21 (144A) 6.5 03/10/2021 3,815,000 4,388,999
U.S. Treasury Bonds, 4.375%, 5/15/40 4.375 05/15/2040 2,000,000 2,425,422
U.S. Treasury Bonds, 4.375%, 11/15/39 4.375 11/15/2039 1,365,000 1,652,790
Delphi Corp., 4.15%, 3/15/24 4.15 03/15/2024 5,400,000 5,611,589
Federal Home Loan Mortgage Corp., 6.5%, 1/1/31 6.5 01/01/2031 47,714 378
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 6/25/34 3.0294 06/25/2034 4,049,418 573,353
U.S. Treasury Bonds, 4.625%, 2/15/40 4.625 02/15/2040 4,000,000 5,075,345
Government National Mortgage Association I, 7.0%, 12/15/30 7.0 12/15/2030 599,940 13,121
Grupo Bimbo SAB de CV, 3.875%, 6/27/24 (144A) 3.875 06/27/2024 4,200,000 4,185,467
FREMF Mortgage Trust 2011-K10 , 4.615%, 11/25/49 (144A) 4.6154 11/25/2049 1,500,000 1,614,515
National Rural Utilities Cooperative Finance Corp., 5.45%, 2/1/18 5.45 02/01/2018 2,000,000 2,311,386
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 3.0 05/15/2018 3,048,000 1,793,641
Government National Mortgage Association I, 6.0%, 4/15/33