Pioneer Investments: Pioneer Bond Fund


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Pioneer Bond Fund

Monthly Portfolio Holdings as of 10/31/2014

Security Name Coupon Maturity Date Par / Shares Market Value($)
Government National Mortgage Association I, 5.5%, 10/15/17 5.5 10/15/2017 5,636,984 208,737
Weatherford International, Ltd. Bermuda, 5.95%, 4/15/42 5.95 04/15/2042 125,000 132,629
GSR Mortgage Loan Trust 2004-7, Floating Rate Note, 6/25/34 2.6877 06/25/2034 14,810,263 1,861,656
JobsOhio Beverage System, 4.532%, 1/1/35 4.532 01/01/2035 1,035,000 1,120,664
Government National Mortgage Association I, 6.5%, 1/15/32 6.5 01/15/2032 7,587,058 142,703
Citigroup, Inc., Floating Rate Note (Perpetual) 5.95 12/31/2049 2,295,000 2,315,174
Permanent University Fund, 5.0%, 7/1/30 5.0 07/01/2030 800,000 991,157
Government National Mortgage Association REMICS, 2.1%, 2/16/48 2.1 02/16/2048 6,000,000 5,966,033
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 0.452 09/25/2036 5,715,000 807,903
Regency Energy Partners LP, 8.375%, 6/1/19 (144A) 8.375 06/01/2019 1,675,000 1,842,326
Cincinnati Bell, Inc., Tranche B Term Loan, 9/10/20 4.0 09/10/2020 1,935,450 1,920,934
Fannie Mae, 6.5%, 6/1/31 6.5 06/01/2031 2,750,000 89,467
Mohawk Industries, Inc., 3.85%, 2/1/23 3.85 02/01/2023 800,000 816,482
Government National Mortgage Association I, 6.0%, 9/15/28 6.0 09/15/2028 12,973,600 415,223
California Educational Facilities Authority, 5.0%, 6/1/43 5.0 06/01/2043 1,980,000 2,649,801
Cme: (Cdx.Na.Hy.23.V1) Usd 20dec19 Z91mw60e6 500.0 12/20/2019 19,200,000 1,450,482
Government National Mortgage Association I, 6.0%, 5/15/17 6.0 05/15/2017 1,900,000 47,771
Baylor University, 4.313%, 3/1/42 4.313 03/01/2042 1,025,000 1,035,269
Government National Mortgage Association I, 5.5%, 9/15/33 5.5 09/15/2033 3,636,072 245,606
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 8.9101 06/06/2017 1,000,000 1,062,750
Enterprise Products Operating LLC, 3.9%, 2/15/24 3.9 02/15/2024 5,310,000 5,508,596
Fannie Mae, 5.5%, 6/1/33 5.5 06/01/2033 1,148,000 57,363
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2.0101 04/07/2017 1,000,000 1,003,078
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 9,171,532 451,878
Fannie Mae, 6.5%, 10/1/32 6.5 10/01/2032 2,811,012 139,813
Government National Mortgage Association I, 5.5%, 2/15/18 5.5 02/15/2018 4,000,000 157,442
Mystic Re, Ltd., Floating Rate Note, 3/12/15 (Cat Bond) (144A) 9.0101 03/12/2015 650,000 670,638
Government National Mortgage Association I, 5.5%, 10/15/17 5.5 10/15/2017 2,400,000 53,404
Federal Home Loan Mortgage Corp., 6.0%, 1/1/33 6.0 01/01/2033 1,890,000 90,851
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 5.25 04/25/2032 3,090,877 940,933
Nordea Bank AB, Floating Rate Note (Perpetual) (144A) 6.125 12/31/2049 5,600,000 5,647,966
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA Netherlands, 3.95%, 11/9/22 3.95 11/09/2022 6,425,000 6,652,286
Rosneft Finance SA, 6.625%, 3/20/17 (144A) 6.625 03/20/2017 1,000,000 1,035,795
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 0.952 10/25/2034 9,584,000 516,638
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5, 4.1712%, 8/17/46 4.1712 08/17/2046 1,350,000 1,468,333
Government National Mortgage Association I, 6.0%, 5/15/33 6.0 05/15/2033 4,328,221 224,402
Government National Mortgage Association I, 6.5%, 1/15/33 6.5 01/15/2033 263,074 6,502
New York City Transitional Finance Authority Future Tax Secured Revenue, 5.0%, 11/1/33 5.0 11/01/2033 2,400,000 2,823,096
Fannie Mae, 8.0%, 3/1/31 8.0 03/01/2031 1,495,060 11,013
Aviation Capital Group Corp., 6.75%, 4/6/21 (144A) 6.75 04/06/2021 3,525,000 4,035,023
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 0.552 09/25/2035 4,700,000 1,596,822
President and Fellows of Harvard College, 2.3%, 10/1/23 2.3 10/01/2023 2,600,000 2,489,029
FREMF Mortgage Trust 2011-K701, Floating Rate Note, 7/25/48 (144A) 4.4355 07/25/2048 5,000,000 5,279,153
Federal Home Loan Mortgage Corp., 6.5%, 5/1/31 6.5 05/01/2031 1,043,809 12,414
Fannie Mae, 4.0%, 12/1/43 4.0 12/01/2043 7,600,000 7,572,213
Fannie Mae, 3.5%, 11/13/13 3.5 11/13/2013 27,508,000 28,477,070
Spirit Master Funding VII LLC, 3.8868%, 12/20/43 3.8868 12/20/2043 700,000 724,671
RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35 5.25 07/25/2035 1,745,152 956,193
Government National Mortgage Association I, 4.5%, 9/15/33 4.5 09/15/2033 2,256,215 338,803
Bed Bath & Beyond, Inc., 3.749%, 8/1/24 3.749 08/01/2024 2,000,000 2,030,999
Federal Home Loan Mortgage Corp., 6.0%, 5/1/34 6.0 05/01/2034 1,440,424 260,291
FREMF Mortgage Trust 2012-K501, Floating Rate Note, 11/26/46 (144A) 3.477 11/26/2046 650,000 669,728
Government National Mortgage Association I, 7.0%, 11/15/28 7.0 11/15/2028 2,367,683 29,696
CEMEX Espana SA, 9.875%, 4/30/19 (144A) 9.875 04/30/2019 3,328,000 3,876,618
Government National Mortgage Association I, 5.5%, 10/15/35 5.5 10/15/2035 1,001,204 158,051
Fannie Mae, 5.0%, 10/1/20 5.0 10/01/2020 4,036,945 530,714
Leaf Receivables Funding 8 LLC, 1.92%, 9/15/20 (144A) 1.92 09/15/2020 2,203,000 2,211,974
Queen Street VI Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 10.3551 04/09/2015 250,000 257,875
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 1.502 06/25/2033 2,336,716 1,437,202
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 0.932 11/25/2034 19,339,000 2,648,068
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 1.47 05/15/2018 1,250,000 328,104
HSBC Bank USA NA New York NY, 6.0%, 8/9/17 6.0 08/09/2017 3,350,000 3,778,444
Mid-State Capital Trust 2010-1, 5.25%, 12/15/45 (144A) 5.25 12/15/2045 950,000 744,284
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 8/25/24 1.502 08/25/2024 3,570,000 3,523,905
Viterra, Inc., 5.95%, 8/1/20 (144A) 5.95 08/01/2020 5,175,000 5,888,938
MASTR Adjustable Rate Mortgages Trust 2005-1, Floating Rate Note, 1/25/35 5.2431 01/25/2035 6,959,000 963,128
MRFC Mortgage Pass-Through Trust Series 2000-TBC3, Floating Rate Note, 12/15/30 0.5928 12/15/2030 15,000,000 754,638
Colbun SA, 4.5%, 7/10/24 (144A) 4.5 07/10/2024 4,300,000 4,392,519
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.852 01/25/2035 14,000,000 1,805,171
Velocity Commercial Capital Loan Trust 2014-1, Floating Rate Note, 9/25/44 (144A) 2.1545 09/25/2044 2,000,000 1,968,484
Fannie Mae, 4.0%, 7/1/42 4.0 07/01/2042 624,000 452,149
CubeSmart LP, 4.8%, 7/15/22 4.8 07/15/2022 730,000 796,088
Wells Fargo Bank NA, 6.0%, 11/15/17 6.0 11/15/2017 3,540,000 4,101,726
Government National Mortgage Association I, 6.0%, 11/15/31 6.0 11/15/2031 1,614,291 59,837
Assurant, Inc., 4.0%, 3/15/23 4.0 03/15/2023 3,900,000 3,994,852
IMS Health, Inc., Term B Dollar Loan, 3/17/21 3.5 03/17/2021 454,954 449,551
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/27/29 (144A) 1.3525 08/27/2029 2,951,282 769,826
Fannie Mae, 5.0%, 7/1/40 5.0 07/01/2040 3,750,000 1,192,556
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 5.0 07/25/2018 7,610,000 483,840
Alterra Finance LLC, 6.25%, 9/30/20 6.25 09/30/2020 3,000,000 3,499,644
La Hipotecaria Panamanian Mortgage Trust 2014-1, Floating Rate Note, 11/24/42 (144A) 3.508 11/24/2042 4,250,000 4,318,499
Government National Mortgage Association I, 6.0%, 11/15/34 6.0 11/15/2034 3,188,149 199,425
Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A) 2.38 03/20/2029 4,692,000 1,396,071
Grain Spectrum Funding II LLC, 3.29%, 10/10/19 (144A) 3.29 10/10/2019 1,400,000 1,411,717
Fannie Mae, 8.0%, 10/1/30 8.0 10/01/2030 155,531 810
Piedmont Operating Partnership LP, 3.4%, 6/1/23 3.4 06/01/2023 2,550,000 2,502,980
Government National Mortgage Association I, 6.0%, 8/15/36 6.0 08/15/2036 4,350,000 508,433
Monty Parent Issuer 1 LLC, 3.47%, 11/20/28 (144A) 3.47 11/20/2028 5,250,000 2,832,541
Federal Home Loan Mortgage Corp., 6.0%, 6/1/35 6.0 06/01/2035 3,600,000 146,552
Fannie Mae, 3.5%, 2/1/44 3.5 02/01/2044 18,215,601 18,456,948
Federal Home Loan Mortgage Corp., 6.0%, 3/1/33 6.0 03/01/2033 2,255,430 45,575
Fannie Mae, 4.0%, 12/1/42 4.0 12/01/2042 142,828 46,278
Fannie Mae, 6.5%, 8/1/31 6.5 08/01/2031 1,500,000 10,859
Government National Mortgage Association, 4.973%, 4/16/42 4.973 04/16/2042 375,000 108,521
Banc of America Funding 2010-R4 Trust REMICS, Floating Rate Note, 8/26/36 (144A) 0.2852 08/26/2036 3,200,000 438,770
Cummins, Inc., 6.75%, 2/15/27 6.75 02/15/2027 910,000 1,169,930
Federal Home Loan Mortgage Corp., 5.5%, 11/1/34 5.5 11/01/2034 550,000 41,426
NRP Mortgage Trust 2013-1, Floating Rate Note, 7/25/43 (144A) 3.25 07/25/2043 5,825,000 5,516,474
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 9.2601 06/06/2017 250,000 272,047
DAE Aviation Holdings, Inc., Replacement Tranche B-1 Loan, 11/2/18 5.0 11/02/2018 1,344,309 1,346,412
Astoria Financial Corp., 5.0%, 6/19/17 5.0 06/19/2017 2,300,000 2,510,747
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 2.25 08/20/2025 2,000,000 1,159,767
Federal Home Loan Mortgage Corp., 4.0%, 11/1/41 4.0 11/01/2041 21,893,143 17,235,337
Alternative Loan Trust 2005-J4, Floating Rate Note, 7/25/35 0.812 07/25/2035 5,426,539 5,279,123
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 0.6328 06/15/2030 9,460,074 584,767
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 2.49 02/25/2034 20,103,000 1,938,327
Government National Mortgage Association I, 4.5%, 7/15/41 4.5 07/15/2041 1,442,000 850,827
Sabine Pass LNG LP, 6.5%, 11/1/20 6.5 11/01/2020 3,500,000 3,815,000
CoBank ACB, Floating Rate Note (Perpetual) (144A) 6.25 12/31/2049 28,000 2,926,876
BB&T Corp., 5.625% (Perpetual) 5.625 12/31/2049 85,000 2,068,900
Charter Communications Operating LLC, Term F Loan, 12/31/20 3.0 12/31/2020 1,703,438 1,679,661
Citigroup, Inc., Floating Rate Note (Perpetual) 7.125 12/31/2049 197,000 5,330,820
Federal Home Loan Mortgage Corp., 7.0%, 11/1/30 7.0 11/01/2030 1,000,100 4,778
Government National Mortgage Association I, 5.0%, 4/15/34 5.0 04/15/2034 1,504,329 175,441
Government National Mortgage Association I, 4.5%, 3/15/35 4.5 03/15/2035 1,722,219 185,138
Ardent Medical Services, Inc., Term Loan (First Lien), 7/2/18 6.75 07/02/2018 502,444 504,328
Wells Fargo Mortgage Backed Securities 2006-16 Trust, 5.0%, 11/25/36 5.0 11/25/2036 4,500,000 231,493
Fannie Mae, 6.0%, 7/1/38 6.0 07/01/2038 974,925 81,229
Government National Mortgage Association I, 5.5%, 7/15/34 5.5 07/15/2034 6,580,000 669,977
Port Authority of New York & New Jersey, 4.458%, 10/1/62 4.458 10/01/2062 600,000 603,129
Prudential Financial, Inc., Floating Rate Note, 6/15/43 5.625 06/15/2043 1,500,000 1,588,125
GRIFOLS WORLDWIDE OPERATIONS USA INC, U.S. Tranche B Term Loam, 4/1/21 3.2351 04/01/2021 388,050 383,508
Government National Mortgage Association I, 4.5%, 9/15/35 4.5 09/15/2035 393,589 67,155
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/30 5.0 12/15/2030 1,050,000 1,174,077
Government National Mortgage Association I, 6.5%, 5/15/29 6.5 05/15/2029 6,774,704 117,108
Aquarius + Investments Plc for Swiss Reinsurance Co, Ltd., Floating Rate Note, 9/1/24 6.375 09/01/2024 1,800,000 1,895,625
Fannie Mae, 6.0%, 11/1/33 6.0 11/01/2033 400,765 45,195
Cummins, Inc., 5.65%, 3/1/98 5.65   3,200,000 3,718,018
Altice Financing SA, 7.875%, 12/15/19 (144A) 7.875 12/15/2019 1,675,000 1,835,800
Fannie Mae, 5.0%, 4/1/39 5.0 04/01/2039 2,924,816 349,789
CHL Mortgage Pass-Through Trust 2003-56, Floating Rate Note, 12/25/33 2.6043 12/25/2033 10,000,000 557,328
Fannie Mae, 4.5%, 5/1/41 4.5 05/01/2041 17,795,568 5,158,010
Morgan Stanley, 4.1%, 5/22/23 4.1 05/22/2023 5,100,000 5,239,951
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-5, Floating Rate Note, 1 0.402 12/25/2035 3,650,000 352,252
Highwoods Realty LP, 3.625%, 1/15/23 3.625 01/15/2023 2,100,000 2,114,237
Federal Home Loan Mortgage Corp., 6.0%, 8/1/34 6.0 08/01/2034 3,000,000 226,693
Fannie Mae, 7.5%, 8/1/20 7.5 08/01/2020 250,000 1,020
Fannie Mae, 4.0%, 4/1/39 4.0 04/01/2039 7,360,371 2,214,937
Massachusetts Institute of Technology, 5.6%, 7/1/11 5.6   1,100,000 1,453,910
Tyco Electronics Group SA, 6.55%, 10/1/17 6.55 10/01/2017 2,950,000 3,374,179
Truman Capital Mortgage Loan Trust, Floating Rate Note, 1/25/34 1.852 01/25/2034 765,000 721,913
Merrill Lynch Mortgage Trust 2005-LC1, Floating Rate Note, 1/12/44 5.291 01/12/2044 4,000,000 3,710,062
Israel Electric Corp, Ltd., 9.375%, 1/28/20 (144A) 9.375 01/28/2020 610,000 768,733
Fannie Mae, 7.0%, 4/1/31 7.0 04/01/2031 2,160,818 13,749
Banc of America Alternative Loan Trust 2003-7, 5.5%, 9/25/33 5.5 09/25/2033 7,600,000 1,563,469
Fannie Mae, 4.0%, 5/1/44 4.0 05/01/2044 3,800,000 3,971,545
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 4.025 06/28/2016 900,000 932,330
Pinnacle Foods Finance LLC, New Term Loan G, 4/29/20 3.25 04/29/2020 20,755 20,395
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 7.505 04/09/2015 500,000 513,017
Cincinnati Bell, Inc., 8.375%, 10/15/20 8.375 10/15/2020 469,000 504,748
Fannie Mae, 4.5%, 7/1/41 4.5 07/01/2041 5,000,000 2,910,820
Wells Fargo Commercial Mortgage Trust 2012-LC5 REMICS, 3.539%, 10/17/45 3.539 10/17/2045 1,927,000 1,976,490
FREMF Mortgage Trust 2010-K8, Floating Rate Note, 9/25/43 (144A) 5.4051 09/25/2043 600,000 667,051
Panoche Energy Center LLC, 6.885%, 7/31/29 (144A) 6.885 07/31/2029 2,610,000 2,589,083
Government National Mortgage Association I, 6.5%, 7/15/35 6.5 07/15/2035 666,356 75,255
Federal Home Loan Mortgage Corp., 6.5%, 7/1/32 6.5 07/01/2032 1,000,000 20,500
Senior Housing Properties Trust, 6.75%, 4/15/20 6.75 04/15/2020 2,865,000 3,280,184
Government National Mortgage Association I, 7.0%, 6/15/31 7.0 06/15/2031 3,800,000 52,819
Government National Mortgage Association I, 6.0%, 3/15/17 6.0 03/15/2017 2,000,000 36,112
Wells Fargo Mortgage Backed Securities 2003-L Trust, Floating Rate Note, 11/25/33 2.5477 11/25/2033 3,100,000 229,497
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 5.23 12/17/2040 5,025,000 3,595,197
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 3.0 03/27/2024 1,550,000 1,241,016
Government National Mortgage Association I, 5.5%, 10/15/33 5.5 10/15/2033 1,509,492 128,165
Prestige Auto Receivables Trust 2011-1, 3.9%, 7/16/18 (144A) 3.9 07/16/2018 800,000 352,436
Altrl Flt% 30jun16   06/30/2016 1,500,000 1,611,900
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/20 (Cat Bond) (144A) 6.8601 04/07/2020 1,350,000 1,438,815
Asciano Finance, Ltd., 4.625%, 9/23/20 (144A) 4.625 09/23/2020 529,000 565,606
JG Wentworth XXII LLC, 3.82%, 12/15/48 (144A) 3.82 12/15/2048 1,100,000 752,973
Government National Mortgage Association I, 4.5%, 9/15/40 4.5 09/15/2040 900,000 568,132
Fannie Mae, 6.0%, 6/1/38 6.0 06/01/2038 2,250,000 544,138
Structured Asset Investment Loan Trust 2006-1, Floating Rate Note, 1/25/36 0.352 01/25/2036 5,475,000 1,306,196
Federal Home Loan Mortgage Corp., 6.5%, 3/1/31 6.5 03/01/2031 527,335 9,276
GS Mortgage Securities Trust 2006-GG8 REMICS, 5.56%, 11/10/39 5.56 11/10/2039 900,000 964,429
Fannie Mae, 4.5%, 1/1/44 4.5 01/01/2044 15,989,536 15,786,803
CHS, 2017 Term E Loan, 1/25/17 3.4846 01/25/2017 595,644 594,760
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 0.852 03/25/2035 5,700,000 908,865
Cronos Containers Program I, Ltd., 3.81%, 9/18/27 (144A) 3.81 09/18/2027 1,850,000 1,467,140
WP Carey, Inc., 4.6%, 4/1/24 4.6 04/01/2024 1,715,000 1,793,155
Alexandria Real Estate Equities, Inc., 4.6%, 4/1/22 4.6 04/01/2022 2,670,000 2,826,695
Fannie Mae, 6.5%, 11/1/37 6.5 11/01/2037 2,222,350 282,657
Domino's Pizza Master Issuer LLC, 5.216%, 1/25/42 (144A) 5.216 01/25/2042 4,051,000 4,135,030
Government National Mortgage Association I, 4.5%, 4/15/41 4.5 04/15/2041 2,223,928 1,556,865
Rowan Companies, Inc., 4.75%, 1/15/24 4.75 01/15/2024 6,185,000 6,246,084
The Hanover Insurance Group, Inc., 7.625%, 10/15/25 7.625 10/15/2025 1,952,000 2,399,420
Air Canada 2013-1 Class A Pass Through Trust, 4.125%, 11/15/26 (144A) 4.125 11/15/2026 5,000,000 4,940,993
Impac CMB Trust Series 2004-9, Floating Rate Note, 1/25/35 0.912 01/25/2035 10,000,000 670,969
JP Morgan Mortgage Trust 2004-S1, 6.0%, 9/25/34 6.0 09/25/2034 9,800,000 1,851,965
Federal Home Loan Mortgage Corp., 5.0%, 10/1/20 5.0 10/01/2020 9,000,000 1,305,966
JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8, Floating Rate Note, 10/17/45 (144A) 3.9767 10/17/2045 900,000 933,681
FREMF Mortgage Trust 2013-K713, Floating Rate Note, 4/25/46 (144A) 3.2738 04/25/2046 3,000,000 2,994,502
BCMSC Trust 1998-A, 6.65%, 4/15/28 6.65 04/15/2028 10,000,000 247,403
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 0.777 09/20/2033 37,500,000 1,710,742
Freeport-McMoRan, Inc., 3.875%, 3/15/23 3.875 03/15/2023 1,850,000 1,837,622
Burger King Corp 1st Lien Tl-B L + 3.5% 25sep21 4.5 09/25/2021 480,000 480,367
Lincoln National Corp., 8.75%, 7/1/19 8.75 07/01/2019 1,690,000 2,195,686
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 3.4251 01/17/2019 500,000 507,277
Bear Stearns Commercial Mortgage Securities Trust 2006-TOP22, Floating Rate Note, 4/12/38 5.5572 04/12/2038 2,600,000 2,600,614
Catalent 1st Lien Tl-B L + 3.5% 08may21 4.5 05/08/2021 897,637 897,798
Fannie Mae, 5.0%, 6/1/40 5.0 06/01/2040 3,850,000 1,479,507
AXA SA, 8.6%, 12/15/30 8.6 12/15/2030 2,335,000 3,219,355
Federal Home Loan Mortgage Corp., 6.0%, 1/1/34 6.0 01/01/2034 3,744,314 87,463
Williams Partners LP, 4.3%, 3/4/24 4.3 03/04/2024 5,980,000 6,230,596
NRG Energy, Inc., Term Loan (2013), 7/1/18 2.75 07/01/2018 1,325,835 1,303,771
Crown Castle Towers LLC, 4.883%, 8/15/20 (144A) 4.883 08/15/2020 3,015,000 3,333,876
Goldcorp, Inc., 3.7%, 3/15/23 3.7 03/15/2023 1,650,000 1,597,823
Fannie Mae, 5.0%, 2/1/41 5.0 02/01/2041 17,669,429 7,465,823
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 2.6491 07/25/2033 24,092,878 1,114,640
Cinedigm Digital Funding I LLC, Term Loan, 2/28/18 3.75 02/28/2018 450,004 450,004
Fannie Mae, 5.0%, 7/1/40 5.0 07/01/2040 5,000,000 2,410,007
Fannie Mae, 4.5%, 11/1/20 4.5 11/01/2020 6,500,000 527,108
Fannie Mae, 5.0%, 11/13/14 5.0 11/13/2014 30,000,000 33,267,968
Bear Stearns ARM Trust 2003-6, Floating Rate Note, 8/25/33 2.5806 08/25/2033 69,274,000 3,671,756
Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36 0.642 06/25/2036 1,949,000 1,065,311
Teachers Insurance & Annuity Association of America, 6.85%, 12/16/39 (144A) 6.85 12/16/2039 3,205,000 4,319,409
DCT Industrial Operating Partnership LP, 4.5%, 10/15/23 4.5 10/15/2023 1,475,000 1,519,684
Government National Mortgage Association I, 6.5%, 5/15/33 6.5 05/15/2033 1,672,708 53,867
Tradewynd Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 6.2601 01/08/2015 250,000 252,545
Government National Mortgage Association II, 6.5%, 2/20/29 6.5 02/20/2029 210,000 3,638
HOA Funding LLC, 4.846%, 8/22/44 (144A) 4.846 08/22/2044 3,050,000 3,058,446
Beacon Container Finance LLC, 3.72%, 9/20/27 (144A) 3.72 09/20/2027 500,000 399,305
Iberdrola International BV, 6.75%, 7/15/36 6.75 07/15/2036 4,475,000 5,668,568
Wilton Re Finance LLC, Floating Rate Note, 3/30/33 (144A) 5.875 03/30/2033 1,400,000 1,463,083
Successor X, Ltd., Floating Rate Note, 11/10/15 (Cat Bond) (144A) 11.28 11/10/2015 250,000 268,056
Grupo Bimbo SAB de CV, 3.875%, 6/27/24 (144A) 3.875 06/27/2024 4,200,000 4,236,318
Government National Mortgage Association I, 6.5%, 7/15/32 6.5 07/15/2032 14,653,970 216,347
Fannie Mae, 3.5%, 12/1/42 3.5 12/01/2042 1,015,373 864,181
Government National Mortgage Association I, 5.0%, 7/15/19 5.0 07/15/2019 1,587,453 179,060
Government National Mortgage Association I, 5.5%, 6/15/33 5.5 06/15/2033 400,000 19,009
Massachusetts Development Finance Agency, 5.375%, 4/1/41 5.375 04/01/2041 550,000 621,852
Monsanto Co., 3.375%, 7/15/24 3.375 07/15/2024 2,675,000 2,716,912
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 8.7601 12/06/2016 725,000 758,368
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5.372 09/10/2045 3,660,000 3,812,577
La Hipotecaria Panamanian Mortgage Trust 2010-1, Floating Rate Note, 9/8/39 (144A) 2.75 09/08/2039 750,000 535,225
BBVA Bancomer SA Texas, 6.5%, 3/10/21 (144A) 6.5 03/10/2021 3,815,000 4,269,780
Fannie Mae, 6.0%, 4/1/35 6.0 04/01/2035 4,000,000 371,430
Sotheby's, 5.25%, 10/1/22 (144A) 5.25 10/01/2022 1,300,000 1,279,688
Federal Home Loan Mortgage Corp., 6.0%, 2/1/33 6.0 02/01/2033 4,851,146 108,153
Valeant Pharmaceuticals International, Inc., Series C-2 Tranche B Term Loan, 12/11/19 3.5 12/11/2019 532,996 528,903
New Residential Mortgage Loan Trust 2014-1, Floating Rate Note, 1/25/54 (144A) 3.75 01/25/2054 1,900,000 1,818,728
Government National Mortgage Association I, 6.5%, 3/15/29 6.5 03/15/2029 5,001,628 100,159
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 10.7542 04/10/2015 850,000 883,721
Government National Mortgage Association I, 6.5%, 3/15/31 6.5 03/15/2031 1,000,000 14,600
JPMorgan Chase & Co., Floating Rate Note, 8/29/49 6.75 08/29/2049 4,015,000 4,297,957
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 1.454 03/16/2026 1,895,000 1,895,748
U.S. Treasury Bonds, 4.375%, 5/15/40 4.375 05/15/2040 4,500,000 5,727,900
National Rural Utilities Cooperative Finance Corp., 5.45%, 2/1/18 5.45 02/01/2018 2,000,000 2,272,426
Loews Corp., 5.25%, 3/15/16 5.25 03/15/2016 2,650,000 2,830,471
Enel Finance International NV, 5.125%, 10/7/19 (144A) 5.125 10/07/2019 3,365,000 3,748,000
Bank of America Corp., Floating Rate Note, 10/23/49 6.5 10/23/2049 3,150,000 3,241,175
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 1.252 01/25/2035 895,000 878,219
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 8.5304 01/05/2017 500,000 540,189
Government National Mortgage Association, Floating Rate Note, 9/16/52 1.0457 09/16/2052 13,000,000 956,447
Capital Automotive Real Estate Investment Trust, 3.66%, 10/15/44 (144A) 3.66 10/15/2044 3,000,000 3,057,075
QBE Insurance Group, Ltd., 2.4%, 5/1/18 (144A) 2.4 05/01/2018 1,100,000 1,113,616
Federal Home Loan Mortgage Corp., 6.5%, 3/1/31 6.5 03/01/2031 217,521 602
Tronox Pigments BV, New Term Loan, 3/19/20 4.0 03/19/2020 770,717 764,081
Omega Healthcare Investors, Inc., 4.95%, 4/1/24 4.95 04/01/2024 3,945,000 4,077,808
LB-UBS Commercial Mortgage Trust 2005-C2, Floating Rate Note, 4/15/30 5.15 04/15/2030 1,000,000 610,846
Government National Mortgage Association I, 6.5%, 8/15/32 6.5 08/15/2032 2,400,000 39,840
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 3.0 06/25/2043 916,000 823,845
Activision Blizzard, Inc., 6.125%, 9/15/23 (144A) 6.125 09/15/2023 650,000 708,712
PVH Corp., Tranche B Term Loan, 2/13/20 3.25 02/13/2020 518,107 520,050
Government National Mortgage Association I, 6.0%, 6/15/33 6.0 06/15/2033 368,522 17,156
Government National Mortgage Association I, 6.5%, 6/15/34 6.5 06/15/2034 1,330,499 202,451
Government National Mortgage Association I, 4.5%, 5/15/41 4.5 05/15/2041 5,733,621 2,518,793
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 1,500,000 1,592,553
Government National Mortgage Association I, 5.5%, 8/15/19 5.5 08/15/2019 2,543,276 252,882
Prudential Financial, Inc., 4.5%, 11/16/21 4.5 11/16/2021 1,090,000 1,213,254
Bayview Commercial Asset Trust 2007-4, 3.515649%, 9/25/37 (Step) (144A) 3.5156 09/25/2037 13,200,000 345,112
Fannie Mae, 6.0%, 7/1/33 6.0 07/01/2033 10,874,932 237,199
Government National Mortgage Association I, 6.0%, 4/15/33 6.0 04/15/2033 1,000,000 28,798
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 3.5101 05/05/2017 1,200,000 1,226,417
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A) 9.02 03/16/2016 250,000 271,627
Government National Mortgage Association I, 6.5%, 2/15/32 6.5 02/15/2032 3,127,662 43,538
Government National Mortgage Association I, 6.5%, 3/15/29 6.5 03/15/2029 2,000,000 23,384
Sequoia Mortgage Trust 2013-9, 3.5%, 7/25/43 (144A) 3.5 07/25/2043 2,190,000 2,064,117
Standard Chartered Bank, 6.4%, 9/26/17 (144A) 6.4 09/26/2017 2,200,000 2,486,740
Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A) 1.87 08/20/2029 750,000 262,227
BioMed Realty LP, 4.25%, 7/15/22 4.25 07/15/2022 900,000 939,073
JP Morgan Mortgage Trust 2013-1, Floating Rate Note, 3/25/43 (144A) 2.5 03/25/2043 6,600,000 4,762,912
Government National Mortgage Association I, 6.5%, 10/15/32 6.5 10/15/2032 6,591,983 128,687
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 1.18 08/15/2017 2,126,000 582,045
Fannie Mae Pool, 4.0%, 4/25/42 4.0 11/13/2013 26,928,000 28,625,868
Government National Mortgage Association II, 7.0%, 11/20/28 7.0 11/20/2028 10,000,000 111,557
EP Energy LLC, 9.375%, 5/1/20 9.375 05/01/2020 1,800,000 2,050,875
Brown & Brown, Inc., 4.2%, 9/15/24 4.2 09/15/2024 5,000,000 5,048,693
Agilent Technologies, Inc., 6.5%, 11/1/17 6.5 11/01/2017 894,000 1,059,660
Federal Home Loan Mortgage Corp., 5.0%, 9/1/38 5.0 09/01/2038 7,240,000 704,490
Fannie Mae, 4.0%, 4/1/42 4.0 04/01/2042 1,100,000 799,493
Aspen Insurance Holdings, Ltd., Floating Rate Note (Perpetual) 5.95 12/31/2049 50,000 1,293,500
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 3.75 12/12/2019 590,405 588,929
Countrywide Asset-Backed Certificates, Floating Rate Note, 12/25/35 5.069 12/25/2035 10,124,000 1,974,756
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 1.252 12/05/2031 1,100,000 1,098,283
Federal Home Loan Mortgage Corp., 6.5%, 2/1/33 6.5 02/01/2033 62,297 4,227
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 2.0931 11/19/2026 4,000,000 1,660,227
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 0.902 12/25/2034 5,642,356 503,821
Government National Mortgage Association I, 6.5%, 1/15/34 6.5 01/15/2034 1,311,303 18,393
Fannie Mae, 7.0%, 12/1/31 7.0 12/01/2031 1,198,074 28,983
The Allstate Corp., Floating Rate Note, 1/15/53 5.1 01/15/2053 147,475 3,624,936
Government National Mortgage Association I, 7.0%, 9/15/31 7.0 09/15/2031 2,202,152 15,612
Government National Mortgage Association I, 6.5%, 10/15/31 6.5 10/15/2031 477,508 9,594
Government National Mortgage Association I, 5.5%, 2/15/18 5.5 02/15/2018 4,000,000 188,442
Government National Mortgage Association I, 6.5%, 6/15/35 6.5 06/15/2035 190,431 7,923
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 2.7 08/15/2018 850,000 869,160
Expedia, Inc., 5.95%, 8/15/20 5.95 08/15/2020 800,000 902,043
Bombardier, Inc., 4.75%, 4/15/19 (144A) 4.75 04/15/2019 1,960,000 2,018,038
Government National Mortgage Association I, 6.5%, 3/15/32 6.5 03/15/2032 975,284 27,002
Federal Home Loan Mortgage Corp., 5.5%, 11/1/35 5.5 11/01/2035 1,000,000 71,552
Government National Mortgage Association, Floating Rate Note, 2/16/53 1.0059 02/16/2053 12,000,000 857,581
Wells Fargo Mortgage Backed Securities 2004-K Trust, Floating Rate Note, 7/25/34 2.6157 07/25/2034 7,975,000 973,299
Government National Mortgage Association I, 7.0%, 7/15/31 7.0 07/15/2031 536,209 5,952
Barclays Bank Plc, 6.05%, 12/4/17 (144A) 6.05 12/04/2017 3,515,000 3,981,258
Approach Resources, Inc., 7.0%, 6/15/21 7.0 06/15/2021 1,500,000 1,419,667
Morgan Stanley, Floating Rate Note (Perpetual) 6.375 12/31/2049 110,230 2,778,898
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 8.5025 05/07/2015 750,000 789,459
OneBeacon US Holdings, Inc., 4.6%, 11/9/22 4.6 11/09/2022 1,000,000 1,057,210
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.5101 04/30/2018 350,000 356,396
Fannie Mae, 8.0%, 5/1/31 8.0 05/01/2031 45,000 414
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.432 11/25/2035 17,591,000 2,919,551
Sunoco Logistics Partners Operations LP, 6.1%, 2/15/42 6.1 02/15/2042 2,200,000 2,514,866
Government National Mortgage Association I, 7.0%, 8/15/31 7.0 08/15/2031 17,500,000 237,318
Sequoia Mortgage Trust 2004-12 REMICS, Floating Rate Note, 1/20/35 0.6154 01/20/2035 15,500,000 1,090,617
Government National Mortgage Association I, 5.5%, 7/15/33 5.5 07/15/2033 1,500,000 136,533
Fannie Mae, 4.0%, 4/1/41 4.0 04/01/2041 1,850,000 1,383,413
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 3.5 08/17/2020 1,410,750 1,393,986
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 2.3302 08/25/2033 18,254,000 1,233,819
Federal National Mortgage Association REMICS, 5.0%, 7/25/33 5.0 07/25/2033 5,000,000 920,109
Blue Danube II, Ltd., Floating Rate Note, 5/23/16 (Cat Bond) (144A) 4.2734 05/23/2016 500,000 513,386
Ensco Plc, 4.5%, 10/1/24 4.5 10/01/2024 4,725,000 4,804,082
Sirius International Group, Ltd., Floating Rate Note (Perpetual) (144A) 7.506 12/31/2049 2,110,000 2,268,671
Banc of America Alternative Loan Trust 2004-2, 5.5%, 3/25/19 5.5 03/25/2019 8,048,483 956,628
Fannie Mae, 6.0%, 5/1/35 6.0 05/01/2035 1,799,482 91,219
Government National Mortgage Association I, 5.5%, 2/15/35 5.5 02/15/2035 500,000 70,313
SLM Student Loan Trust 2004-10, Floating Rate Note, 4/27/26 (144A) 0.9841 04/27/2026 900,000 902,454
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 1,082,000 1,151,901
JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2, 3.6159%, 11/15/43 (144A) 3.6159 11/15/2043 1,600,000 1,689,247
Government National Mortgage Association I, 5.5%, 7/15/35 5.5 07/15/2035 5,500,000 846,031
TimberStar Trust 1 REMICS, 5.668%, 10/15/36 (144A) 5.668 10/15/2036 4,470,000 4,821,370
Scotiabank Peru SAA, Floating Rate Note, 12/13/27 (144A) 4.5 12/13/2027 2,600,000 2,573,350
Government National Mortgage Association I, 6.0%, 4/15/18 6.0 04/15/2018 1,038,016 31,983
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 3.9853 05/18/2016 1,200,000 1,240,248
Structured Asset Securities Corp Mortgage Loan Trust 2006-GEL4, Floating Rate Note, 10/25/36 (144A) 0.372 10/25/2036 5,952,000 2,292,378
Banc of America Mortgage Trust 2004-11, 5.75%, 1/25/35 5.75 01/25/2035 11,116,000 1,072,181
Holcim US Finance Sarl & Cie SCS, 6.0%, 12/30/19 (144A) 6.0 12/30/2019 475,000 558,043
Wells Fargo Commercial Mortgage Trust, 3.349%, 11/18/43 (144A) 3.349 11/18/2043 3,900,000 2,972,606
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A) 2.1 05/19/2031 1,800,000 1,761,809
Fannie Mae, 4.0%, 12/1/40 4.0 12/01/2040 1,900,000 1,359,625
Federal Home Loan Mortgage Corp., 5.5%, 12/1/18 5.5 12/01/2018 2,500,000 298,094
Fannie Mae, 5.5%, 7/1/33 5.5 07/01/2033 3,800,000 179,850
Bear Stearns ALT-A Trust 2005-1, Floating Rate Note, 1/25/35 0.712 01/25/2035 13,520,000 1,089,265
Digital Realty Trust LP, 5.875%, 2/1/20 5.875 02/01/2020 725,000 820,734
Government National Mortgage Association I, 7.5%, 8/15/29 7.5 08/15/2029 2,007,985 20,571
Dartmouth Zero% 31dec14 0.0 12/31/2014 1,700,000 1,683,000
NRG Energy, Inc., 8.25%, 9/1/20 8.25 09/01/2020 2,000,000 2,190,000
Fannie Mae, 4.5%, 2/1/41 4.5 02/01/2041 2,435,128 1,385,686
Orcal Geothermal, Inc., 6.21%, 12/30/20 (144A) 6.21 12/30/2020 1,730,000 698,889
COMM 2013-CCRE11 Mortgage Trust, Floating Rate Note, 10/10/46 (144A) 5.1716 10/10/2046 4,200,000 4,552,303
Government National Mortgage Association, 5.25%, 8/16/35 5.25 08/16/2035 450,000 812,664
Spectra Energy Capital LLC, 6.75%, 7/15/18 6.75 07/15/2018 1,500,000 1,735,829
AngloGold Ashanti Holdings Plc, 5.375%, 4/15/20 5.375 04/15/2020 2,335,000 2,313,053
Bayview Commercial Asset Trust 2007-2, 0.0%, 7/25/37 (Step) (144A) 0.0 07/25/2037 21,000,000 0
Silverton RE, Ltd., 0.0%, 9/16/16 (Cat Bond) (144A) 0.0 09/16/2016 250,000 302,600
JP Morgan Chase Commercial Mortgage Securities Trust 2013-ALC, Floating Rate Note, 7/17/26 (144A) 3.004 07/17/2026 1,368,000 1,381,800
Amherst College, 3.794%, 11/1/42 3.794 11/01/2042 525,000 509,647
Federal Home Loan Mortgage Corp., 4.5%, 11/1/40 4.5 11/01/2040 12,403,700 6,200,108
DCP Midstream LLC, Floating Rate Note, 5/21/43 (144A) 5.85 05/21/2043 3,950,000 4,003,325
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 3,475,000 189,726
Government National Mortgage Association I, 5.5%, 8/15/19 5.5 08/15/2019 4,380,618 300,632
Commonwealth Edison Co., 6.15%, 9/15/17 6.15 09/15/2017 980,000 1,116,825
The Bank of New York Mellon Corp., Floating Rate Note (Perpetual) 4.5 12/31/2049 1,250,000 1,203,281
Fannie Mae, 4.5%, 5/1/41 4.5 05/01/2041 454,433 200,019
Federal Home Loan Mortgage Corp., 6.0%, 3/1/33 6.0 03/01/2033 5,524,534 293,076
FPL Energy Wind Funding LLC, 6.876%, 6/27/17 (144A) 6.876 06/27/2017 1,050,000 97,104
Hologic, Inc., Refinancing Tranche B Term Loan, 8/1/19 3.25 08/01/2019 554,431 551,362
JobsOhio Beverage System, 3.985%, 1/1/29 3.985 01/01/2029 4,075,000 4,230,393
JP Morgan Chase Commercial Mortgage Securities Trust 2014-CBM, Floating Rate Note, 10/15/29 (144A) 2.107 10/15/2029 4,600,000 4,600,000
Terwin Mortgage Trust Series TMTS 2005-16HE, 4.761%, 9/25/36 (Step) 4.761 09/25/2036 14,000,000 2,872,226
Blackstone Holdings Finance Co LLC, 4.75%, 2/15/23 (144A) 4.75 02/15/2023 4,200,000 4,613,254
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 1.6 06/19/2031 600,000 583,644
FREMF Mortgage Trust 2011-K10 , Floating Rate Note, 11/25/49 (144A) 4.7744 11/25/2049 1,500,000 1,616,733
Fannie Mae, 7.0%, 12/1/30 7.0 12/01/2030 525,099 10,155
FREMF Mortgage Trust 2011-K702, Floating Rate Note, 4/25/44 (144A) 4.9361 04/25/2044 5,380,000 5,780,823
Fannie Mae, 5.0%, 2/1/22 5.0 02/01/2022 450,000 26,285
PPL Capital Funding, Inc., 5.9%, 4/30/73 5.9 04/30/2073 164,000 3,993,400
Bella Vista Mortgage Trust 2004-1, Floating Rate Note, 11/20/34 0.857 11/20/2034 66,102,000 1,851,034
Alta Wind Holdings LLC, 7.0%, 6/30/35 (144A) 7.0 06/30/2035 700,000 683,792
SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A) 2.0 09/20/2029 1,200,000 633,783
Federal Home Loan Mortgage Corp., 3.5%, 11/1/28 3.5 11/01/2028 2,200,200 2,173,338
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 6.0042 04/10/2015 250,000 254,242
Resolute Forest Products, Inc., 5.875%, 5/15/23 5.875 05/15/2023 1,280,000 1,260,276
Kane-Pi5 Zero% 18jul16 0.0 07/18/2016 1,004,000 1,065,043
Lehman ABS Manufactured Housing Contract Trust 2001-B, 5.873%, 5/15/41 5.873 05/15/2041 2,450,000 362,968
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 0.502 08/25/2036 1,525,000 393,224
Spirit Master Funding LLC, 5.74%, 3/20/42 (144A) 5.74 03/20/2042 268,008 296,265
Banc of America Alternative Loan Trust 2004-10, 5.5%, 11/25/19 5.5 11/25/2019 5,500,000 770,801
Federal Home Loan Mortgage Corp., 4.5%, 11/1/43 4.5 11/01/2043 637,703 555,364
Federal Home Loan Mortgage Corp., 6.5%, 5/1/31 6.5 05/01/2031 100,010 185
CommScope, Inc., Tranche 4 Term Loan, 1/14/18 3.25 01/14/2018 492,257 491,949
Enel S.p.A., Floating Rate Note, 9/24/73 (144A) 8.133 09/24/2073 2,320,000 2,729,464
Fannie Mae, 4.5%, 11/1/43 4.5 11/01/2043 430,000 446,318
Fannie Mae, 6.0%, 3/1/33 6.0 03/01/2033 230,257 17,717
Nakilat, Inc., 6.267%, 12/31/33 (144A) 6.267 12/31/2033 2,450,000 2,588,973
Government National Mortgage Association I, 6.0%, 10/15/34 6.0 10/15/2034 2,897,739 426,585
JP Morgan Chase Commercial Mortgage Securities Trust 2013-FL3, Floating Rate Note, 4/17/28 (144A) 1.954 04/17/2028 1,500,000 1,500,619
Fannie Mae, 6.0%, 9/1/34 6.0 09/01/2034 6,273,165 186,456
Government National Mortgage Association I, 6.0%, 2/15/29 6.0 02/15/2029 2,700,000 166,540
Federal Home Loan Mortgage Corp., 3.0%, 8/1/29 3.0 08/01/2029 4,875,000 5,003,331
Platinum Underwriters Finance, Inc., 7.5%, 6/1/17 7.5 06/01/2017 5,048,000 5,823,443
Morgan Stanley Capital I, Inc., Floating Rate Note, 10/15/20 (144A) 0.284 10/15/2020 5,102,000 5,093,960
Federal Home Loan Mortgage Corp., 6.5%, 11/1/33 6.5 11/01/2033 1,109,301 171,384
CSMC Trust 2013-IVR4, Floating Rate Note, 7/27/43 (144A) 3.0 07/27/2043 3,790,000 3,552,805
Government National Mortgage Association I, 4.5%, 10/15/35 4.5 10/15/2035 2,106,954 273,987
Government National Mortgage Association I, 6.0%, 10/15/36 6.0 10/15/2036 3,000,000 189,236
Immucor, Inc., Term B-2 Loan, 8/19/18 5.0 08/19/2018 2,139,414 2,139,859
Foundation Re III, Ltd., Floating Rate Note, 2/25/15 (Cat Bond) (144A) 5.03 02/25/2015 2,300,000 2,347,381
STORE Master Funding LLC, 5.77%, 8/20/42 (144A) 5.77 08/20/2042 2,095,000 2,175,129
Morgan Stanley Capital I Trust 2005-HQ6 REMICS, Floating Rate Note, 8/13/42 5.073 08/13/2042 2,400,000 2,461,244
COMM 2012-CCRE4 Mortgage Trust, 2.436%, 10/17/45 2.436 10/17/2045 915,000 911,994
Federal National Mortgage Association REMICS, 10.3%, 4/25/19 10.3 04/25/2019 1,000,000 4,239
Pinnacle Entertainment, Inc., Tranche B-2 Term Loan, 8/13/20 3.75 08/13/2020 787,500 779,871
Government National Mortgage Association I, 4.5%, 12/15/39 4.5 12/15/2039 9,079,200 2,365,886
CSMC Trust 2013-IVR2, Floating Rate Note, 4/25/43 (144A) 1.55 04/25/2043 8,805,000 7,376,208
Government National Mortgage Association I, 6.0%, 9/15/32 6.0 09/15/2032 1,406,079 113,955
Alexandria Real Estate Equities, Inc., 3.9%, 6/15/23 3.9 06/15/2023 1,093,000 1,114,152
PHH Mortgage Capital LLC, 7.0%, 12/25/27 (Step) (144A) 7.0 12/25/2027 4,250,000 325,933
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.102 10/25/2037 1,079,000 286,260
Government National Mortgage Association I, 7.0%, 12/15/30 7.0 12/15/2030 500,000 5,317
Federal Home Loan Mortgage Corp., 6.0%, 5/1/34 6.0 05/01/2034 7,192,224 812,585
Fannie Mae, 4.0%, 7/1/18 4.0 07/01/2018 675,000 40,261
Federal Home Loan Mortgage Corp., 7.0%, 8/1/22 7.0 08/01/2022 687,553 115,617
RALI Series 2003-QS13 Trust, Floating Rate Note, 7/25/33 0.702 07/25/2033 8,990,000 975,159
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 0.402 10/25/2035 4,359,000 601,732
Nissan Motor Acceptance Corp., 4.5%, 1/30/15 (144A) 4.5 01/30/2015 790,000 806,622
Home Equity Asset Trust 2005-7, Floating Rate Note, 1/25/36 0.532 01/25/2036 750,000 400,297
Government National Mortgage Association I, 6.0%, 9/15/33 6.0 09/15/2033 500,663 27,966
Westgate Resorts 2014-1 LLC, 2.15%, 12/20/26 (144A) 2.15 12/20/2026 3,500,000 3,339,461
Citigroup Mortgage Loan Trust, Inc. REMICS, Floating Rate Note, 8/25/34 2.1813 08/25/2034 15,850,000 2,892,444
Fannie Mae, 4.0%, 2/1/44 4.0 02/01/2044 14,000,000 14,086,571
Federal Home Loan Mortgage Corp., 4.5%, 3/1/20 4.5 03/01/2020 4,000,000 280,174
The Allstate Corp., Floating Rate Note, 5/15/57 6.5 05/15/2057 5,455,000 6,201,502
Wells Fargo Mortgage Backed Securities Trust, Floating Rate Note, 8/25/34 2.6152 08/25/2034 17,226,000 976,247
Fannie Mae, 7.0%, 9/1/31 7.0 09/01/2031 2,000,000 10,898
Government National Mortgage Association I, 5.5%, 2/15/37 5.5 02/15/2037 575,000 81,982
GTP Acquisition Partners I LLC, 4.347%, 6/15/41 (144A) 4.347 06/15/2041 3,355,000 3,435,178
Fannie Mae, 5.0%, 5/1/23 5.0 05/01/2023 4,380,644 656,466
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 8.5051 05/09/2016 300,000 322,145
Motiva Enterprises LLC, 6.85%, 1/15/40 (144A) 6.85 01/15/2040 3,800,000 4,935,069
FREMF Mortgage Trust 2010-K9 REMICS, Floating Rate Note, 9/25/45 (144A) 5.1934 09/25/2045 890,000 987,242
COMM 2012-LC4 Mortgage Trust, 4.063%, 12/12/44 4.063 12/12/2044 4,000,000 4,231,627
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1.7601 01/07/2019 500,000 490,453
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 (144A) 0.422 04/25/2032 19,275,000 1,812,790
Government National Mortgage Association I, 6.5%, 12/15/32 6.5 12/15/2032 25,822,328 620,154
Expedia, Inc., 4.5%, 8/15/24 4.5 08/15/2024 4,300,000 4,303,483
SNAAC Auto Receivables Trust 2013-1, 1.14%, 7/16/18 (144A) 1.14 07/16/2018 2,100,000 353,737
Government National Mortgage Association I, 6.0%, 9/15/33 6.0 09/15/2033 904,389 88,964
Nuance Communications, Inc., Term C Loan, 8/7/19 2.91 08/07/2019 371,682 365,642
Fannie Mae, 6.5%, 3/1/32 6.5 03/01/2032 3,500,000 93,926
DCP Midstream LLC, 9.75%, 3/15/19 (144A) 9.75 03/15/2019 2,900,000 3,745,795
Fannie Mae, 6.5%, 10/1/31 6.5 10/01/2031 1,000,100 14,433
The Goldman Sachs Group, Inc., 5.5%, 11/15/14 5.5 11/15/2014 2,000,000 2,053,466
Rosneft Finance SA, 7.5%, 7/18/16 (144A) 7.5 07/18/2016 2,080,000 2,207,833
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 1/25/35 2.3726 01/25/2035 2,680,000 633,928
Selma Industrial Development Board, 5.8%, 5/1/34 5.8 05/01/2034 2,310,000 2,664,192
Fannie Mae, 7.0%, 9/1/31 7.0 09/01/2031 2,000,000 20,052
Government National Mortgage Association II, 7.0%, 12/20/30 7.0 12/20/2030 400,864 3,414
Federal Home Loan Mortgage Corp., 5.5%, 8/1/35 5.5 08/01/2035 5,000,000 353,542
Government National Mortgage Association I, 6.5%, 10/15/31 6.5 10/15/2031 9,167,721 151,792
Marathon Oil Corp., 5.9%, 3/15/18 5.9 03/15/2018 901,000 1,024,308
Fannie Mae, 6.0%, 9/1/34 6.0 09/01/2034 352,132 20,951
Government National Mortgage Association I, 5.0%, 7/15/19 5.0 07/15/2019 26,391 2,070
Fannie Mae, 8.0%, 4/1/20 8.0 04/01/2020 215,000 1,679
Federal Home Loan Mortgage Corp., 5.0%, 11/1/34 5.0 11/01/2034 250,000 28,593
Fannie Mae, 4.0%, 12/1/41 4.0 12/01/2041 5,950,000 2,923,421
Fannie Mae, 4.5%, 12/1/43 4.5 12/01/2043 20,516,456 18,336,712
Huntsman International LLC, Extended Term B Loan, 4/19/17 2.6826 04/19/2017 254,694 252,306
Nordea Bank AB, 4.25%, 9/21/22 (144A) 4.25 09/21/2022 4,500,000 4,698,271
Structured Asset Mortgage Investments Trust 2003-AR2, Floating Rate Note, 12/19/33 0.897 12/19/2033 20,990,377 1,080,625
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 0.3083 05/15/2047 1,100,000 425,075
New York State Electric & Gas Corp., 6.15%, 12/15/17 (144A) 6.15 12/15/2017 5,055,000 5,803,652
A10 Term Asset Financing 2013-2 LLC, 2.62%, 11/15/27 (144A) 2.62 11/15/2027 2,794,000 2,808,714
Residential Asset Securitization Trust 2004-A10, 5.5%, 2/25/35 5.5 02/25/2035 9,400,000 235,760
Government National Mortgage Association I, 4.5%, 8/15/41 4.5 08/15/2041 5,900,000 2,737,018
Federal Home Loan Mortgage Corp., 3.5%, 8/1/43 3.5 08/01/2043 4,521,618 4,464,095
RESI Finance LP, Floating Rate Note, 9/10/35 (144A) 1.5518 09/10/2035 2,500,000 471,083
Fannie Mae, 8.0%, 4/1/30 8.0 04/01/2030 150,000 762
First Horizon Mortgage Pass-Through Trust 2005-AR1, Floating Rate Note, 4/25/35 2.5736 04/25/2035 2,113,000 431,512
Delphi Corp., 4.15%, 3/15/24 4.15 03/15/2024 5,400,000 5,568,862
Blackstone Holdings Finance Co LLC, 5.0%, 6/15/44 (144A) 5.0 06/15/2044 1,725,000 1,882,448
Government National Mortgage Association I, 6.5%, 9/15/34 6.5 09/15/2034 121,399 4,899
Fannie Mae, 4.5%, 12/1/43 4.5 12/01/2043 20,000,000 19,854,831
Government National Mortgage Association I, 6.0%, 10/15/32 6.0 10/15/2032 2,001,957 57,778
Morgan Stanley Capital I, Inc., Floating Rate Note, 10/15/20 (144A) 0.254 10/15/2020 2,000,000 565,441
Fannie Mae, 7.0%, 1/1/32 7.0 01/01/2032 1,701,763 31,467
Federal Home Loan Mortgage Corp., 6.5%, 1/1/33 6.5 01/01/2033 39,165 516
Federal Home Loan Mortgage Corp., 6.5%, 8/1/31 6.5 08/01/2031 1,070,805 5,033
Fannie Mae, 3.0%, 12/1/42 3.0 12/01/2042 2,352,529 2,108,977
Government National Mortgage Association II, 5.5%, 10/20/19 5.5 10/20/2019 4,728,248 546,454
International Paper Co., 3.65%, 6/15/24 3.65 06/15/2024 6,975,000 6,996,489
Standard Aero, Ltd., Replacement Tranche B-2 Loan, 11/2/18 5.0 11/02/2018 609,421 609,802
Fannie Mae, 6.0%, 8/1/32 6.0 08/01/2032 315,000 7,705
Bway Holding Co 1st Lien Tl-B L + 4.5% 08aug20 5.5 08/08/2020 199,500 200,498
Bear Stearns ARM Trust 2003-5, Floating Rate Note, 8/25/33 2.325 08/25/2033 10,580,000 809,115
Fannie Mae, 4.5%, 7/1/41 4.5 07/01/2041 5,000,000 2,490,951
Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43 2.1467 06/25/2043 24,278,000 838,763
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 2.402 03/25/2032 2,200,000 893,576
Fannie Mae, 5.5%, 6/1/36 5.5 06/01/2036 6,000,000 434,983
Applebee's/IHOP Funding LLC, 4.277%, 9/5/44 (144A) 4.277 09/05/2044 2,600,000 2,600,346
Chemtura Corp., New Term Loan, 8/29/16 3.5 08/29/2016 801,537 801,537
HCA, Inc., Tranche B-4 Term Loan, 5/1/18 2.9831 05/01/2018 740,421 737,798
CVS Health Corp., 2.25%, 8/12/19 2.25 08/12/2019 650,000 650,323
Chrysler Group LLC, Term Loan B, 5/24/17 3.5 05/24/2017 3,787,763 3,771,979
Fannie Mae, 4.5%, 11/1/43 4.5 11/01/2043 800,000 801,067
Verizon Communications, Inc., 5.15%, 9/15/23 5.15 09/15/2023 5,100,000 5,744,990
GMAC Commercial Mortgage Securities Inc Series 2004-C3 Trust, 4.864%, 12/10/41 4.864 12/10/2041 3,375,000 559,880
Verizon Communications, Inc., 5.012%, 8/21/54 (144A) 5.012 08/21/2054 1,938,000 1,991,011
Federal Home Loan Mortgage Corp., 6.5%, 1/1/31 6.5 01/01/2031 47,714 377
KLA-Tencor Corp., 6.9%, 5/1/18 6.9 05/01/2018 3,100,000 3,696,099
Banc of America Mortgage Trust 2004-9, 5.5%, 11/25/34 5.5 11/25/2034 2,350,000 1,140,784
FREMF Mortgage Trust 2010-K7, Floating Rate Note, 5/25/29 (144A) 5.4347 05/25/2029 850,000 953,355
Government National Mortgage Association I, 6.5%, 7/15/32 6.5 07/15/2032 5,169,128 54,563
MASTR Alternative Loan Trust 2004-10, 5.5%, 10/25/19 5.5 10/25/2019 10,100,000 825,498
Fannie Mae, 3.5%, 11/18/14 3.5 11/18/2014 3,800,000 4,021,217
Federal Home Loan Mortgage Corp., 5.5%, 9/1/33 5.5 09/01/2033 5,200,000 444,584
Electricite de France SA, Floating Rate Note (Perpetual) (144A) 5.25 12/31/2049 2,150,000 2,259,471
Fannie Mae, 6.0%, 11/1/34 6.0 11/01/2034 271,485 22,274
U.S. Treasury Inflation Indexed Bonds, 0.125%, 7/15/24 0.125 07/15/2024 30,775,000 29,993,674
Diamond Offshore Drilling, Inc., 3.45%, 11/1/23 3.45 11/01/2023 6,215,000 5,985,151
Government National Mortgage Association I, 6.0%, 1/15/19 6.0 01/15/2019 548,488 34,655
Fannie Mae, 4.0%, 7/1/42 4.0 07/01/2042 8,163,233 6,699,010
Tufts University, 5.017%, 4/15/12 5.017   3,550,000 3,908,826
The Hanover Insurance Group, Inc., 7.5%, 3/1/20 7.5 03/01/2020 700,000 837,673
Government National Mortgage Association I, 6.0%, 1/15/17 6.0 01/15/2017 705,441 9,567
Government National Mortgage Association I, 5.5%, 8/15/33 5.5 08/15/2033 400,000 33,885
CNH Equipment Trust 2013-A, 0.69%, 6/15/18 0.69 06/15/2018 1,200,000 1,201,239
GS Mortgage Securities Corp II, 3.682%, 2/12/46 (144A) 3.682 02/12/2046 1,000,000 1,007,573
HLSS Servicer Advance Receivables Trust, 1.2437%, 1/17/45 1.2437 01/17/2045 1,300,000 1,301,109
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 1.303 05/07/2024 400,000 402,310
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 6/25/33 5.5 06/25/2033 1,000,000 223,550
Fannie Mae, 5.5%, 7/1/34 5.5 07/01/2034 13,142,000 1,270,247
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 2.35 10/25/2035 1,049,340 266,044
Crown Castle Towers LLC, 6.113%, 1/15/20 (144A) 6.113 01/15/2020 1,625,000 1,881,883
Impac CMB Trust Series 2004-5, Floating Rate Note, 10/25/34 0.872 10/25/2034 9,913,800 567,070
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 3.7703 04/24/2017 550,000 556,029
Fannie Mae, 3.0%, 8/1/42 3.0 08/01/2042 24,375,000 22,540,519
UBS AG, 7.625%, 8/17/22 7.625 08/17/2022 4,400,000 5,261,650
Embarcadero Reinsurance, Ltd., Floating Rate Note, 8/7/15 (Cat Bond) (144A) 5.0304 08/07/2015 650,000 666,315
Kiowa Power Partners LLC, 5.737%, 3/30/21 (144A) 5.737 03/30/2021 2,105,000 2,021,573
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 2.5 03/20/2025 550,000 241,517
Allison Transmission, Inc., Term B-3 Loan, 8/23/19 3.75 08/23/2019 1,140,047 1,132,921
Tasc Inc/Va 1st Lien Tl-B L + 5.5% 12may20 6.5 05/12/2020 646,152 638,075
NYU Hospitals Center, 4.428%, 7/1/42 4.428 07/01/2042 2,400,000 2,404,205
Aircastle, Ltd., 6.75%, 4/15/17 6.75 04/15/2017 2,800,000 3,004,400
Fannie Mae, 3.0%, 11/18/14 3.0 11/18/2014 3,900,000 4,050,252
Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 6.0 12/01/2033 635,770 42,929
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 6.5 08/15/2030 2,083,000 1,177,106
CWABS Asset-Backed Certificates Trust 2004-7, Floating Rate Note, 12/25/34 1.202 12/25/2034 1,400,000 810,055
Government National Mortgage Association I, 6.5%, 11/15/32 6.5 11/15/2032 3,929,947 94,535
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 1.357 11/20/2036 5,300,000 1,315,188
Fannie Mae, 6.0%, 2/1/33 6.0 02/01/2033 2,200,000 28,817
Government National Mortgage Association I, 5.0%, 7/15/33 5.0 07/15/2033 1,500,150 178,444
Government National Mortgage Association I, 7.0%, 10/15/31 7.0 10/15/2031 2,044,706 7,700
Capital Auto Receivables Asset Trust/ Ally, 1.74%, 10/22/18 1.74 10/22/2018 1,900,000 1,905,642
Sequoia Mortgage Trust 2003-2, Floating Rate Note, 6/20/33 0.817 06/20/2033 53,080,000 3,196,368
Irwin Whole Loan Home Equity Trust 2005-C, Floating Rate Note, 3/25/25 1.202 03/25/2025 800,000 285,701
Government National Mortgage Association I, 6.5%, 10/15/33 6.5 10/15/2033 32,450 2,927
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 0.602 04/28/2039 1,486,142 1,469,773
Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 6.0 12/01/2033 2,000,000 182,355
STORE Master Funding LLC, 4.16%, 3/20/43 (144A) 4.16 03/20/2043 300,000 299,237
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 0.652 06/25/2035 4,920,000 1,786,819
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 1,500,000 1,570,763
Thornburg Mortgage Securities Trust 2004-3, Floating Rate Note, 9/25/34 0.892 09/25/2034 32,426,000 2,888,189
Fannie Mae, 4.5%, 1/1/42 4.5 01/01/2042 23,783,862 12,548,955
DigitalGlobe, Inc., Term Loan, 1/31/20 3.75 01/31/2020 1,300,200 1,294,512
Federal National Mortgage Association REMICS, 4.5%, 6/25/29 4.5 06/25/2029 1,000,000 874,240
Federal Home Loan Mortgage Corp., 5.0%, 10/1/38 5.0 10/01/2038 6,600,000 669,928
County of Sweetwater Wyoming, 5.6%, 12/1/35 5.6 12/01/2035 995,000 1,037,649
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 0.402 02/25/2030 11,253,656 1,616,321
Glenn Pool Oil & Gas Trust, Term Loan, 5/2/16 4.5 05/02/2016 1,048,629 1,051,251
Government National Mortgage Association I, 6.5%, 1/15/33 6.5 01/15/2033 25,065,172 640,818
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 3,044,810 166,155
PFS Financing Corp., Floating Rate Note, 10/15/19 (144A) 1.0826 10/15/2019 1,000,000 1,000,511
Government National Mortgage Association I, 4.0%, 11/20/14 4.0 11/20/2014 36,384,000 38,978,554
Fannie Mae, 6.0%, 2/1/35 6.0 02/01/2035 180,000 20,421
Government National Mortgage Association, Floating Rate Note, 3/16/53 1.0162 03/16/2053 8,300,000 564,405
FPL Energy American Wind LLC, 6.639%, 6/20/23 (144A) 6.639 06/20/2023 2,520,000 656,605
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 11/25/34 0.952 11/25/2034 75,831,301 1,917,580
Government National Mortgage Association I, 6.5%, 5/15/32 6.5 05/15/2032 1,000,000 14,531
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/31 5.0 12/15/2031 2,100,000 2,338,852
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 0.752 06/25/2034 34,555,000 2,830,397
Fannie Mae, 6.5%, 7/1/34 6.5 07/01/2034 1,095,000 35,507
Fannie Mae, 6.0%, 1/1/29 6.0 01/01/2029 60,204 1,253
Weatherford International, Ltd. Bermuda, 9.625%, 3/1/19 9.625 03/01/2019 2,815,000 3,642,432
Clearwater Paper Corp., 4.5%, 2/1/23 4.5 02/01/2023 1,285,000 1,267,331
Fannie Mae, 6.5%, 12/1/31 6.5 12/01/2031 3,300,000 160,460
Commercial Metals Co., 4.875%, 5/15/23 4.875 05/15/2023 3,550,000 3,541,051
Federal Home Loan Mortgage Corp., 6.0%, 1/1/34 6.0 01/01/2034 500,000 55,037
CHS, 2021 Term D Loan, 1/27/21 4.25 01/27/2021 3,196,526 3,203,520
Government National Mortgage Association I, 4.5%, 10/15/33 4.5 10/15/2033 2,981,200 309,600
Bayview Opportunity Master Fund Trust, Floating Rate Note, 1/28/33 (144A) 2.9814 01/28/2033 1,000,000 295,767
Sequoia Mortgage Trust 2013-6, Floating Rate Note, 5/26/43 3.0 05/26/2043 2,450,000 2,239,496
Government National Mortgage Association I, 7.5%, 12/15/31 7.5 12/15/2031 7,728,804 70,272
American Honda Finance Corp., 1.2%, 7/14/17 1.2 07/14/2017 5,985,000 6,000,048
COMM 2013-LC6 Mortgage Trust, 2.941%, 1/12/46 2.941 01/12/2046 1,900,000 1,892,101
Mondelez International, Inc., 6.5%, 2/9/40 6.5 02/09/2040 2,581,000 3,324,102
Icon Brand Holdings LLC, 4.229%, 1/25/43 (144A) 4.229 01/25/2043 1,391,000 1,222,426
Structured Asset Securities Corp., 4.77%, 10/25/34 (Step) 4.77 10/25/2034 2,100,000 179,916
Fannie Mae, 7.0%, 12/1/30 7.0 12/01/2030 499,950 872
State Street Corp., Floating Rate Note, 12/31/73 5.9 12/31/2073 54,200 1,414,620
Bowdoin College, 4.693%, 7/1/12 4.693   1,000,000 992,762
Aegis Asset Backed Securities Trust 2005-5, Floating Rate Note, 12/25/35 0.422 12/25/2035 5,250,000 1,342,006
Government National Mortgage Association I, 4.5%, 4/15/35 4.5 04/15/2035 1,999,800 321,141
Mellon Funding Corp., 5.5%, 11/15/18 5.5 11/15/2018 2,505,000 2,900,096
WaMu Mortgage Pass-Through Certificates Series 2004-AR14 Trust, Floating Rate Note, 1/25/35 2.396 01/25/2035 15,238,744 3,263,280
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 2.02 01/15/2019 1,200,000 1,205,305
Government National Mortgage Association, 3.0%, 4/20/41 3.0 04/20/2041 2,000,000 1,747,151
LSTAR Commercial Mortgage Trust, Floating Rate Note, 6/25/43 (144A) 5.3378 06/25/2043 1,395,000 1,188,199
Fannie Mae, 4.0%, 1/1/42 4.0 01/01/2042 1,821,298 851,527
FREMF Mortgage Trust 2013-K502, Floating Rate Note, 3/27/45 (144A) 3.3081 03/27/2045 900,000 906,237
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 11/25/33 2.5666 11/25/2033 9,200,000 492,749
Federal Home Loan Mortgage Corp., 5.5%, 11/1/34 5.5 11/01/2034 1,900,000 221,260
Ras Laffan Liquefied Natural Gas Co, Ltd. III, 5.832%, 9/30/16 (144A) 5.832 09/30/2016 1,605,000 643,313
Government National Mortgage Association I, 5.5%, 10/15/35 5.5 10/15/2035 2,002,398 316,806
Government National Mortgage Association I, 7.0%, 4/15/28 7.0 04/15/2028 266,017 2,860
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 3.9669 08/25/2053 1,450,000 1,220,783
Structured Asset Securities Corp Trust 2005-14, Floating Rate Note, 7/25/35 0.452 07/25/2035 6,935,000 720,841
COMM 2012-CCRE2 Mortgage Trust REMICS, 3.791%, 8/17/45 3.791 08/17/2045 450,000 466,773
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 8.0059 05/07/2015 500,000 524,459
Sequoia Mortgage Trust 2013-7, Floating Rate Note, 6/25/43 3.0 06/25/2043 1,841,592 1,683,027
Eaton Vance Corp., 6.5%, 10/2/17 6.5 10/02/2017 733,000 834,044
Fannie Mae, 4.0%, 2/1/43 4.0 02/01/2043 2,065,000 1,620,895
Halliburton Co., 7.6%, 8/15/96 (144A) 7.6   1,300,000 1,965,861
Federal Home Loan Mortgage Corp., 6.5%, 4/1/34 6.5 04/01/2034 299,956 4,537
Texas Competitive Electric Holdings Co LLC, DIP Delayed Draw Term Loan (2014), 5/5/16 3.75 05/05/2016 1,285,660 1,294,660
Citigroup, Inc., Floating Rate Note (Perpetual) 5.9 12/31/2049 2,000,000 2,014,911
The PNC Financial Services Group, Inc., Floating Rate Note (Perpetual) 6.75 12/31/2049 1,320,000 1,463,055
Microsemi Corp., Term Loan (2014), 3/14/21 3.25 03/14/2021 395,014 389,871
Activision Blizzard, Inc., Term Loan, 7/26/20 3.25 07/26/2020 300,000 300,094
Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A) 1.55 11/15/2017 1,326,000 1,331,395
Government National Mortgage Association I, 4.5%, 4/15/35 4.5 04/15/2035 200,000 24,861
WideOpenWest Finance LLC, Term B Loan, 4/1/19 4.75 04/01/2019 160,699 160,783
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 3,750,000 553,743
LB-UBS Commercial Mortgage Trust 2005-C2 REMICS, Floating Rate Note, 4/15/30 5.205 04/15/2030 2,255,000 2,297,418
Valmont Industries, Inc., 6.625%, 4/20/20 6.625 04/20/2020 604,000 715,522
Cisco Systems, Inc., 3.625%, 3/4/24 3.625 03/04/2024 3,485,000 3,617,885
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 2.5528 10/15/2015 3,134,000 3,158,141
Hyundai Capital America, 1.45%, 2/6/17 (144A) 1.45 02/06/2017 2,245,000 2,254,435
Santander Drive Auto Receivables Trust 2012-4, 1.83%, 3/15/17 1.83 03/15/2017 815,000 818,224
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 7.2675 07/05/2016 1,100,000 1,161,537
Federal Home Loan Mortgage Corp., 4.0%, 2/1/44 4.0 02/01/2044 700,000 739,955
Texas Transportation Commission State Highway Fund, 5.0%, 4/1/33 5.0 04/01/2033 1,000,000 1,189,697
PNC Bank NA, 6.0%, 12/7/17 6.0 12/07/2017 1,435,000 1,651,860
COMM 2012-CCRE2 Mortgage Trust, 3.147%, 8/15/45 3.147 08/15/2045 850,000 865,542
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 3.0806 07/15/2023 750,000 720,487
Federal Home Loan Mortgage Corp., 6.5%, 6/1/32 6.5 06/01/2032 39,022 314
Louisiana Local Government Environmental Facilities & Community Development Authority, 6.5%, 11/1/35 6.5 11/01/2035 2,350,000 2,857,953
Fannie Mae, 8.0%, 7/1/30 8.0 07/01/2030 100,000 601
Government National Mortgage Association I, 7.5%, 2/15/26 7.5 02/15/2026 893,000 2,080
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/34 5.0 06/15/2034 1,925,000 94,233
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 0.652 06/28/2044 400,000 397,455
Corporate Office Properties LP, 3.6%, 5/15/23 3.6 05/15/2023 1,500,000 1,469,283
Brocade Communications Systems, Inc., 4.625%, 1/15/23 4.625 01/15/2023 2,860,000 2,827,448
JP Morgan Mortgage Trust 2014-1 REMICS, Floating Rate Note, 1/25/44 (144A) 3.5 01/25/2044 1,000,000 977,566
Fannie Mae, 4.5%, 11/1/40 4.5 11/01/2040 8,151,476 3,584,889
GSR Mortgage Loan Trust 2005-AR1, Floating Rate Note, 1/25/35 2.6649 01/25/2035 5,115,000 1,084,747
Government National Mortgage Association I, 5.5%, 6/15/35 5.5 06/15/2035 900,000 180,222
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 4.5101 12/06/2016 2,800,000 2,926,000
Public Service Co of New Mexico, 7.95%, 5/15/18 7.95 05/15/2018 2,690,000 3,304,927
Fannie Mae, 4.0%, 6/1/42 4.0 06/01/2042 3,678,905 1,374,410
Fannie Mae, 6.0%, 9/1/34 6.0 09/01/2034 2,000,000 87,257
Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34 0.892 11/25/2034 44,417,000 2,899,510
Ally Financial, Inc., 5.125%, 9/30/24 5.125 09/30/2024 5,050,000 5,276,310
Government National Mortgage Association II, 4.5%, 1/20/35 4.5 01/20/2035 2,500,000 484,897
Government National Mortgage Association II, 6.5%, 3/20/29 6.5 03/20/2029 100,000 1,548
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 9.0101 06/06/2015 1,125,000 1,185,525
Bayview Financial Mortgage Pass-Through Trust 2006-A, 5.865%, 2/28/41 (Step) 5.865 02/28/2041 1,462,628 1,510,158
Verizon Communications, Inc., 6.55%, 9/15/43 6.55 09/15/2043 1,934,000 2,454,199
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 6.5 08/15/2030 2,800,000 370,793
Fannie Mae, 4.5%, 7/1/41 4.5 07/01/2041 750,000 449,534
Federal Home Loan Mortgage Corp., 6.5%, 10/1/33 6.5 10/01/2033 2,000,000 58,792
TimberStar Trust 1, 5.7467%, 10/15/36 (144A) 5.7467 10/15/2036 1,435,000 1,537,456
Government National Mortgage Association I, 6.0%, 1/15/33 6.0 01/15/2033 2,500,000 54,806
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 0.3233 04/16/2035 4,102,315 1,733,386
Bank of America Corp., Floating Rate Note, 9/29/49 6.25 09/29/2049 2,350,000 2,369,910
JP Morgan Mortgage Trust 2014-2, Floating Rate Note, 6/25/29 (144A) 3.0 06/25/2029 10,055,000 9,872,341
Fannie Mae, 4.0%, 4/1/42 4.0 04/01/2042 2,200,000 1,154,533
Government National Mortgage Association I, 6.5%, 4/15/31 6.5 04/15/2031 8,257,522 120,725
NBTY, Inc., Term B-2 Loan, 10/1/17 3.5 10/01/2017 861,429 845,061
Igloo Holdings Corp., 8.25%, 12/15/17 (144A) (PIK) 8.25 12/15/2017 2,875,000 2,989,760
Government National Mortgage Association I, 6.5%, 1/15/35 6.5 01/15/2035 62,679 2,501
Liberty Mutual Insurance Co., 7.697% (Perpetual) (144A) 7.697   5,325,000 6,415,799
Fannie Mae, 3.5%, 12/1/26 3.5 12/01/2026 4,340,805 2,328,119
Sirius International Group, Ltd., 6.375%, 3/20/17 (144A) 6.375 03/20/2017 3,600,000 4,015,870
Indianapolis Airport Authority, 5.1%, 1/15/17 5.1 01/15/2017 1,000,000 1,104,537
Government National Mortgage Association I, 5.5%, 11/15/34 5.5 11/15/2034 4,800,000 793,902
Gold Fields Orogen Holdings BVI, Ltd., 4.875%, 10/7/20 (144A) 4.875 10/07/2020 4,300,000 3,840,975
Wells Fargo & Co., 7.5% (Perpetual) 7.5 12/31/2049 5,610 6,754,440
DIRECTV Holdings LLC, 3.8%, 3/15/22 3.8 03/15/2022 6,200,000 6,345,679
Capital One Bank USA NA, 8.8%, 7/15/19 8.8 07/15/2019 1,465,000 1,886,381
Government National Mortgage Association I, 3.5%, 11/20/14 3.5 11/20/2014 13,638,000 14,267,579
Government National Mortgage Association I, 5.5%, 11/15/18 5.5 11/15/2018 1,443,964 61,603
NCR Corp., 4.625%, 2/15/21 4.625 02/15/2021 4,600,000 4,621,914
Prudential Financial, Inc., Floating Rate Note, 9/15/42 5.875 09/15/2042 1,800,000 1,921,513
Crockett Cogeneration LP, 5.869%, 3/30/25 (144A) 5.869 03/30/2025 1,010,000 628,432
Government National Mortgage Association I, 6.5%, 4/15/35 6.5 04/15/2035 517,486 85,774
Canadian Natural Resources, Ltd., 6.5%, 2/15/37 6.5 02/15/2037 2,230,000 2,758,033
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 3,594,840 278,506
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 2.4925 10/25/2033 11,067,000 1,093,444
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 2.627 12/25/2034 3,200,000 681,179
HLSS Servicer Advance Receivables Trust, 1.7436%, 1/16/46 (144A) 1.7436 01/16/2046 1,620,000 1,619,959
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/25/33 1.502 12/25/2033 5,231,000 205,009
Banc of America Alternative Loan Trust 2004-6, 5.0%, 7/25/19 5.0 07/25/2019 10,861,500 1,581,340
Government National Mortgage Association I, 6.5%, 7/15/35 6.5 07/15/2035 3,323,439 106,106
Government National Mortgage Association I, 7.0%, 6/15/31 7.0 06/15/2031 3,678,509 7,224
JP Morgan Mortgage Trust 2013-2, Floating Rate Note, 5/25/43 (144A) 3.5 05/25/2043 2,101,900 1,784,345
Fannie Mae, 4.5%, 12/1/41 4.5 12/01/2041 2,500,000 1,694,485
Government National Mortgage Association I, 4.5%, 1/15/40 4.5 01/15/2040 1,235,000 761,249
KKR Group Finance Co II LLC, 5.5%, 2/1/43 (144A) 5.5 02/01/2043 5,025,000 5,580,383
Government National Mortgage Association I, 4.5%, 4/15/38 4.5 04/15/2038 1,004,042 264,593
WaMu Mortgage Pass-Through Certificates Series 2005-AR3 Trust, Floating Rate Note, 3/25/35 2.4028 03/25/2035 8,713,500 1,920,629
Alexandria Real Estate Equities, Inc., 2.75%, 1/15/20 2.75 01/15/2020 75,000 75,377
TD Ameritrade Holding Corp., 3.625%, 4/1/25 3.625 04/01/2025 6,025,000 5,978,958
New Residential Mortgage Loan Trust 2014-2, Floating Rate Note, 5/25/54 (144A) 3.75 05/25/2054 3,895,000 4,003,374
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 8.0152 06/06/2016 800,000 876,916
Parish of St John the Baptist Louisiana, 5.125%, 6/1/37 5.125 06/01/2037 2,560,000 2,765,809
Fannie Mae, 6.0%, 12/1/35 6.0 12/01/2035 8,000,000 708,528
Residential Asset Securitization Trust 2004-A8, 5.25%, 11/25/34 5.25 11/25/2034 15,300,000 438,529
JP Morgan Mortgage Trust 2014-IVR3, Floating Rate Note, 8/25/44 3.2367 08/25/2044 2,235,000 2,230,219
Government National Mortgage Association II, 4.5%, 3/20/35 4.5 03/20/2035 500,000 93,528
Government National Mortgage Association I, 6.0%, 4/15/33 6.0 04/15/2033 3,907,830 144,957
The PNC Financial Services Group, Inc., Floating Rate Note (Perpetual) 4.4544 02/21/2049 6,273,000 6,336,726
Government National Mortgage Association I, 6.5%, 5/15/31 6.5 05/15/2031 2,567,327 32,771
Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A) 1.1525 09/25/2037 5,372,163 1,064,302
North American Development Bank, 2.3%, 10/10/18 2.3 10/10/2018 643,000 653,847
Fannie Mae, 6.5%, 9/1/31 6.5 09/01/2031 2,000,000 14,303
Legg Mason, Inc., 5.625%, 1/15/44 5.625 01/15/2044 4,290,000 4,855,034
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 1.7741 03/25/2044 10,175,000 677,961
HSBC Holdings Plc, 4.25%, 3/14/24 4.25 03/14/2024 3,940,000 4,072,095
Government National Mortgage Association I, 5.0%, 4/15/35 5.0 04/15/2035 2,500,000 654,651
Sinopec Group Overseas Development 2014, Ltd., 4.375%, 4/10/24 (144A) 4.375 04/10/2024 4,750,000 4,972,984
Fannie Mae, 4.5%, 4/1/41 4.5 04/01/2041 6,978,836 3,581,737
Buckeye Partners LP, 4.15%, 7/1/23 4.15 07/01/2023 5,425,000 5,526,829
Citicorp Residential Mortgage Trust Series 2006-2, 5.775%, 9/25/36 (Step) 5.775 09/25/2036 600,000 316,749
Kraft Foods Group, Inc., 3.5%, 6/6/22 3.5 06/06/2022 3,240,000 3,361,621
Amphenol Corp., 3.125%, 9/15/21 3.125 09/15/2021 3,675,000 3,716,107
GATX Corp., 5.2%, 3/15/44 5.2 03/15/2044 2,260,000 2,441,018
SCE Trust III, Floating Rate Note (Perpetual) 5.75 12/31/2049 167,900 4,540,016
RESI Finance LP 2003-CB1, Floating Rate Note, 6/10/35 1.8018 06/10/2035 12,352,000 3,316,588
TI Group Automotive Systems LLC, Term Loan Facility, 7/1/21 4.25 07/01/2021 826,109 819,913
Southern California Edison Co., Floating Rate Note (Perpetual) 6.25 12/31/2049 2,200,000 2,456,210
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 2.73 01/15/2017 1,500,000 1,523,531
Fannie Mae, 5.5%, 2/1/18 5.5 02/01/2018 2,100,000 115,849
Catholic Health Initiatives, 4.35%, 11/1/42 4.35 11/01/2042 2,600,000 2,568,168
FREMF Mortgage Trust 2012-K710, Floating Rate Note, 6/25/47 (144A) 3.9492 06/25/2047 858,000 889,819
Lear Corp., 11/9/14   11/09/2014 247 45,754
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5, Floating Rate Note, 7/15/31 (144A) 1.504 07/15/2031 1,260,000 1,261,463
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 3.0 05/15/2018 3,048,000 1,384,492
Fannie Mae, 5.0%, 2/1/20 5.0 02/01/2020 700,000 68,462
President and Fellows of Harvard College, 6.3%, 10/1/37 6.3 10/01/2037 3,095,000 3,343,888
Standard Chartered Plc, 3.95%, 1/11/23 (144A) 3.95 01/11/2023 4,800,000 4,768,020
Fannie Mae, 6.0%, 2/1/32 6.0 02/01/2032 2,379,023 42,257
Fannie Mae, 3.5%, 12/1/42 3.5 12/01/2042 1,000,000 939,720
Federal Home Loan Mortgage Corp., Floating Rate Note, 9/26/44 (144A) 4.3041 09/26/2044 1,250,000 1,294,374
Fannie Mae, 6.5%, 7/1/29 6.5 07/01/2029 500,000 10,777
RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32 6.0 01/25/2032 9,900,000 395,553
Origen Manufactured Housing Contract Trust 2004-A, Floating Rate Note, 1/15/35 5.91 01/15/2035 1,400,000 608,333
Fannie Mae, 4.5%, 10/1/35 4.5 10/01/2035 3,754,911 399,312
Fannie Mae, 6.5%, 1/1/15 6.5 01/01/2015 145,737 34
Government National Mortgage Association, Floating Rate Note, 8/16/52 1.031 08/16/2052 14,000,000 820,444
Fannie Mae, 5.0%, 6/1/40 5.0 06/01/2040 3,004,062 1,439,706
Hyundai Motor Manufacturing Czech sro, 4.5%, 4/15/15 (144A) 4.5 04/15/2015 655,000 667,081
Kinder Morgan Energy Partners LP, 4.25%, 9/1/24 4.25 09/01/2024 4,675,000 4,683,143
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 9.015 01/08/2015 300,000 305,745
U.S. Treasury Bonds, 4.375%, 11/15/39 4.375 11/15/2039 1,365,000 1,734,904
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 0.4033 06/15/2033 3,840,084 1,974,414
Bosphorus Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 2.515 05/03/2016 350,000 350,859
AmeriCredit Automobile Receivables Trust 2013-1, 1.57%, 1/8/19 1.57 01/08/2019 800,000 801,823
Fannie Mae, 6.0%, 3/1/32 6.0 03/01/2032 450,000 11,587
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/21 (144A) 2.383 10/15/2021 800,000 800,107
Delphi Financial Group, Inc., Floating Rate Note, 5/15/37 7.376 05/15/2037 153,800 3,830,589
SBP DPR Finance Co., Floating Rate Note, 3/15/17 (144A) 2.9841 03/15/2017 2,000,000 1,055,062
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 0.837 05/19/2035 79,912,853 4,528,072
Fannie Mae, 4.0%, 2/1/42 4.0 02/01/2042 24,300,000 13,382,147
Valero Energy Corp., 6.625%, 6/15/37 6.625 06/15/2037 2,825,000 3,543,665
RPI Finance Trust, Term B-2 Term Loan, 5/9/18 3.25 05/09/2018 1,661,104 1,656,744
Citigroup Capital XIII, Floating Rate Note, 10/30/40 7.875 10/30/2040 105,070 2,796,963
Fannie Mae, 4.0%, 1/1/42 4.0 01/01/2042 2,000,000 963,852
SunGard Data Systems, Inc., Tranche C Term Loan, 2/28/17 3.902 02/28/2017 953,650 951,059
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 2.2035 09/18/2031 2,500,000 2,451,270
Montpelier Re Holdings, Ltd., 4.7%, 10/15/22 4.7 10/15/2022 2,650,000 2,775,172
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 5.28 03/07/2016 1,250,000 1,287,958
MASTR Alternative Loan Trust 2004-6, 6.0%, 7/25/34 6.0 07/25/2034 11,100,000 2,241,757
Government National Mortgage Association I, 5.5%, 4/15/19 5.5 04/15/2019 25,000 2,385
Bank of America Corp., 7.75%, 8/15/15 7.75 08/15/2015 1,100,000 1,177,121
CNOOC Nexen Finance 2014 ULC, 4.25%, 4/30/24 4.25 04/30/2024 5,275,000 5,450,463
Intelsat Jackson Holdings SA, 7.25%, 4/1/19 7.25 04/01/2019 2,550,000 2,692,906
Sanders Re, Ltd., Floating Rate Note, 5/25/18 (Cat Bond) 3.0101 05/25/2018 800,000 813,187
Federal Home Loan Mortgage Corp., 6.0%, 9/1/33 6.0 09/01/2033 3,396,240 230,080
Fannie Mae, 5.0%, 12/1/17 5.0 12/01/2017 499,951 16,530
Government National Mortgage Association I, 6.5%, 10/15/31 6.5 10/15/2031 3,015,231 56,357
Government National Mortgage Association II, 4.5%, 12/20/34 4.5 12/20/2034 1,007,144 194,654
DCP Midstream Operating LP, 5.6%, 4/1/44 5.6 04/01/2044 2,125,000 2,354,478
Fannie Mae, 3.0%, 9/1/42 3.0 09/01/2042 7,819,203 7,088,409
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 7.405 01/09/2019 1,200,000 1,258,473
Fannie Mae, 4.0%, 5/1/41 4.0 05/01/2041 3,008,750 1,363,716
Santander Drive Auto Receivables Trust 2012-1, 3.78%, 11/15/17 3.78 11/15/2017 1,450,000 1,476,283
Government National Mortgage Association I, 5.5%, 7/15/33 5.5 07/15/2033 2,100,000 123,404
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 0.402 09/25/2030 2,760,310 488,228
BM&FBovespa SA, 5.5%, 7/16/20 (144A) 5.5 07/16/2020 3,200,000 3,483,333
Irwin Home Equity Loan Trust 2005-1, 5.32%, 6/25/35 (Step) 5.32 06/25/2035 4,350,000 618,004
Kane Flt% 12jun15   06/12/2015 1,600,000 1,483,520
Intesa Sanpaolo S.p.A., 6.5%, 2/24/21 (144A) 6.5 02/24/2021 1,400,000 1,641,401
Federal Home Loan Mortgage Corp., 6.0%, 5/1/17 6.0 05/01/2017 7,876,244