Pioneer Investments: Pioneer Bond Fund


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Pioneer Bond Fund

Monthly Portfolio Holdings as of 12/31/2014

Security Name Coupon Maturity Date Par / Shares Market Value($)
SNAAC Auto Receivables Trust 2013-1, 1.14%, 7/16/18 (144A) 1.14 07/16/2018 2,100,000 229,917
Banc of America Funding 2003-3 Trust, 5.5%, 10/25/33 5.5 10/25/2033 3,903,805 742,479
Federal Home Loan Mortgage Corp., 4.5%, 3/1/42 4.5 03/01/2042 22,167,426 9,470,166
Commercial Metals Co., 4.875%, 5/15/23 4.875 05/15/2023 3,550,000 3,412,364
Silverton RE, Ltd., 0.0%, 9/18/17 (Cat Bond) (144A) 0.0 09/18/2017 1,000,000 1,000,000
Fannie Mae, 4.0%, 7/1/42 4.0 07/01/2042 8,163,233 6,590,114
JP Morgan Mortgage Trust 2013-2, Floating Rate Note, 5/25/43 (144A) 3.5 05/25/2043 2,101,900 1,728,427
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 5.25 04/25/2032 3,090,877 911,192
Government National Mortgage Association II, 5.5%, 3/20/34 5.5 03/20/2034 3,000,000 352,216
Government National Mortgage Association I, 5.5%, 7/15/33 5.5 07/15/2033 1,500,000 132,069
Spirit Master Funding VII LLC, 3.8868%, 12/20/43 3.8868 12/20/2043 700,000 716,287
Immucor, Inc., Term B-2 Loan, 8/19/18 5.0 08/19/2018 2,133,970 2,115,298
Australia & New Zealand Banking Group, Ltd., 4.5%, 3/19/24 (144A) 4.5 03/19/2024 5,215,000 5,390,073
Government National Mortgage Association I, 6.5%, 5/15/32 6.5 05/15/2032 1,000,000 14,445
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 8.5355 05/09/2016 300,000 317,928
Government National Mortgage Association I, 7.5%, 10/15/29 7.5 10/15/2029 514,502 7,026
Fannie Mae, 4.0%, 2/1/43 4.0 02/01/2043 2,065,000 1,588,076
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2.0152 04/07/2017 1,000,000 1,001,967
Trafigura Securitisation Finance Plc. 2014-1, Floating Rate Note, 4/16/18 (144A) 2.4108 04/16/2018 800,000 809,804
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 2.02 01/15/2019 1,200,000 1,197,032
Scientific Games International Inc 1st Lien Tl-B2 L + 5% 17sep21 6.0 09/17/2021 4,350,000 4,295,625
Federal Home Loan Mortgage Corp., 4.5%, 3/1/20 4.5 03/01/2020 4,000,000 267,594
Fannie Mae, 3.5%, 1/20/15 3.5 01/20/2015 3,800,000 4,021,363
Worthington Industries, Inc., 4.55%, 4/15/26 4.55 04/15/2026 3,135,000 3,348,285
CVS Health Corp., 2.25%, 8/12/19 2.25 08/12/2019 650,000 652,932
Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A) 1.1558 09/25/2037 5,372,163 857,558
Brown & Brown, Inc., 4.2%, 9/15/24 4.2 09/15/2024 5,000,000 5,116,883
City Center Trust 2011-CCHP, Floating Rate Note, 7/17/28 (144A) 4.65 07/17/2028 1,000,000 1,001,298
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 10.265 01/08/2015 950,000 974,885
Spirit Master Funding LLC, 4.6291%, 1/20/45 (144A) 4.6291 01/20/2045 3,300,000 3,323,026
Sequoia Mortgage Trust 2004-9, Floating Rate Note, 10/20/34 0.8455 10/20/2034 9,485,000 899,014
MetLife Capital Trust IV, 7.875%, 12/15/67 (144A) 7.875 12/15/2067 6,325,000 8,102,325
Monsanto Co., 3.375%, 7/15/24 3.375 07/15/2024 2,675,000 2,763,128
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.4495 11/25/2035 17,591,000 2,706,659
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 2.4925 10/25/2033 11,067,000 821,641
Government National Mortgage Association I, 6.0%, 2/15/33 6.0 02/15/2033 1,254,640 56,768
Dynegy, Inc., Tranche B-2 Term Loan, 4/23/20 4.0 04/23/2020 480,000 475,200
Standard Chartered Plc, 3.95%, 1/11/23 (144A) 3.95 01/11/2023 4,800,000 4,721,721
Government National Mortgage Association I, 5.5%, 4/15/19 5.5 04/15/2019 25,000 2,296
Fannie Mae, 6.0%, 2/1/35 6.0 02/01/2035 62,166 7,554
Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A) 3.721 11/16/2044 2,250,000 2,218,830
Fannie Mae, 6.0%, 9/1/34 6.0 09/01/2034 352,132 19,443
Kane-Pi5 Zero% 18jul16 0.0 07/18/2016 1,004,000 1,123,677
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 0.3308 04/16/2035 4,102,315 1,680,994
Applebee's/IHOP Funding LLC, 4.277%, 9/5/44 (144A) 4.277 09/05/2044 2,600,000 2,636,619
Fannie Mae, 5.5%, 7/1/34 5.5 07/01/2034 13,142,000 1,222,343
Federal Home Loan Mortgage Corp., 6.0%, 6/1/35 6.0 06/01/2035 3,600,000 146,149
Sensata Technologies Bv 1st Lien Tl-B2 L + 2.75% 08oct21 3.5 10/08/2021 1,172,063 1,173,235
U.S. Treasury Bonds, 4.5%, 2/15/36 4.5 02/15/2036 7,400,000 9,996,107
Terwin Mortgage Trust Series TMTS 2005-16HE, 4.50144%, 9/25/36 (Step) 4.5014 09/25/2036 14,000,000 2,805,024
Fannie Mae, 6.0%, 10/1/32 6.0 10/01/2032 4,502,006 98,232
Approach Resources, Inc., 7.0%, 6/15/21 7.0 06/15/2021 1,500,000 1,114,667
Velocity Commercial Capital Loan Trust 2014-1, Floating Rate Note, 9/25/44 (144A) 2.1695 09/25/2044 2,000,000 1,890,271
U.S. Treasury Bonds, 3.0%, 11/15/44 3.0 11/15/2044 3,000,000 3,164,499
Icon Brand Holdings LLC, 4.352%, 1/25/43 (144A) 4.352 01/25/2043 395,000 361,028
First Horizon Mortgage Pass-Through Trust 2005-AR1, Floating Rate Note, 4/25/35 2.5727 04/25/2035 2,113,000 425,227
Morgan Stanley, 4.1%, 5/22/23 4.1 05/22/2023 5,100,000 5,186,086
Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34 0.9095 11/25/2034 44,417,000 2,842,097
NYU Hospitals Center, 4.428%, 7/1/42 4.428 07/01/2042 2,400,000 2,484,689
AXA SA, 8.6%, 12/15/30 8.6 12/15/2030 2,335,000 3,181,090
Morgan Stanley, 4.875%, 11/1/22 4.875 11/01/2022 300,000 321,061
Government National Mortgage Association I, 6.5%, 5/15/29 6.5 05/15/2029 6,774,704 111,293
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 3.9669 08/25/2053 1,450,000 1,164,470
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 8.9152 06/12/2015 1,000,000 1,037,433
Massachusetts Institute of Technology, 5.6%, 7/1/11 5.6   1,100,000 1,545,193
U.S. Treasury Inflation Indexed Bonds, 0.125%, 7/15/24 0.125 07/15/2024 30,775,000 29,643,686
SunTrust Banks, Inc., 3.5%, 1/20/17 3.5 01/20/2017 1,025,000 1,084,560
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 3,475,000 188,911
Government National Mortgage Association I, 4.5%, 9/15/40 4.5 09/15/2040 900,000 554,123
MASTR Alternative Loan Trust 2004-6, 6.0%, 7/25/34 6.0 07/25/2034 11,100,000 2,234,857
Eastman Chemical Co., 4.8%, 9/1/42 4.8 09/01/2042 980,000 1,006,718
Tronox Pigments BV, New Term Loan, 3/19/20 4.0 03/19/2020 768,766 758,196
Verizon Communications, Inc., 6.55%, 9/15/43 6.55 09/15/2043 1,934,000 2,515,042
Wells Fargo Mortgage Backed Securities 2003-L Trust, Floating Rate Note, 11/25/33 2.5506 11/25/2033 3,100,000 217,299
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2.58 09/15/2021 2,800,000 2,811,272
Government National Mortgage Association I, 4.5%, 3/15/35 4.5 03/15/2035 784,949 46,520
Government National Mortgage Association I, 4.5%, 5/15/41 4.5 05/15/2041 5,733,621 2,403,398
WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21 1.2551 01/23/2021 239,945 239,045
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 3.75 06/30/2019 555,000 507,016
Banc of America Funding 2010-R4 Trust REMICS, Floating Rate Note, 8/26/36 (144A) 0.2847 08/26/2036 3,200,000 328,821
Valeant Pharmaceuticals International, Inc., Series C-2 Tranche B Term Loan, 12/11/19 3.5 12/11/2019 532,996 528,665
Domino's Pizza Master Issuer LLC, 5.216%, 1/27/42 (144A) 5.216 01/27/2042 4,051,000 4,140,977
Federal Home Loan Mortgage Corp., 4.5%, 3/1/42 4.5 03/01/2042 4,169,408 3,804,936
Government National Mortgage Association, 4.973%, 4/16/42 4.973 04/16/2042 375,000 106,449
Remy International, Inc., Term B Loan 2013, 3/5/20 4.25 03/05/2020 475,000 472,625
Fannie Mae, 6.5%, 8/1/31 6.5 08/01/2031 1,500,000 10,838
Government National Mortgage Association I, 4.5%, 4/15/35 4.5 04/15/2035 200,000 24,779
Fannie Mae, 4.0%, 1/1/42 4.0 01/01/2042 2,000,000 964,226
Wells Fargo Mortgage Backed Securities 2006-16 Trust, 5.0%, 11/25/36 5.0 11/25/2036 4,500,000 206,041
Cummins, Inc., 5.65%, 3/1/98 5.65   3,200,000 3,995,703
RALI Series 2004-QS13 Trust, 5.0%, 9/25/19 5.0 09/25/2019 18,375,000 1,985,339
Gilead Sciences, Inc., 4.5%, 2/1/45 4.5 02/01/2045 7,550,000 8,090,844
Banc of America Alternative Loan Trust 2004-12, 5.5%, 1/25/20 5.5 01/25/2020 6,780,000 745,597
Fannie Mae, 4.0%, 5/1/44 4.0 05/01/2044 3,800,000 3,799,935
Government National Mortgage Association I, 5.5%, 2/15/18 5.5 02/15/2018 4,000,000 145,963
Motiva Enterprises LLC, 6.85%, 1/15/40 (144A) 6.85 01/15/2040 3,800,000 4,807,099
Federal Home Loan Mortgage Corp., 6.0%, 5/1/34 6.0 05/01/2034 1,440,424 259,283
Catholic Health Initiatives, 4.35%, 11/1/42 4.35 11/01/2042 2,600,000 2,600,161
Arlington Flt% 01aug15 0.0 08/01/2015 700,000 756,980
Fannie Mae, 6.0%, 12/1/35 6.0 12/01/2035 8,000,000 706,663
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 7/25/36 0.4695 07/25/2036 1,000,000 982,215
Government National Mortgage Association I, 6.5%, 1/15/35 6.5 01/15/2035 62,679 917
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 2.5 03/20/2025 550,000 217,997
SBA Tower Trust, 3.869%, 10/15/49 (144A) 3.869 10/15/2049 6,975,000 7,107,710
Fannie Mae, 5.0%, 2/1/22 5.0 02/01/2022 450,000 24,829
Federal Home Loan Mortgage Corp., 6.0%, 2/1/33 6.0 02/01/2033 4,851,146 104,074
Government National Mortgage Association I, 7.0%, 11/15/28 7.0 11/15/2028 2,367,683 27,623
Federal Home Loan Mortgage Corp., 6.5%, 2/1/33 6.5 02/01/2033 62,297 4,216
Government National Mortgage Association I, 4.5%, 8/15/41 4.5 08/15/2041 5,900,000 2,546,877
Valero Energy Corp., 6.625%, 6/15/37 6.625 06/15/2037 2,825,000 3,343,680
Government National Mortgage Association I, 6.5%, 2/15/29 6.5 02/15/2029 260,526 2,389
Diamond Offshore Drilling, Inc., 3.45%, 11/1/23 3.45 11/01/2023 5,465,000 5,103,441
Astoria Financial Corp., 5.0%, 6/19/17 5.0 06/19/2017 2,300,000 2,431,486
United States Treasury Floating Rate Note, Floating Rate Note, 4/30/16 0.109 04/30/2016 11,325,000 11,326,370
GTP Acquisition Partners I LLC, 4.347%, 6/15/41 (144A) 4.347 06/15/2041 3,355,000 3,423,600
Macquarie Bank, Ltd., 6.625%, 4/7/21 (144A) 6.625 04/07/2021 840,000 982,684
Verizon Communications, Inc., 5.15%, 9/15/23 5.15 09/15/2023 5,100,000 5,708,924
Fannie Mae, 8.0%, 7/1/30 8.0 07/01/2030 100,000 591
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 0.3308 04/15/2022 1,682,691 894,624
Government National Mortgage Association I, 6.5%, 4/15/35 6.5 04/15/2035 517,486 85,241
The Goldman Sachs Group, Inc., 6.75%, 10/1/37 6.75 10/01/2037 3,375,000 4,300,594
Government National Mortgage Association I, 6.5%, 8/15/31 6.5 08/15/2031 913,650 85,166
Government National Mortgage Association I, 6.5%, 11/15/31 6.5 11/15/2031 100,000 8,463
Masco Corp., 7.125%, 3/15/20 7.125 03/15/2020 4,260,000 5,009,671
Fannie Mae, 6.0%, 2/1/35 6.0 02/01/2035 180,000 19,578
Digital Realty Trust LP, 5.875%, 2/1/20 5.875 02/01/2020 725,000 828,643
U.S. Treasury Bonds, 3.125%, 2/15/43 3.125 02/15/2043 2,000,000 2,170,951
Government National Mortgage Association I, 6.5%, 6/15/35 6.5 06/15/2035 190,431 7,898
Capital One Bank USA NA, 8.8%, 7/15/19 8.8 07/15/2019 1,465,000 1,886,161
Bombardier, Inc., 4.75%, 4/15/19 (144A) 4.75 04/15/2019 1,960,000 1,987,004
FREMF Mortgage Trust 2013-K713, Floating Rate Note, 4/25/46 (144A) 3.2737 04/25/2046 3,000,000 2,983,729
Fannie Mae, 6.5%, 7/1/29 6.5 07/01/2029 500,000 10,703
Springleaf Mortgage Loan Trust 2012-2, Floating Rate Note, 10/25/57 (144A) 2.22 10/25/2057 3,200,000 1,485,878
Bear Stearns Commercial Mortgage Securities Trust 2006-TOP22, Floating Rate Note, 4/12/38 5.5753 04/12/2038 2,600,000 2,555,777
COMM 2014-FL5 Mortgage Trust, Floating Rate Note, 10/15/31 (144A) 2.303 10/15/2031 3,800,000 3,791,152
Capital Automotive Real Estate Investment Trust, 3.66%, 10/17/44 (144A) 3.66 10/17/2044 3,000,000 2,989,940
State Street Corp., Floating Rate Note, 12/31/73 5.9 12/31/2073 54,200 1,401,612
AXIS Equipment Finance Receivables II LLC, 4.94%, 7/20/18 (144A) 4.94 07/20/2018 500,000 504,478
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 0.6195 04/28/2039 1,486,142 1,400,997
Delphi Financial Group, Inc., Floating Rate Note, 5/15/37 7.376 05/15/2037 153,800 3,869,039
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 2.7 08/15/2018 850,000 865,742
Government National Mortgage Association I, 6.5%, 3/15/32 6.5 03/15/2032 975,284 26,789
Bank of America Corp., Floating Rate Note, 9/29/49 6.25 09/29/2049 2,350,000 2,370,153
Queen Street VI Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 10.3855 04/09/2015 250,000 253,844
RESI Finance LP 2003-CB1, Floating Rate Note, 7/9/35 1.8117 07/09/2035 12,352,000 3,215,049
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 6.0042 04/10/2015 250,000 254,536
Irwin Home Equity Loan Trust 2005-1, 5.32%, 6/25/35 (Step) 5.32 06/25/2035 4,350,000 574,929
HLSS Servicer Advance Receivables Trust, 3.96%, 10/15/45 (144A) 3.96 10/15/2045 224,000 227,351
Government National Mortgage Association I, 7.0%, 8/15/31 7.0 08/15/2031 17,500,000 243,053
Cardtronics, Inc., 5.125%, 8/1/22 (144A) 5.125 08/01/2022 3,000,000 2,990,344
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 5.7652 12/06/2016 1,650,000 1,721,335
JP Morgan Mortgage Trust 2004-S1, 5.0%, 9/25/34 5.0 09/25/2034 17,960,288 988,049
Fannie Mae, 4.5%, 12/1/41 4.5 12/01/2041 2,500,000 1,542,748
Wells Fargo & Co., 7.5% (Perpetual) 7.5 12/31/2049 5,610 6,802,097
Fannie Mae, 6.0%, 4/1/33 6.0 04/01/2033 4,000,000 171,511
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5.372 09/10/2045 3,660,000 3,768,807
Fannie Mae, 4.0%, 8/1/44 4.0 08/01/2044 20,000,000 21,149,804
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 2.5608 10/15/2015 3,134,000 3,150,733
Protective Life Corp., 7.375%, 10/15/19 7.375 10/15/2019 4,250,000 5,180,599
Government National Mortgage Association REMICS, 2.1%, 2/16/48 2.1 02/16/2048 6,000,000 5,932,879
Ormat Funding Corp., 8.25%, 12/30/20 8.25 12/30/2020 555,000 275,922
Export-Import Bank of Korea, 5.875%, 1/14/15 5.875 01/14/2015 625,000 642,765
Government National Mortgage Association I, 5.0%, 4/15/35 5.0 04/15/2035 2,500,000 637,410
Crown Americas Llc 1st Lien Tl-B L + 3.25% 20oct21   10/20/2021 1,850,000 1,855,088
Blackstone Holdings Finance Co LLC, 6.25%, 8/15/42 (144A) 6.25 08/15/2042 875,000 1,112,761
LB-UBS Commercial Mortgage Trust 2005-C2 REMICS, Floating Rate Note, 4/15/30 5.205 04/15/2030 2,255,000 2,278,014
Brocade Communications Systems, Inc., 4.625%, 1/15/23 4.625 01/15/2023 2,860,000 2,806,593
Sequoia Mortgage Trust 2005-2, Floating Rate Note, 3/20/35 0.3855 03/20/2035 13,325,000 1,329,848
Government National Mortgage Association I, 4.5%, 4/15/35 4.5 04/15/2035 1,999,800 315,281
CHS, 2021 Term D Loan, 1/27/21 4.25 01/27/2021 3,188,475 3,186,262
WaMu Mortgage Pass-Through Certificates Series 2004-AR14 Trust, Floating Rate Note, 1/25/35 2.3945 01/25/2035 15,238,744 3,158,270
Allison Transmission, Inc., Term B-3 Loan, 8/23/19 3.75 08/23/2019 1,137,175 1,125,803
Asciano Finance, Ltd., 4.625%, 9/23/20 (144A) 4.625 09/23/2020 529,000 559,073
Federal Home Loan Mortgage Corp., 6.5%, 1/1/33 6.5 01/01/2033 39,165 501
Holcim US Finance Sarl & Cie SCS, 6.0%, 12/30/19 (144A) 6.0 12/30/2019 475,000 543,748
JP Morgan Mortgage Trust 2014-2, Floating Rate Note, 6/25/29 (144A) 3.0 06/25/2029 10,055,000 9,531,361
Fannie Mae, 6.0%, 6/1/16 6.0 06/01/2016 4,000,000 13,032
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 1.3655 11/20/2036 5,300,000 1,248,528
Sequoia Mortgage Trust, Floating Rate Note, 9/25/42 3.0 09/25/2042 100,000 60,195
Government National Mortgage Association I, 6.0%, 4/15/33 6.0 04/15/2033 1,000,000 28,622
Federal Home Loan Mortgage Corp., 3.5%, 11/1/44 3.5 11/01/2044 200,000 208,466
Government National Mortgage Association I, 6.5%, 5/15/31 6.5 05/15/2031 1,798,476 28,887
CSMC Trust 2013-IVR4, Floating Rate Note, 7/27/43 (144A) 3.0 07/27/2043 2,860,000 2,573,621
Government National Mortgage Association I, 7.0%, 12/15/30 7.0 12/15/2030 500,000 5,208
Fannie Mae, 6.5%, 11/1/37 6.5 11/01/2037 2,222,350 272,351
Fannie Mae, 5.0%, 1/14/15 5.0 01/14/2015 30,000,000 33,198,893
Fannie Mae, 3.5%, 2/1/44 3.5 02/01/2044 18,215,601 18,350,119
Government National Mortgage Association I, 6.5%, 6/15/32 6.5 06/15/2032 1,561,662 23,767
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/27/29 (144A) 1.358 08/27/2029 2,951,282 264,120
FREMF Mortgage Trust 2010-K9 REMICS, Floating Rate Note, 9/25/45 (144A) 5.1935 09/25/2045 890,000 986,186
Government National Mortgage Association I, 7.0%, 10/15/31 7.0 10/15/2031 2,044,706 7,738
Government National Mortgage Association I, 4.5%, 7/15/41 4.5 07/15/2041 1,442,000 814,035
Ally Financial, Inc., 5.125%, 9/30/24 5.125 09/30/2024 5,050,000 5,191,891
Government National Mortgage Association I, 6.5%, 5/15/33 6.5 05/15/2033 1,672,708 53,772
Banc of America Alternative Loan Trust 2004-6, 5.0%, 7/25/19 5.0 07/25/2019 10,861,500 1,492,075
Bed Bath & Beyond, Inc., 3.749%, 8/1/24 3.749 08/01/2024 2,000,000 2,061,730
Virginia Commonwealth Transportation Board, 4.0%, 5/15/31 4.0 05/15/2031 2,200,000 2,383,504
Fannie Mae, 5.0%, 6/1/40 5.0 06/01/2040 3,004,062 1,375,416
Verizon Communications, Inc., 5.012%, 8/21/54 (144A) 5.012 08/21/2054 1,938,000 2,040,032
BBVA Bancomer SA Texas, 4.375%, 4/10/24 (144A) 4.375 04/10/2024 2,400,000 2,435,625
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.8695 01/25/2035 20,675,000 2,425,454
JP Morgan Mortgage Trust 2004-S1, 6.0%, 9/25/34 6.0 09/25/2034 9,800,000 1,821,762
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 0.3158 05/15/2047 1,100,000 418,181
Indianapolis Airport Authority, 5.1%, 1/15/17 5.1 01/15/2017 1,000,000 1,104,627
Government National Mortgage Association II, 7.0%, 12/20/30 7.0 12/20/2030 400,864 3,346
Owens Corning, 4.2%, 12/1/24 4.2 12/01/2024 5,150,000 5,111,801
TD Ameritrade Holding Corp., 3.625%, 4/1/25 3.625 04/01/2025 6,025,000 6,148,277
Pelican Re, Ltd., Floating Rate Note, 4/13/15 (Cat Bond) (144A) 13.9854 04/13/2015 1,500,000 1,562,050
Fannie Mae, 6.5%, 10/1/32 6.5 10/01/2032 2,811,012 87,642
Fannie Mae, 5.0%, 7/1/40 5.0 07/01/2040 3,750,000 1,140,634
Banc of America Alternative Loan Trust 2003-2, 5.75%, 4/25/33 5.75 04/25/2033 6,525,000 690,649
Sabine Pass LNG LP, 6.5%, 11/1/20 6.5 11/01/2020 3,500,000 3,572,917
Federal Home Loan Mortgage Corp., 6.0%, 2/1/33 6.0 02/01/2033 550,000 7,893
Federal Home Loan Mortgage Corp., 6.0%, 4/1/36 6.0 04/01/2036 7,000,000 589,583
Fannie Mae, 4.0%, 4/1/42 4.0 04/01/2042 2,200,000 1,063,106
Fannie Mae, 6.0%, 11/1/33 6.0 11/01/2033 400,765 45,078
Government National Mortgage Association II, 6.5%, 3/20/29 6.5 03/20/2029 100,000 1,522
Alternative Loan Trust 2003-14T1, Floating Rate Note, 8/25/18 0.6195 08/25/2018 11,900,000 463,817
The Allstate Corp., Floating Rate Note, 5/15/57 6.5 05/15/2057 5,455,000 6,045,807
Government National Mortgage Association I, 3.5%, 1/21/15 3.5 01/21/2015 13,638,000 14,342,156
Merrill Lynch Mortgage Trust 2005-LC1, Floating Rate Note, 1/12/44 5.291 01/12/2044 4,000,000 3,651,520
Macquarie Group, Ltd., 6.0%, 1/14/20 (144A) 6.0 01/14/2020 2,730,000 3,168,185
Hyundai Capital America, 1.45%, 2/6/17 (144A) 1.45 02/06/2017 2,245,000 2,249,675
Federal Home Loan Mortgage Corp., 6.0%, 3/1/33 6.0 03/01/2033 5,524,534 286,261
La Hipotecaria Panamanian Mortgage Trust 2010-1, Floating Rate Note, 9/8/39 (144A) 2.4905 09/08/2039 750,000 518,373
Government National Mortgage Association, Floating Rate Note, 8/16/52 0.9755 08/16/2052 14,000,000 732,195
The Williams Companies, Inc., 7.75%, 6/15/31 7.75 06/15/2031 2,475,000 2,659,072
Government National Mortgage Association II, 4.0%, 10/20/44 4.0 10/20/2044 4,890,000 5,238,096
Standard Aero, Ltd., Replacement Tranche B-2 Loan, 11/2/18 5.0 11/02/2018 608,219 606,699
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 0.4108 06/15/2033 3,840,084 1,867,771
New Jersey Transportation Trust Fund Authority, 5.5%, 6/15/41 5.5 06/15/2041 2,750,000 3,112,682
Government National Mortgage Association, Floating Rate Note, 2/16/53 0.9744 02/16/2053 12,000,000 842,318
Government National Mortgage Association I, 5.5%, 7/15/35 5.5 07/15/2035 5,500,000 803,168
Embarcadero Reinsurance, Ltd., Floating Rate Note, 2/13/15 (Cat Bond) (144A) 7.2575 02/13/2015 250,000 252,683
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 0.5195 06/25/2034 24,782,615 2,067,400
Government National Mortgage Association I, 5.5%, 10/15/35 5.5 10/15/2035 1,001,204 157,766
Government National Mortgage Association I, 7.0%, 4/15/29 7.0 04/15/2029 1,014,372 26,584
Bayview Commercial Asset Trust 2007-4, 3.507978%, 9/25/37 (Step) (144A) 3.508 09/25/2037 13,200,000 319,902
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7, Floating Rate Note, 2/11/41 5.214 02/11/2041 1,000,000 1,005,582
Fannie Mae, 3.5%, 7/1/43 3.5 07/01/2043 3,767,763 3,571,770
Government National Mortgage Association I, 6.5%, 3/15/31 6.5 03/15/2031 1,000,000 14,546
Fannie Mae, 3.5%, 12/1/26 3.5 12/01/2026 4,340,805 2,280,445
Fannie Mae, 3.5%, 12/1/42 3.5 12/01/2042 1,015,373 857,522
Queen Street V Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 8.5051 04/09/2015 250,000 253,240
HCA, Inc., Tranche B-4 Term Loan, 5/1/18 2.9831 05/01/2018 738,551 733,820
Federal Home Loan Mortgage Corp., 5.0%, 11/1/34 5.0 11/01/2034 250,000 27,506
Federal Home Loan Mortgage Corp., 3.5%, 9/1/44 3.5 09/01/2044 875,160 906,006
Federal Home Loan Mortgage Corp., 5.0%, 6/1/35 5.0 06/01/2035 4,244,107 601,908
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 9.2652 06/06/2017 250,000 267,442
American Honda Finance Corp., 1.2%, 7/14/17 1.2 07/14/2017 5,985,000 5,997,271
Citigroup Mortgage Loan Trust 2014-A, Floating Rate Note, 1/1/35 (144A) 4.0 01/01/2035 1,000,000 791,879
Fannie Mae, 4.0%, 1/1/42 4.0 01/01/2042 1,821,298 833,093
Fannie Mae, 7.0%, 9/1/31 7.0 09/01/2031 2,000,000 20,615
Perrigo Finance plc, 3.5%, 12/15/21 3.5 12/15/2021 4,275,000 4,336,917
PFS Financing Corp., Floating Rate Note, 10/15/19 (144A) 1.0108 10/15/2019 1,000,000 1,000,423
RESI Finance LP, Floating Rate Note, 9/10/35 (144A) 1.5617 09/10/2035 2,500,000 456,471
JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8, Floating Rate Note, 10/17/45 (144A) 3.9767 10/17/2045 900,000 942,088
Resolute Forest Products, Inc., 5.875%, 5/15/23 5.875 05/15/2023 1,280,000 1,225,609
Weatherford International, Ltd. Bermuda, 9.625%, 3/1/19 9.625 03/01/2019 2,815,000 3,429,130
Beacon Container Finance LLC, 3.72%, 9/20/27 (144A) 3.72 09/20/2027 500,000 393,333
Cisco Systems, Inc., 3.625%, 3/4/24 3.625 03/04/2024 3,485,000 3,672,637
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 15,000,000 15,574,643
Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A) 1.87 08/20/2029 750,000 242,851
Government National Mortgage Association I, 4.0%, 1/21/15 4.0 01/21/2015 31,494,000 33,856,775
Federal Home Loan Mortgage Corp., 4.0%, 9/1/44 4.0 09/01/2044 11,749,606 12,519,230
Ras Laffan Liquefied Natural Gas Co, Ltd. III, 5.832%, 9/30/16 (144A) 5.832 09/30/2016 1,605,000 642,451
Banc of America Mortgage Trust 2004-7, 4.5%, 8/25/19 4.5 08/25/2019 1,241,000 87,532
Scotiabank Peru SAA, Floating Rate Note, 12/13/27 (144A) 4.5 12/13/2027 2,600,000 2,530,450
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 3.53 05/05/2017 1,200,000 1,203,173
Federal Home Loan Mortgage Corp., 4.0%, 11/1/42 4.0 11/01/2042 255,000 213,836
BLCP Hotel Trust, Floating Rate Note, 8/15/29 (144A) 2.1108 08/15/2029 2,210,000 2,192,649
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 1,082,000 1,155,457
Lehman ABS Manufactured Housing Contract Trust 2001-B, 5.873%, 5/15/41 5.873 05/15/2041 2,450,000 345,272
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 2.05 10/25/2033 11,509,396 1,334,511
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 3.0 01/23/2021 666,807 664,307
Fannie Mae, 4.0%, 11/1/44 4.0 11/01/2044 10,545,000 11,214,868
Structured Asset Investment Loan Trust 2006-1, Floating Rate Note, 1/25/36 0.3695 01/25/2036 5,475,000 1,245,383
Morgan Stanley Capital I Trust 2007-HQ13, 5.569%, 12/15/44 5.569 12/15/2044 1,000,000 1,078,384
Federal Home Loan Mortgage Corp., 6.5%, 5/1/31 6.5 05/01/2031 100,010 184
Texas Competitive Electric Holdings Co LLC, DIP Delayed Draw Term Loan (2014), 5/5/16 3.75 05/05/2016 1,285,660 1,292,892
FCA US LLC, Term Loan B, 5/24/17 3.5 05/24/2017 3,787,763 3,783,028
Government National Mortgage Association I, 5.5%, 11/15/19 5.5 11/15/2019 2,683,028 350,492
Federal National Mortgage Association REMICS, 10.3%, 4/25/19 10.3 04/25/2019 1,000,000 4,025
Aspen Insurance Holdings, Ltd., Floating Rate Note (Perpetual) 5.95 12/31/2049 50,000 1,263,000
Fannie Mae, 4.0%, 5/1/41 4.0 05/01/2041 3,008,750 1,365,854
Highwoods Realty LP, 3.625%, 1/15/23 3.625 01/15/2023 2,100,000 2,140,969
Sequoia Mortgage Trust 2013-7, Floating Rate Note, 6/25/43 3.0 06/25/2043 1,841,592 1,665,491
DynCorp International, Inc., Term Loan, 7/7/16 6.25 07/07/2016 425,419 424,001
Government National Mortgage Association I, 6.0%, 6/15/17 6.0 06/15/2017 519,853 6,689
Legg Mason, Inc., 5.625%, 1/15/44 5.625 01/15/2044 4,290,000 5,018,418
Kinetic Concepts, Inc., Dollar Term E-1 Loan, 5/4/18 4.0 05/04/2018 500,000 495,417
State of Texas, 4.0%, 10/1/44 4.0 10/01/2044 3,000,000 3,152,533
President and Fellows of Harvard College, 6.3%, 10/1/37 6.3 10/01/2037 3,095,000 3,342,349
Fannie Mae, 6.0%, 9/1/34 6.0 09/01/2034 2,000,000 86,953
Teachers Insurance & Annuity Association of America, 6.85%, 12/16/39 (144A) 6.85 12/16/2039 3,205,000 4,386,630
RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35 5.25 07/25/2035 1,745,152 918,717
Crown Castle Towers LLC, 4.883%, 8/15/20 (144A) 4.883 08/15/2020 3,015,000 3,320,710
Fannie Mae, 4.0%, 12/1/41 4.0 12/01/2041 5,950,000 2,848,782
Fannie Mae, 4.5%, 7/1/41 4.5 07/01/2041 5,000,000 2,409,347
Government National Mortgage Association I, 5.5%, 11/15/34 5.5 11/15/2034 4,800,000 748,182
Port Authority of New York & New Jersey, 4.458%, 10/1/62 4.458 10/01/2062 600,000 639,891
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 1.3072 05/07/2024 400,000 402,133
Bella Vista Mortgage Trust 2004-1, Floating Rate Note, 11/20/34 0.8655 11/20/2034 66,102,000 1,837,629
Texas Transportation Commission State Highway Fund, 5.0%, 4/1/33 5.0 04/01/2033 1,000,000 1,205,930
Invitation Homes Trust, Floating Rate Note, 12/17/31 (144A) 1.362 12/17/2031 1,600,000 1,591,910
Fannie Mae, 4.0%, 8/1/42 4.0 08/01/2042 20,000,000 16,252,692
Fannie Mae, 8.0%, 4/1/20 8.0 04/01/2020 215,000 1,253
CVS Pass-Through Trust, 5.298%, 1/11/27 (144A) 5.298 01/11/2027 1,200,000 731,155
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 10.0152 06/06/2016 275,000 300,676
Bear Stearns ARM Trust 2003-6, Floating Rate Note, 8/25/33 2.5826 08/25/2033 69,274,000 3,562,067
COMM 2012-CCRE4 Mortgage Trust, 2.436%, 10/17/45 2.436 10/17/2045 915,000 914,066
Fannie Mae, 6.0%, 10/1/34 6.0 10/01/2034 389,152 27,688
Kiowa Power Partners LLC, 5.737%, 3/30/21 (144A) 5.737 03/30/2021 2,105,000 1,915,685
Government National Mortgage Association I, 6.0%, 9/15/28 6.0 09/15/2028 12,973,600 399,874
Government National Mortgage Association I, 4.5%, 9/15/35 4.5 09/15/2035 393,589 60,927
Federal Home Loan Mortgage Corp., 6.0%, 3/1/33 6.0 03/01/2033 2,255,430 45,440
Federal Home Loan Mortgage Corp., 6.0%, 1/1/34 6.0 01/01/2034 3,744,314 87,261
NCR Corp., 4.625%, 2/15/21 4.625 02/15/2021 4,600,000 4,542,372
Banc of America Alternative Loan Trust 2004-2, 5.5%, 3/25/19 5.5 03/25/2019 8,048,483 818,428
Aquarius + Investments Plc for Swiss Reinsurance Co, Ltd., Floating Rate Note, 9/1/24 6.375 09/01/2024 1,800,000 1,910,115
Fannie Mae, 6.5%, 5/1/31 6.5 05/01/2031 1,960,805 11,536
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 0.9053 12/25/2034 5,642,356 415,680
Wells Fargo Alternative Loan 2005-2 Trust, Floating Rate Note, 10/25/35 0.9895 10/25/2035 1,233,457 1,225,499
HSBC Holdings Plc, 4.25%, 3/14/24 4.25 03/14/2024 3,940,000 4,149,663
Spirit AeroSystems, Inc., Term Loan B, 9/30/20 3.25 09/30/2020 632,125 628,767
Government National Mortgage Association I, 6.0%, 1/15/33 6.0 01/15/2033 2,500,000 54,648
JP Morgan Mortgage Trust 2014-5, Floating Rate Note, 10/1/29 (144A) 3.0 10/01/2029 6,000,000 5,984,299
Activision Blizzard, Inc., 6.125%, 9/15/23 (144A) 6.125 09/15/2023 650,000 712,098
Government National Mortgage Association I, 4.5%, 10/15/33 4.5 10/15/2033 2,981,200 307,801
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 7.5051 04/09/2015 500,000 505,342
Senior Housing Properties Trust, 6.75%, 4/15/20 6.75 04/15/2020 2,865,000 3,278,253
Avago Technologies Ltd 1st Lien Tl-B L + 3% 16apr21 3.75 04/16/2021 375,000 374,063
Carefree Portfolio Trust 2014-CARE, Floating Rate Note, 11/15/29 (144A) 2.0143 11/15/2029 2,460,000 2,453,227
U.S. Treasury Floating Rate Note, 0.110004%, 7/31/16 0.11 07/31/2016 11,325,000 11,326,684
Federal Home Loan Mortgage Corp., 5.5%, 11/1/35 5.5 11/01/2035 1,000,000 65,040
Charter Communications Operating LLC, Term F Loan, 12/31/20 3.0 12/31/2020 1,699,125 1,668,177
Vers 2015-A Zero% 31dec17 0.0 12/31/2017 2,500,000 2,500,000
Government National Mortgage Association I, 7.5%, 2/15/31 7.5 02/15/2031 1,466,543 16,044
Kane Zero% 19feb16 0.0 02/19/2016 2,400,000 2,400,000
Walgreens Boots Alliance, Inc., 3.8%, 11/18/24 3.8 11/18/2024 7,475,000 7,657,681
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 8.0152 06/06/2016 800,000 860,142
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.7601 04/30/2018 3,700,000 3,817,064
KKR Group Finance Co II LLC, 5.5%, 2/1/43 (144A) 5.5 02/01/2043 5,025,000 5,837,762
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 9.0152 06/06/2015 1,125,000 1,162,013
Truman Capital Mortgage Loan Trust, Floating Rate Note, 1/25/34 1.8695 01/25/2034 765,000 697,703
Government National Mortgage Association I, 6.0%, 9/15/19 6.0 09/15/2019 1,829,714 119,289
Alexandria Real Estate Equities, Inc., 3.9%, 6/15/23 3.9 06/15/2023 1,093,000 1,098,426
Government National Mortgage Association I, 6.0%, 11/15/31 6.0 11/15/2031 1,614,291 58,415
BBVA Bancomer SA Texas, 6.5%, 3/10/21 (144A) 6.5 03/10/2021 3,815,000 4,207,722
Platinum Underwriters Finance, Inc., 7.5%, 6/1/17 7.5 06/01/2017 5,048,000 5,670,595
Fannie Mae, 6.5%, 7/1/34 6.5 07/01/2034 1,095,000 35,473
US Bancorp, Floating Rate Note (Perpetual) 6.5 12/31/2049 57,288 1,687,132
Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40 5.361 02/15/2040 3,500,000 2,538,363
Pinnacle Entertainment, Inc., Tranche B-2 Term Loan, 8/13/20 3.75 08/13/2020 746,693 738,993
Federal Home Loan Mortgage Corp., 3.5%, 8/1/43 3.5 08/01/2043 4,521,618 4,434,568
Sequoia Mortgage Trust 2013-9, 3.5%, 7/25/43 (144A) 3.5 07/25/2043 2,190,000 2,048,331
Altrl Zero% 30jun16 0.0 06/30/2016 937,930 1,027,690
Liberty Mutual Insurance Co., 7.697% (Perpetual) (144A) 7.697   5,325,000 6,813,168
Fannie Mae, 6.0%, 7/1/33 6.0 07/01/2033 7,500,000 537,341
UBS AG, 7.625%, 8/17/22 7.625 08/17/2022 4,400,000 5,305,247
Government National Mortgage Association I, 6.0%, 2/15/29 6.0 02/15/2029 2,700,000 164,492
Carlyle Holdings II Finance LLC, 5.625%, 3/30/43 (144A) 5.625 03/30/2043 5,930,000 6,942,825
JPMorgan Chase & Co., Floating Rate Note, 12/29/49 6.125 12/29/2049 1,890,000 1,904,871
HLSS Servicer Advance Receivables Trust, 1.2437%, 1/17/45 1.2437 01/17/2045 1,300,000 1,300,719
Government National Mortgage Association I, 6.0%, 10/15/32 6.0 10/15/2032 2,001,957 57,826
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 1.47 05/15/2018 1,250,000 271,789
Bway Holding Co 1st Lien Tl-B L + 4.5% 08aug20 5.5545 08/08/2020 199,500 198,690
California Statewide Communities Development Authority, 6.0%, 8/15/42 6.0 08/15/2042 2,925,000 3,574,282
Banc of America Mortgage Trust 2004-9, 5.5%, 11/25/34 5.5 11/25/2034 2,350,000 1,118,185
Fannie Mae, 5.5%, 5/1/36 5.5 05/01/2036 4,000,000 348,290
Assurant, Inc., 4.0%, 3/15/23 4.0 03/15/2023 3,900,000 4,049,342
Government National Mortgage Association I, 6.0%, 10/15/34 6.0 10/15/2034 2,897,739 368,121
HOA Funding LLC, 4.846%, 8/22/44 (144A) 4.846 08/22/2044 3,050,000 2,992,012
Fannie Mae, 4.5%, 1/1/44 4.5 01/01/2044 15,989,536 15,360,181
Toyota Motor Credit Corp., 2.125%, 7/18/19 2.125 07/18/2019 5,000,000 5,062,933
NRG Energy, Inc., 8.25%, 9/1/20 8.25 09/01/2020 2,000,000 2,190,000
Federal Home Loan Mortgage Corp., 4.5%, 11/1/43 4.5 11/01/2043 637,703 533,103
Federal Home Loan Mortgage Corp., 4.0%, 1/1/44 4.0 01/01/2044 4,260,000 4,084,950
Federal Home Loan Mortgage Corp., 4.5%, 11/1/40 4.5 11/01/2040 12,403,700 6,035,741
LeasePlan Corp NV, 2.5%, 5/16/18 (144A) 2.5 05/16/2018 1,475,000 1,480,242
Federal Home Loan Mortgage Corp., 6.5%, 6/1/32 6.5 06/01/2032 39,022 308
DCP Midstream LLC, 9.75%, 3/15/19 (144A) 9.75 03/15/2019 2,900,000 3,710,592
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 6/25/34 2.4592 06/25/2034 4,049,418 546,418
Alexandria Real Estate Equities, Inc., 4.6%, 4/1/22 4.6 04/01/2022 2,670,000 2,870,680
Fannie Mae, 5.0%, 1/1/20 5.0 01/01/2020 4,159,304 349,958
Navios Maritime Partners LP, Term Loan, 6/27/18 5.25 06/27/2018 688,258 677,934
Freeport-McMoRan, Inc., 3.875%, 3/15/23 3.875 03/15/2023 1,850,000 1,765,355
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 (144A) 0.4395 04/25/2032 19,275,000 1,731,217
Federal Home Loan Mortgage Corp., 3.5%, 11/1/28 3.5 11/01/2028 2,200,200 2,102,373
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 2.4255 11/25/2034 3,907,000 382,138
CEMEX Espana SA, 9.875%, 4/30/19 (144A) 9.875 04/30/2019 3,328,000 3,708,166
Government National Mortgage Association I, 6.5%, 10/15/31 6.5 10/15/2031 3,015,231 54,076
MRFC Mortgage Pass-Through Trust Series 2000-TBC3, Floating Rate Note, 12/15/30 0.6008 12/15/2030 15,930,000 793,265
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 0.5195 08/25/2036 1,525,000 340,012
AmeriCredit Automobile Receivables Trust 2011-3, 4.04%, 7/10/17 4.04 07/10/2017 500,000 510,274
Israel Electric Corp, Ltd., 7.25%, 1/15/19 (144A) 7.25 01/15/2019 1,925,000 2,208,419
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/25/33 1.5195 12/25/2033 5,231,000 76,854
Fannie Mae, 3.0%, 1/20/15 3.0 01/20/2015 3,900,000 4,059,890
GLP Capital LP, 4.375%, 11/1/18 4.375 11/01/2018 1,010,000 1,040,090
PHH Mortgage Capital LLC, 6.6%, 12/25/27 (Step) (144A) 6.6 12/25/2027 4,250,000 282,319
Foundation Re III, Ltd., Floating Rate Note, 2/25/15 (Cat Bond) (144A) 5.0152 02/25/2015 3,300,000 3,336,447
Pinnacle Foods Finance LLC, New Term Loan G, 4/29/20 3.0 04/29/2020 20,755 20,174
Fannie Mae, 5.5%, 6/1/33 5.5 06/01/2033 1,148,000 54,878
Fannie Mae, 6.0%, 7/1/33 6.0 07/01/2033 10,874,932 237,025
Springleaf Funding Trust 2014-A, 2.41%, 12/15/22 (144A) 2.41 12/15/2022 1,200,000 1,200,292
WASH Multifamily Laundry Systems LLC, U.S. Term Loan, 2/21/19 4.5032 02/21/2019 159,982 158,182
Government National Mortgage Association I, 5.5%, 8/15/33 5.5 08/15/2033 750,075 55,644
American Credit Acceptance Receivables Trust, 1.64%, 11/15/16 (144A) 1.64 11/15/2016 2,350,000 207,015
Fannie Mae, 6.0%, 6/1/38 6.0 06/01/2038 2,250,000 501,397
Fannie Mae, 6.0%, 3/1/33 6.0 03/01/2033 3,500,000 143,574
CNH Equipment Trust 2013-A, 0.69%, 6/15/18 0.69 06/15/2018 1,200,000 1,139,169
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/33 5.0 06/15/2033 5,000,000 76,683
RPI Finance Trust, Term B-2 Term Loan, 5/9/18 3.25 05/09/2018 1,656,910 1,654,839
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 9.015 01/08/2015 300,000 306,870
Fannie Mae, 4.0%, 1/1/44 4.0 01/01/2044 273,906 276,655
American Credit Acceptance Receivables Trust 2012-2, 4.05%, 2/15/18 (144A) 4.05 02/15/2018 428,000 430,827
Santander Drive Auto Receivables Trust 2012-1, 3.78%, 11/15/17 3.78 11/15/2017 1,450,000 1,344,627
Government National Mortgage Association I, 6.5%, 7/15/32 6.5 07/15/2032 14,653,970 208,013
Blackstone Holdings Finance Co LLC, 5.0%, 6/15/44 (144A) 5.0 06/15/2044 1,725,000 1,856,792
Public Service Co of New Mexico, 7.95%, 5/15/18 7.95 05/15/2018 2,690,000 3,193,082
Prudential Financial, Inc., Floating Rate Note, 9/15/42 5.875 09/15/2042 1,800,000 1,930,138
Duke Realty LP, 3.75%, 12/1/24 3.75 12/01/2024 5,300,000 5,386,879
Rosneft Finance SA, 7.5%, 7/18/16 (144A) 7.5 07/18/2016 2,080,000 2,065,873
Federal Home Loan Mortgage Corp., 6.5%, 7/1/32 6.5 07/01/2032 1,000,000 20,507
Government National Mortgage Association I, 6.0%, 9/15/34 6.0 09/15/2034 1,374,301 248,618
Government National Mortgage Association I, 6.0%, 9/15/34 6.0 09/15/2034 1,315,000 124,477
Fannie Mae, 4.0%, 7/1/18 4.0 07/01/2018 675,000 37,885
HLSS Servicer Advance Receivables Trust, 1.7436%, 1/16/46 (144A) 1.7436 01/16/2046 1,620,000 1,621,579
Government National Mortgage Association I, 6.0%, 8/15/32 6.0 08/15/2032 300,000 12,499
Fannie Mae, 4.5%, 2/1/41 4.5 02/01/2041 2,435,128 1,330,028
Bear Stearns ALT-A Trust 2005-1, Floating Rate Note, 1/25/35 0.7295 01/25/2035 13,520,000 1,041,266
Government National Mortgage Association I, 6.5%, 1/15/33 6.5 01/15/2033 25,065,172 624,174
Federal Home Loan Mortgage Corp., 7.0%, 8/1/22 7.0 08/01/2022 687,553 113,983
Government National Mortgage Association I, 6.0%, 10/15/33 6.0 10/15/2033 2,000,000 76,788
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 2.25 06/25/2043 928,000 780,588
OMNOVA Solutions, Inc., Term B-1 Loan, 5/31/18 4.25 05/31/2018 480,000 475,200
Fannie Mae, 4.0%, 7/1/44 4.0 07/01/2044 800,000 851,471
Energy Transfer Partners LP, Floating Rate Note, 11/1/66 3.2499 11/01/2066 1,200,000 1,080,608
Government National Mortgage Association I, 6.0%, 5/15/17 6.0 05/15/2017 1,900,000 44,569
Williams Partners LP, 4.3%, 3/4/24 4.3 03/04/2024 5,980,000 6,052,579
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 3.0 03/27/2024 1,550,000 1,017,537
Government National Mortgage Association I, 4.5%, 12/15/39 4.5 12/15/2039 9,079,200 2,361,491
New Residential Mortgage Loan Trust 2014-1, Floating Rate Note, 1/25/54 (144A) 3.75 01/25/2054 1,900,000 1,723,365
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 2.35 10/25/2035 1,049,340 260,884
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 4,256,655 206,680
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 2.5811 10/25/2033 7,000,000 737,308
Government National Mortgage Association I, 4.5%, 4/15/38 4.5 04/15/2038 1,004,042 263,968
Cummins, Inc., 6.75%, 2/15/27 6.75 02/15/2027 910,000 1,193,561
General Electric Capital Corp., Floating Rate Note (Perpetual) 7.125 12/31/2049 4,400,000 5,134,433
USI, Inc. New York, Initial Term Loan 2013, 12/30/19 4.25 12/30/2019 6,208,894 6,104,119
Government National Mortgage Association I, 6.0%, 1/15/17 6.0 01/15/2017 705,441 8,661
SBP DPR Finance Co., Floating Rate Note, 3/15/17 (144A) 2.9906 03/15/2017 2,000,000 947,560
Federal Home Loan Mortgage Corp., 3.0%, 8/1/29 3.0 08/01/2029 4,875,000 4,961,169
Government National Mortgage Association I, 6.5%, 10/15/32 6.5 10/15/2032 6,591,983 128,018
Baylor University, 4.313%, 3/1/42 4.313 03/01/2042 1,025,000 1,102,230
Fannie Mae, 6.5%, 3/1/32 6.5 03/01/2032 3,500,000 93,622
PVH Corp., Tranche B Term Loan, 2/13/20 3.25 02/13/2020 465,961 467,027
Corporate Office Properties LP, 3.6%, 5/15/23 3.6 05/15/2023 1,185,000 1,144,054
WF-RBS Commercial Mortgage Trust 2011-C2, Floating Rate Note, 2/15/44 (144A) 5.392 02/15/2044 350,000 385,262
Fannie Mae, 5.0%, 2/1/41 5.0 02/01/2041 17,669,429 7,271,885
Buckeye Partners LP, 4.15%, 7/1/23 4.15 07/01/2023 5,425,000 5,399,654
Federal Home Loan Mortgage Corp., 6.5%, 4/1/34 6.5 04/01/2034 299,956 4,490
American Homes 4 Rent 2014-SFR3 Trust, 5.04%, 12/18/36 (144A) 5.04 12/18/2036 700,000 715,295
Federal Home Loan Mortgage Corp., 4.0%, 5/1/44 4.0 05/01/2044 9,000,000 8,894,477
Clearwater Paper Corp., 4.5%, 2/1/23 4.5 02/01/2023 1,285,000 1,276,969
Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36 0.6595 06/25/2036 1,949,000 1,040,448
Consolidated Edison Co of New York, Inc., 4.625%, 12/1/54 4.625 12/01/2054 5,475,000 6,022,191
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 4.0 07/09/2018 1,500,000 1,513,208
Federal Home Loan Mortgage Corp., 5.0%, 10/1/38 5.0 10/01/2038 6,600,000 633,255
Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 6.0 12/01/2033 3,297,768 140,824
Fannie Mae, 4.0%, 7/1/44 4.0 07/01/2044 11,110,000 11,578,883
University of California, 3.38%, 5/15/28 3.38 05/15/2028 2,600,000 2,671,679
First Investors Auto Owner Trust 2014-3, 2.97%, 11/16/20 (144A) 2.97 11/16/2020 2,100,000 2,097,245
QBE Insurance Group, Ltd., 2.4%, 5/1/18 (144A) 2.4 05/01/2018 1,100,000 1,104,514
Irwin Whole Loan Home Equity Trust 2005-C, Floating Rate Note, 3/25/25 1.2195 03/25/2025 800,000 251,794
Government National Mortgage Association I, 5.0%, 9/15/33 5.0 09/15/2033 1,254,232 163,452
Bear Stearns ARM Trust 2003-5, Floating Rate Note, 8/25/33 2.325 08/25/2033 10,580,000 797,749
Chesapeake Funding LLC, Floating Rate Note, 3/4/26 1.3572 03/04/2026 400,000 400,791
Fannie Mae, 7.0%, 1/1/32 7.0 01/01/2032 1,701,763 29,902
Alterra Finance LLC, 6.25%, 9/30/20 6.25 09/30/2020 3,000,000 3,530,087
Kinder Morgan Energy Partners LP, 4.25%, 9/1/24 4.25 09/01/2024 4,675,000 4,745,107
BAMLL Commercial Mortgage Securities Trust 2014-FL1, Floating Rate Note, 12/15/31   12/15/2031 2,580,000 2,579,573
Federal Home Loan Mortgage Corp., 6.0%, 6/1/35 6.0 06/01/2035 3,778,102 153,002
Agrium, Inc., 5.25%, 1/15/45 5.25 01/15/2045 7,600,000 8,256,532
Government National Mortgage Association I, 6.5%, 4/15/32 6.5 04/15/2032 235,320 11,711
The Bank of New York Mellon Corp., Floating Rate Note (Perpetual) 4.5 12/31/2049 1,250,000 1,154,063
Fannie Mae, 6.0%, 9/1/34 6.0 09/01/2034 408,807 44,651
CCOH Safari LLC, 5.75%, 12/1/24 5.75 12/01/2024 800,000 812,833
COMM 2012-CCRE2 Mortgage Trust, 3.147%, 8/15/45 3.147 08/15/2045 850,000 872,993
CF Industries, Inc., 5.15%, 3/15/34 5.15 03/15/2034 4,845,000 5,141,334
Washington Suburban Sanitary Commission, 4.0%, 6/1/43 4.0 06/01/2043 1,620,000 1,708,277
Government National Mortgage Association I, 6.5%, 2/15/34 6.5 02/15/2034 733,600 58,006
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 8.0059 05/07/2015 5,500,000 5,694,322
CommScope, Inc., Tranche 3 Term Loan, 1/21/17 2.8285 01/21/2017 327,343 325,160
Mystic Re, Ltd., Floating Rate Note, 3/12/15 (Cat Bond) (144A) 9.0101 03/12/2015 650,000 671,775
Massachusetts Health & Educational Facilities Authority, 5.5%, 7/1/32 5.5 07/01/2032 1,425,000 2,008,039
Government National Mortgage Association I, 5.5%, 10/15/35 5.5 10/15/2035 2,002,398 303,742
Crockett Cogeneration LP, 5.869%, 3/30/25 (144A) 5.869 03/30/2025 1,010,000 619,388
Government National Mortgage Association I, 6.5%, 3/15/29 6.5 03/15/2029 5,001,628 98,990
Loews Corp., 5.25%, 3/15/16 5.25 03/15/2016 2,650,000 2,825,489
Crown Castle Towers LLC, 6.113%, 1/15/20 (144A) 6.113 01/15/2020 1,625,000 1,870,958
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 6/25/33 5.5 06/25/2033 1,000,000 204,728
GS Mortgage Securities Trust 2012-GCJ7, 3.377%, 5/12/45 3.377 05/12/2045 1,250,000 1,301,568
Delphi Corp., 4.15%, 3/15/24 4.15 03/15/2024 5,400,000 5,647,895
Fannie Mae, 6.0%, 2/1/32 6.0 02/01/2032 2,379,023 41,504
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 3.9752 05/18/2016 2,200,000 2,243,450
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 2.6445 12/25/2034 3,200,000 505,162
CIT Equipment Collateral 2014-VT1, 3.14%, 2/20/20 (144A) 3.14 02/20/2020 1,400,000 1,400,972
The PNC Financial Services Group, Inc., Floating Rate Note (Perpetual) 6.75 12/31/2049 1,320,000 1,485,825
JP Morgan Mortgage Trust 2013-1, Floating Rate Note, 3/25/43 (144A) 2.5 03/25/2043 6,600,000 4,584,554
Fannie Mae, 4.0%, 4/1/42 4.0 04/01/2042 1,100,000 744,793
Fannie Mae, 7.0%, 9/1/31 7.0 09/01/2031 2,000,000 10,824
Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 6.0 12/01/2033 635,770 28,180
Intesa Sanpaolo S.p.A., 6.5%, 2/24/21 (144A) 6.5 02/24/2021 1,400,000 1,651,697
Government National Mortgage Association I, 6.5%, 7/15/35 6.5 07/15/2035 3,323,439 105,938
Impac CMB Trust Series 2004-9, Floating Rate Note, 1/25/35 0.9295 01/25/2035 10,000,000 658,050
FREMF Mortgage Trust 2010-K8, Floating Rate Note, 9/25/43 (144A) 5.2384 09/25/2043 600,000 665,921
Government National Mortgage Association I, 6.0%, 10/15/36 6.0 10/15/2036 3,000,000 188,458
Sunoco Logistics Partners Operations LP, 6.1%, 2/15/42 6.1 02/15/2042 2,200,000 2,436,864
Empresa Electrica Angamos SA, 4.875%, 5/25/29 (144A) 4.875 05/25/2029 2,825,000 2,789,334
Fannie Mae, 3.5%, 6/1/28 3.5 06/01/2028 5,531,277 4,730,614
Structured Asset Securities Corp., 4.77%, 10/25/34 (Step) 4.77 10/25/2034 2,100,000 142,980
A10 Term Asset Financing 2013-2 LLC, 2.62%, 11/15/27 (144A) 2.62 11/15/2027 2,794,000 2,717,555
NRP Mortgage Trust 2013-1, Floating Rate Note, 7/25/43 (144A) 3.25 07/25/2043 5,825,000 5,427,952
AmeriCredit Automobile Receivables Trust 2013-1, 1.57%, 1/8/19 1.57 01/08/2019 800,000 798,963
Government National Mortgage Association I, 6.0%, 4/15/33 6.0 04/15/2033 3,907,830 86,331
Blackstone Holdings Finance Co LLC, 4.75%, 2/15/23 (144A) 4.75 02/15/2023 4,200,000 4,641,871
Becton Dickinson and Co., 3.734%, 12/15/24 3.734 12/15/2024 10,525,000 10,853,744
FPL Energy Wind Funding LLC, 6.876%, 6/27/17 (144A) 6.876 06/27/2017 1,050,000 99,522
OneBeacon US Holdings, Inc., 4.6%, 11/9/22 4.6 11/09/2022 1,000,000 1,046,720
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 2.3146 08/25/2033 18,254,000 1,221,495
Fannie Mae, 6.0%, 3/1/32 6.0 03/01/2032 450,000 11,228
Fannie Mae, 4.5%, 12/1/43 4.5 12/01/2043 20,516,456 17,221,602
Government National Mortgage Association I, 6.5%, 7/15/35 6.5 07/15/2035 666,356 74,802
BM&FBovespa SA, 5.5%, 7/16/20 (144A) 5.5 07/16/2020 3,200,000 3,472,667
Catalent 1st Lien Tl-B L + 3.5% 08may21 4.5 05/08/2021 895,388 892,776
Government National Mortgage Association I, 5.5%, 6/15/33 5.5 06/15/2033 400,000 19,169
Fannie Mae, 3.0%, 12/1/42 3.0 12/01/2042 2,352,529 2,082,899
Burger King Corp 1st Lien Tl-B L + 3.5% 25sep21 4.5 09/25/2021 480,000 480,214
Federal Home Loan Mortgage Corp., 6.0%, 11/1/33 6.0 11/01/2033 1,151,218 32,404
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA Netherlands, 3.95%, 11/9/22 3.95 11/09/2022 6,425,000 6,581,350
Fidelity National Financial, Inc., 5.5%, 9/1/22 5.5 09/01/2022 1,200,000 1,329,368
Fannie Mae, 4.5%, 10/1/35 4.5 10/01/2035 3,754,694 320,729
Government National Mortgage Association I, 7.0%, 4/15/28 7.0 04/15/2028 266,017 2,820
Halliburton Co., 7.6%, 8/15/96 (144A) 7.6   2,250,000 3,333,753
US Bancorp, Floating Rate Note (Perpetual) 6.0 12/31/2049 227,976 6,182,709
Fannie Mae, 5.0%, 2/1/20 5.0 02/01/2020 700,000 65,764
Federal Home Loan Mortgage Corp., 5.5%, 8/1/35 5.5 08/01/2035 5,000,000 324,863
Electricite de France SA, Floating Rate Note (Perpetual) (144A) 5.25 12/31/2049 2,150,000 2,251,408
Prudential Financial, Inc., Floating Rate Note, 6/15/68 8.875 06/15/2068 2,140,000 2,506,891
Aviation Capital Group Corp., 6.75%, 4/6/21 (144A) 6.75 04/06/2021 3,525,000 4,048,242
Monty Parent Issuer 1 LLC, 3.47%, 11/20/28 (144A) 3.47 11/20/2028 5,250,000 1,934,125
Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 6.03 06/12/2015 3,000,000 3,060,400
Fannie Mae, 5.0%, 7/1/40 5.0 07/01/2040 5,000,000 2,257,707
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A) 2.1 05/19/2031 1,800,000 1,753,727
Permanent University Fund, 5.0%, 7/1/30 5.0 07/01/2030 800,000 1,003,696
Government National Mortgage Association I, 5.0%, 10/15/18 5.0 10/15/2018 3,153,375 150,574
COMM 2013-LC6 Mortgage Trust, 2.941%, 1/12/46 2.941 01/12/2046 1,900,000 1,913,906
FPL Energy American Wind LLC, 6.639%, 6/20/23 (144A) 6.639 06/20/2023 2,520,000 676,876
Fannie Mae, 7.0%, 12/1/30 7.0 12/01/2030 499,950 862
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 3.4251 01/17/2019 500,000 514,479
Government National Mortgage Association I, 5.5%, 10/15/17 5.5 10/15/2017 2,400,000 47,839
The PNC Financial Services Group, Inc., Floating Rate Note (Perpetual) 4.4511 02/21/2049 6,273,000 6,304,800
Federal Home Loan Mortgage Corp., 6.5%, 1/1/31 6.5 01/01/2031 66,916 199
Government National Mortgage Association II, 4.5%, 1/20/35 4.5 01/20/2035 2,500,000 474,690
Fannie Mae, 8.0%, 5/1/31 8.0 05/01/2031 45,000 407
IMS Health, Inc., Term B Dollar Loan, 3/17/21 3.5 03/17/2021 453,811 444,924
Government National Mortgage Association I, 5.5%, 9/15/33 5.5 09/15/2033 3,636,072 245,069
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 7.2675 07/05/2016 1,100,000 1,167,351
Panoche Energy Center LLC, 6.885%, 7/31/29 (144A) 6.885 07/31/2029 2,610,000 2,636,644
Bayview Opportunity Master Fund Trust, Floating Rate Note, 1/28/33 (144A) 2.9814 01/28/2033 1,000,000 273,504
Fannie Mae, 6.5%, 1/1/31 6.5 01/01/2031 1,000,000 4,063
Fannie Mae, 7.5%, 8/1/20 7.5 08/01/2020 250,000 639
FREMF Mortgage Trust 2013-K502, Floating Rate Note, 3/27/45 (144A) 3.1954 03/27/2045 900,000 895,552
Fannie Mae, 5.5%, 7/1/33 5.5 07/01/2033 3,800,000 171,206
Agilent Technologies, Inc., 6.5%, 11/1/17 6.5 11/01/2017 894,000 1,001,999
Electricite de France SA, 6.0%, 1/22/14 (144A) 6.0   4,250,000 5,063,629
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 3.25 12/19/2020 1,245,588 1,240,917
Fannie Mae, 4.0%, 6/1/42 4.0 06/01/2042 3,678,905 1,320,201
Hyundai Motor Manufacturing Czech sro, 4.5%, 4/15/15 (144A) 4.5 04/15/2015 655,000 667,174
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 2.212 09/18/2031 2,500,000 2,453,209
Government National Mortgage Association I, 4.5%, 6/15/41 4.5 06/15/2041 3,601,538 2,028,214
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 8.005 07/09/2015 2,100,000 2,206,820
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 0.3695 12/25/2036 4,900,000 1,045,407
Federal Home Loan Mortgage Corp., 6.0%, 12/1/36 6.0 12/01/2036 860,000 65,708
Government National Mortgage Association I, 5.0%, 7/15/33 5.0 07/15/2033 1,500,150 168,707
Government National Mortgage Association I, 5.0%, 4/15/34 5.0 04/15/2034 1,504,329 169,031
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/30 5.0 12/15/2030 1,050,000 1,159,328
Government National Mortgage Association I, 4.5%, 9/15/33 4.5 09/15/2033 2,256,215 330,393
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 0.4195 10/25/2035 4,359,000 502,509
United States Treasury Floating Rate Note, Floating Rate Note, 1/31/16 0.085 01/31/2016 11,325,000 11,323,343
Wells Fargo Mortgage Backed Securities Trust, Floating Rate Note, 8/25/34 2.6154 08/25/2034 17,226,000 936,489
SunGard Data Systems, Inc., Tranche C Term Loan, 2/28/17 3.9072 02/28/2017 953,650 949,867
Canadian Natural Resources, Ltd., 6.5%, 2/15/37 6.5 02/15/2037 2,230,000 2,609,842
Structured Asset Mortgage Investments Trust 2003-AR2, Floating Rate Note, 12/19/33 0.9041 12/19/2033 20,990,377 1,064,649
Progress Residential 2014-SFR1 Trust, Floating Rate Note, 10/17/31 (144A) 2.4108 10/17/2031 180,000 178,105
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1.7601 01/07/2019 500,000 491,436
CSMC Trust 2013-IVR4, Floating Rate Note, 7/27/43 (144A) 3.0 07/27/2043 3,790,000 3,430,490
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 2.1001 11/19/2026 4,000,000 1,575,210
Capital One Financial Corp., 3.75%, 4/24/24 3.75 04/24/2024 6,650,000 6,840,045
Federal Home Loan Mortgage Corp., 6.5%, 8/1/31 6.5 08/01/2031 1,070,805 5,017
Valero Energy Corp., 9.375%, 3/15/19 9.375 03/15/2019 2,890,000 3,683,985
Marathon Oil Corp., 5.9%, 3/15/18 5.9 03/15/2018 901,000 1,017,109
Hospitality Properties Trust, 5.0%, 8/15/22 5.0 08/15/2022 875,000 938,585
Freeport-McMoRan, Inc., 4.55%, 11/14/24 4.55 11/14/2024 1,650,000 1,611,998
Alta Wind Holdings LLC, 7.0%, 6/30/35 (144A) 7.0 06/30/2035 700,000 642,479
Government National Mortgage Association I, 6.0%, 9/15/32 6.0 09/15/2032 1,406,079 113,417
Air Canada 2013-1 Class A Pass Through Trust, 4.125%, 11/15/26 (144A) 4.125 11/15/2026 5,000,000 4,834,241
WaMu Mortgage Pass-Through Certificates Series 2003-AR6 Trust, Floating Rate Note, 6/25/33 2.4375 06/25/2033 47,783,250 2,211,922
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 1,500,000 1,575,126
CKE Restaurant Holdings, Inc., 4.474%, 3/20/43 (144A) 4.474 03/20/2043 3,924,000 3,879,942
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 0.9495 11/25/2034 19,339,000 2,601,751
CoBank ACB, Floating Rate Note (Perpetual) (144A) 6.25 12/31/2049 28,000 2,835,876
Loma Reinsurance, Ltd. Bermuda, Floating Rate Note, 1/8/18 (Cat Bond) (144A) 9.765 01/08/2018 250,000 266,330
Intesa Sanpaolo S.p.A., 3.625%, 8/12/15 (144A) 3.625 08/12/2015 3,476,000 3,571,599
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 0.6695 06/28/2044 400,000 393,857
CBS Corp., 3.7%, 8/15/24 3.7 08/15/2024 6,125,000 6,191,319
JG Wentworth XXII LLC, 3.82%, 12/15/48 (144A) 3.82 12/15/2048 1,100,000 738,933
Government National Mortgage Association I, 6.5%, 5/15/31 6.5 05/15/2031 2,567,327 32,702
Enel S.p.A., Floating Rate Note, 9/24/73 (144A) 8.133 09/24/2073 2,320,000 2,748,797
General Electric Capital Corp., 5.3%, 2/11/21 5.3 02/11/2021 4,860,000 5,650,227
Fannie Mae, 6.0%, 10/1/35 6.0 10/01/2035 7,125,770 200,286
Capital Auto Receivables Asset Trust/ Ally, 1.74%, 10/22/18 1.74 10/22/2018 1,900,000 1,907,297
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 0.4695 09/25/2036 5,715,000 782,009
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 11/25/33 2.5827 11/25/2033 9,200,000 478,009
Nortek Inc 1st Lien Tl-B L + 3% 31dec20 3.75 12/31/2020 837,895 827,683
Government National Mortgage Association I, 5.5%, 8/15/33 5.5 08/15/2033 299,970 32,784
Newfield Exploration Co., 5.625%, 7/1/24 5.625 07/01/2024 1,400,000 1,424,500
Tufts University, 5.017%, 4/15/12 5.017   3,550,000 3,908,995
FREMF Mortgage Trust 2012-K501, Floating Rate Note, 11/26/46 (144A) 3.4575 11/26/2046 650,000 667,265
Cantor Fitzgerald LP, 7.875%, 10/15/19 (144A) 7.875 10/15/2019 2,980,000 3,305,193
Fannie Mae, 5.0%, 2/1/22 5.0 02/01/2022 7,621,650 413,736
STORE Master Funding LLC, 5.77%, 8/20/42 (144A) 5.77 08/20/2042 2,095,000 2,192,387
Fannie Mae, 6.0%, 8/1/32 6.0 08/01/2032 315,000 7,319
Altrl Zero% 30jun17 0.0 06/30/2017 560,000 560,000
Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43 2.1531 06/25/2043 24,278,000 831,506
FREMF Mortgage Trust 2011-K703, Floating Rate Note, 7/25/44 (144A) 4.8839 07/25/2044 1,250,000 1,339,703
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 4.2703 04/18/2017 250,000 251,593
Ardent Medical Services, Inc., Term Loan (First Lien), 7/2/18 6.75 07/02/2018 501,069 502,165
Southern California Edison Co., Floating Rate Note (Perpetual) 6.25 12/31/2049 2,200,000 2,496,542
Louisiana Local Government Environmental Facilities & Community Development Authority, 6.5%, 11/1/35 6.5 11/01/2035 2,350,000 2,851,521
Kane Zero% 15jan16 0.0 01/15/2016 1,012,000 1,012,000
CSMC Trust 2014-WIN1, Floating Rate Note, 9/25/44 (144A) 3.0 09/25/2044 6,225,000 5,612,372
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5, Floating Rate Note, 7/15/31 (144A) 1.5108 07/15/2031 1,260,000 1,254,335
Federal Home Loan Mortgage Corp., 5.5%, 11/1/34 5.5 11/01/2034 1,900,000 211,420
FREMF Mortgage Trust 2011-K10 , Floating Rate Note, 11/25/49 (144A) 4.6154 11/25/2049 1,500,000 1,616,966
BB&T Corp., 5.625% (Perpetual) 5.625 12/31/2049 85,000 2,056,150
Government National Mortgage Association II, 5.5%, 10/20/19 5.5 10/20/2019 4,728,248 522,445
Government National Mortgage Association I, 4.5%, 10/15/35 4.5 10/15/2035 2,106,954 243,564
Golden State RE II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A) 2.2 01/08/2019 2,800,000 2,803,469
Fannie Mae, 5.0%, 4/1/39 5.0 04/01/2039 2,924,816 334,646
Enterprise Products Operating LLC, 3.9%, 2/15/24 3.9 02/15/2024 5,310,000 5,486,405
Tyco Electronics Group SA, 6.55%, 10/1/17 6.55 10/01/2017 2,950,000 3,368,912
Fannie Mae, 4.5%, 7/1/41 4.5 07/01/2041 5,000,000 2,823,656
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 0.7855 09/20/2033 37,500,000 1,687,571
Southwest Airlines Co., 2.75%, 11/6/19 2.75 11/06/2019 2,350,000 2,372,075
JP Morgan Mortgage Trust 2014-1 REMICS, Floating Rate Note, 1/25/44 (144A) 3.5 01/25/2044 1,000,000 982,323
Grain Spectrum Funding II LLC, 3.29%, 10/10/19 (144A) 3.29 10/10/2019 1,400,000 1,418,923
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 5.23 12/17/2040 5,025,000 3,481,750
Duke Energy Progress, Inc., 4.15%, 12/1/44 4.15 12/01/2044 8,700,000 9,289,211
Merrill Lynch Mortgage Investors Trust Series 2005-A3, Floating Rate Note, 4/25/35 0.4395 04/25/2035 27,604,109 3,295,549
California Educational Facilities Authority, 5.0%, 6/1/43 5.0 06/01/2043 1,980,000 2,704,634
JP Morgan Chase Commercial Mortgage Securities Trust 2014-CBM, Floating Rate Note, 10/15/29 (144A) 2.1108 10/15/2029 4,600,000 4,594,443
Massachusetts Development Finance Agency, 5.25%, 4/1/37 5.25 04/01/2037 325,000 379,299
JPMorgan Chase & Co., Floating Rate Note, 8/29/49 6.75 08/29/2049 4,815,000 5,215,247
NRG Energy, Inc., Term Loan (2013), 7/1/18 2.75 07/01/2018 1,322,470 1,299,326
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1.8195 03/25/2035 430,000 422,834
Government National Mortgage Association I, 6.0%, 9/15/33 6.0 09/15/2033 904,389 88,273
Fannie Mae, 4.0%, 7/1/42 4.0 07/01/2042 624,000 438,211
Tradewynd Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 6.25 01/08/2015 250,000 253,843
Frontier Communications Corp., 7.125%, 1/15/23 7.125 01/15/2023 4,300,000 4,516,523
GATX Corp., 6.0%, 2/15/18 6.0 02/15/2018 5,660,000 6,422,174
Sirius International Group, Ltd., Floating Rate Note (Perpetual) (144A) 7.506 12/31/2049 2,110,000 2,276,138
WideOpenWest Finance LLC, Term B Loan, 4/1/19 4.75 04/01/2019 160,291 159,590
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 5.2652 03/07/2016 1,250,000 1,282,953
County of Sweetwater Wyoming, 5.6%, 12/1/35 5.6 12/01/2035 995,000 1,020,996
Nissan Motor Acceptance Corp., 4.5%, 1/30/15 (144A) 4.5 01/30/2015 790,000 807,216
Government National Mortgage Association I, 6.5%, 1/15/32 6.5 01/15/2032 7,587,058 125,519
Federal Home Loan Mortgage Corp., 6.0%, 1/1/33 6.0 01/01/2033 1,890,000 90,364
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 0.4195 09/25/2030 2,760,310 460,969
Alternative Loan Trust 2003-J1, 4.75%, 10/25/33 4.75 10/25/2033 9,200,000 388,434
Federal Home Loan Mortgage Corp., 6.0%, 5/1/34 6.0 05/01/2034 7,192,224 799,017
Structured Asset Securities Corp Mortgage Loan Trust 2006-GEL4, Floating Rate Note, 10/25/36 (144A) 0.3895 10/25/2036 5,952,000 2,163,194
Fannie Mae, 6.0%, 9/1/34 6.0 09/01/2034 6,273,165 186,048
Fannie Mae, 6.0%, 3/1/33 6.0 03/01/2033 230,257 17,721
Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 6.0 12/01/2033 2,000,000 181,863
Federal Home Loan Mortgage Corp., 5.0%, 10/1/20 5.0 10/01/2020 9,000,000 1,231,646
Sanders Re, Ltd., Floating Rate Note, 5/25/18 (Cat Bond) (144A) 3.0152 05/25/2018 800,000 797,653
FREMF Mortgage Trust 2012-K710, Floating Rate Note, 6/25/47 (144A) 3.8187 06/25/2047 858,000 887,385
Bowdoin College, 4.693%, 7/1/12 4.693   1,000,000 1,064,242
Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A) 3.765 11/25/2019 2,200,000 2,192,300
Fannie Mae, 5.0%, 10/1/20 5.0 10/01/2020 4,036,945 506,459
COMM 2012-CCRE2 Mortgage Trust REMICS, 3.791%, 8/17/45 3.791 08/17/2045 450,000 473,768
Government National Mortgage Association I, 5.5%, 8/15/19 5.5 08/15/2019 2,543,276 240,579
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 1.6 06/19/2031 600,000 588,995
Rowan Companies, Inc., 4.75%, 1/15/24 4.75 01/15/2024 6,185,000 5,973,286
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5, 4.1712%, 8/17/46 4.1712 08/17/2046 1,350,000 1,463,154
RALI Series 2004-QS3 Trust, 5.0%, 3/25/19 5.0 03/25/2019 13,042,000 1,129,122
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 8.7652 12/06/2016 725,000 746,049
Wilton Re Finance LLC, Floating Rate Note, 3/30/33 (144A) 5.875 03/30/2033 1,400,000 1,493,464
DIRECTV Holdings LLC, 3.95%, 1/15/25 3.95 01/15/2025 4,900,000 4,949,311
Prudential Financial, Inc., 4.5%, 11/16/21 4.5 11/16/2021 1,090,000 1,194,419
Orcal Geothermal, Inc., 6.21%, 12/30/20 (144A) 6.21 12/30/2020 1,730,000 615,907
Telefonica Emisiones SAU, 6.221%, 7/3/17 6.221 07/03/2017 2,750,000 3,129,105
Government National Mortgage Association I, 6.5%, 1/15/34 6.5 01/15/2034 1,311,303 18,367
DCT Industrial Operating Partnership LP, 4.5%, 10/15/23 4.5 10/15/2023 1,475,000 1,550,064
Microsemi Corp., Term Loan (2014), 3/14/21 3.25 03/14/2021 395,014 388,398
Government National Mortgage Association II, 6.5%, 4/20/29 6.5 04/20/2029 2,900,000 47,659
EQT Midstream Partners LP, 4.0%, 8/1/24 4.0 08/01/2024 5,100,000 5,135,352
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 8.1051 01/07/2016 250,000 261,872
Sotheby's, 5.25%, 10/1/22 (144A) 5.25 10/01/2022 1,300,000 1,245,563
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 2.25 08/20/2025 2,000,000 1,075,735
CWABS Asset-Backed Certificates Trust 2004-7, Floating Rate Note, 12/25/34 1.2195 12/25/2034 1,400,000 766,320
Fannie Mae, 6.5%, 4/1/31 6.5 04/01/2031 500,000 3,493
Huntsman International LLC, Extended Term B Loan, 4/19/17 2.7055 04/19/2017 254,694 250,130
Ensco Plc, 4.5%, 10/1/24 4.5 10/01/2024 4,725,000 4,646,929
Fannie Mae, 3.5%, 12/1/42 3.5 12/01/2042 1,000,000 900,514
Federal National Mortgage Association REMICS, 4.5%, 6/25/29 4.5 06/25/2029 1,000,000 834,664
Fannie Mae, 8.0%, 3/1/31 8.0 03/01/2031 1,495,060 10,884
Government National Mortgage Association I, 6.5%, 7/15/32 6.5 07/15/2032 5,169,128 54,140
Fannie Mae, 4.5%, 1/1/42 4.5 01/01/2042 23,783,862 12,201,779
Government National Mortgage Association I, 6.5%, 2/15/32 6.5 02/15/2032 3,127,662 42,741
Government National Mortgage Association I, 5.5%, 10/15/33 5.5 10/15/2033 1,509,492 124,427
Federal Home Loan Mortgage Corp., 6.0%, 9/1/33 6.0 09/01/2033 3,396,240 222,537
EnLink Midstream Partners LP, 4.4%, 4/1/24 4.4 04/01/2024 7,040,000 7,209,249
Government National Mortgage Association I, 5.0%, 7/15/19 5.0 07/15/2019 1,587,453 171,505
The Bank of New York Mellon Corp., 4.95%, 3/15/15 4.95 03/15/2015 2,000,000 2,045,096
Fannie Mae, 4.5%, 11/1/43 4.5 11/01/2043 800,000 800,673
Colony Multifamily Mortgage Trust 2014-1, 2.5432%, 4/22/50 (144A) 2.5432 04/22/2050 4,000,000 3,943,347
Citigroup Mortgage Loan Trust, Inc. REMICS, Floating Rate Note, 8/25/34 2.1782 08/25/2034 17,660,000 3,195,684
Fannie Mae, 3.0%, 8/1/42 3.0 08/01/2042 24,375,000 22,544,148
Federal Home Loan Mortgage Corp., 5.5%, 9/1/33 5.5 09/01/2033 5,200,000 427,447
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 6.5 08/15/2030 2,800,000 305,592
Irwin Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/25 0.3895 06/25/2025 15,300,000 3,035,980
Federal Home Loan Mortgage Corp., 5.0%, 9/1/38 5.0 09/01/2038 7,240,000 667,343
JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2, 3.6159%, 11/15/43 (144A) 3.6159 11/15/2043 1,600,000 1,679,728
First Tennessee Bank NA, 2.95%, 12/1/19 2.95 12/01/2019 5,425,000 5,428,845
Government National Mortgage Association I, 6.5%, 8/15/32 6.5 08/15/2032 129,066 4,691
Fannie Mae, 4.5%, 8/1/40 4.5 08/01/2040 5,950,444 1,645,326
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 3.0806 07/15/2023 750,000 721,910
Government National Mortgage Association I, 6.5%, 8/15/32 6.5 08/15/2032 2,400,000 39,278
CDGJ Commercial Mortgage Trust 2014-BXCH, Floating Rate Note, 12/15/27 (144A) 2.6608 12/15/2027 3,990,000 3,996,270
Fannie Mae, 4.0%, 2/1/44 4.0 02/01/2044 14,000,000 13,773,027
Sequoia Mortgage Trust 2004-12 REMICS, Floating Rate Note, 1/20/35 0.6336 01/20/2035 15,500,000 1,067,964
PPL Capital Funding, Inc., 5.9%, 4/30/73 5.9 04/30/2073 164,000 4,083,600
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA Netherlands, 3.875%, 2/8/22 3.875 02/08/2022 3,435,000 3,706,943
Fannie Mae, 4.0%, 12/1/42 4.0 12/01/2042 142,828 46,323
Fannie Mae, 4.0%, 12/1/43 4.0 12/01/2043 7,600,000 7,539,696
Nordea Bank AB, 4.25%, 9/21/22 (144A) 4.25 09/21/2022 4,500,000 4,725,592
New York City Transitional Finance Authority Future Tax Secured Revenue, 5.0%, 11/1/33 5.0 11/01/2033 2,400,000 2,771,696
Government National Mortgage Association I, 6.5%, 3/15/29 6.5 03/15/2029 2,000,000 23,177
Fannie Mae, 4.0%, 4/1/39 4.0 04/01/2039 7,360,371 2,138,666
Government National Mortgage Association II, 7.0%, 11/20/28 7.0 11/20/2028 10,000,000 112,015
Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A) 1.55 11/15/2017 1,326,000 1,330,096
Sequoia Mortgage Trust 2013-6, Floating Rate Note, 5/26/43 3.0 05/26/2043 2,450,000 2,204,579
HSBC Bank USA NA New York NY, 6.0%, 8/9/17 6.0 08/09/2017 3,350,000 3,782,715
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 3,044,810 166,832
Citicorp Residential Mortgage Trust Series 2006-2, 5.775%, 9/25/36 (Step) 5.775 09/25/2036 600,000 306,067
Cronos Containers Program I, Ltd., 3.81%, 9/18/27 (144A) 3.81 09/18/2027 1,850,000 1,436,392
Government National Mortgage Association I, 7.0%, 5/15/32 7.0 05/15/2032 5,500,000 112,401
Federal Home Loan Mortgage Corp., 5.5%, 12/1/18 5.5 12/01/2018 2,500,000 284,371
Fannie Mae, 6.0%, 9/1/32 6.0 09/01/2032 65,856 974
STORE Master Funding LLC, 4.16%, 3/20/43 (144A) 4.16 03/20/2043 300,000 298,256
FREMF Mortgage Trust 2011-K701, Floating Rate Note, 7/25/48 (144A) 4.286 07/25/2048 5,000,000 5,246,506
Fannie Mae, 8.0%, 10/1/30 8.0 10/01/2030 155,531 801
Ship Midco, Ltd., Facility B2A-II, 11/29/19 5.25 11/29/2019 999,288 1,001,161
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 0.8441 05/19/2035 79,912,853 4,170,595
BCMSC Trust 1998-A, 6.65%, 4/15/28 6.65 04/15/2028 10,000,000 181,017
Port Freeport Texas, 5.95%, 5/15/33 5.95 05/15/2033 3,965,000 4,434,467
COMM 2012-LC4 Mortgage Trust, 4.063%, 12/12/44 4.063 12/12/2044 4,000,000 4,270,523
Hologic, Inc., Refinancing Tranche B Term Loan, 8/1/19 3.25 08/01/2019 408,688 407,283
Citigroup Mortgage Loan Trust, Inc., 5.5%, 9/25/34 5.5 09/25/2034 4,860,000 1,250,540
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 8/25/24 1.5195 08/25/2024 3,570,000 3,473,354
Banc of America Alternative Loan Trust 2004-4, 5.25%, 5/25/19 5.25 05/25/2019 5,500,000 602,766
Morgan Stanley Capital I Trust 2005-HQ6 REMICS, Floating Rate Note, 8/13/42 5.073 08/13/2042 2,400,000 2,445,733
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A) 9.0375 03/16/2016 250,000 266,425
Nordea Bank AB, Floating Rate Note (Perpetual) (144A) 6.125 12/31/2049 5,600,000 5,633,172
Activision Blizzard, Inc., Term Loan, 7/26/20 3.25 07/26/2020 300,000 299,849
Bayview Commercial Asset Trust 2005-3, Floating Rate Note, 11/25/35 (144A) 0.4895 11/25/2035 10,500,000 2,423,219
Colbun SA, 4.5%, 7/10/24 (144A) 4.5 07/10/2024 4,300,000 4,388,722
Federal Home Loan Mortgage Corp., 6.5%, 8/1/31 6.5 08/01/2031 192,020 1,320
GS Mortgage Securities Corp II, 3.682%, 2/12/46 (144A) 3.682 02/12/2046 1,000,000 1,019,564
Tasc Inc/Va 1st Lien Tl-B L + 5.5% 12may20 6.5 05/12/2020 644,532 628,822
Government National Mortgage Association I, 4.5%, 7/15/33 4.5 07/15/2033 633,571 126,288
Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37 0.3195 03/25/2037 550,000 324,392
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.8695 01/25/2035 14,000,000 1,751,335
Weatherford International, Ltd. Bermuda, 5.95%, 4/15/42 5.95 04/15/2042 125,000 107,411
Interactive Data 1st Lien Tl-B L + 3.75% 24apr21 4.75 04/24/2021 746,794 743,247
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 3,750,000 556,962
Wells Fargo Bank NA, 6.0%, 11/15/17 6.0 11/15/2017 3,540,000 3,995,172
Fannie Mae, 6.0%, 7/1/38 6.0 07/01/2038 974,925 81,273
Government National Mortgage Association II, 7.0%, 1/20/29 7.0 01/20/2029 8,400,000 116,975
Fannie Mae, 7.0%, 12/1/31 7.0 12/01/2031 1,198,074 28,729
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 5.0 07/25/2018 7,610,000 447,347
WP Carey, Inc., 4.6%, 4/1/24 4.6 04/01/2024 1,715,000 1,820,473
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 3.0 05/15/2018 3,048,000 1,319,915
National Rural Utilities Cooperative Finance Corp., 5.45%, 2/1/18 5.45 02/01/2018 2,000,000 2,272,711
Federal National Mortgage Association REMICS, 5.0%, 9/25/39 5.0 09/25/2039 704,000 125,734
Sequoia Mortgage Trust, Floating Rate Note, 12/26/42 1.808 12/26/2042 8,060,000 5,729,948
Federal Home Loan Mortgage Corp., 4.0%, 9/1/44 4.0 09/01/2044 5,790,000 6,112,814
Government National Mortgage Association I, 5.5%, 12/15/18 5.5 12/15/2018 406,708 38,417
Bosphorus Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 2.5608 05/03/2016 350,000 350,410
Plains All American Pipeline LP, 4.9%, 2/15/45 4.9 02/15/2045 5,300,000 5,401,985
Fannie Mae, 4.0%, 12/1/40 4.0 12/01/2040 1,900,000 1,330,396
Structured Asset Securities Corp Trust 2005-14, Floating Rate Note, 7/25/35 0.4695 07/25/2035 6,935,000 682,311
The Goodyear Tire & Rubber Co., Loan (Second Lien), 4/30/19 4.75 04/30/2019 4,190,000 4,180,573
Government National Mortgage Association I, 6.5%, 6/15/34 6.5 06/15/2034 1,330,499 200,780
Nevada Power Co., 6.5%, 8/1/18 6.5 08/01/2018 910,000 1,079,014
Pangaea Zero% 01jul18 0.0 07/01/2018 2,000,000 2,128,600
SCE Trust III, Floating Rate Note (Perpetual) 5.75 12/31/2049 167,900 4,440,955
Government National Mortgage Association I, 6.0%, 5/15/17 6.0 05/15/2017 1,413,485 47,417
Government National Mortgage Association I, 6.5%, 10/15/31 6.5 10/15/2031 9,167,721 150,546
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 2.623 07/25/2033 24,092,878 1,096,680
Altice Financing SA, 7.875%, 12/15/19 (144A)