Pioneer Investments: Pioneer Bond Fund


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Pioneer Bond Fund

Monthly Portfolio Holdings as of 8/29/2014

Security Name Coupon Maturity Date Par / Shares Market Value($)
Regency Energy Partners LP, 8.375%, 6/1/19 (144A) 8.375 06/01/2019 1,675,000 1,823,616
Fannie Mae, 6.0%, 5/1/35 6.0 05/01/2035 1,799,482 106,081
Government National Mortgage Association I, 7.0%, 3/15/31 7.0 03/15/2031 1,750,000 20,969
Government National Mortgage Association, Floating Rate Note, 2/16/53 1.0108 02/16/2053 12,000,000 880,582
Mufg 0.1% 03sep14 Usd 0.1 09/03/2014 4,265,000 4,264,994
Government National Mortgage Association I, 6.0%, 10/15/36 6.0 10/15/2036 3,000,000 202,363
Fannie Mae, 5.0%, 10/1/20 5.0 10/01/2020 4,036,945 570,370
RALI Series 2004-QS16 Trust, 5.5%, 12/25/34 5.5 12/25/2034 12,000,000 785,433
Loews Corp., 5.25%, 3/15/16 5.25 03/15/2016 2,650,000 2,896,531
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 8.53 05/09/2016 300,000 318,859
CBS Corp., 3.7%, 8/15/24 3.7 08/15/2024 6,125,000 6,186,167
Houston Higher Education Finance Corp., 5.0%, 5/15/40 5.0 05/15/2040 1,500,000 1,729,925
Government National Mortgage Association I, 6.0%, 9/15/35 6.0 09/15/2035 5,000,000 1,096,413
Fannie Mae, 6.0%, 7/1/38 6.0 07/01/2038 974,925 93,240
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 5.46 11/15/2035 484,000 426,307
Prudential Financial, Inc., Floating Rate Note, 6/15/68 8.875 06/15/2038 2,140,000 2,636,993
Federal Home Loan Mortgage Corp., 6.0%, 1/1/34 6.0 01/01/2034 3,744,314 98,524
Cummins, Inc., 5.65%, 3/1/98 5.65   3,200,000 3,802,045
American Honda Finance Corp., 1.2%, 7/14/17 1.2 07/14/2017 5,985,000 5,991,649
Weatherford International, Ltd. Bermuda, 9.625%, 3/1/19 9.625 03/01/2019 2,815,000 3,789,448
DBUBS 2011-LC3 Mortgage Trust, Floating Rate Note, 8/12/44 (144A) 5.5778 08/10/2044 1,900,000 2,144,635
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 2.49 02/25/2034 20,103,000 2,100,103
Residential Asset Securitization Trust 2004-A8, 5.25%, 11/25/34 5.25 11/25/2034 15,300,000 475,948
Scotiabank Peru SAA, Floating Rate Note, 12/13/27 (144A) 4.5 12/13/2027 2,600,000 2,534,415
Newfield Exploration Co., 5.625%, 7/1/24 5.625 07/01/2024 1,400,000 1,554,586
Federal Home Loan Mortgage Corp., 6.0%, 2/1/33 6.0 02/01/2033 550,000 10,174
Government National Mortgage Association I, 5.5%, 7/15/35 5.5 07/15/2035 5,500,000 885,209
Federal Home Loan Mortgage Corp., 4.0%, 2/1/44 4.0 02/01/2044 700,000 738,653
Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A) 1.55 11/15/2017 1,326,000 1,332,837
U.S. Treasury Bonds, 4.625%, 2/15/40 4.625 02/15/2040 4,000,000 5,183,165
Valmont Industries, Inc., 6.625%, 4/20/20 6.625 04/20/2020 1,810,000 2,194,371
La Hipotecaria Panamanian Mortgage Trust 2014-1, Floating Rate Note, 11/24/42 (144A) 3.508 11/24/2042 4,250,000 4,411,588
SunGard Data Systems, Inc., Tranche C Term Loan, 2/28/17 3.9069 02/28/2017 953,650 954,842
New Jersey Economic Development Authority, 0.0%, 2/15/18 0.0 02/15/2018 4,500,000 4,163,445
Alternative Loan Trust 2003-14T1, Floating Rate Note, 8/25/18 0.605 08/25/2018 11,900,000 503,286
COMM 2012-LC4 Mortgage Trust, 4.063%, 12/12/44 4.063 12/10/2044 4,000,000 4,260,732
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/26/35 0.89 02/25/2035 810,000 206,060
Spirit Master Funding LLC, 5.74%, 3/20/42 (144A) 5.74 03/20/2042 268,008 299,888
Springleaf Mortgage Loan Trust 2012-2, Floating Rate Note, 10/25/57 (144A) 2.22 10/25/2057 3,200,000 1,707,150
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 0.325 04/16/2035 3,115,635 1,374,731
Government National Mortgage Association I, 5.5%, 11/15/19 5.5 11/15/2019 2,683,028 411,743
Fannie Mae, 6.0%, 11/1/33 6.0 11/01/2033 400,765 44,938
Fannie Mae, 7.0%, 12/1/30 7.0 12/01/2030 525,099 10,205
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 2.6906 10/25/2033 7,000,000 837,901
LSTAR Commercial Mortgage Trust, Floating Rate Note, 6/25/43 (144A) 5.3392 06/25/2043 1,395,000 1,420,763
Government National Mortgage Association I, 6.0%, 3/15/17 6.0 03/15/2017 2,000,000 45,063
Government National Mortgage Association I, 7.0%, 8/15/31 7.0 08/15/2031 17,500,000 232,806
Government National Mortgage Association II, 6.5%, 2/20/29 6.5 02/20/2029 210,000 3,692
Government National Mortgage Association I, 5.5%, 6/15/33 5.5 06/15/2033 400,000 23,201
Chesapeake Funding LLC, Floating Rate Note, 3/4/26 1.3585 03/04/2026 400,000 400,506
SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A) 2.0 09/20/2029 1,200,000 667,277
Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A) 1.1558 09/25/2037 5,372,163 1,246,995
Fannie Mae, 6.0%, 2/1/32 6.0 02/01/2032 2,379,023 44,777
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 3.75 12/04/2019 590,405 591,143
Santander Holdings USA, Inc. Pennsylvania, 3.0%, 9/24/15 3.0 09/24/2015 2,000,000 2,069,188
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 3.75 08/20/2025 2,025,000 1,266,422
Federal Home Loan Mortgage Corp., 6.0%, 4/1/35 6.0 04/01/2035 2,582,414 69,785
Government National Mortgage Association I, 7.0%, 4/15/28 7.0 04/15/2028 266,017 2,887
Federal Home Loan Mortgage Corp., 4.0%, 1/1/44 4.0 01/01/2044 4,260,000 4,283,179
Catholic Health Initiatives, 4.35%, 11/1/42 4.35 11/01/2042 2,600,000 2,620,306
U.S. Treasury Bonds, 2.875%, 5/15/43 2.875 05/15/2043 10,375,000 10,045,110
Tufts University, 5.017%, 4/15/12 5.017   3,550,000 3,840,510
F Cp Zero% 03sep14 Usd 0.0 09/03/2014 4,680,000 4,679,896
Enterprise Products Operating LLC, 3.9%, 2/15/24 3.9 02/15/2024 5,310,000 5,546,162
JP Morgan Mortgage Trust 2013-1, Floating Rate Note, 3/25/43 (144A) 2.5 03/25/2043 6,600,000 4,980,686
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/34 5.0 06/15/2034 1,925,000 178,956
Sirius International Group, Ltd., 6.375%, 3/20/17 (144A) 6.375 03/20/2017 3,600,000 4,111,810
Fannie Mae, 5.0%, 4/1/39 5.0 04/01/2039 2,924,816 440,089
Bayview Financial Mortgage Pass-Through Trust 2006-A, 5.865%, 2/28/41 (Step) 5.865 02/28/2041 1,462,628 1,501,816
Citicorp Residential Mortgage Trust Series 2007-1, 5.892%, 3/25/37 (Step) 5.892 03/25/2037 1,700,000 1,405,475
Holcim US Finance Sarl & Cie SCS, 6.0%, 12/30/19 (144A) 6.0 12/30/2019 475,000 557,895
Wachovia Bank Commercial Mortgage Trust Series 2004-C15, 4.803%, 10/15/41 4.803 10/15/2041 3,787,250 1,043,146
California Educational Facilities Authority, 5.0%, 6/1/43 5.0 06/01/2043 1,980,000 2,635,263
Federal Home Loan Mortgage Corp., 6.5%, 10/1/33 6.5 10/01/2033 2,000,000 58,708
Intel Corp., 2.95%, 12/15/35 2.95 12/15/2035 3,375,000 4,395,586
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 8.0025 05/07/2015 500,000 521,856
Government National Mortgage Association, 5.25%, 8/16/35 5.25 08/16/2035 450,000 807,850
Fannie Mae, 3.5%, 11/1/42 3.5 11/01/2042 380,000 360,023
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 0.855 03/25/2035 5,700,000 908,380
Citigtoup Mortgage Loan Trust 2014-A, Floating Rate Note, 1/1/35 (144A) 4.0 01/01/2035 1,000,000 887,068
Fannie Mae, 4.0%, 1/1/42 4.0 01/01/2042 1,821,298 879,300
Government National Mortgage Association I, 4.5%, 10/15/33 4.5 10/15/2033 2,981,200 321,356
Fannie Mae, 6.0%, 1/1/32 6.0 01/01/2032 183,200 6,134
Fannie Mae, 6.0%, 2/1/35 6.0 02/01/2035 62,166 8,169
Fannie Mae, 4.0%, 4/1/41 4.0 04/01/2041 1,850,000 1,403,877
Wells Fargo Mortgage Backed Securities 2003-L Trust, Floating Rate Note, 11/25/33 2.4903 11/25/2033 975,000 591,800
Nsany Cp Zero% 24sep14 Usd 0.0 09/24/2014 1,860,000 1,859,703
Fannie Mae, 4.5%, 7/1/41 4.5 07/01/2041 5,000,000 2,984,728
HLSS Servicer Advance Receivables Trust, 1.7436%, 1/16/46 (144A) 1.7436 01/16/2046 1,620,000 1,618,099
Masco Corp., 7.125%, 3/15/20 7.125 03/15/2020 4,260,000 5,038,116
Government National Mortgage Association I, 6.5%, 4/15/31 6.5 04/15/2031 8,257,522 120,551
Ormat Funding Corp., 8.25%, 12/30/20 8.25 12/30/2020 555,000 284,674
Texas Competitive Electric Holdings Co LLC, DIP Delayed Draw Term Loan (2014), 5/5/16 3.75 05/05/2016 1,285,660 1,295,705
Fannie Mae, 3.5%, 9/16/14 3.5 09/16/2014 3,800,000 4,020,479
JP Morgan Chase Commercial Mortgage Securities Trust 2013-ALC, Floating Rate Note, 7/17/26 (144A) 3.005 07/17/2026 1,368,000 1,385,538
Federal Home Loan Mortgage Corp., 6.0%, 3/1/33 6.0 03/01/2033 5,524,534 303,012
DIRECTV Holdings LLC, 3.8%, 3/15/22 3.8 03/15/2022 6,200,000 6,569,958
Astoria Financial Corp., 5.0%, 6/19/17 5.0 06/19/2017 2,300,000 2,500,592
Fannie Mae, 4.0%, 4/1/39 4.0 04/01/2039 7,360,371 2,296,770
Government National Mortgage Association I, 6.5%, 11/15/31 6.5 11/15/2031 100,000 8,576
Government National Mortgage Association I, 7.0%, 4/15/29 7.0 04/15/2029 1,014,372 26,987
Port Authority of New York & New Jersey, 4.458%, 10/1/62 4.458 10/01/2062 600,000 641,887
Fannie Mae, 4.0%, 7/1/44 4.0 07/01/2044 800,000 850,122
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 2.2951 08/25/2033 18,254,000 1,251,122
The Allstate Corp., Floating Rate Note, 1/15/53 5.1 01/15/2053 147,475 3,775,360
Delphi Corp., 4.15%, 3/15/24 4.15 03/15/2024 5,400,000 5,723,456
Agilent Technologies, Inc., 6.5%, 11/1/17 6.5 11/01/2017 5,366,000 6,255,860
General Electric Capital Corp., 5.3%, 2/11/21 5.3 02/11/2021 4,860,000 5,589,210
Sunoco Logistics Partners Operations LP, 4.25%, 4/1/24 4.25 04/01/2024 3,225,000 3,401,798
Government National Mortgage Association I, 6.5%, 10/15/31 6.5 10/15/2031 3,015,231 58,294
Fannie Mae, 6.5%, 8/1/31 6.5 08/01/2031 1,500,000 10,848
Fannie Mae, 6.0%, 10/1/34 6.0 10/01/2034 389,152 30,126
Fannie Mae, 6.0%, 9/1/29 6.0 09/01/2029 124,691 2,003
Government National Mortgage Association I, 6.5%, 4/15/32 6.5 04/15/2032 235,320 15,383
Federal Home Loan Mortgage Corp., 4.0%, 9/1/44 4.0 09/01/2044 11,749,606 12,476,511
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 2.63 12/25/2034 3,200,000 806,033
Government National Mortgage Association I, 4.5%, 6/15/41 4.5 06/15/2041 3,601,538 2,188,697
Massachusetts Health & Educational Facilities Authority, 6.0%, 7/1/36 6.0 07/01/2036 1,000,000 1,184,653
HSBC Bank USA NA New York NY, 6.0%, 8/9/17 6.0 08/09/2017 3,350,000 3,790,502
Federal Home Loan Mortgage Corp., 6.5%, 5/1/31 6.5 05/01/2031 1,043,809 12,484
COMM 2012-CCRE2 Mortgage Trust REMICS, 3.791%, 8/17/45 3.791 08/15/2045 450,000 468,426
Government National Mortgage Association I, 5.5%, 2/15/35 5.5 02/15/2035 500,000 75,823
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 4,256,655 215,365
Loma Reinsurance, Ltd. Bermuda, Floating Rate Note, 1/8/18 (Cat Bond) (144A) 9.7625 01/08/2018 250,000 262,689
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 6/25/33 5.5 06/25/2033 1,000,000 231,947
Fannie Mae, 5.0%, 2/1/22 5.0 02/01/2022 7,621,650 443,695
Fannie Mae, 5.5%, 9/1/17 5.5 09/01/2017 3,705,000 84,659
Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 6.0 12/01/2033 635,770 42,964
Cincinnati Bell, Inc., 8.375%, 10/15/20 8.375 10/15/2020 469,000 523,595
DCP Midstream Operating LP, 5.6%, 4/1/44 5.6 04/01/2044 2,125,000 2,464,360
Fannie Mae, 6.0%, 7/1/33 6.0 07/01/2033 7,500,000 644,681
Fannie Mae, 6.5%, 10/1/32 6.5 10/01/2032 2,811,012 140,168
Massachusetts Development Finance Agency, 5.25%, 4/1/37 5.25 04/01/2037 325,000 376,896
Fannie Mae, 4.5%, 12/1/43 4.5 12/01/2043 900,000 879,828
Federal Home Loan Mortgage Corp., 5.0%, 12/1/21 5.0 12/01/2021 450,000 40,856
CNOOC Nexen Finance 2014 ULC, 4.25%, 4/30/24 4.25 04/30/2024 5,275,000 5,568,098
Fannie Mae, 4.0%, 9/11/14 4.0 09/11/2014 30,000,000 31,828,647
Government National Mortgage Association I, 4.5%, 12/15/39 4.5 12/15/2039 9,079,200 2,365,966
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 3.0 01/23/2021 670,166 668,980
Bella Vista Mortgage Trust 2004-1, Floating Rate Note, 11/20/34 0.8555 11/20/2034 66,102,000 1,973,652
Fannie Mae, 6.0%, 3/1/33 6.0 03/01/2033 3,500,000 157,650
AmeriCredit Automobile Receivables Trust 2013-1, 1.57%, 1/8/19 1.57 01/08/2019 800,000 798,175
Fannie Mae, 4.0%, 12/1/42 4.0 12/01/2042 142,828 46,400
Citicorp Residential Mortgage Trust Series 2006-2, 5.775%, 9/25/36 (Step) 5.775 09/25/2036 600,000 325,892
Panoche Energy Center LLC, 6.885%, 7/31/29 (144A) 6.885 07/31/2029 2,610,000 2,697,018
GATX Corp., 5.2%, 3/15/44 5.2 03/15/2044 2,260,000 2,534,213
Univision Communications, Inc., Replacement First-Lien Term Loan, 3/1/20 4.0 03/01/2020 2,277,434 2,266,996
Federal Home Loan Mortgage Corp., 6.5%, 11/1/33 6.5 11/01/2033 1,109,301 171,080
Electricite de France SA, Floating Rate Note (Perpetual) (144A) 5.25 01/29/2049 2,150,000 2,229,595
IMS Health, Inc., Term B Dollar Loan, 3/17/21 3.5 03/17/2021 456,097 451,821
Nordea Bank AB, 4.25%, 9/21/22 (144A) 4.25 09/21/2022 4,500,000 4,776,097
Delphi Financial Group, Inc., 7.875%, 1/31/20 7.875 01/31/2020 1,850,000 2,246,006
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/25/33 1.505 12/25/2033 5,231,000 248,180
Santander Bank NA, 8.75%, 5/30/18 8.75 05/30/2018 4,080,000 5,021,272
Sequoia Mortgage Trust 2013-7, Floating Rate Note, 6/25/43 3.0 06/25/2043 1,841,592 1,700,229
New Jersey Transportation Trust Fund Authority, 5.5%, 6/15/41 5.5 06/15/2041 2,750,000 3,125,535
Kane Flt% 12jun15   06/12/2015 1,600,000 1,448,960
Government National Mortgage Association REMICS, 2.1%, 2/16/48 2.1 02/16/2048 6,000,000 5,974,148
Government National Mortgage Association I, 5.5%, 8/15/19 5.5 08/15/2019 4,380,618 310,958
Bowdoin College, 4.693%, 7/1/12 4.693   1,000,000 983,270
Wells Fargo Commercial Mortgage Trust 2014-TISH, Floating Rate Note, 2/16/27 (144A) 1.185 02/16/2027 1,800,000 1,800,889
Government National Mortgage Association I, 6.0%, 4/15/33 6.0 04/15/2033 3,907,830 159,241
Government National Mortgage Association I, 4.5%, 2/15/34 4.5 02/15/2034 181,146 61,904
Government National Mortgage Association I, 6.0%, 9/15/34 6.0 09/15/2034 1,315,000 141,727
Government National Mortgage Association I, 4.0%, 9/18/14 4.0 09/18/2014 23,000,000 24,574,382
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 3.25 12/19/2020 1,251,863 1,252,254
Fannie Mae, 4.0%, 5/1/44 4.0 05/01/2044 3,800,000 4,006,992
Fannie Mae, 6.5%, 11/1/37 6.5 11/01/2037 2,222,350 300,644
Massachusetts Institute of Technology, 5.6%, 7/1/11 5.6   1,100,000 1,459,300
Citicorp Residential Mortgage Trust Series 2006-3, 5.703%, 11/25/36 (Step) 5.703 11/25/2036 3,850,000 2,178,905
Government National Mortgage Association I, 6.5%, 3/15/32 6.5 03/15/2032 975,284 27,178
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2.58 09/15/2021 2,800,000 2,823,540
Government National Mortgage Association I, 6.5%, 3/15/29 6.5 03/15/2029 2,000,000 23,684
Carlyle Holdings II Finance LLC, 5.625%, 3/30/43 (144A) 5.625 03/30/2043 5,930,000 7,014,043
Nissan Motor Acceptance Corp., 4.5%, 1/30/15 (144A) 4.5 01/30/2015 790,000 805,618
Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34 0.895 11/25/2034 32,667,000 2,221,494
Triton Container Finance LLC, 4.21%, 5/14/27 (144A) 4.21 05/14/2027 1,415,000 1,099,814
SNAAC Auto Receivables Trust 2013-1, 1.14%, 7/16/18 (144A) 1.14 07/16/2018 2,100,000 485,701
Teachers Insurance & Annuity Association of America, 6.85%, 12/16/39 (144A) 6.85 12/16/2039 3,205,000 4,363,513
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 1.0 05/05/2017 1,200,000 1,212,160
Nevada Power Co., 6.5%, 8/1/18 6.5 08/01/2018 910,000 1,074,588
Banc of America Mortgage 2003-I Trust, Floating Rate Note, 10/25/33 2.8185 10/25/2033 3,969,000 860,137
Government National Mortgage Association I, 6.5%, 10/15/31 6.5 10/15/2031 477,508 9,663
Fannie Mae, 5.0%, 2/1/22 5.0 02/01/2022 450,000 28,295
Standard Aero, Ltd., Replacement Tranche B-2 Loan, 11/2/18 5.0 11/02/2018 609,421 613,230
Aircastle, Ltd., 6.75%, 4/15/17 6.75 04/15/2017 2,800,000 3,115,875
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 1,500,000 1,593,852
Government National Mortgage Association I, 5.5%, 2/15/37 5.5 02/15/2037 575,000 86,148
The Allstate Corp., Floating Rate Note, 5/15/57 6.5 05/15/2057 5,455,000 6,083,461
Mystic Re, Ltd., Floating Rate Note, 3/12/15 (Cat Bond) (144A) 9.0203 03/12/2015 650,000 674,700
Fannie Mae, 3.0%, 8/1/42 3.0 08/01/2042 24,375,000 22,699,716
Federal Home Loan Mortgage Corp., 6.0%, 5/1/34 6.0 05/01/2034 7,192,224 831,656
The PNC Financial Services Group, Inc., Floating Rate Note (Perpetual) 4.4544 05/29/2049 6,273,000 6,284,690
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 5.2855 03/07/2016 1,250,000 1,280,870
COMM 2012-CCRE4 Mortgage Trust, 2.436%, 10/17/45 2.436 10/15/2045 915,000 908,374
Rosneft Finance SA, 7.875%, 3/13/18 (144A) 7.875 03/13/2018 1,000,000 1,089,031
CubeSmart LP, 4.8%, 7/15/22 4.8 07/15/2022 730,000 794,556
Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36 0.645 06/25/2036 1,949,000 1,112,229
Lear Corp., 11/9/14   11/09/2014 247 49,934
Fannie Mae, 4.5%, 7/1/41 4.5 07/01/2041 750,000 457,423
Fannie Mae, 4.5%, 4/1/41 4.5 04/01/2041 6,978,836 3,686,257
Bear Stearns ARM Trust 2003-6, Floating Rate Note, 8/25/33 2.5839 08/25/2033 69,274,000 3,719,550
Government National Mortgage Association I, 6.0%, 9/15/33 6.0 09/15/2033 500,663 28,056
Federal Home Loan Mortgage Corp., 5.5%, 11/1/34 5.5 11/01/2034 550,000 45,577
Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A) 2.38 03/20/2029 4,692,000 1,498,081
Fannie Mae, 3.5%, 7/1/43 3.5 07/01/2043 3,767,763 3,551,613
Wells Fargo Commercial Mortgage Trust, 3.349%, 11/18/43 (144A) 3.349 11/15/2043 3,900,000 3,029,509
GSR Mortgage Loan Trust 2005-AR1, Floating Rate Note, 1/25/35 2.6678 01/25/2035 3,250,000 729,164
Legg Mason, Inc., 5.625%, 1/15/44 5.625 01/15/2044 4,290,000 4,846,238
Rosneft Finance SA, 7.5%, 7/18/16 (144A) 7.5 07/18/2016 2,080,000 2,186,600
Federal Home Loan Mortgage Corp., 6.5%, 4/1/34 6.5 04/01/2034 299,956 4,548
Unison Ground Lease Funding LLC, 2.981%, 3/16/43 (144A) 2.981 03/15/2020 1,500,000 1,514,240
Wells Fargo Commercial Mortgage Trust 2012-LC5 REMICS, 3.539%, 10/17/45 3.539 10/15/2045 1,927,000 1,969,764
City Center Trust 2011-CCHP, Floating Rate Note, 7/15/28 (144A) 4.65 07/15/2028 1,000,000 1,001,020
FREMF Mortgage Trust 2013-K713, Floating Rate Note, 4/25/46 (144A) 3.165 04/25/2046 3,000,000 3,000,811
Government National Mortgage Association I, 7.5%, 12/15/31 7.5 12/15/2031 7,728,804 70,602
A10 Term Asset Financing 2013-2 LLC, 2.62%, 11/15/27 (144A) 2.62 11/15/2027 2,794,000 2,785,375
Fannie Mae, 4.5%, 5/1/41 4.5 05/01/2041 17,795,568 5,224,418
Federal Home Loan Mortgage Corp., 7.0%, 9/1/22 7.0 09/01/2022 1,775,260 302,981
Cinedigm Digital Funding I LLC, Term Loan, 2/28/18 3.75 03/31/2016 485,230 486,140
US Bancorp, Floating Rate Note (Perpetual) 6.5   64,000 1,866,240
Alta Wind Holdings LLC, 7.0%, 6/30/35 (144A) 7.0 06/30/2035 700,000 677,771
Telefonica Emisiones SAU, 6.221%, 7/3/17 6.221 07/03/2017 2,750,000 3,119,273
Bear Stearns ALT-A Trust 2005-1, Floating Rate Note, 1/25/35 0.715 01/25/2035 12,790,000 1,049,556
Fannie Mae, 6.0%, 10/1/35 6.0 10/01/2035 7,125,770 200,465
Eastman Chemical Co., 4.8%, 9/1/42 4.8 09/01/2042 980,000 1,037,206
Government National Mortgage Association II, 4.5%, 1/20/35 4.5 01/20/2035 2,500,000 522,190
Fannie Mae, 8.0%, 10/1/30 8.0 10/01/2030 155,531 816
Silverton RE, Ltd., 0.0%, 9/16/16 (Cat Bond) (144A) 0.0 09/16/2016 250,000 295,000
Barclays Bank Plc, 6.05%, 12/4/17 (144A) 6.05 12/04/2017 3,515,000 4,003,725
Dartmouth Zero% 31dec14 0.0 12/31/2014 1,700,000 1,659,370
Louisiana Local Government Environmental Facilities & Community Development Authority, 6.5%, 11/1/35 6.5 11/01/2035 2,350,000 2,746,647
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 1.256 12/05/2031 1,100,000 1,100,182
Goldcorp, Inc., 3.7%, 3/15/23 3.7 03/15/2023 1,650,000 1,682,182
Government National Mortgage Association I, 6.0%, 9/15/28 6.0 09/15/2028 12,973,600 418,867
Fannie Mae, 6.5%, 7/1/29 6.5 07/01/2029 500,000 10,814
Fannie Mae, 5.5%, 7/1/23 5.5 07/01/2023 1,010,000 74,823
PFS Financing Corp., Floating Rate Note, 10/17/16 (144A) 1.655 10/17/2016 775,712 776,044
Macquarie Group, Ltd., 6.0%, 1/14/20 (144A) 6.0 01/14/2020 2,730,000 3,117,050
FREMF Mortgage Trust 2011-K703, Floating Rate Note, 7/25/44 (144A) 5.0484 07/25/2044 1,250,000 1,345,539
Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40 5.361 02/15/2040 3,500,000 2,818,507
Tiers Trust, Floating Rate Note, 10/15/97 (144A) 0.0   1,250,000 1,020,800
Allison Transmission, Inc., Term B-3 Loan, 8/23/19 3.75 08/23/2019 1,142,918 1,140,597
Fannie Mae, 6.0%, 10/1/32 6.0 10/01/2032 4,502,006 103,395
Icon Brand Holdings LLC, 4.229%, 1/25/43 (144A) 4.229 01/25/2043 1,391,000 1,258,858
Government National Mortgage Association I, 5.5%, 8/15/33 5.5 08/15/2033 750,075 61,852
EP Energy LLC, 9.375%, 5/1/20 9.375 05/01/2020 1,800,000 2,085,281
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/33 5.0 06/15/2033 5,000,000 401,102
Federal National Mortgage Association REMICS, 10.3%, 4/25/19 10.3 04/25/2019 1,000,000 4,461
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 4.2703 04/18/2017 250,000 251,549
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA Netherlands, 3.875%, 2/8/22 3.875 02/08/2022 3,435,000 3,683,255
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 2.405 03/25/2032 2,200,000 1,035,524
Toyota Motor Credit Corp., 2.125%, 7/18/19 2.125 07/18/2019 5,000,000 5,026,591
Fannie Mae, 4.0%, 2/1/42 4.0 02/01/2042 24,300,000 13,558,473
Fannie Mae, 4.0%, 7/1/18 4.0 07/01/2018 675,000 43,189
Queen Street VI Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 10.3601 04/09/2015 250,000 259,903
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 0.935 11/25/2034 19,339,000 2,710,721
Federal Home Loan Mortgage Corp., 5.5%, 8/1/35 5.5 08/01/2035 5,000,000 385,200
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 6.5 08/15/2030 2,800,000 423,900
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 7.4325 01/09/2017 1,200,000 1,244,627
Government National Mortgage Association I, 5.5%, 4/15/19 5.5 04/15/2019 25,000 2,481
Federal Home Loan Mortgage Corp., 6.5%, 1/1/31 6.5 01/01/2031 66,916 199
Government National Mortgage Association I, 6.5%, 7/15/35 6.5 07/15/2035 3,323,439 106,475
Government National Mortgage Association I, 5.0%, 10/15/18 5.0 10/15/2018 3,153,375 167,692
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A) 9.03 03/16/2016 250,000 271,525
Federal Home Loan Mortgage Corp., Floating Rate Note, 9/26/44 (144A) 4.3042 09/25/2044 1,250,000 1,294,454
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/31 5.0 12/15/2031 2,100,000 2,281,034
Fannie Mae, 6.0%, 9/1/32 6.0 09/01/2032 65,856 1,044
Fannie Mae, 5.5%, 12/1/17 5.5 12/01/2017 12,031,696 252,160
JPMorgan Chase & Co., Floating Rate Note, 8/29/49 6.75 08/29/2049 4,015,000 4,332,938
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 2.7703 01/09/2017 500,000 513,853
Federal Home Loan Mortgage Corp., 6.0%, 12/1/36 6.0 12/01/2036 860,000 78,000
Public Service Co of New Mexico, 7.95%, 5/15/18 7.95 05/15/2018 2,690,000 3,293,992
GS Mortgage Securities Corp II, 3.682%, 2/12/46 (144A) 3.682 02/10/2046 1,000,000 1,003,154
Government National Mortgage Association I, 6.0%, 1/15/19 6.0 01/15/2019 548,488 35,940
Standard Chartered Plc, 3.95%, 1/11/23 (144A) 3.95 01/11/2023 1,300,000 1,307,933
Massachusetts Health & Educational Facilities Authority, 5.5%, 11/15/36 5.5 11/15/2036 6,500,000 7,677,616
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 8.7804 06/06/2015 725,000 771,081
Fannie Mae, 6.5%, 2/1/32 6.5 02/01/2032 1,000,100 8,871
Banc of America Alternative Loan Trust 2004-10, 5.5%, 11/25/19 5.5 11/25/2019 5,500,000 798,524
Israel Electric Corp, Ltd., 9.375%, 1/28/20 (144A) 9.375 01/28/2020 610,000 758,433
National Rural Utilities Cooperative Finance Corp., 5.45%, 2/1/18 5.45 02/01/2018 2,000,000 2,270,057
JPMorgan Chase & Co., Floating Rate Note, 12/29/49 6.125 12/29/2049 1,890,000 1,987,191
Springleaf Funding Trust 2014-A, 2.41%, 12/25/22 (144A) 2.41 12/25/2022 1,200,000 1,200,397
Sequoia Mortgage Trust 2013-6, Floating Rate Note, 5/26/43 3.0 05/26/2043 2,300,000 2,101,560
Government National Mortgage Association I, 6.0%, 4/15/18 6.0 04/15/2018 1,038,016 36,763
Prestige Auto Receivables Trust 2011-1, 3.9%, 7/16/18 (144A) 3.9 07/16/2018 800,000 508,838
Altair Re, Floating Rate Note, 4/30/16 (Cat Bond) 0.0 04/30/2016 420,899 89,946
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 8.5025 05/07/2015 750,000 780,924
Government National Mortgage Association I, 5.0%, 7/15/19 5.0 07/15/2019 26,391 2,171
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5.372 09/10/2045 3,660,000 3,844,689
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 2.555 10/15/2015 3,134,000 3,164,101
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 0.635 06/15/2030 9,460,074 593,332
Fannie Mae, 6.5%, 9/1/31 6.5 09/01/2031 2,000,200 12,058
Fannie Mae, 6.0%, 1/1/29 6.0 01/01/2029 60,204 1,285
Spectra Energy Capital LLC, 6.2%, 4/15/18 6.2 04/15/2018 2,475,000 2,886,335
DAE Aviation Holdings, Inc., Replacement Tranche B-1 Loan, 11/2/18 5.0 11/02/2018 1,344,309 1,351,870
Standard Chartered Bank, 6.4%, 9/26/17 (144A) 6.4 09/26/2017 2,200,000 2,536,954
Tyco Electronics Group SA, 6.55%, 10/1/17 6.55 10/01/2017 2,950,000 3,459,910
Fannie Mae, 4.5%, 1/1/42 4.5 01/01/2042 23,783,862 12,875,285
Federal Home Loan Mortgage Corp., 6.0%, 11/1/33 6.0 11/01/2033 1,151,218 36,105
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 6.0102 04/10/2015 250,000 256,302
Brocade Communications Systems, Inc., 4.625%, 1/15/23 4.625 01/15/2023 2,860,000 2,808,609
U.S. Treasury Bonds, 4.5%, 5/15/38 4.5 05/15/2038 8,435,000 10,766,141
Government National Mortgage Association I, 6.5%, 11/15/32 6.5 11/15/2032 3,929,947 98,242
Arlington Flt% 01aug15 0.0 08/01/2015 700,000 717,360
Tradewynd Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 6.2703 01/08/2015 250,000 252,954
Government National Mortgage Association I, 6.0%, 1/15/17 6.0 01/15/2017 705,441 10,425
Fannie Mae, 5.0%, 6/1/40 5.0 06/01/2040 3,850,000 1,508,244
Citigroup Mortgage Loan Trust 2006-HE1, Floating Rate Note, 1/25/36 0.425 01/25/2036 1,840,000 38,465
Bosphorus 1 Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 2.5304 05/03/2016 350,000 351,074
Government National Mortgage Association II, 7.0%, 12/20/30 7.0 12/20/2030 400,864 3,516
CVS Pass-Through Trust, 5.298%, 1/11/27 (144A) 5.298 01/11/2027 1,200,000 759,434
QVC, Inc., 4.45%, 2/15/25 (144A) 4.45 02/15/2025 2,175,000 2,179,231
Fannie Mae, 3.5%, 2/1/44 3.5 02/01/2044 18,215,601 18,509,897
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 6/25/34 3.0294 06/25/2034 4,049,418 573,425
Eaton Vance Corp., 6.5%, 10/2/17 6.5 10/02/2017 733,000 854,857
JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8, Floating Rate Note, 10/17/45 (144A) 3.9767 10/15/2045 900,000 928,853
Fannie Mae, 5.5%, 7/1/34 5.5 07/01/2034 13,142,000 1,323,582
Chemtura Corp., New Term Loan, 8/29/16 3.5 08/27/2016 801,537 803,040
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 0.5955 10/20/2017 1,659,000 1,661,677
MASTR Alternative Loan Trust 2004-6, 6.0%, 7/25/34 6.0 07/25/2034 11,100,000 2,264,634
Government National Mortgage Association I, 4.5%, 7/15/33 4.5 07/15/2033 633,571 130,409
Government National Mortgage Association I, 7.0%, 6/15/31 7.0 06/15/2031 3,678,509 7,264
Government National Mortgage Association I, 6.5%, 5/15/29 6.5 05/15/2029 6,774,704 120,533
Unum Group, 5.75%, 8/15/42 5.75 08/15/2042 1,080,000 1,294,437
Nuance Communications, Inc., Term C Loan, 8/7/19 2.91 03/31/2016 372,623 367,360
Citigroup, Inc., Floating Rate Note (Perpetual) 5.9 12/31/2049 2,000,000 2,011,177
Federal Home Loan Mortgage Corp., 6.0%, 4/1/36 6.0 04/01/2036 7,000,000 615,196
Banc of America Funding 2010-R4 Trust REMICS, Floating Rate Note, 8/26/36 (144A) 0.2802 08/26/2036 3,200,000 519,260
Government National Mortgage Association, Floating Rate Note, 9/16/52 1.0657 09/16/2052 13,000,000 994,015
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 1.18 08/15/2017 2,126,000 683,722
Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37 0.305 03/25/2037 550,000 348,962
Carrington Mortgage Loan Trust Series 2005-NC4, Floating Rate Note, 9/25/35 0.555 09/25/2035 725,000 100,925
Fannie Mae, 5.5%, 7/1/33 5.5 07/01/2033 3,800,000 187,152
Government National Mortgage Association I, 6.5%, 1/15/33 6.5 01/15/2033 263,074 6,572
Omega Healthcare Investors, Inc., 4.95%, 4/1/24 (144A) 4.95 04/01/2024 3,945,000 4,166,817
Federal Home Loan Mortgage Corp., 5.5%, 11/1/34 5.5 11/01/2034 1,900,000 231,827
Government National Mortgage Association I, 6.0%, 9/15/34 6.0 09/15/2034 1,374,301 276,170
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 0.355 12/25/2036 4,900,000 1,141,492
Fannie Mae, 3.5%, 12/1/42 3.5 12/01/2042 1,015,373 860,631
Government National Mortgage Association I, 6.0%, 6/15/33 6.0 06/15/2033 368,522 17,217
NRG Energy, Inc., Term Loan (2013), 7/1/18 2.75 07/01/2018 1,329,200 1,320,180
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 8.6 04/08/2016 900,000 943,705
MASTR Alternative Loan Trust 2004-13, 4.5%, 1/25/15 4.5 01/25/2015 13,000,000 7,386
Lehman ABS Manufactured Housing Contract Trust 2001-B, 5.873%, 5/15/41 5.873 04/15/2040 2,450,000 380,865
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 6.8855 04/07/2017 1,350,000 1,424,921
SBP DPR Finance Co., Floating Rate Note, 3/15/17 (144A) 2.9806 03/15/2017 2,000,000 1,163,281
GMAC Commercial Mortgage Securities Inc Series 2004-C3 Trust, 4.864%, 12/10/41 4.864 12/10/2041 3,375,000 2,328,507
Fannie Mae, 3.5%, 12/1/26 3.5 12/01/2026 4,340,805 2,425,271
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 4.025 06/28/2016 900,000 914,870
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 3.0795 11/25/2034 3,907,000 413,674
Ship Midco, Ltd., Facility B2A-II, 11/29/19 5.25 08/06/2017 999,288 1,006,471
Fannie Mae, 6.5%, 6/1/31 6.5 06/01/2031 2,750,000 89,608
General Electric Capital Corp., Floating Rate Note (Perpetual) 7.125 12/29/2049 1,800,000 2,148,469
Federal Home Loan Mortgage Corp., 4.5%, 11/1/40 4.5 11/01/2040 12,403,700 6,428,724
Fannie Mae, 3.0%, 9/1/42 3.0 09/01/2042 7,819,203 7,095,189
Government National Mortgage Association I, 6.0%, 5/15/17 6.0 05/15/2017 1,900,000 50,703
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/30 5.0 12/15/2030 1,050,000 1,149,799
Government National Mortgage Association I, 7.0%, 11/15/28 7.0 11/15/2028 2,367,683 30,236
Fannie Mae, 4.0%, 12/1/43 4.0 12/01/2043 7,600,000 7,740,742
Davita Healthcare Partners Inc 1st Lien Tl-B L + 2.75% 19jun21 3.5 06/19/2021 253,678 253,518
Government National Mortgage Association I, 6.5%, 1/15/35 6.5 01/15/2035 62,679 6,382
Fannie Mae, 7.0%, 9/1/31 7.0 09/01/2031 2,000,000 11,020
Federal Home Loan Mortgage Corp., 6.0%, 5/1/17 6.0 05/01/2017 7,876,244 81,244
Government National Mortgage Association I, 6.5%, 1/15/29 6.5 01/15/2029 1,500,000 30,647
The University of Texas System, 5.0%, 8/15/43 5.0 08/15/2043 525,000 597,966
US Airways 2013-1 Class A Pass Through Trust, 3.95%, 5/15/27 3.95 11/15/2025 1,500,000 1,543,531
GRIFOLS WORLDWIDE OPERATIONS USA INC, U.S. Tranche B Term Loam, 4/1/21 3.2346 04/01/2021 389,025 386,837
Israel Electric Corp, Ltd., 7.25%, 1/15/19 (144A) 7.25 01/15/2019 1,925,000 2,184,033
Leaf Receivables Funding 8 LLC, 1.92%, 9/15/20 (144A) 1.92 09/15/2020 2,203,000 2,211,614
Alternative Loan Trust 2005-J4, Floating Rate Note, 7/25/35 0.815 07/25/2035 5,426,539 5,270,258
CEMEX Espana SA, 9.875%, 4/30/19 (144A) 9.875 04/30/2019 3,328,000 3,886,827
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 9,171,532 464,446
Government National Mortgage Association I, 4.5%, 4/15/38 4.5 04/15/2038 1,004,042 310,644
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 10.7583 04/10/2015 850,000 895,848
Banc of America Alternative Loan Trust 2004-4, 5.25%, 5/25/19 5.25 05/25/2034 5,500,000 690,851
Selma Industrial Development Board, 5.8%, 5/1/34 5.8 05/01/2034 2,310,000 2,631,164
Government National Mortgage Association I, 6.5%, 10/15/33 6.5 10/15/2033 32,450 3,378
U.S. Treasury Floating Rate Note, 0.1000023%, 7/31/16 0.1 07/31/2016 8,625,000 8,628,219
BM&FBovespa SA, 5.5%, 7/16/20 (144A) 5.5 07/16/2020 3,200,000 3,477,511
LB-UBS Commercial Mortgage Trust 2005-C2 REMICS, Floating Rate Note, 4/15/30 5.205 04/15/2030 2,255,000 2,308,536
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.855 01/25/2035 14,000,000 1,866,626
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 0.325 04/15/2022 1,682,691 892,591
Grupo Bimbo SAB de CV, 3.875%, 6/27/24 (144A) 3.875 06/27/2024 4,200,000 4,264,979
Cisco Systems, Inc., 3.625%, 3/4/24 3.625 03/04/2024 3,485,000 3,698,181
Fannie Mae, 8.0%, 3/1/31 8.0 03/01/2031 1,495,060 11,553
Verizon Communications, Inc., 5.012%, 8/21/54 (144A) 5.012 08/21/2054 1,938,000 2,024,458
Tasc Inc/Va 1st Lien Tl-B L + 5.5% 12may20 6.5 05/12/2020 647,771 629,148
Government National Mortgage Association I, 4.5%, 8/15/41 4.5 08/15/2041 5,900,000 2,875,558
CVS Pass-Through Trust, 5.773%, 1/10/33 (144A) 5.773 01/10/2033 1,555,000 1,635,050
Federal Mogul 1st Lien Tl-C L + 3.75% 15apr21 4.75 04/15/2021 1,433,078 1,432,182
Diamond Offshore Drilling, Inc., 3.45%, 11/1/23 3.45 11/01/2023 6,215,000 6,299,124
HCA, Inc., Tranche B-5 Term Loan, 3/31/17 2.9067 03/31/2017 1,780,161 1,781,115
Glencore Funding LLC, 4.125%, 5/30/23 (144A) 4.125 05/30/2023 1,175,000 1,211,296
Fannie Mae, 6.0%, 3/1/32 6.0 03/01/2032 450,000 12,073
Federal Home Loan Mortgage Corp., 3.5%, 8/1/43 3.5 08/01/2043 4,521,618 4,516,799
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 4.5304 12/06/2016 2,800,000 2,903,390
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.105 10/25/2037 1,079,000 309,194
NRG Energy, Inc., 8.25%, 9/1/20 8.25 09/01/2020 2,000,000 2,247,042
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A) 2.1 05/19/2031 1,800,000 1,767,264
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5, 4.1712%, 8/17/46 4.1712 08/15/2046 1,350,000 1,469,868
USI, Inc. New York, Initial Term Loan 2013, 12/30/19 4.25 12/30/2019 6,240,331 6,224,731
Hospitality Properties Trust, 5.0%, 8/15/22 5.0 08/15/2022 1,930,000 2,068,032
Massachusetts Development Finance Agency, 5.375%, 4/1/41 5.375 04/01/2041 550,000 628,439
Government National Mortgage Association I, 5.5%, 12/15/18 5.5 12/15/2018 406,708 43,251
Government National Mortgage Association II, 6.5%, 3/20/29 6.5 03/20/2029 100,000 1,598
Government National Mortgage Association I, 4.5%, 9/15/33 4.5 09/15/2033 2,256,215 355,634
Westgate Resorts 2012-2 LLC, 3.0%, 1/21/25 (144A) 3.0 01/20/2025 2,300,000 919,969
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 4.0 07/09/2018 1,500,000 1,514,917
Fannie Mae, 4.5%, 12/1/41 4.5 12/01/2041 2,500,000 1,700,159
Burger King Corp., Tranche B Term Loan (2012), 9/28/19 3.75 09/28/2019 481,425 481,576
GATX Corp., 6.0%, 2/15/18 6.0 02/15/2018 5,660,000 6,371,281
U.S. Treasury Bonds, 4.375%, 5/15/40 4.375 05/15/2040 2,000,000 2,524,504
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 0.955 10/25/2034 9,584,000 533,292
Government National Mortgage Association I, 7.0%, 9/15/31 7.0 09/15/2031 2,202,152 15,747
Government National Mortgage Association, 3.0%, 4/20/41 3.0 04/20/2041 2,000,000 1,792,871
Government National Mortgage Association I, 5.5%, 9/15/19 5.5 09/15/2019 3,000,000 221,435
Government National Mortgage Association II, 7.0%, 1/20/29 7.0 01/20/2029 8,400,000 122,500
Cummins, Inc., 6.75%, 2/15/27 6.75 02/15/2027 910,000 1,155,540
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 3,750,000 555,516
The PNC Financial Services Group, Inc., Floating Rate Note (Perpetual) 6.75 07/29/2049 1,320,000 1,488,878
Government National Mortgage Association I, 7.5%, 8/15/29 7.5 08/15/2029 2,007,985 20,856
Government National Mortgage Association I, 6.5%, 8/15/31 6.5 08/15/2031 913,650 95,361
KLA-Tencor Corp., 6.9%, 5/1/18 6.9 05/01/2018 3,100,000 3,695,127
Digital Realty Trust LP, 5.875%, 2/1/20 5.875 02/01/2020 725,000 815,488
Merrill Lynch Mortgage Trust 2005-LC1, Floating Rate Note, 1/12/44 5.291 01/12/2044 4,000,000 3,794,321
Aquarius + Investments Plc for Swiss Reinsurance Co, Ltd., Floating Rate Note, 9/1/24 6.375 09/01/2024 1,800,000 2,017,931
Buckeye Partners LP, 4.15%, 7/1/23 4.15 07/01/2023 5,425,000 5,635,866
Alexandria Real Estate Equities, Inc., 4.6%, 4/1/22 4.6 04/01/2022 2,670,000 2,894,160
Hyundai Capital America, 1.45%, 2/6/17 (144A) 1.45 02/06/2017 2,245,000 2,249,283
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 1.455 03/15/2026 1,895,000 1,895,256
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 2.02 01/15/2019 1,200,000 1,203,234
Federal Home Loan Mortgage Corp., 6.5%, 2/1/33 6.5 02/01/2033 62,297 4,262
Wells Fargo & Co., 7.5% (Perpetual) 7.5   5,610 6,821,592
Fannie Mae, 6.5%, 1/1/15 6.5 01/01/2015 145,737 96
Fannie Mae, 3.5%, 6/1/28 3.5 06/01/2028 5,531,277 5,064,325
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 (144A) 0.425 04/25/2032 19,275,000 1,906,688
Government National Mortgage Association I, 6.0%, 8/15/32 6.0 08/15/2032 300,000 13,330
Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33 2.6657 09/25/2033 11,000,000 667,591
Affiliated Managers Group, Inc., 4.25%, 2/15/24 4.25 02/15/2024 2,525,000 2,642,445
Clearwater Paper Corp., 4.5%, 2/1/23 4.5 02/01/2023 1,285,000 1,251,108
Cantor Fitzgerald LP, 7.875%, 10/15/19 (144A) 7.875 10/15/2019 2,980,000 3,366,599
Impac CMB Trust Series 2004-9, Floating Rate Note, 1/25/35 0.915 01/25/2035 10,000,000 689,411
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 0.405 02/25/2030 11,253,656 1,659,938
PPL Capital Funding, Inc., 5.9%, 4/30/73 5.9 04/30/2073 164,000 3,991,760
Weatherford International, Ltd. Bermuda, 5.95%, 4/15/42 5.95 04/15/2042 125,000 146,780
Glenn Pool Oil & Gas Trust, Term Loan, 5/2/16 4.5 06/01/2016 1,163,744 1,166,653
Parish of St John the Baptist Louisiana, 5.125%, 6/1/37 5.125 06/01/2037 2,560,000 2,720,333
Government National Mortgage Association II, 6.5%, 4/20/29 6.5 04/20/2029 2,900,000 48,822
American Credit Acceptance Receivables Trust 2012-2, 4.05%, 2/15/18 (144A) 4.05 02/15/2018 428,000 434,801
Approach Resources, Inc., 7.0%, 6/15/21 7.0 06/15/2021 1,500,000 1,581,875
CommScope, Inc., Tranche 4 Term Loan, 1/14/18 3.25 01/14/2018 493,500 493,397
Fannie Mae, 7.0%, 12/1/31 7.0 12/01/2031 1,198,074 29,155
Government National Mortgage Association I, 5.5%, 11/15/34 5.5 11/15/2034 4,800,000 832,118
First Franklin Mortgage Loan Trust 2004-FF10, Floating Rate Note, 9/25/34 1.235 09/25/2034 1,792,033 57,943
Fannie Mae, 6.5%, 7/1/34 6.5 07/01/2034 1,095,000 53,018
Government National Mortgage Association I, 6.5%, 1/15/32 6.5 01/15/2032 7,587,058 139,965
Fannie Mae, 7.0%, 12/1/30 7.0 12/01/2030 499,950 880
Permanent University Fund, 5.0%, 7/1/30 5.0 07/01/2030 800,000 980,956
Banc of America Alternative Loan Trust 2004-2, 5.5%, 3/25/19 5.5 03/25/2019 8,048,483 1,003,766
Structured Asset Securities Corp., 4.77%, 10/25/34 (Step) 4.77 10/25/2034 2,100,000 205,520
VOLT XXIII LLC, 3.625%, 11/25/53 (Step) 3.625 11/25/2053 1,050,000 905,493
Banc of America Mortgage Trust 2004-9, 5.5%, 11/25/34 5.5 11/25/2034 2,350,000 1,146,045
LB-UBS Commercial Mortgage Trust 2005-C2, Floating Rate Note, 4/15/30 5.15 04/15/2030 1,000,000 1,014,137
Federal Home Loan Mortgage Corp., 6.0%, 1/1/34 6.0 01/01/2034 500,000 56,549
WF-RBS Commercial Mortgage Trust 2011-C2, Floating Rate Note, 2/15/44 (144A) 5.392 02/15/2044 350,000 388,481
Applebee's/IHOP Funding LLC, 4.277%, 9/5/44 (144A) 4.277 09/05/2044 2,600,000 2,601,565
Government National Mortgage Association I, 5.5%, 2/15/35 5.5 02/15/2035 2,043,628 117,628
Government National Mortgage Association I, 6.5%, 5/15/29 6.5 05/15/2029 273,319 6,083
Fannie Mae, 4.5%, 11/1/40 4.5 11/01/2040 8,151,476 3,664,399
Wells Fargo Bank NA, 6.0%, 11/15/17 6.0 11/15/2017 3,540,000 4,087,964
Fannie Mae, 4.5%, 10/1/35 4.5 10/01/2035 3,754,911 432,220
Government National Mortgage Association II, 4.5%, 3/20/35 4.5 03/20/2035 500,000 99,023
Fannie Mae, 4.5%, 2/1/41 4.5 02/01/2041 2,435,128 1,462,867
Fannie Mae, 4.5%, 11/1/43 4.5 11/01/2043 800,000 827,757
Sequoia Mortgage Trust 2004-9, Floating Rate Note, 10/20/34 0.4955 10/20/2034 9,485,000 1,018,066
Government National Mortgage Association I, 5.5%, 11/15/18 5.5 11/15/2018 1,443,964 69,376
Irwin Home Equity Loan Trust 2005-1, 5.32%, 6/25/35 (Step) 5.32 06/25/2035 4,350,000 671,326
Banc of America Mortgage Trust 2004-11, 5.75%, 1/25/35 5.75 01/25/2035 11,116,000 1,151,400
Fannie Mae, 4.0%, 1/1/42 4.0 01/01/2042 2,000,000 966,648
Federal National Mortgage Association REMICS, 5.0%, 7/25/33 5.0 07/25/2033 5,000,000 1,083,082
GLP Capital LP, 4.375%, 11/1/18 4.375 11/01/2018 1,010,000 1,062,481
The Goldman Sachs Group, Inc., 5.5%, 11/15/14 5.5 11/15/2014 2,000,000 2,052,609
Intesa Sanpaolo S.p.A., 3.625%, 8/12/15 (144A) 3.625 08/12/2015 3,476,000 3,557,646
Fannie Mae, 6.0%, 7/1/33 6.0 07/01/2033 10,874,932 237,240
Government National Mortgage Association I, 6.0%, 5/15/33 6.0 05/15/2033 4,328,221 235,996
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 2.5 03/20/2025 550,000 266,055
Government National Mortgage Association I, 5.5%, 7/15/33 5.5 07/15/2033 2,100,000 128,903
Alexandria Real Estate Equities, Inc., 3.9%, 6/15/23 3.9 06/15/2023 1,093,000 1,107,209
Government National Mortgage Association I, 6.0%, 9/15/33 6.0 09/15/2033 904,389 89,246
Indianapolis Airport Authority, 5.1%, 1/15/17 5.1 01/15/2017 1,000,000 1,103,035
American Credit Acceptance Receivables Trust, 1.64%, 11/15/16 (144A) 1.64 11/15/2016 2,350,000 445,555
Citigroup, Inc., Floating Rate Note (Perpetual) 5.95 12/29/2049 2,000,000 2,027,417
Government National Mortgage Association I, 6.5%, 10/15/31 6.5 10/15/2031 9,167,721 151,112
Fannie Mae, 5.0%, 2/1/41 5.0 02/01/2041 17,669,429 7,645,268
Lincoln National Corp., 8.75%, 7/1/19 8.75 07/01/2019 1,690,000 2,200,039
Fannie Mae, 5.5%, 6/1/36 5.5 06/01/2036 6,000,000 460,473
GSR Mortgage Loan Trust 2004-7, Floating Rate Note, 6/25/34 2.6876 06/25/2034 14,810,263 1,885,051
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 0.8355 05/19/2035 79,912,853 4,561,270
Fannie Mae, 5.5%, 3/1/36 5.5 03/01/2036 5,005,809 601,464
OneBeacon US Holdings, Inc., 4.6%, 11/9/22 4.6 11/09/2022 1,000,000 1,052,779
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 8.0304 06/06/2016 800,000 881,351
Fannie Mae, 5.5%, 9/1/19 5.5 09/01/2019 7,000,000 426,889
Fannie Mae, 4.5%, 7/1/41 4.5 07/01/2041 5,000,000 2,492,656
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 2.4 11/15/2025 1,750,000 1,262,143
Stanley Black & Decker, Inc., Floating Rate Note, 12/15/53 5.75 12/15/2053 3,600,000 3,945,525
WP Carey, Inc., 4.6%, 4/1/24 4.6 04/01/2024 1,715,000 1,827,828
Spectra Energy Capital LLC, 6.75%, 7/15/18 6.75 07/15/2018 1,500,000 1,727,965
Government National Mortgage Association I, 6.0%, 10/15/33 6.0 10/15/2033 2,000,000 77,693
NSG Holdings LLC, 7.75%, 12/15/25 (144A) 7.75 12/15/2025 1,016,000 1,113,684
Fannie Mae, 6.0%, 3/1/33 6.0 03/01/2033 230,257 19,614
Fannie Mae, 6.0%, 11/1/34 6.0 11/01/2034 271,485 23,104
Government National Mortgage Association I, 4.5%, 3/15/35 4.5 03/15/2035 1,722,219 184,738
Fannie Mae, 6.5%, 9/1/31 6.5 09/01/2031 2,000,000 14,142
JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2, 3.6159%, 11/15/43 (144A) 3.6159 11/15/2043 1,600,000 1,694,398
Worthington Industries, Inc., 4.55%, 4/15/26 4.55 04/15/2026 3,135,000 3,351,868
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 4.0203 05/05/2017 1,250,000 1,265,208
Pm Cp Zero% 03sep14 Usd 0.0 09/03/2014 1,860,000 1,859,981
Baylor University, 4.313%, 3/1/42 4.313 03/01/2042 1,025,000 1,056,565
Government National Mortgage Association I, 6.5%, 5/15/33 6.5 05/15/2033 1,672,708 53,711
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 9.0304 06/06/2015 1,125,000 1,194,469
Enel S.p.A., Floating Rate Note, 9/24/73 (144A) 8.75 09/24/2073 2,320,000 2,813,967
Nakilat, Inc., 6.267%, 12/31/33 (144A) 6.267 12/31/2033 2,450,000 2,517,603
United States Treasury Floating Rate Note, Floating Rate Note, 1/31/16 0.075 01/31/2016 8,740,000 8,741,411
Residential Asset Securitization Trust 2004-A9, 5.75%, 12/25/34 5.75 12/25/2034 3,690,000 1,535,352
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 1.47 05/15/2018 1,250,000 394,577
PFS Financing Corp., Floating Rate Note, 10/17/16 (144A) 0.855 10/17/2016 526,376 526,467
Countrywide Asset-Backed Certificates, Floating Rate Note, 12/25/34 1.205 12/25/2034 1,400,000 869,276
Government National Mortgage Association I, 6.0%, 11/15/34 6.0 11/15/2034 3,188,149 197,497
Government National Mortgage Association, Floating Rate Note, 8/16/52 1.0569 08/16/2052 14,000,000 867,264
PNC Bank NA, 6.0%, 12/7/17 6.0 12/07/2017 1,435,000 1,653,628
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-5, Floating Rate Note, 1 0.405 12/25/2035 3,650,000 398,398
Federal Home Loan Mortgage Corp., 6.0%, 8/1/34 6.0 08/01/2034 3,000,000 226,897
GS Mortgage Securities Trust 2006-GG8 REMICS, 5.56%, 11/10/39 5.56 11/10/2039 900,000 970,083
Wilton Re Finance LLC, Floating Rate Note, 3/30/33 (144A) 5.875 03/30/2033 1,400,000 1,493,771
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 8/25/24 1.502 08/25/2024 3,570,000 3,575,899
Marathon Oil Corp., 5.9%, 3/15/18 5.9 03/15/2018 901,000 1,050,404
Springleaf Mortgage Loan Trust, Floating Rate Note, 6/25/58 (144A) 3.79 06/25/2058 750,000 758,210
CHL Mortgage Pass-Through Trust 2003-56, Floating Rate Note, 12/25/33 2.6531 12/25/2033 10,000,000 623,816
President and Fellows of Harvard College, 2.3%, 10/1/23 2.3 10/01/2023 2,600,000 2,505,876
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.7703 04/30/2018 1,950,000 1,986,693
Government National Mortgage Association I, 5.0%, 9/15/33 5.0 09/15/2033 1,254,232 175,516
TimberStar Trust 1 REMICS, 5.668%, 10/15/36 (144A) 5.668 10/15/2036 4,470,000 4,844,603
Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43 2.1537 06/25/2043 24,278,000 850,277
Aspen Insurance Holdings, Ltd., Floating Rate Note (Perpetual) 5.95   50,000 1,290,500
North American Development Bank, 2.3%, 10/10/18 2.3 10/10/2018 643,000 658,662
COMM 2013-LC6 Mortgage Trust, 2.941%, 1/12/46 2.941 01/10/2046 1,900,000 1,892,841
JP Morgan Mortgage Trust 2004-A2, Floating Rate Note, 5/25/34 2.6087 05/25/2034 3,200,000 222,940
Federal Home Loan Mortgage Corp., 5.0%, 11/1/34 5.0 11/01/2034 250,000 29,901
Fannie Mae, 5.0%, 7/1/40 5.0 07/01/2040 5,000,000 1,898,528
Fannie Mae, 6.0%, 4/1/35 6.0 04/01/2035 4,000,000 387,591
Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 6.0 12/01/2033 2,000,000 182,438
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 0.656 06/28/2044 400,000 386,477
Bombardier, Inc., 4.75%, 4/15/19 (144A) 4.75 04/15/2019 1,960,000 2,022,516
Federal Home Loan Mortgage Corp., 6.5%, 11/1/30 6.5 11/01/2030 53,302 505
Government National Mortgage Association I, 6.5%, 6/15/32 6.5 06/15/2032 1,561,662 23,744
Government National Mortgage Association I, 6.5%, 2/15/29 6.5 02/15/2029 260,526 2,482
Fannie Mae, 4.5%, 3/1/44 4.5 03/01/2044 2,616,500 2,168,419
Government National Mortgage Association I, 6.5%, 5/15/31 6.5 05/15/2031 2,567,327 34,611
Structured Asset Securities Corp Trust 2005-14, Floating Rate Note, 7/25/35 0.455 07/25/2035 6,935,000 767,841
DCP Midstream LLC, Floating Rate Note, 5/21/43 (144A) 5.85 05/21/2043 3,950,000 3,895,046
Fannie Mae, 4.5%, 12/1/43 4.5 12/01/2043 20,516,456 19,520,809
Federal Home Loan Mortgage Corp., 4.5%, 3/1/42 4.5 03/01/2042 22,167,426 9,919,273
Sanders Re, Ltd., Floating Rate Note, 5/25/18 (Cat Bond)   05/25/2018 800,000 799,200
Cincinnati Bell, Inc., Tranche B Term Loan, 9/10/20 4.0 08/20/2020 1,940,338 1,936,942
Fannie Mae, 4.0%, 12/1/41 4.0 12/01/2041 5,950,000 2,990,522
EnLink Midstream Partners LP, 4.4%, 4/1/24 4.4 04/01/2024 1,340,000 1,443,594
RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35 5.25 07/25/2035 1,745,152 982,669
Banc of America Alternative Loan Trust 2003-2, 5.75%, 4/25/33 5.75 04/25/2033 6,525,000 731,906
Fannie Mae, 5.5%, 2/1/18 5.5 02/01/2018 2,100,000 122,732
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 2.027 10/25/2033 11,509,396 1,370,740
Fannie Mae, 4.0%, 1/1/44 4.0 01/01/2044 273,906 282,358
Sabine Pass LNG LP, 6.5%, 11/1/20 6.5 11/01/2020 3,500,000 3,789,576
Corporate Office Properties LP, 3.6%, 5/15/23 3.6 05/15/2023 1,500,000 1,467,188
Sequoia Mortgage Trust 2013-9, 3.5%, 7/25/43 (144A) 3.5 07/25/2043 2,190,000 2,059,810
DCP Midstream LLC, 9.75%, 3/15/19 (144A) 9.75 03/15/2019 2,900,000 3,882,516
Government National Mortgage Association I, 6.0%, 3/15/32 6.0 03/15/2032 80,300 3,234
Delphi Financial Group, Inc., Floating Rate Note, 5/15/37 7.376 05/15/2037 153,800 3,854,613
Masco Corp., 5.95%, 3/15/22 5.95 03/15/2022 825,000 922,780
Government National Mortgage Association I, 4.5%, 10/15/35 4.5 10/15/2035 2,106,954 280,994
Federal National Mortgage Association REMICS, 5.0%, 9/25/39 5.0 09/25/2039 704,000 148,421
Government National Mortgage Association II, 7.0%, 11/20/28 7.0 11/20/2028 10,000,000 116,739
Prudential Financial, Inc., 4.5%, 11/16/21 4.5 11/16/2021 1,090,000 1,211,913
Bank of America Corp., 7.75%, 5/14/38 7.75 05/14/2038 4,350,000 6,192,357
Massachusetts Health & Educational Facilities Authority, 5.5%, 7/1/32 5.5 07/01/2032 1,425,000 1,955,761
Government National Mortgage Association I, 6.0%, 10/15/32 6.0 10/15/2032 2,001,957 63,991
University of California, 3.38%, 5/15/28 3.38 05/15/2028 2,600,000 2,619,990
Government National Mortgage Association I, 6.0%, 6/15/17 6.0 06/15/2017 519,853 8,183
BBVA Bancomer SA Texas, 4.375%, 4/10/24 (144A) 4.375 04/10/2024 2,400,000 2,506,833
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 0.405 06/15/2033 3,840,084 2,167,839
California Statewide Communities Development Authority, 6.0%, 8/15/42 6.0 08/15/2042 2,925,000 3,528,311
Australia & New Zealand Banking Group, Ltd., 4.5%, 3/19/24 (144A) 4.5 03/19/2024 1,865,000 1,972,141
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 8.5262 01/05/2017 500,000 541,424
LeasePlan Corp NV, 2.5%, 5/16/18 (144A) 2.5 05/16/2018 1,475,000 1,501,100
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.435 11/25/2035 17,591,000 3,045,110
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 0.655 06/25/2035 4,920,000 1,885,728
Federal Home Loan Mortgage Corp., 5.0%, 9/1/38 5.0 09/01/2038 7,240,000 740,671
Government National Mortgage Association I, 7.0%, 5/15/32 7.0 05/15/2032 5,500,000 111,844
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.5203 04/30/2018 350,000 352,835
Fannie Mae, 6.0%, 4/1/33 6.0 04/01/2033 4,000,000 199,634
Government National Mortgage Association I, 6.0%, 8/15/36 6.0 08/15/2036 4,350,000 536,891
MASTR Seasoned Securitization Trust 2005-1, Floating Rate Note, 9/25/32 6.6214 09/25/2032 12,000,000 821,311
Fannie Mae, 6.5%, 3/1/32 6.5 03/01/2032 3,500,000 94,521
Government National Mortgage Association I, 7.0%, 12/15/30 7.0 12/15/2030 500,000 5,412
RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32 6.0 01/25/2032 9,900,000 416,432
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 0.755 06/25/2034 34,555,000 2,913,904
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 2.205 09/18/2031 2,500,000 2,468,790
Bank of America Corp., 4.2%, 8/26/24 4.2 08/26/2024 1,150,000 1,167,891
Federal Home Loan Mortgage Corp., 4.0%, 5/1/44 4.0 05/01/2044 9,000,000 9,434,321
DigitalGlobe, Inc., Term Loan, 1/31/20 3.75 01/25/2020 1,303,500 1,302,027
Domino's Pizza Master Issuer LLC, 5.216%, 1/25/42 (144A) 5.216 01/25/2042 4,051,000 4,174,724
Government National Mortgage Association I, 6.5%, 2/15/29 6.5 02/15/2029 301,000 14,330
NBTY, Inc., Term B-2 Loan, 10/1/17 3.5 10/01/2017 861,429 859,545
NRP Mortgage Trust 2013-1, Floating Rate Note, 7/25/43 (144A) 3.25 07/25/2043 5,825,000 5,603,377
FPL Energy Wind Funding LLC, 6.876%, 6/27/17 (144A) 6.876 06/27/2017 1,050,000 96,106
Government National Mortgage Association, 4.973%, 4/16/42 4.973 04/16/2042 375,000 259,964
Alexandria Real Estate Equities, Inc., 2.75%, 1/15/20 2.75 01/15/2020 75,000 75,430
Fannie Mae, 7.0%, 7/1/21 7.0 07/01/2021 500,000 6,438
Morgan Stanley Capital I, Inc., Floating Rate Note, 10/15/20 (144A) 0.285 10/15/2020 5,102,000 5,093,494
JG Wentworth XXII LLC, 3.82%, 12/15/48 (144A) 3.82 12/15/2048 1,100,000 773,812
COMM 2013-CCRE11 Mortgage Trust, Floating Rate Note, 10/10/46 (144A) 5.3398 10/10/2046 4,200,000 4,540,177
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 0.505 06/25/2034 24,782,615 2,247,629
FREMF Mortgage Trust 2010-K8, Floating Rate Note, 9/25/43 (144A) 5.405 09/25/2043 600,000 663,718
Fannie Mae, 5.5%, 3/1/25 5.5 03/01/2025 2,500,000 328,039
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 9.2804 06/06/2017 250,000 269,310
Fannie Mae, 4.0%, 6/1/42 4.0 06/01/2042 3,678,905 1,483,148
Chrysler Group LLC, Term Loan B, 5/24/17 3.5 05/24/2017 3,797,550 3,799,923
Banc of America Mortgage 2005-H Trust, Floating Rate Note, 9/25/35 5.1082 09/25/2035 2,398,000 482,321
U.S. Treasury Notes, 2.75%, 2/15/24 2.75 02/15/2024 6,000,000 6,229,854
HLSS Servicer Advance Receivables Trust, 3.96%, 10/15/45 (144A) 3.96 10/15/2045 224,000 227,976
PVH Corp., Tranche B Term Loan, 2/13/20 3.25 12/19/2019 518,107 521,110
Fannie Mae, 4.5%, 11/1/20 4.5 11/01/2020 6,500,000 563,562
WASH Multifamily Laundry Systems LLC, U.S. Term Loan, 2/21/19 4.5032 01/22/2019 160,388 160,388
FREMF Mortgage Trust 2010-K7, Floating Rate Note, 5/25/29 (144A) 5.618 04/25/2020 850,000 960,801
Fannie Mae, 5.0%, 7/1/40 5.0 07/01/2040 3,750,000 1,243,071
Intesa Sanpaolo S.p.A., 6.5%, 2/24/21 (144A) 6.5 02/24/2021 1,400,000 1,644,026
Liberty Mutual Insurance Co., 7.697% (Perpetual) (144A) 7.697   5,325,000 6,574,509
Bed Bath & Beyond, Inc., 3.749%, 8/1/24 3.749 08/01/2024 2,000,000 2,045,354
Government National Mortgage Association I, 5.5%, 8/15/19 5.5 08/15/2019 2,543,276 265,473
Fannie Mae, 8.0%, 5/1/31 8.0 05/01/2031 45,000 417
Hyundai Motor Manufacturing Czech sro, 4.5%, 4/15/15 (144A) 4.5 04/15/2015 655,000 679,819
Bayview Opportunity Master Fund Trust, Floating Rate Note, 1/28/33 (144A) 2.9814 01/28/2033 1,000,000 330,070
FREMF Mortgage Trust 2011-K10 , Floating Rate Note, 11/25/49 (144A) 4.7744 11/25/2049 1,500,000 1,613,964
Government National Mortgage Association I, 6.5%, 2/15/32 6.5 02/15/2032 3,127,662 48,118
Government National Mortgage Association I, 7.5%, 2/15/26 7.5 02/15/2026 893,000 2,073
Fannie Mae, 5.0%, 12/1/17 5.0 12/01/2017 499,951 17,767
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 0.606 04/28/2039 1,486,142 1,467,287
First Horizon Mortgage Pass-Through Trust 2005-AR1, Floating Rate Note, 4/25/35 2.5746 04/25/2035 2,113,000 442,359
Alternative Loan Trust 2003-21T1, 5.75%, 12/25/33 5.75 12/25/2033 4,205,000 1,811,072
Government National Mortgage Association I, 6.5%, 12/15/32 6.5 12/15/2032 25,822,328 630,661
Government National Mortgage Association I, 5.5%, 1/15/35 5.5 01/15/2035 2,222,000 246,694
FREMF Mortgage Trust 2011-K701, Floating Rate Note, 7/25/48 (144A) 4.4355 07/25/2048 5,000,000 5,282,794
Government National Mortgage Association I, 7.75%, 2/15/30 7.75 02/15/2030 500,000 2,541
Government National Mortgage Association I, 6.5%, 6/15/35 6.5 06/15/2035 190,431 7,954
Government National Mortgage Association I, 6.5%, 8/15/32 6.5 08/15/2032 2,400,000 40,080
NSG Holdings LLC, New Term Loan, 12/11/19 3.75 11/15/2019 784,624 778,739
Wells Fargo Mortgage Backed Securities Trust, Floating Rate Note, 8/25/34 2.6152 08/25/2034 17,226,000 1,010,740
Fannie Mae, 4.0%, 4/1/42 4.0 04/01/2042 2,200,000 1,190,917
Affinion Group, Inc., Tranche B Term Loan, 10/9/16 6.75 10/09/2016 1,070,296 1,062,566
U.S. Treasury Bonds, 4.375%, 11/15/39 4.375 11/15/2039 1,365,000 1,718,495
JP Morgan Chase Commercial Mortgage Securities Trust 2013-FL3, Floating Rate Note, 4/17/28 (144A) 1.955 04/15/2028 1,500,000 1,501,415
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 4.7321 01/07/2015 1,000,000 1,015,875
HCA, Inc., Tranche B-4 Term Loan, 5/1/18 2.9841 05/01/2018 742,291 741,440
Highwoods Realty LP, 3.625%, 1/15/23 3.625 01/15/2023 2,100,000 2,100,496
Igloo Holdings Corp., 8.25%, 12/15/17 (144A) (PIK) 8.25 12/15/2017 2,875,000 2,996,289
Pangaea Zero% 01jul18 0.0 07/01/2018 2,000,000 2,057,200
Bank of America Corp., 7.75%, 8/15/15 7.75 08/15/2015 1,100,000 1,176,706
WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21 1.2341 01/23/2021 239,945 239,520
Enel Finance International NV, 5.125%, 10/7/19 (144A) 5.125 10/07/2019 3,365,000 3,812,426
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 3,594,840 299,507
Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A) 1.87 08/20/2029 750,000 282,842
Government National Mortgage Association I, 4.5%, 7/15/41 4.5 07/15/2041 1,442,000 892,842
Government National Mortgage Association I, 6.0%, 9/15/32 6.0 09/15/2032 1,406,079 114,285
Blue Danube II, Ltd., Floating Rate Note, 5/23/16 (Cat Bond) (144A) 4.2734 05/23/2016 500,000 511,197
Canadian Natural Resources, Ltd., 6.5%, 2/15/37 6.5 02/15/2037 2,230,000 2,885,251
Verizon Communications, Inc., 6.55%, 9/15/43 6.55 09/15/2043 1,934,000 2,549,016
CHS, 2021 Term D Loan, 1/27/21 4.25 01/27/2021 3,204,578 3,218,098
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 5/25/50 (144A) 1.205 05/25/2050 3,750,000 22,892
Fannie Mae, 3.0%, 9/16/14 3.0 09/16/2014 3,900,000 4,048,261
Rowan Companies, Inc., 4.75%, 1/15/24 4.75 01/15/2024 4,460,000 4,731,170
Bway Holding Co 1st Lien Tl-B L + 4.5% 08aug20 5.5 08/08/2020 200,000 201,875
The Bank of New York Mellon Corp., 4.95%, 3/15/15 4.95 03/15/2015 2,000,000 2,093,769
Catalent 1st Lien Tl-B L + 3.5% 08may21 4.5 05/08/2021 899,887 901,896
Government National Mortgage Association I, 6.0%, 4/15/33 6.0 04/15/2033 1,000,000 33,277
Altice Financing SA, 7.875%, 12/15/19 (144A) 7.875 12/15/2019 3,350,000 3,679,058
HOA Funding LLC, 4.846%, 8/22/44 (144A) 4.846 08/22/2044 3,050,000 3,069,584
Cronos Containers Program, Ltd., 3.81%, 9/18/27 (144A) 3.81 09/18/2027 1,850,000 1,498,379
Federal Home Loan Mortgage Corp., 6.5%, 8/1/31 6.5 08/01/2031 1,070,805 5,031
Federal Home Loan Mortgage Corp., 4.5%, 10/1/20 4.5 10/01/2020 6,000,000 550,926
Government National Mortgage Association I, 6.0%, 10/15/34 6.0 10/15/2034 2,897,739 455,395
Santander Drive Auto Receivables Trust 2012-1, 3.78%, 11/15/17 3.78 11/15/2017 1,450,000 1,485,132
Sequoia Mortgage Trust 2005-2, Floating Rate Note, 3/20/35 0.3755 03/20/2035 13,325,000 1,383,193
Credit-Based Asset Servicing and Securitization LLC, 5.57315%, 10/25/36 (Step) (144A) 5.5732 10/25/2036 700,000 690,729
Wells Fargo Mortgage Backed Securities 2004-K Trust, Floating Rate Note, 7/25/34 2.6154 07/25/2034 7,975,000 1,002,663
Government National Mortgage Association I, 5.5%, 2/15/18 5.5 02/15/2018 4,000,000 198,745
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/27/29 (144A) 1.357 08/25/2029 2,951,282 2,081,451
Government National Mortgage Association I, 7.0%, 8/15/28 7.0 08/15/2028 200,000 2,428
Fannie Mae, 4.0%, 2/1/43 4.0 02/01/2043 2,000,000 1,603,851
Bayview Commercial Asset Trust, 3.526662%, 9/25/37 (Step) (144A) 3.5183 09/25/2037 13,200,000 441,911
Mondelez International, Inc., 6.5%, 2/9/40 6.5 02/09/2040 2,581,000 3,397,104
CHS, 2017 Term E Loan, 1/25/17 3.4844 07/25/2014 597,145 597,518
Structured Asset Investment Loan Trust 2006-1, Floating Rate Note, 1/25/36 0.355 01/25/2036 5,475,000 1,366,743
State of Washington, 3.0%, 7/1/28 3.0 07/01/2028 560,000 568,913
Federal Home Loan Mortgage Corp., 6.5%, 6/1/32 6.5 06/01/2032 39,022 317
Mohawk Industries, Inc., 3.85%, 2/1/23 3.85 02/01/2023 800,000 808,881
United States Treasury Floating Rate Note, Floating Rate Note, 4/30/16 0.099 04/30/2016 8,740,000 8,744,242
Government National Mortgage Association II, 4.5%, 9/20/41 4.5 09/20/2041 5,800,000 3,128,048
Government National Mortgage Association I, 6.5%, 2/15/34 6.5 02/15/2034 733,600 58,823
MRFC Mortgage Pass-Through Trust Series 2000-TBC3, Floating Rate Note, 12/15/30 0.595 12/15/2030 15,000,000 780,927
DCT Industrial Operating Partnership LP, 4.5%, 10/15/23 4.5 10/15/2023 1,475,000 1,538,419
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 3.0 06/25/2043 916,000 832,886
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 0.725 06/25/2033 10,450,000 1,007,671
BB&T Corp., 5.625% (Perpetual) 5.625   85,000 2,036,600
Assurant, Inc., 4.0%, 3/15/23 4.0 03/15/2023 3,900,000 4,043,603
Crown Castle Towers LLC, 4.883%, 8/15/20 (144A) 4.883 08/15/2020 3,015,000 3,362,248
Government National Mortgage Association I, 6.0%, 12/15/32 6.0 12/15/2032 1,500,000 237,525
Federal Home Loan Mortgage Corp., 5.0%, 6/1/35 5.0 06/01/2035 4,244,107 789,077
Monsanto Co., 3.375%, 7/15/24 3.375 07/15/2024 2,675,000 2,740,490
Government National Mortgage Association I, 5.0%, 7/15/19 5.0 07/15/2019 1,587,453 187,850
La Hipotecaria Panamanian Mortgage Trust 2010-1, Floating Rate Note, 9/8/39 (144A) 2.75 09/08/2039 750,000 546,794
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 0.31 05/15/2047 1,100,000 428,842
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 4.568 01/15/2031 1,700,000 202,274
FREMF Mortgage Trust 2013-K502, Floating Rate Note, 3/27/45 (144A) 3.3098 03/25/2045 900,000 905,419
Ardent Medical Services, Inc., Term Loan (First Lien), 7/2/18 6.75 05/02/2018 503,819 506,023
Halliburton Co., 7.6%, 8/15/96 (144A) 7.6   1,300,000 2,042,240
WaMu Mortgage Pass-Through Certificates Series 2004-AR14 Trust, Floating Rate Note, 1/25/35 2.3967 01/25/2035 15,238,744 3,337,615
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 1,082,000 1,149,733
Fannie Mae, 5.0%, 5/1/23 5.0 05/01/2023 4,380,644 672,996
Banc of America Funding 2003-3 Trust, 5.5%, 10/25/33 5.5 10/25/2033 3,903,805 853,915
Expedia, Inc., 5.95%, 8/15/20 5.95 08/15/2020 800,000 906,917
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 1.6 06/19/2031 600,000 590,842
JP Morgan Mortgage Trust 2005-A4, Floating Rate Note, 7/25/35 2.2054 07/25/2035 2,200,000 342,702
Alterra Finance LLC, 6.25%, 9/30/20 6.25 09/30/2020 3,000,000 3,593,231
SunTrust Banks, Inc., 3.5%, 1/20/17 3.5 01/20/2017 1,025,000 1,083,365
Prudential Financial, Inc., Floating Rate Note, 9/15/42 5.875 09/15/2042 1,800,000 1,977,889
Capital One Bank USA NA, 8.8%, 7/15/19 8.8 07/15/2019 1,465,000 1,899,072
Queen Street V Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 8.5175 04/09/2015 250,000 257,641
FPL Energy American Wind LLC, 6.639%, 6/20/23 (144A) 6.639 06/20/2023 2,520,000 649,126
Fannie Mae, 8.0%, 4/1/20 8.0 04/01/2020 215,000 1,729
Government National Mortgage Association I, 5.0%, 4/15/34 5.0 04/15/2034 1,504,329 179,327
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 1.505 06/25/2033 2,336,716 1,473,124
Prudential Financial, Inc., Floating Rate Note, 6/15/43 5.625 06/15/2043 1,500,000 1,626,328
HSBC Bank Plc, 7.65%, 5/1/25 7.65 05/01/2025 1,305,000 1,743,335
Orcal Geothermal, Inc., 6.21%, 12/30/20 (144A) 6.21 12/30/2020 1,730,000 688,602
SLM Student Loan Trust 2004-10, Floating Rate Note, 4/27/26 (144A) 0.9841 04/27/2026 900,000 906,125
Immucor, Inc., Term B-2 Loan, 8/19/18 5.0 08/19/2018 2,144,857 2,149,325
Home Equity Asset Trust 2005-7, Floating Rate Note, 1/25/36 0.535 01/25/2036 750,000 399,894
U.S. Treasury Bonds, 3.125%, 2/15/43 3.125 02/15/2043 2,000,000 2,021,298
Ras Laffan Liquefied Natural Gas Co, Ltd. III, 5.832%, 9/30/16 (144A) 5.832 09/30/2016 1,605,000 778,699
Structured Asset Securities Corp Mortgage Loan Trust 2006-GEL4, Floating Rate Note, 10/25/36 (144A) 0.375 10/25/2036 5,952,000 2,367,721
Thornburg Mortgage Securities Trust 2004-3, Floating Rate Note, 9/25/34 0.895 09/25/2044 32,426,000 3,097,853
Fannie Mae, 6.0%, 8/1/32 6.0 08/01/2032 315,000 7,962
Sotheby's, 5.25%, 10/1/22 (144A) 5.25 10/01/2022 1,300,000 1,295,748
PHH Mortgage Capital LLC, 6.6%, 12/25/27 (Step) (144A) 6.6 12/25/2027 4,250,000 391,933
WaMu Mortgage Pass-Through Certificates Series 2005-AR3 Trust, Floating Rate Note, 3/25/35 2.4079 03/25/2035 8,713,500 2,009,920
Fannie Mae, 6.5%, 1/1/31 6.5 01/01/2031 1,000,000 4,233
Wells Fargo Alternative Loan 2005-2 Trust, Floating Rate Note, 10/25/35 0.975 10/25/2035 1,233,457 1,224,109
Texas Transportation Commission State Highway Fund, 5.0%, 4/1/33 5.0 04/01/2033 1,000,000 1,202,576
Fannie Mae, 3.5%, 12/1/42 3.5 12/01/2042 1,000,000 951,845
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 5.23 12/15/2040 5,025,000 3,685,309
Morgan Stanley, 5.5%, 1/26/20 5.5 01/26/2020 3,135,000 3,578,444
Government National Mortgage Association I, 5.5%, 9/15/33 5.5 09/15/2033 3,636,072 249,356
Alternative Loan Trust 2004-2CB, 5.125%, 3/25/34 5.125 03/25/2034 2,000,000 47,496
Government National Mortgage Association II, 5.5%, 10/20/19 5.5 10/20/2019 4,728,248 570,673
Blackstone Holdings Finance Co LLC, 4.75%, 2/15/23 (144A) 4.75 02/15/2023 1,400,000 1,559,151
Government National Mortgage Association I, 7.5%, 10/15/29 7.5 10/15/2029 514,502 7,132
Sunoco Logistics Partners Operations LP, 6.1%, 2/15/42 6.1 02/15/2042 2,200,000 2,583,789
New York City Transitional Finance Authority Future Tax Secured Revenue, 5.0%, 11/1/33 5.0 11/01/2033 2,400,000 2,801,011
The Goodyear Tire & Rubber Co., Loan (Second Lien), 4/30/19 4.75 03/27/2019 4,190,000 4,209,169
New York State Electric & Gas Corp., 6.15%, 12/15/17 (144A) 6.15 12/15/2017 5,055,000 5,776,022
Federal Home Loan Mortgage Corp., 6.0%, 1/1/33 6.0 01/01/2033 1,890,000 91,304
Federal Home Loan Mortgage Corp., 6.5%, 8/1/31 6.5 08/01/2031 192,020 1,424
Government National Mortgage Association I, 6.0%, 2/15/33 6.0 02/15/2033 1,254,640 59,875
RALI Series 2004-QS3 Trust, 5.0%, 3/25/19 5.0 03/25/2019 13,042,000 1,266,638
Federal Home Loan Mortgage Corp., 6.0%, 4/1/33 6.0 04/01/2033 379,183 17,195
Fannie Mae, 4.5%, 1/1/42 4.5 01/01/2042 11,834,581 10,133,715
CVS Health Corp., 2.25%, 8/12/19 2.25 08/12/2019 650,000 650,629
Government National Mortgage Association I, 7.0%, 10/15/31 7.0 10/15/2031 2,044,706 7,742
Structured Asset Mortgage Investments Trust 2003-AR2, Floating Rate Note, 12/19/33 0.8955 12/19/2033 20,990,377 1,106,041
JP Morgan Mortgage Trust 2014-1 REMICS, Floating Rate Note, 1/25/44 (144A) 3.5 01/25/2044 1,000,000 989,435
Macquarie Bank, Ltd., 6.625%, 4/7/21 (144A) 6.625 04/07/2021 840,000 997,970
Federal Home Loan Mortgage Corp., 6.5%, 3/1/31 6.5 03/01/2031 527,335 9,360
Federal Home Loan Mortgage Corp., 5.0%, 10/1/20 5.0 10/01/2020 9,000,000 1,396,805
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 0.455 09/25/2036 5,715,000 864,568
Government National Mortgage Association I, 6.5%, 8/15/32 6.5 08/15/2032 129,066 4,687
Government National Mortgage Association I, 5.5%, 7/15/33 5.5 07/15/2033 1,500,000 136,958
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1.7703 01/07/2019 500,000 502,458
Bear Stearns ARM Trust 2003-5, Floating Rate Note, 8/25/33 2.325 08/25/2033 10,580,000 837,980
Tronox Pigments BV, New Term Loan, 3/19/20 4.0 01/24/2017 772,669 772,849
Morgan Stanley, 4.875%, 11/1/22 4.875 11/01/2022 300,000 328,903
Fannie Mae, 6.5%, 5/1/31 6.5 05/01/2031 1,960,805 13,863
RPI Finance Trust, Term B-2 Term Loan, 5/9/18 3.25 05/09/2018 1,665,299 1,667,797
Federal Home Loan Mortgage Corp., 5.0%, 10/1/38 5.0 10/01/2038 6,600,000 704,460
Government National Mortgage Association I, 6.0%, 4/15/33 6.0 04/15/2033 2,000,000 64,440
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 1.3085 05/07/2024 400,000 402,378
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 3.9669 08/25/2053 1,450,000 1,370,968
Government National Mortgage Association I, 6.0%, 9/15/19 6.0 09/15/2019 1,829,714 126,369
Interactive Data 1st Lien Tl-B L + 3.75% 24apr21 4.75 04/24/2021 750,547 753,549
EQT Midstream Partners LP, 4.0%, 8/1/24 4.0 08/01/2024 2,750,000 2,781,967
Fannie Mae, 3.0%, 12/1/42 3.0 12/01/2042 2,352,529 2,125,285
Resolute Forest Products, Inc., 5.875%, 5/15/23 5.875 05/15/2023 1,280,000 1,253,933
GTP Acquisition Partners I LLC, 4.347%, 6/15/41 (144A) 4.347 06/15/2016 3,355,000 3,439,285
Government National Mortgage Association I, 6.0%, 2/15/29 6.0 02/15/2029 2,700,000 173,872
Aeroflex, Inc., Tranche B-1 Term Loan, 11/9/19 4.5 11/24/2019 3,048,411 3,059,181
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 3.7703 04/24/2017 550,000 552,686
Lorillard Tobacco Co., 3.75%, 5/20/23 3.75 05/20/2023 1,050,000 1,055,130
FREMF Mortgage Trust 2012-K501, Floating Rate Note, 11/26/46 (144A) 3.5998 11/25/2046 650,000 670,888
Colbun SA, 4.5%, 7/10/24 (144A) 4.5 07/10/2024 4,300,000 4,300,297
Activision Blizzard, Inc., 6.125%, 9/15/23 (144A) 6.125 09/15/2023 650,000 733,247
Government National Mortgage Association I, 6.5%, 3/15/29 6.5 03/15/2029 1,120,633 13,121
County of Sweetwater Wyoming, 5.6%, 12/1/35 5.6 12/01/2035 995,000 1,029,421
Merrill Lynch Mortgage Investors Trust Series 2005-A3, Floating Rate Note, 4/25/35