Pioneer Investments: Pioneer Bond Fund


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Pioneer Bond Fund

Monthly Portfolio Holdings as of 6/30/2014

Security Name Coupon Maturity Date Par / Shares Market Value($)
Aspen Insurance Holdings, Ltd., Floating Rate Note, 12/31/49 (Perpetual) 5.95   50,000 1,245,000
HLSS Servicer Advance Receivables Trust, 3.96%, 10/15/45 (144A) 3.96 10/15/2045 224,000 228,426
CubeSmart LP, 4.8%, 7/15/22 4.8 07/15/2022 730,000 801,793
Government National Mortgage Association I, 7.0%, 4/15/28 7.0 04/15/2028 266,017 2,909
Terwin Mortgage Trust Series TMTS 2005-16HE, 4.60746%, 9/25/36 (Step) 4.6072 09/25/2036 14,000,000 3,046,508
CHL Mortgage Pass-Through Trust 2003-56, Floating Rate Note, 12/25/33 2.6529 12/25/2033 10,000,000 628,304
Nevada Power Co., 6.5%, 8/1/18 6.5 08/01/2018 910,000 1,100,611
Fannie Mae, 6.5%, 10/1/31 6.5 10/01/2031 1,000,100 14,425
CF Industries, Inc., 5.15%, 3/15/34 5.15 03/15/2034 4,845,000 5,237,862
Federal Home Loan Mortgage Corp., 6.0%, 6/1/35 6.0 06/01/2035 3,778,102 165,873
Federal Home Loan Mortgage Corp., 4.5%, 3/1/42 4.5 03/01/2042 4,169,408 4,182,501
NCR Corp., 4.625%, 2/15/21 4.625 02/15/2021 2,100,000 2,152,442
RALI Series 2004-QS16 Trust, 5.5%, 12/25/34 5.5 12/25/2034 12,000,000 850,027
Government National Mortgage Association I, 6.0%, 11/15/31 6.0 11/15/2031 1,614,291 61,650
Mid-State Capital Trust 2010-1, 5.25%, 12/15/45 (144A) 5.25 12/15/2045 950,000 770,433
Fannie Mae, 4.5%, 5/1/41 4.5 05/01/2041 454,433 216,751
GMAC Commercial Mortgage Securities Inc Series 2004-C3 Trust, 4.864%, 12/10/41 4.864 12/10/2041 3,375,000 3,420,935
Viacom, Inc., 5.25%, 4/1/44 5.25 04/01/2044 3,200,000 3,431,922
SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A) 2.0 09/20/2029 1,200,000 705,688
GSR Mortgage Loan Trust 2004-7, Floating Rate Note, 6/25/34 2.6703 06/25/2034 14,810,263 1,895,939
Freeport-McMoRan Copper & Gold, Inc., 3.875%, 3/15/23 3.875 03/15/2023 1,850,000 1,865,477
Fannie Mae, 5.5%, 7/1/34 5.5 07/01/2034 13,142,000 1,388,119
Government National Mortgage Association I, 5.0%, 10/15/18 5.0 10/15/2018 3,153,375 191,146
Fannie Mae, 8.0%, 4/1/30 8.0 04/01/2030 150,000 790
Electricite de France SA, Floating Rate Note, 12/31/49 (Perpetual) (144A) 5.25 01/29/2049 2,150,000 2,240,938
Government National Mortgage Association I, 5.0%, 9/15/33 5.0 09/15/2033 1,254,232 186,703
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 7.5175 04/09/2015 500,000 507,146
Intesa Sanpaolo S.p.A., 3.625%, 8/12/15 (144A) 3.625 08/12/2015 3,476,000 3,600,099
Catalent 1st Lien Tl-B L + 3.5% 08may21 4.5 05/08/2021 899,887 906,355
Government National Mortgage Association I, 5.5%, 2/15/18 5.5 02/15/2018 4,000,000 208,828
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.852 01/25/2035 14,715,000 1,836,187
BBVA Bancomer SA Texas, 4.375%, 4/10/24 (144A) 4.375 04/10/2024 2,400,000 2,468,625
Fannie Mae, 3.5%, 7/1/43 3.5 07/01/2043 3,767,763 3,627,335
Fannie Mae, 4.0%, 2/1/42 4.0 02/01/2042 24,300,000 13,841,585
Government National Mortgage Association I, 4.5%, 9/15/33 4.5 09/15/2033 2,256,215 358,526
Blackstone Holdings Finance Co LLC, 4.75%, 2/15/23 (144A) 4.75 02/15/2023 1,400,000 1,553,628
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 0.591 10/25/2030 5,000,000 463,180
NBTY, Inc., Term B-2 Loan, 10/1/17 3.5 10/01/2017 861,429 863,986
Government National Mortgage Association, 1.067%, 9/16/52 1.0663 09/16/2052 13,000,000 1,015,001
Government National Mortgage Association I, 5.5%, 8/15/33 5.5 08/15/2033 400,000 36,510
Government National Mortgage Association II, 6.5%, 2/20/29 6.5 02/20/2029 210,000 3,759
Fannie Mae, 5.5%, 2/1/18 5.5 02/01/2018 2,100,000 132,243
RALI Series 2004-QS13 Trust, 5.0%, 9/25/19 5.0 09/25/2019 18,375,000 2,372,756
Fannie Mae, 6.5%, 7/1/34 6.5 07/01/2034 1,095,000 53,361
Oxford Finance Funding Trust 2012-1, 3.9%, 3/15/17 (144A) 3.9 03/15/2017 750,000 104,527
Government National Mortgage Association I, 6.5%, 3/15/29 6.5 03/15/2029 2,000,000 26,072
SBP DPR Finance Co., Floating Rate Note, 3/15/17 (144A) 2.9806 03/15/2017 2,000,000 1,156,947
Government National Mortgage Association I, 6.0%, 9/15/28 6.0 09/15/2028 12,973,600 453,794
U.S. Treasury Bonds, 4.25%, 5/15/39 4.25 05/15/2039 7,620,000 8,988,910
Tronox Pigments BV, New Term Loan, 3/19/20 4.0 01/24/2017 772,669 774,987
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 0.402 09/25/2030 2,760,310 485,355
Embarcadero Reinsurance, Ltd., Floating Rate Note, 2/13/15 (Cat Bond) (144A) 7.4015 02/13/2015 250,000 256,133
Federal Home Loan Mortgage Corp., 6.0%, 5/1/34 6.0 05/01/2034 1,440,424 262,302
GTP Towers Issuer LLC, 4.436%, 2/15/15 (144A) 4.436 02/15/2015 3,950,000 4,021,963
Citigtoup Mortgage Loan Trust 2014-A, Floating Rate Note, 1/1/35 (144A) 4.0 01/01/2035 1,000,000 931,631
Fannie Mae, 6.5%, 12/1/31 6.5 12/01/2031 3,300,000 161,378
PPL Capital Funding, Inc., 5.9%, 4/30/73 5.9 04/30/2073 164,000 4,022,920
Spirit AeroSystems, Inc., Term Loan B, 9/30/20 3.25 09/30/2020 637,000 636,104
Banc of America Alternative Loan Trust 2004-10, 5.5%, 11/25/19 5.5 11/25/2019 5,500,000 833,337
Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A) 1.55 11/15/2017 1,326,000 1,334,803
Fannie Mae, 6.0%, 9/1/29 6.0 09/01/2029 124,691 2,082
Ras Laffan Liquefied Natural Gas Co, Ltd. III, 5.832%, 9/30/16 (144A) 5.832 09/30/2016 1,605,000 772,723
Government National Mortgage Association I, 4.5%, 8/15/41 4.5 08/15/2041 5,900,000 3,057,866
Government National Mortgage Association I, 7.0%, 4/15/29 7.0 04/15/2029 1,014,372 27,170
A10 Securitization 2013-1 LLC, 2.4%, 11/15/25 (144A) 2.4 11/15/2025 1,750,000 1,598,389
Santander Holdings USA, Inc. Pennsylvania, 3.0%, 9/24/15 3.0 09/24/2015 2,000,000 2,070,439
WaMu Mortgage Pass-Through Certificates Series 2004-AR14 Trust, Floating Rate Note, 1/25/35 2.3972 01/25/2035 15,238,744 3,381,594
Fannie Mae, 4.0%, 4/1/39 4.0 04/01/2039 7,360,371 2,379,981
UBS AG, 7.625%, 8/17/22 7.625 08/17/2022 1,450,000 1,787,058
DCP Midstream LLC, Floating Rate Note, 5/21/43 (144A) 5.85 05/21/2043 3,950,000 3,778,175
HLSS Servicer Advance Receivables Trust, 1.7436%, 1/16/46 (144A) 1.7436 01/16/2046 1,620,000 1,617,529
FREMF Mortgage Trust 2012-K710, 3.818%, 6/25/47 (144A) 3.9491 06/25/2047 858,000 902,137
Federal Home Loan Mortgage Corp., 5.5%, 12/1/18 5.5 12/01/2018 2,500,000 359,599
Indianapolis Airport Authority, 5.1%, 1/15/17 5.1 01/15/2017 1,000,000 1,125,687
Federal Home Loan Mortgage Corp., 6.5%, 1/1/31 6.5 01/01/2031 47,714 379
Capital Auto Receivables Asset Trust/ Ally, 1.74%, 10/22/18 1.74 10/22/2018 1,900,000 1,904,445
Jpmmt 3% 25jun29 14-2-1a1 3.0 06/25/2029 10,055,000 10,304,804
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 3,475,000 200,229
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 3.25 12/19/2020 1,251,863 1,253,427
Sunoco Logistics Partners Operations LP, 6.1%, 2/15/42 6.1 02/15/2042 2,200,000 2,589,069
Alternative Loan Trust 2004-2CB, 5.125%, 3/25/34 5.125 03/25/2034 2,000,000 122,121
Alexandria Real Estate Equities, Inc., 4.6%, 4/1/22 4.6 04/01/2022 2,670,000 2,853,835
Newfield Exploration Co., 5.625%, 7/1/24 5.625 07/01/2024 1,400,000 1,575,875
Federal Home Loan Mortgage Corp., 3.5%, 11/1/28 3.5 11/01/2028 2,200,200 2,238,946
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 2.4 10/25/2035 1,049,340 276,645
Federal Home Loan Mortgage Corp., 5.5%, 11/1/34 5.5 11/01/2034 550,000 45,806
The PNC Financial Services Group, Inc., Floating Rate Note, 12/31/49 (Perpetual) 6.75 07/29/2049 1,320,000 1,508,430
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 4.568 01/15/2031 1,700,000 214,680
Tufts University, 5.017%, 4/15/12 5.017   3,550,000 3,642,401
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 2.49 02/25/2034 11,243,500 1,011,398
Government National Mortgage Association I, 4.5%, 3/15/35 4.5 03/15/2035 784,949 47,274
Electricite de France SA, 6.0%, 1/22/14 (144A) 6.0   4,250,000 4,911,984
Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37 0.302 03/25/2037 550,000 367,107
Government National Mortgage Association I, 5.5%, 4/15/19 5.5 04/15/2019 25,000 2,574
Banc of America Large Loan Trust 2007-BMB1, Floating Rate Note, 8/15/29 (144A) 1.251 08/15/2029 400,000 400,128
Sequoia Mortgage Trust 2004-9, Floating Rate Note, 10/20/34 0.493 10/20/2034 9,485,000 1,035,070
Fannie Mae, 5.0%, 4/1/39 5.0 04/01/2039 2,924,816 445,355
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 4.25 04/25/2034 8,370,000 416,712
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 2.6914 07/25/2033 24,092,878 1,267,340
Bear Stearns ALT-A Trust 2005-1, Floating Rate Note, 1/25/35 0.712 01/25/2035 12,790,000 1,068,786
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 2/15/38 5.014 02/15/2038 2,155,000 1,798,913
Government National Mortgage Association I, 6.5%, 1/15/32 6.5 01/15/2032 7,587,058 140,425
Gn30 4% 21jul14 4.0 07/21/2014 15,000,000 16,055,208
Bayview Commercial Asset Trust, 3.52691%, 9/25/37 (Step) (144A) 3.5303 09/25/2037 13,200,000 452,963
AmeriCredit Automobile Receivables Trust 2013-1, 1.57%, 1/8/19 1.57 01/08/2019 800,000 803,975
SunGard Data Systems, Inc., Tranche C Term Loan, 2/28/17 3.902 02/28/2017 953,650 957,028
Fncl 30yr Pool 4.5% Jul/11 Tba 4.5 10/25/2040 15,000,000 16,268,910
Nakilat, Inc., 6.267%, 12/31/33 (144A) 6.267 12/31/2033 2,450,000 2,520,911
Spirit Master Funding LLC, 5.74%, 3/20/42 (144A) 5.74 03/20/2042 268,008 297,482
Government National Mortgage Association I, 4.5%, 10/15/33 4.5 10/15/2033 2,981,200 327,920
Kiowa Power Partners LLC, 5.737%, 3/30/21 (144A) 5.737 03/30/2021 2,105,000 2,140,105
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 8.5152 05/09/2016 300,000 311,309
Aquarius + Investments Plc for Swiss Reinsurance Co, Ltd., Floating Rate Note, 9/1/24 6.375 09/01/2024 1,800,000 2,021,625
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 10.0304 06/06/2016 275,000 303,640
Halliburton Co., 7.6%, 8/15/96 (144A) 7.6   1,300,000 1,975,406
Selma Industrial Development Board, 5.8%, 5/1/34 5.8 05/01/2034 2,310,000 2,593,707
Sequoia Mortgage Trust 2013-6, Floating Rate Note, 5/25/43 3.0 05/25/2043 2,300,000 2,036,911
Banc of America Alternative Loan Trust 2003-7, 5.5%, 9/25/33 5.5 09/25/2033 7,600,000 1,664,944
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 0.352 12/25/2036 4,900,000 1,212,231
Government National Mortgage Association I, 6.0%, 3/15/32 6.0 03/15/2032 80,300 3,275
Fannie Mae, 6.0%, 11/1/33 6.0 11/01/2033 400,765 52,732
AXA SA, 8.6%, 12/15/30 8.6 12/15/2030 2,335,000 3,146,581
Merrill Lynch Mortgage Investors Trust Series 2005-A3, Floating Rate Note, 4/25/35 0.422 04/25/2035 27,604,109 3,471,324
Government National Mortgage Association I, 5.5%, 1/15/35 5.5 01/15/2035 2,222,000 262,319
JP Morgan Chase Commercial Mortgage Securities Trust 2013-ALC, Floating Rate Note, 7/17/26 (144A) 3.005 07/17/2026 1,368,000 1,389,789
Fannie Mae, 3.5%, 6/1/28 3.5 06/01/2028 5,531,277 5,131,322
Public Service Co of New Mexico, 7.95%, 5/15/18 7.95 05/15/2018 2,690,000 3,256,951
Fannie Mae, 5.5%, 9/1/17 5.5 09/01/2017 3,705,000 95,337
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 0.502 08/25/2036 1,525,000 451,995
Citicorp Residential Mortgage Trust Series 2007-1, 5.892%, 3/25/37 (Step) 5.892 03/25/2037 1,700,000 1,323,874
Federal Home Loan Mortgage Corp., 5.0%, 12/1/21 5.0 12/01/2021 450,000 42,649
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 1.301 05/07/2024 400,000 403,374
Spectra Energy Capital LLC, 6.75%, 7/15/18 6.75 07/15/2018 1,500,000 1,768,238
Government National Mortgage Association I, 5.5%, 2/15/18 5.5 02/15/2018 4,000,000 178,324
Wells Fargo Mortgage Backed Securities 2004-K Trust, Floating Rate Note, 7/25/34 2.6153 07/25/2034 7,975,000 1,038,134
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 2.0259 10/25/2033 11,509,396 1,444,720
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 11.0765 04/10/2015 850,000 904,146
Government National Mortgage Association I, 6.0%, 10/15/34 6.0 10/15/2034 2,897,739 456,990
Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34 0.892 11/25/2034 32,667,000 2,279,764
New York State Electric & Gas Corp., 6.15%, 12/15/17 (144A) 6.15 12/15/2017 5,055,000 5,548,188
Ormat Funding Corp., 8.25%, 12/30/20 8.25 12/30/2020 555,000 293,319
The Hanover Insurance Group, Inc., 7.625%, 10/15/25 7.625 10/15/2025 1,952,000 2,419,858
Protective Life Corp., 7.375%, 10/15/19 7.375 10/15/2019 4,250,000 5,324,729
Federal Home Loan Mortgage Corp., 6.0%, 6/1/35 6.0 06/01/2035 3,600,000 146,907
Government National Mortgage Association I, 6.0%, 10/15/36 6.0 10/15/2036 3,000,000 202,948
Government National Mortgage Association I, 5.5%, 2/15/35 5.5 02/15/2035 500,000 76,709
Fannie Mae, 4.5%, 7/1/41 4.5 07/01/2041 750,000 473,436
Fannie Mae, 7.0%, 4/1/31 7.0 04/01/2031 2,160,818 13,661
Fannie Mae, 6.0%, 9/1/32 6.0 09/01/2032 65,856 1,071
SunTrust Banks, Inc., 3.5%, 1/20/17 3.5 01/20/2017 1,025,000 1,101,294
WASH Multifamily Laundry Systems LLC, U.S. Term Loan, 2/21/19 4.5032 01/22/2019 160,794 161,296
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 1/25/35 2.5151 01/25/2035 2,680,000 663,481
Sequoia Mortgage Trust 2003-2, Floating Rate Note, 6/20/33 0.813 06/20/2033 43,225,000 2,738,469
Wachovia Bank Commercial Mortgage Trust Series 2004-C15, 4.803%, 10/15/41 4.803 10/15/2041 3,787,250 3,422,781
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 3.0 06/25/2043 891,000 800,771
Fannie Mae, 4.0%, 4/1/42 4.0 04/01/2042 1,100,000 805,123
Delphi Financial Group, Inc., 7.875%, 1/31/20 7.875 01/31/2020 1,850,000 2,306,468
Government National Mortgage Association I, 6.5%, 2/15/29 6.5 02/15/2029 301,000 14,315
FREMF Mortgage Trust 2012-K501, 3.486%, 11/25/46 (144A) 3.6088 11/25/2046 650,000 675,384
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 0.3068 05/15/2047 1,100,000 463,419
Government National Mortgage Association I, 6.5%, 8/15/32 6.5 08/15/2032 2,400,000 39,503
Teachers Insurance & Annuity Association of America, 6.85%, 12/16/39 (144A) 6.85 12/16/2039 3,205,000 4,283,348
BCMSC Trust 1998-A, 6.65%, 4/15/28 6.65 04/15/2028 10,000,000 400,241
Federal Home Loan Mortgage Corp., 6.5%, 5/1/31 6.5 05/01/2031 100,010 186
Government National Mortgage Association REMICS, 2.1%, 2/16/48 2.1 02/16/2048 6,000,000 5,973,097
Commonwealth Edison Co., 6.15%, 9/15/17 6.15 09/15/2017 980,000 1,143,850
Loma Reinsurance, Ltd. Bermuda, Floating Rate Note, 1/8/18 (Cat Bond) (144A) 9.7804 01/08/2018 250,000 261,313
Fannie Mae, 6.5%, 1/1/31 6.5 01/01/2031 1,000,000 4,324
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 6.8855 04/07/2017 1,350,000 1,418,883
Affiliated Managers Group, Inc., 4.25%, 2/15/24 4.25 02/15/2024 2,525,000 2,654,158
Sanders Re, Ltd., Floating Rate Note, 5/25/18 (Cat Bond)   05/25/2018 800,000 792,080
KKR Group Finance Co II LLC, 5.5%, 2/1/43 (144A) 5.5 02/01/2043 5,025,000 5,454,023
Prestige Auto Receivables Trust 2011-1, 3.9%, 7/16/18 (144A) 3.9 07/16/2018 800,000 674,016
JPMorgan Chase & Co., 6.0%, 1/15/18 6.0 01/15/2018 2,575,000 3,019,923
MRFC Mortgage Pass-Through Trust Series 1999-TBC2, Floating Rate Note, 6/15/30 0.6318 06/15/2030 9,460,074 617,023
Barclays Bank Plc, 6.05%, 12/4/17 (144A) 6.05 12/04/2017 3,515,000 4,003,415
Federal Home Loan Mortgage Corp., 5.0%, 9/1/38 5.0 09/01/2038 7,240,000 787,843
Fannie Mae, 5.5%, 9/1/19 5.5 09/01/2019 7,000,000 438,918
Banc of America Alternative Loan Trust 2004-6, 5.0%, 7/25/19 5.0 07/25/2019 10,021,500 1,569,301
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 8.6152 04/08/2016 900,000 935,125
Fannie Mae, 5.5%, 12/1/17 5.5 12/01/2017 12,031,696 279,567
Banc of America Alternative Loan Trust 2004-12, 5.5%, 1/25/20 5.5 01/25/2020 6,500,000 820,580
Structured Asset Securities Corp Mortgage Loan Trust 2006-GEL4, Floating Rate Note, 10/25/36 (144A) 0.372 10/25/2036 5,952,000 2,562,555
MRFC Mortgage Pass-Through Trust Series 2000-TBC3, Floating Rate Note, 12/15/30 0.5918 12/15/2030 15,000,000 819,082
Government National Mortgage Association I, 6.0%, 9/15/32 6.0 09/15/2032 1,406,079 114,762
Piedmont Operating Partnership LP, 3.4%, 6/1/23 3.4 06/01/2023 2,550,000 2,431,265
Fannie Mae, 4.5%, 11/1/43 4.5 11/01/2043 430,000 466,205
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/17/26 (144A) 2.0911 11/17/2026 4,000,000 3,667,028
U.S. Treasury Bonds, 4.375%, 11/15/39 4.375 11/15/2039 1,365,000 1,642,215
Fannie Mae, 7.0%, 7/1/21 7.0 07/01/2021 500,000 6,474
Banc of America Funding 2003-3 Trust, 5.5%, 10/25/33 5.5 10/25/2033 3,903,805 888,699
Citigroup Capital XIII, Floating Rate Note, 10/30/40 7.875 10/30/2040 116,000 3,213,200
Federal Home Loan Mortgage Corp., 6.0%, 2/1/33 6.0 02/01/2033 550,000 11,824
Expedia, Inc., 5.95%, 8/15/20 5.95 08/15/2020 800,000 923,149
Fannie Mae, 4.0%, 5/1/44 4.0 05/01/2044 3,800,000 4,041,491
Citigroup, Inc., Floating Rate Note, 12/31/49 (Perpetual) 7.125   197,000 5,446,853
Government National Mortgage Association II, 5.5%, 10/20/19 5.5 10/20/2019 4,728,248 630,850
GS Mortgage Securities Trust 2012-GCJ7, 3.377%, 5/10/45 3.377 05/10/2045 1,250,000 1,295,276
Fannie Mae, 5.5%, 7/1/23 5.5 07/01/2023 1,010,000 78,317
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 2.627 12/25/2034 3,200,000 953,459
Banc of America Mortgage Trust 2004-7, 4.5%, 8/25/19 4.5 08/25/2019 1,241,000 104,618
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 2.02 01/15/2019 1,200,000 1,203,651
Port Authority of New York & New Jersey, 4.458%, 10/1/62 4.458 10/01/2062 600,000 618,249
New Jersey Economic Development Authority, 0.0%, 2/15/18 0.0 02/15/2018 4,500,000 4,142,205
FREMF Mortgage Trust 2011-K10 , 4.615%, 11/25/49 (144A) 4.7744 11/25/2049 1,500,000 1,628,220
Government National Mortgage Association I, 4.5%, 7/15/33 4.5 07/15/2033 633,571 134,803
Texas Transportation Commission State Highway Fund, 5.0%, 4/1/33 5.0 04/01/2033 1,000,000 1,177,581
Univision Communications, Inc., Replacement First-Lien Term Loan, 3/1/20 4.0 03/01/2020 2,277,434 2,278,502
Bear Stearns Commercial Mortgage Securities Trust 2002-TOP6, Floating Rate Note, 10/15/36 (144A) 7.6555 10/15/2036 1,600,000 201,553
Banc of America Alternative Loan Trust 2004-4, 5.25%, 5/25/34 5.25 05/25/2034 5,500,000 719,058
Agilent Technologies, Inc., 6.5%, 11/1/17 6.5 11/01/2017 5,366,000 6,193,557
Ohio Higher Educational Facility Commission, 5.0%, 1/1/42 5.0 01/01/2042 1,765,000 1,979,253
Government National Mortgage Association I, 6.0%, 4/15/33 6.0 04/15/2033 1,000,000 33,468
Lear Corp., 11/9/14   11/09/2014 247 43,771
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 1.353 11/20/2036 5,300,000 1,445,973
U.S. Treasury Bonds, 3.125%, 2/15/43 3.125 02/15/2043 2,000,000 1,948,793
Government National Mortgage Association II, 6.5%, 4/20/29 6.5 04/20/2029 2,900,000 50,358
Fannie Mae, 6.5%, 3/1/32 6.5 03/01/2032 3,500,000 94,571
CommScope, Inc., Tranche 3 Term Loan, 1/21/17 2.7274 01/21/2017 329,000 329,206
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 9.2804 06/06/2017 250,000 262,156
Drugb Flt% 15jul23 14-1-A1 3.0821 07/15/2023 750,000 750,385
Citicorp Residential Mortgage Trust Series 2006-1, 5.939%, 7/25/36 (Step) 5.939 07/25/2036 2,791,000 2,082,406
Sunoco Logistics Partners Operations LP, 4.25%, 4/1/24 4.25 04/01/2024 1,500,000 1,559,772
General Electric Capital Corp., 5.3%, 2/11/21 5.3 02/11/2021 4,860,000 5,626,568
Banc of America Mortgage 2004-L Trust, Floating Rate Note, 1/25/35 2.948 01/25/2035 0 355
Federal Home Loan Mortgage Corp., 5.5%, 11/1/35 5.5 11/01/2035 1,000,000 81,435
Standard Aero, Ltd., Replacement Tranche B-2 Loan, 11/2/18 5.0 11/02/2018 609,421 617,039
Government National Mortgage Association I, 6.0%, 6/15/33 6.0 06/15/2033 368,522 17,299
Government National Mortgage Association I, 6.0%, 4/15/33 6.0 04/15/2033 2,000,000 64,731
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 8.0304 06/06/2016 800,000 873,404
Government National Mortgage Association I, 6.0%, 9/15/35 6.0 09/15/2035 5,000,000 1,100,264
Government National Mortgage Association I, 5.5%, 2/15/37 5.5 02/15/2037 575,000 91,200
Government National Mortgage Association I, 6.0%, 1/15/19 6.0 01/15/2019 548,488 37,558
Global SC Finance II SRL, 4.11%, 7/19/27 (144A) 4.11 07/19/2027 1,000,000 812,657
Davita Healthcare Partners Inc 1st Lien Tl-B L + 2.75% 19jun21   06/19/2021 253,678 255,196
Fannie Mae, 4.0%, 12/1/40 4.0 12/01/2040 1,900,000 1,411,213
Government National Mortgage Association I, 7.0%, 6/15/31 7.0 06/15/2031 3,678,509 7,292
Santander Drive Auto Receivables Trust 2012-1, 3.78%, 11/15/17 3.78 11/15/2017 1,450,000 1,490,963
Federal Home Loan Mortgage Corp., 6.5%, 11/1/30 6.5 11/01/2030 53,302 500
Government National Mortgage Association II, 4.5%, 9/20/41 4.5 09/20/2041 5,800,000 3,262,778
Fannie Mae, 5.0%, 10/1/20 5.0 10/01/2020 4,036,945 596,407
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1.7804 01/07/2019 500,000 501,112
Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 6.0 12/01/2033 635,770 43,143
Fannie Mae, 5.0%, 5/1/23 5.0 05/01/2023 4,380,644 701,308
Bombardier, Inc., 4.25%, 1/15/16 (144A) 4.25 01/15/2016 2,250,000 2,367,219
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 0.773 09/20/2033 27,000,000 1,305,501
Federal National Mortgage Association REMICS, 4.5%, 6/25/29 4.5 06/25/2029 1,000,000 964,718
Fannie Mae, 6.0%, 10/1/32 6.0 10/01/2032 4,502,006 107,972
Interactive Data 1st Lien Tl-B L + 3.75% 24apr21 4.75 04/24/2021 750,547 757,935
Residential Asset Securitization Trust 2004-A8, 5.25%, 11/25/34 5.25 11/25/2034 15,300,000 509,091
Capital One Bank USA NA, 8.8%, 7/15/19 8.8 07/15/2019 1,465,000 1,957,839
Government National Mortgage Association I, 5.5%, 11/15/18 5.5 11/15/2018 1,443,964 76,862
Wells Fargo Bank NA, 6.0%, 11/15/17 6.0 11/15/2017 3,540,000 4,082,929
Citigroup, Inc., Floating Rate Note, 12/31/49 (Perpetual) 5.9 12/31/2049 2,000,000 2,064,578
Morgan Stanley, 4.1%, 5/22/23 4.1 05/22/2023 5,100,000 5,196,159
Cummins, Inc., 5.65%, 3/1/98 5.65   3,200,000 3,683,719
The Hanover Insurance Group, Inc., 7.5%, 3/1/20 7.5 03/01/2020 700,000 853,843
Orcal Geothermal, Inc., 6.21%, 12/30/20 (144A) 6.21 12/30/2020 1,730,000 694,283
HLSS Servicer Advance Receivables Trust, 1.2437%, 1/17/45 1.2437 01/17/2045 1,300,000 1,301,759
Mystic Re, Ltd., Floating Rate Note, 3/12/15 (Cat Bond) (144A) 9.0304 03/12/2015 650,000 677,788
Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 6.0 12/01/2033 3,297,768 141,756
Government National Mortgage Association I, 5.5%, 10/15/33 5.5 10/15/2033 1,509,492 135,595
Fannie Mae, 7.0%, 12/1/30 7.0 12/01/2030 499,950 888
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 0.852 03/25/2035 5,700,000 907,690
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 0.502 06/25/2034 24,782,615 2,394,860
OneBeacon US Holdings, Inc., 4.6%, 11/9/22 4.6 11/09/2022 1,000,000 1,039,076
Fannie Mae, 4.0%, 12/1/42 4.0 12/01/2042 142,828 46,604
Hyundai Capital America, 1.45%, 2/6/17 (144A) 1.45 02/06/2017 2,245,000 2,266,568
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 0.402 02/25/2037 10,766,469 1,129,565
Massachusetts Development Finance Agency, 5.25%, 4/1/37 5.25 04/01/2037 325,000 360,527
U.S. Treasury Bonds, 4.375%, 5/15/40 4.375 05/15/2040 2,000,000 2,409,613
Federal Home Loan Mortgage Corp., 6.0%, 1/1/34 6.0 01/01/2034 3,744,314 98,986
Home Equity Asset Trust 2005-7, Floating Rate Note, 1/25/36 0.532 01/25/2036 750,000 410,679
Icon Brands Holdings LLC, 4.229%, 1/25/43 (144A) 4.229 01/25/2043 1,391,000 1,291,021
Fannie Mae, 6.5%, 4/1/31 6.5 04/01/2031 500,000 3,853
Aeroflex, Inc., Tranche B-1 Term Loan, 11/9/19 4.5 11/24/2019 3,048,411 3,063,653
Fannie Mae, 6.0%, 4/1/35 6.0 04/01/2035 4,000,000 402,626
U.S. Treasury Bonds, 4.375%, 2/15/38 4.375 02/15/2038 4,650,000 5,628,092
M&T Bank Corp., Floating Rate Note, 12/31/49 (Perpetual) 6.45 12/31/2049 3,960,000 4,321,680
Government National Mortgage Association I, 6.5%, 4/15/32 6.5 04/15/2032 235,320 17,728
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 2.25 08/20/2025 2,000,000 1,321,094
Government National Mortgage Association I, 4.5%, 4/15/35 4.5 04/15/2035 200,000 39,807
Federal Home Loan Mortgage Corp., 4.5%, 11/1/43 4.5 11/01/2043 637,703 626,002
Federal Home Loan Mortgage Corp., 6.5%, 5/1/31 6.5 05/01/2031 1,043,809 12,476
Aegis Asset Backed Securities Trust 2005-5, Floating Rate Note, 12/25/35 0.422 12/25/2035 5,250,000 1,421,292
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/25/35 0.887 02/25/2035 810,000 226,918
Irwin Home Equity Loan Trust 2005-1, 5.32%, 6/25/35 (Step) 5.32 06/25/2035 4,350,000 719,396
SNAAC Auto Receivables Trust 2013-1, 1.14%, 7/16/18 (144A) 1.14 07/16/2018 2,100,000 634,379
MASTR Seasoned Securitization Trust 2005-1, Floating Rate Note, 9/25/32 6.6223 09/25/2032 12,000,000 822,353
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 5.25 04/25/2032 3,090,877 1,004,648
North American Development Bank, 2.3%, 10/10/18 2.3 10/10/2018 643,000 655,868
Government National Mortgage Association I, 6.5%, 2/15/32 6.5 02/15/2032 3,127,662 48,467
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 2.402 03/25/2032 2,200,000 1,182,670
Fannie Mae, 6.5%, 11/1/37 6.5 11/01/2037 2,222,350 318,301
HSBC Bank USA NA New York NY, 6.0%, 8/9/17 6.0 08/09/2017 3,350,000 3,853,574
COMM 2006-FL12 Mortgage Trust, Floating Rate Note, 12/15/20 (144A) 0.3218 12/15/2020 758,849 483,131
Nuance Communications, Inc., Term C Loan, 8/7/19 2.9 03/31/2016 372,623 370,993
Federal National Mortgage Association, 5.0%, 8/1/40 5.0 08/01/2040 3,000,000 1,782,342
Fannie Mae, 3.5%, 12/1/42 3.5 12/01/2042 1,000,000 955,167
General Electric Capital Corp., Floating Rate Note, 12/31/49 (Perpetual) 7.125 12/29/2049 1,800,000 2,130,060
Government National Mortgage Association I, 6.0%, 1/15/33 6.0 01/15/2033 4,534,594 211,231
Wells Fargo & Co., Floating Rate Note, 12/29/49 5.9 12/29/2049 1,645,000 1,763,536
Fannie Mae, 4.5%, 11/1/20 4.5 11/01/2020 6,500,000 592,012
President and Fellows of Harvard College, 6.3%, 10/1/37 6.3 10/01/2037 3,095,000 3,453,061
DCT Industrial Operating Partnership LP, 4.5%, 10/15/23 4.5 10/15/2023 1,475,000 1,533,605
Federal Home Loan Mortgage Corp., 6.0%, 4/1/36 6.0 04/01/2036 7,000,000 684,369
Government National Mortgage Association I, 6.0%, 9/15/34 6.0 09/15/2034 1,315,000 142,823
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 9.0304 06/06/2015 1,125,000 1,171,025
Federal Home Loan Mortgage Corp., 5.5%, 8/1/35 5.5 08/01/2035 5,000,000 411,756
Government National Mortgage Association I, 6.5%, 3/15/31 6.5 03/15/2031 1,000,000 14,797
Government National Mortgage Association II, 7.0%, 11/20/28 7.0 11/20/2028 10,000,000 117,894
Government National Mortgage Association I, 6.5%, 7/15/32 6.5 07/15/2032 5,169,128 54,811
HSBC Holdings Plc, 4.25%, 3/14/24 4.25 03/14/2024 3,940,000 4,105,457
JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2, 3.6159%, 11/15/43 (144A) 3.6159 11/15/2043 1,600,000 1,707,764
Government National Mortgage Association I, 6.5%, 6/15/32 6.5 06/15/2032 1,561,662 26,228
Federal Home Loan Mortgage Corp., 4.0%, 1/1/44 4.0 01/01/2044 4,260,000 4,409,572
Government National Mortgage Association I, 6.5%, 6/15/34 6.5 06/15/2034 1,330,499 204,098
STORE Master Funding LLC, 4.16%, 3/20/43 (144A) 4.16 03/20/2043 300,000 299,895
Alterra Finance LLC, 6.25%, 9/30/20 6.25 09/30/2020 3,000,000 3,504,611
U.S. Treasury Bonds, 5.375%, 2/15/31 5.375 02/15/2031 4,000,000 5,332,649
STORE Master Funding LLC, 5.77%, 8/20/42 (144A) 5.77 08/20/2042 2,095,000 2,215,808
Altair Re, Floating Rate Note, 4/30/16 (Cat Bond) 0.0 04/30/2016 420,899 528,102
TOPRE_13-LTR, 3.47%, 11/20/28 (144A) 3.47 11/20/2028 5,250,000 3,511,495
QBE Insurance Group, Ltd., 2.4%, 5/1/18 (144A) 2.4 05/01/2018 1,100,000 1,102,584
Government National Mortgage Association II, 7.0%, 1/20/29 7.0 01/20/2029 8,400,000 123,940
Queen Street V Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 8.5175 04/09/2015 250,000 254,999
Fannie Mae, 4.0%, 2/1/43 4.0 02/01/2043 2,000,000 1,654,328
Citigroup, Inc., Floating Rate Note, 12/31/49 (Perpetual) 5.95 12/29/2049 2,000,000 2,069,914
WP Carey, Inc., 4.6%, 4/1/24 4.6 04/01/2024 1,715,000 1,805,806
LB-UBS Commercial Mortgage Trust 2005-C2, Floating Rate Note, 4/15/30 5.15 04/15/2030 1,000,000 1,026,431
FREMF Mortgage Trust 2010-K9 REMICS, 5.192%, 9/25/45 (144A) 5.3597 09/25/2045 890,000 998,321
Government National Mortgage Association I, 5.5%, 10/15/17 5.5 10/15/2017 5,636,984 249,025
Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A) 2.38 03/20/2029 4,692,000 1,631,800
Fannie Mae, 6.5%, 9/1/31 6.5 09/01/2031 2,000,200 13,006
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 4.0304 05/05/2017 1,250,000 1,250,889
Activision Blizzard, Inc., 6.125%, 9/15/23 (144A) 6.125 09/15/2023 650,000 726,723
MASTR Alternative Loan Trust 2004-13, 4.5%, 1/25/15 4.5 01/25/2015 13,000,000 26,802
Federal Home Loan Mortgage Corp., 6.5%, 8/1/31 6.5 08/01/2031 192,020 1,498
Federal Home Loan Mortgage Corp., 6.0%, 3/1/33 6.0 03/01/2033 5,524,534 317,762
Altrl Flt% 30jun16   06/30/2016 1,500,000 1,552,950
Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33 2.7396 09/25/2033 11,000,000 674,308
Legg Mason, Inc., 5.625%, 1/15/44 5.625 01/15/2044 4,290,000 4,769,685
Fidelity National Financial, Inc., 5.5%, 9/1/22 5.5 09/01/2022 1,200,000 1,331,720
Fannie Mae, 4.5%, 11/1/40 4.5 11/01/2040 8,151,476 3,774,522
Government National Mortgage Association I, 7.5%, 12/15/31 7.5 12/15/2031 7,728,804 70,214
Government National Mortgage Association I, 6.5%, 5/15/32 6.5 05/15/2032 1,000,000 14,527
Government National Mortgage Association I, 5.5%, 8/15/19 5.5 08/15/2019 2,543,276 277,453
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA Netherlands, 3.875%, 2/8/22 3.875 02/08/2022 3,435,000 3,691,592
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 9,171,532 476,114
Fannie Mae, 5.0%, 2/1/22 5.0 02/01/2022 7,621,650 461,781
SLM Student Loan Trust 2004-10, Floating Rate Note, 4/27/26 (144A) 0.9788 04/27/2026 900,000 908,723
Port Freeport Texas, Floating Rate Note, 5/15/33 5.95 05/15/2033 3,965,000 4,375,507
Government National Mortgage Association I, 6.5%, 10/15/32 6.5 10/15/2032 6,591,983 129,610
Massachusetts Health & Educational Facilities Authority, 6.0%, 7/1/36 6.0 07/01/2036 1,000,000 1,211,040
Fannie Mae, 4.5%, 7/1/41 4.5 07/01/2041 5,000,000 2,638,076
Government National Mortgage Association I, 6.5%, 5/15/29 6.5 05/15/2029 6,774,704 121,914
Fannie Mae, 3.5%, 2/1/44 3.5 02/01/2044 18,215,601 18,685,474
Bayview Commercial Asset Trust, 4.12687%, 7/25/37 (Step) (144A) 0.0 07/25/2037 21,000,000 63,718
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 8.7804 06/06/2015 725,000 761,450
Federal Home Loan Mortgage Corp., 6.5%, 11/1/33 6.5 11/01/2033 1,109,301 231,629
NSG Holdings LLC, 7.75%, 12/15/25 (144A) 7.75 12/15/2025 1,016,000 1,100,780
Fannie Mae, 8.0%, 2/1/29 8.0 02/01/2029 240,000 3,227
Irwin Whole Loan Home Equity Trust 2005-C, Floating Rate Note, 3/25/25 0.852 03/25/2025 800,000 380,380
JPMorgan Chase & Co., Floating Rate Note, 12/31/49 (Perpetual) 5.15 12/29/2049 2,325,000 2,249,050
Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A) 1.87 08/20/2029 750,000 310,872
CVS Pass-Through Trust, 5.773%, 1/10/33 (144A) 5.773 01/10/2033 1,555,000 1,597,004
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 8/25/34 2.1744 08/25/2034 8,100,000 1,612,602
Fannie Mae, 4.0%, 1/1/44 4.0 01/01/2044 273,906 287,008
GLP Capital LP, 4.375%, 11/1/18 (144A) 4.375 11/01/2018 1,010,000 1,050,190
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/34 5.0 06/15/2034 1,925,000 255,452
EnLink Midstream Partners LP, 4.4%, 4/1/24 4.4 04/01/2024 1,340,000 1,422,865
Government National Mortgage Association I, 4.5%, 1/15/40 4.5 01/15/2040 1,235,000 808,996
Fannie Mae, 4.0%, 4/1/42 4.0 04/01/2042 2,200,000 1,196,780
Fannie Mae, 5.5%, 5/1/36 5.5 05/01/2036 4,000,000 558,536
AmeriCredit Automobile Receivables Trust 2011-3, 4.04%, 7/10/17 4.04 07/10/2017 500,000 518,883
Government National Mortgage Association I, 6.5%, 5/15/33 6.5 05/15/2033 1,672,708 62,693
Government National Mortgage Association I, 6.5%, 1/15/34 6.5 01/15/2034 1,311,303 37,337
Government National Mortgage Association I, 6.5%, 10/15/31 6.5 10/15/2031 477,508 9,579
MASTR Alternative Loan Trust 2004-6, 6.0%, 7/25/34 6.0 07/25/2034 11,100,000 2,305,366
Fannie Mae, 7.0%, 1/1/32 7.0 01/01/2032 1,701,763 34,791
Tyco Electronics Group SA, 6.55%, 10/1/17 6.55 10/01/2017 2,950,000 3,462,005
Aviation Capital Group Corp., 6.75%, 4/6/21 (144A) 6.75 04/06/2021 3,525,000 4,021,540
JPMorgan Chase & Co., Floating Rate Note, 12/29/49 6.125 12/29/2049 1,890,000 1,967,623
Chesapeake Funding LLC, Floating Rate Note, 3/4/26 1.351 03/04/2026 400,000 400,360
A10 Term Asset Financing 2013-2 LLC, 2.62%, 11/15/27 (144A) 2.62 11/15/2027 2,794,000 2,799,626
Government National Mortgage Association, 5.25%, 8/16/35 5.25 08/16/2035 450,000 803,143
Fannie Mae, 6.0%, 12/1/35 6.0 12/01/2035 8,000,000 787,110
Federal National Mortgage Association REMICS, 5.0%, 7/25/33 5.0 07/25/2033 5,000,000 1,245,714
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 3,750,000 558,016
Fannie Mae, 4.0%, 12/1/43 4.0 12/01/2043 7,600,000 7,873,491
Fannie Mae, 8.0%, 7/1/30 8.0 07/01/2030 100,000 615
Affinion Group, Inc., Tranche B Term Loan, 10/9/16 6.75 10/09/2016 1,070,296 1,076,735
Federal Home Loan Mortgage Corp., 5.5%, 9/1/33 5.5 09/01/2033 5,200,000 480,130
Massachusetts Health & Educational Facilities Authority, 5.5%, 7/1/32 5.5 07/01/2032 1,425,000 1,933,326
Citigroup Mortgage Loan Trust 2010-7, Floating Rate Note, 9/25/37 (144A) 1.151 09/25/2037 5,372,163 1,389,462
County of Sweetwater Wyoming, 5.6%, 12/1/35 5.6 12/01/2035 995,000 1,022,329
Government National Mortgage Association I, 5.5%, 2/15/35 5.5 02/15/2035 2,043,628 118,979
Fannie Mae, 4.5%, 1/1/42 4.5 01/01/2042 11,834,581 10,417,888
Fannie Mae, 5.5%, 3/1/25 5.5 03/01/2025 2,500,000 339,078
Springleaf Mortgage Loan Trust 2012-2, Floating Rate Note, 10/25/57 (144A) 2.22 10/25/2057 3,200,000 1,822,256
Drug Royalty II LP 1, 4.474%, 1/15/25 (144A) 4.474 01/15/2025 500,000 350,718
JP Morgan Mortgage Trust 2004-A2, Floating Rate Note, 5/25/34 2.6089 05/25/2034 3,200,000 243,164
Fannie Mae, 6.0%, 6/1/38 6.0 06/01/2038 2,250,000 585,880
Government National Mortgage Association I, 7.0%, 8/15/31 7.0 08/15/2031 17,500,000 245,089
Fannie Mae, 6.5%, 8/1/31 6.5 08/01/2031 1,500,000 10,917
U.S. Treasury Bonds, 2.875%, 5/15/43 2.875 05/15/2043 10,375,000 9,518,252
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 0.752 06/25/2034 34,555,000 3,003,221
Scotiabank Peru SA, Floating Rate Note, 12/13/27 (144A) 4.5 12/13/2027 2,600,000 2,495,350
Bear Stearns ARM Trust 2003-5, Floating Rate Note, 8/25/33 2.325 08/25/2033 10,580,000 844,374
Fannie Mae, 5.0%, 12/1/17 5.0 12/01/2017 499,951 19,316
Parish of St John the Baptist Louisiana, 5.125%, 6/1/37 5.125 06/01/2037 2,560,000 2,692,610
PHH Mortgage Capital LLC, 6.6%, 12/25/27 (Step) (144A) 6.6 12/25/2027 4,250,000 455,727
MetLife, Inc., 10.75%, 8/1/69 10.75 08/01/2039 4,200,000 6,860,875
Government National Mortgage Association I, 6.5%, 7/15/32 6.5 07/15/2032 14,653,970 258,622
Bowdoin College, 4.693%, 7/1/12 4.693   1,000,000 962,600
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 3.75 12/04/2019 590,405 591,660
Government National Mortgage Association I, 6.5%, 3/15/32 6.5 03/15/2032 975,284 27,114
Government National Mortgage Association I, 6.0%, 11/15/34 6.0 11/15/2034 3,188,149 226,130
Cinedigm Digital Funding I LLC, Term Loan, 2/28/18 3.75 03/31/2016 510,262 511,219
Fannie Mae, 4.5%, 5/1/41 4.5 05/01/2041 17,795,568 5,531,219
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 2.49 02/25/2034 20,103,000 2,116,847
La Hipotecaria Panamanian Mortgage Trust 2010-1, Floating Rate Note, 9/8/39 (144A) 2.75 09/08/2039 750,000 552,735
Australia & New Zealand Banking Group, Ltd., 4.5%, 3/19/24 (144A) 4.5 03/19/2024 1,865,000 1,938,007
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.5 04/30/2018 350,000 343,770
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 0.402 10/25/2035 4,359,000 847,882
WideOpenWest Finance LLC, Term B Loan, 4/1/19 4.75 03/27/2019 161,107 161,976
The Bank of New York Mellon Corp., Floating Rate Note, 12/31/49 (Perpetual) 4.5 12/29/2049 1,250,000 1,164,219
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 4,256,655 229,742
Unison Ground Lease Funding LLC, 2.981%, 3/15/20 (144A) 2.981 03/15/2020 1,500,000 1,514,392
Government National Mortgage Association I, 5.5%, 8/15/19 5.5 08/15/2019 4,380,618 323,012
Government National Mortgage Association I, 5.5%, 7/15/35 5.5 07/15/2035 5,500,000 933,030
LeasePlan Corp NV, 2.5%, 5/16/18 (144A) 2.5 05/16/2018 1,475,000 1,491,816
Federal Home Loan Mortgage Corp., 6.5%, 2/1/33 6.5 02/01/2033 62,297 4,259
Federal Home Loan Mortgage Corp., 6.5%, 8/1/31 6.5 08/01/2031 1,070,805 5,061
Masco Corp., 5.95%, 3/15/22 5.95 03/15/2022 825,000 926,079
BWAY Holding Co., Initial Term Loan, 8/6/17 4.5 08/06/2017 419,688 421,786
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 8.5262 01/05/2017 500,000 539,023
NRG Energy, Inc., Term Loan (2013), 7/1/18 2.75 07/01/2018 1,329,200 1,327,908
JP Morgan Chase Commercial Mortgage Securities Trust 2013-FL3, Floating Rate Note, 4/15/28 (144A) 1.9518 04/15/2028 1,500,000 1,507,820
Fannie Mae, 6.0%, 2/1/35 6.0 02/01/2035 180,000 21,829
Fannie Mae, 6.0%, 6/1/16 6.0 06/01/2016 4,000,000 21,567
DAE Aviation Holdings, Inc., Replacement Tranche B-1 Loan, 11/2/18 5.0 11/02/2018 1,344,309 1,360,272
GTP Cellular Sites LLC, 3.721%, 3/15/17 (144A) 3.721 03/15/2017 800,000 825,474
Federal Home Loan Mortgage Corp., 6.5%, 1/1/31 6.5 01/01/2031 66,916 200
Successor X, Ltd., Floating Rate Note, 11/10/15 (Cat Bond) (144A) 11.2652 11/10/2015 250,000 264,081
Banc of America Funding 2010-R4 Trust, Floating Rate Note, 8/26/36 (144A) 0.2802 08/26/2036 3,200,000 648,217
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 10.2601 01/08/2015 950,000 986,584
Fn 30 Yr Pool 4.5% #Au6271 01nov43 4.5 11/01/2043 1,059,882 1,090,352
Government National Mortgage Association I, 6.5%, 1/15/35 6.5 01/15/2035 62,679 6,442
Embarcadero Reinsurance, Ltd., Floating Rate Note, 8/7/15 (Cat Bond) (144A) 5.2254 08/07/2015 650,000 668,517
Government National Mortgage Association I, 6.0%, 4/15/18 6.0 04/15/2018 1,038,016 38,564
Structured Asset Securities Corp Trust 2005-14, Floating Rate Note, 7/25/35 0.452 07/25/2035 6,935,000 848,816
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7, Floating Rate Note, 2/11/41 5.214 02/11/2041 1,000,000 1,013,981
Government National Mortgage Association I, 6.0%, 8/15/32 6.0 08/15/2032 300,000 13,803
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 4.0 07/09/2018 1,500,000 1,509,458
WF-RBS Commercial Mortgage Trust 2011-C2, Floating Rate Note, 2/15/44 (144A) 5.392 02/15/2044 350,000 393,019
FREMF Mortgage Trust 2010-K7, 5.435%, 4/25/20 (144A) 5.618 04/25/2020 850,000 964,406
PFS Financing Corp., Floating Rate Note, 10/17/16 (144A) 1.6518 10/17/2016 775,712 777,142
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2.58 09/15/2021 2,800,000 2,823,729
Fannie Mae, 6.0%, 10/1/35 6.0 10/01/2035 7,125,770 200,910
Sequoia Mortgage Trust 2005-2, Floating Rate Note, 3/20/35 0.373 03/20/2035 12,300,000 1,250,374
Foundation Re III, Ltd., Floating Rate Note, 2/25/15 (Cat Bond) (144A) 5.0203 02/25/2015 1,050,000 1,060,943
Government National Mortgage Association I, 6.5%, 1/15/33 6.5 01/15/2033 25,065,172 677,792
Fannie Mae, 3.0%, 12/1/42 3.0 12/01/2042 2,352,529 2,169,018
Bayview Opportunity Master Fund Trust IIB LP, Floating Rate Note, 1/28/33 (144A) 2.9814 01/28/2033 1,000,000 469,050
New York City Transitional Finance Authority Future Tax Secured Revenue, 5.0%, 11/1/33 5.0 11/01/2033 2,400,000 2,749,352
Fannie Mae, 6.0%, 1/1/29 6.0 01/01/2029 60,204 1,321
Fannie Mae, 5.0%, 7/1/40 5.0 07/01/2040 5,000,000 2,014,316
JP Morgan Mortgage Trust 2004-A5, Floating Rate Note, 12/25/34 2.2768 12/25/2034 1,450,000 1,180,800
Federal Home Loan Mortgage Corp., 6.0%, 5/1/17 6.0 05/01/2017 7,876,244 87,229
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A) 9.03 03/16/2016 250,000 266,475
Federal Home Loan Mortgage Corp., 5.0%, 10/1/38 5.0 10/01/2038 6,600,000 747,306
Fannie Mae, 6.5%, 7/1/29 6.5 07/01/2029 500,000 10,948
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/25/29 (144A) 1.35 08/25/2029 2,951,282 2,087,626
Bank of America Corp., 7.75%, 5/14/38 7.75 05/14/2038 4,350,000 6,019,687
Government National Mortgage Association, 1.049%, 3/16/53 1.0334 03/16/2053 8,300,000 596,725
JP Morgan Mortgage Trust 2014-1, Floating Rate Note, 1/25/44 (144A) 3.5 01/25/2044 1,000,000 983,842
Government National Mortgage Association I, 4.5%, 4/15/38 4.5 04/15/2038 1,004,042 312,471
Fannie Mae, 7.0%, 9/1/31 7.0 09/01/2031 2,000,000 23,437
SMA Issuer I LLC, 3.5%, 8/20/25 (144A) 3.5 08/20/2025 885,915 48,736
Kinder Morgan Energy Partners LP, 5.95%, 2/15/18 5.95 02/15/2018 3,250,000 3,781,309
Standard Chartered Bank, 6.4%, 9/26/17 (144A) 6.4 09/26/2017 2,200,000 2,528,136
Government National Mortgage Association I, 4.5%, 7/15/41 4.5 07/15/2041 1,442,000 949,925
Government National Mortgage Association I, 5.5%, 7/15/33 5.5 07/15/2033 1,500,000 144,398
RESI Finance LP, Floating Rate Note, 9/10/35 (144A) 1.5535 09/10/2035 2,500,000 499,119
DCP Midstream LLC, 9.75%, 3/15/19 (144A) 9.75 03/15/2019 2,900,000 3,822,418
Fannie Mae, 5.5%, 7/1/33 5.5 07/01/2033 3,800,000 202,663
Fannie Mae, 4.0%, 1/1/42 4.0 01/01/2042 1,821,298 901,940
U.S. Treasury Bonds, 4.5%, 8/15/39 4.5 08/15/2039 9,068,000 11,206,344
RALI Series 2004-QS3 Trust, 5.0%, 3/25/19 5.0 03/25/2019 13,042,000 1,347,443
Permanent University Fund, 5.0%, 7/1/30 5.0 07/01/2030 800,000 978,128
Federal Home Loan Mortgage Corp., 6.5%, 3/1/31 6.5 03/01/2031 527,335 9,533
Massachusetts Development Finance Agency, 5.375%, 4/1/41 5.375 04/01/2041 550,000 611,445
The Travelers Companies, Inc., 6.25%, 6/15/37 6.25 06/15/2037 2,000,000 2,584,778
Government National Mortgage Association I, 6.0%, 9/15/34 6.0 09/15/2034 1,374,301 286,853
BioMed Realty LP, 4.25%, 7/15/22 4.25 07/15/2022 900,000 945,585
Nationstar Mortgage Loan Trust 2013-A, Floating Rate Note, 12/25/52 (144A) 3.75 12/25/2052 1,100,000 963,832
Fannie Mae, 6.0%, 9/1/34 6.0 09/01/2034 2,000,000 102,017
VOLT XXIII LLC, 3.625%, 11/25/53 (Step) 3.625 11/25/2053 1,050,000 1,020,488
Government National Mortgage Association I, 5.0%, 7/15/33 5.0 07/15/2033 1,500,150 190,307
BM&FBovespa SA, 5.5%, 7/16/20 (144A) 5.5 07/16/2020 3,200,000 3,544,667
Springleaf Mortgage Loan Trust, Floating Rate Note, 6/25/58 (144A) 3.79 06/25/2058 750,000 758,437
Alternative Loan Trust 2003-14T1, Floating Rate Note, 8/25/18 0.602 08/25/2018 11,900,000 546,094
Spirit Master Funding VII LLC, 3.8868%, 12/20/43 3.8868 12/20/2043 200,000 207,566
Government National Mortgage Association I, 6.0%, 3/15/17 6.0 03/15/2017 2,080,702 49,170
Government National Mortgage Association I, 5.5%, 8/15/33 5.5 08/15/2033 750,075 63,561
DBUBS 2011-LC3 Mortgage Trust, Floating Rate Note, 8/10/44 (144A) 5.5775 08/10/2044 1,900,000 2,153,927
Fannie Mae, 6.0%, 4/1/33 6.0 04/01/2033 4,000,000 200,969
Mohawk Industries, Inc., 3.85%, 2/1/23 3.85 02/01/2023 800,000 809,833
Fannie Mae, 3.5%, 11/1/42 3.5 11/01/2042 380,000 371,383
Holcim US Finance Sarl & Cie SCS, 6.0%, 12/30/19 (144A) 6.0 12/30/2019 475,000 564,676
Israel Electric Corp, Ltd., 9.375%, 1/28/20 (144A) 9.375 01/28/2020 610,000 785,646
Chemtura Corp., New Term Loan, 8/29/16 3.5 08/27/2016 801,537 804,042
Banc of America Alternative Loan Trust 2004-2, 6.0%, 3/25/34 6.0 03/25/2034 6,010,000 1,615,995
Valmont Industries, Inc., 6.625%, 4/20/20 6.625 04/20/2020 1,810,000 2,174,469
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 3,594,840 307,461
Government National Mortgage Association II, 4.5%, 1/20/35 4.5 01/20/2035 2,500,000 540,044
Arlington Flt% 01aug15   08/01/2015 700,000 705,670
Federal Home Loan Mortgage Corp., 6.0%, 2/1/33 6.0 02/01/2033 4,851,146 117,193
COMM 2012-CCRE2 Mortgage Trust, 3.147%, 8/15/45 3.147 08/15/2045 850,000 861,262
Loews Corp., 5.25%, 3/15/16 5.25 03/15/2016 2,650,000 2,892,115
Structured Asset Mortgage Investments Trust 2003-AR2, Floating Rate Note, 12/19/33 0.895 12/19/2033 20,990,377 1,136,990
BBVA Bancomer SA Texas, 6.5%, 3/10/21 (144A) 6.5 03/10/2021 3,815,000 4,377,871
Government National Mortgage Association I, 5.5%, 10/15/17 5.5 10/15/2017 2,400,000 60,263
JP Morgan Mortgage Trust 2004-S1, 6.0%, 9/25/34 6.0 09/25/2034 9,800,000 1,998,454
BB&T Corp., 5.625%, 12/31/49 (Perpetual) 5.625   85,000 2,017,900
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 11/25/33 2.57 11/25/2033 9,200,000 532,608
Fannie Mae, 8.0%, 4/1/20 8.0 04/01/2020 215,000 1,968
Credit-Based Asset Servicing and Securitization LLC, 5.49613%, 10/25/36 (Step) (144A) 5.6472 10/25/2036 700,000 686,745
Federal Home Loan Mortgage Corp., 5.5%, 11/1/34 5.5 11/01/2034 1,900,000 240,674
Government National Mortgage Association I, 6.0%, 9/15/33 6.0 09/15/2033 904,389 90,326
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 1.092 12/25/2034 24,739,000 748,733
Government National Mortgage Association I, 5.0%, 4/15/34 5.0 04/15/2034 1,504,329 185,621
Government National Mortgage Association I, 6.0%, 8/15/36 6.0 08/15/2036 4,350,000 564,586
Sirius International Group, Ltd., Floating Rate Note, 12/31/49 (Perpetual) (144A) 7.506 05/29/2049 2,110,000 2,295,128
Government National Mortgage Association I, 6.0%, 3/15/17 6.0 03/15/2017 2,000,000 48,568
Assurant, Inc., 4.0%, 3/15/23 4.0 03/15/2023 3,900,000 3,969,548
GS Mortgage Securities Corp II, Floating Rate Note, 11/8/29 (144A) 1.901 11/08/2029 1,550,000 1,567,421
Ah4r Flt% 17jun31 14-Sfr1-B 1.6 06/17/2031 600,000 600,489
DCP Midstream Operating LP, 5.6%, 4/1/44 5.6 04/01/2044 2,125,000 2,383,281
MASTR Adjustable Rate Mortgages Trust 2005-1, Floating Rate Note, 1/25/35 5.2429 01/25/2035 6,959,000 1,023,060
Government National Mortgage Association I, 6.0%, 10/15/32 6.0 10/15/2032 2,001,957 64,256
Federal Home Loan Mortgage Corp., 6.5%, 3/1/31 6.5 03/01/2031 217,521 605
Immucor, Inc., Term B-2 Loan, 8/19/18 5.0 08/19/2018 2,144,857 2,160,275
Williams Partners LP, 4.3%, 3/4/24 4.3 03/04/2024 3,605,000 3,810,027
Government National Mortgage Association I, 6.0%, 1/15/33 6.0 01/15/2033 2,500,000 55,158
The George Washington University, 1.827%, 9/15/17 1.827 09/15/2017 1,900,000 1,907,379
CoBank ACB, Floating Rate Note, 12/31/49 (Perpetual) (144A) 6.25   28,000 2,914,626
Lorillard Tobacco Co., 3.75%, 5/20/23 3.75 05/20/2023 1,050,000 1,041,481
Government National Mortgage Association I, 5.0%, 7/15/19 5.0 07/15/2019 26,391 2,592
Fannie Mae, 5.0%, 6/1/40 5.0 06/01/2040 3,850,000 1,577,411
Morgan Stanley Capital I Trust 2004-HQ4, 4.97%, 4/14/40 4.97 04/14/2040 4,191,937 908,659
Government National Mortgage Association I, 4.5%, 9/15/40 4.5 09/15/2040 900,000 623,012
Government National Mortgage Association II, 5.5%, 3/20/34 5.5 03/20/2034 3,000,000 393,873
FREMF Mortgage Trust 2010-K8, 5.238%, 9/25/43 (144A) 5.405 09/25/2043 600,000 674,303
Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 6.0 12/01/2033 2,000,000 183,268
Federal National Mortgage Association REMICS, 5.0%, 9/25/39 5.0 09/25/2039 704,000 157,478
JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8, Floating Rate Note, 10/15/45 (144A) 3.9767 10/15/2045 900,000 929,497
Federal Home Loan Mortgage Corp., 6.5%, 7/1/32 6.5 07/01/2032 1,000,000 21,811
Health Care Real Estate Investment Trust, Inc., 4.5%, 1/15/24 4.5 01/15/2024 1,000,000 1,086,668
Huntsman International LLC, Extended Term B Loan, 4/19/17 2.694 04/19/2017 254,694 254,438
GRIFOLS WORLDWIDE OPERATIONS USA INC, U.S. Tranche B Term Loam, 4/1/21 3.2346 04/01/2021 389,025 389,050
Federal Home Loan Mortgage Corp., 7.0%, 11/1/30 7.0 11/01/2030 1,000,100 4,895
Federal Home Loan Mortgage Corp., 6.0%, 1/1/33 6.0 01/01/2033 1,890,000 91,772
Government National Mortgage Association I, 7.0%, 7/15/31 7.0 07/15/2031 536,209 6,414
Viterra, Inc., 5.95%, 8/1/20 (144A) 5.95 08/01/2020 5,175,000 6,034,835
CoBank ACB, 7.875%, 4/16/18 (144A) 7.875 04/16/2018 1,190,000 1,439,111
Citicorp Residential Mortgage Trust Series 2006-2, 5.775%, 9/25/36 (Step) 5.775 09/25/2036 600,000 338,013
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 0.5995 04/28/2039 1,486,142 1,463,299
Federal Home Loan Mortgage Corp., 6.0%, 1/1/34 6.0 01/01/2034 500,000 58,238
Countrywide Asset-Backed Certificates, Floating Rate Note, 2/25/36 5.069 02/25/2036 10,124,000 1,980,372
Wells Fargo Alternative Loan 2005-2 Trust, Floating Rate Note, 10/25/35 0.562 10/25/2035 1,233,457 1,221,263
Montpelier Re Holdings, Ltd., 4.7%, 10/15/22 4.7 10/15/2022 2,650,000 2,765,026
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 0.652 06/25/2035 4,920,000 1,993,790
Government National Mortgage Association I, 5.5%, 6/15/33 5.5 06/15/2033 400,000 24,675
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 4.0203 06/28/2016 900,000 910,150
DigitalGlobe, Inc., Term Loan, 1/31/20 3.75 01/25/2020 1,303,500 1,308,177
Federal Home Loan Mortgage Corp., 6.5%, 1/1/33 6.5 01/01/2033 39,165 550
Government National Mortgage Association II, 4.5%, 12/20/34 4.5 12/20/2034 1,007,144 200,800
FREMF Mortgage Trust 2011-K701, 4.286%, 7/25/48 (144A) 4.4355 07/25/2048 5,000,000 5,344,528
Fannie Mae, 4.5%, 7/1/41 4.5 07/01/2041 5,000,000 2,997,622
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 3.5304 05/05/2017 1,200,000 1,197,297
US Airways 2013-1 Class A Pass Through Trust, 3.95%, 5/15/27 3.95 11/15/2025 1,500,000 1,530,071
Government National Mortgage Association I, 6.5%, 5/15/31 6.5 05/15/2031 2,567,327 35,907
Fannie Mae, 4.0%, 4/1/41 4.0 04/01/2041 1,850,000 1,440,817
Government National Mortgage Association I, 5.5%, 9/15/19 5.5 09/15/2019 3,000,000 228,798
Delphi Financial Group, Inc., Floating Rate Note, 5/15/37 7.376 05/15/2037 153,800 3,782,526
Government National Mortgage Association I, 7.75%, 2/15/30 7.75 02/15/2030 500,000 2,554
Microsemi Corp., Term Loan (2014), 3/14/21 3.25 03/14/2021 395,014 393,657
Government National Mortgage Association I, 6.0%, 5/15/17 6.0 05/15/2017 1,413,485 56,983
Cantor Fitzgerald LP, 7.875%, 10/15/19 (144A) 7.875 10/15/2019 2,980,000 3,355,864
Citigroup Mortgage Loan Trust 2006-HE1, Floating Rate Note, 1/25/36 0.422 01/25/2036 1,840,000 81,277
Fannie Mae, 4.0%, 1/1/42 4.0 01/01/2042 2,000,000 972,793
GTP Acquisition Partners I LLC, 4.347%, 6/15/16 (144A) 4.347 06/15/2016 3,355,000 3,476,357
Government National Mortgage Association I, 7.5%, 8/15/29 7.5 08/15/2029 2,007,985 21,001
Blue Danube II, Ltd., Floating Rate Note, 5/23/16 (Cat Bond) (144A) 0.0234 05/23/2016 500,000 506,915
Kane Flt% 12jun15   06/12/2015 1,600,000 1,415,840
Eastman Chemical Co., 4.8%, 9/1/42 4.8 09/01/2042 980,000 1,010,746
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 3.75 08/20/2025 2,025,000 1,354,698
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A)   04/24/2017 550,000 535,865
Fannie Mae, 6.5%, 5/1/31 6.5 05/01/2031 1,960,805 18,594
Fannie Mae, 8.0%, 5/1/31 8.0 05/01/2031 45,000 420
Government National Mortgage Association I, 7.5%, 2/15/26 7.5 02/15/2026 893,000 2,121
Government National Mortgage Association I, 6.5%, 7/15/35 6.5 07/15/2035 3,323,439 107,573
Rosneft Finance SA, 7.875%, 3/13/18 (144A) 7.875 03/13/2018 1,000,000 1,164,875
Westgate Resorts 2012-2 LLC, 3.0%, 1/20/25 (144A) 3.0 01/20/2025 2,300,000 1,016,991
Government National Mortgage Association I, 6.0%, 1/15/17 6.0 01/15/2017 705,441 11,327
Cisco Systems, Inc., 3.625%, 3/4/24 3.625 03/04/2024 3,485,000 3,623,480
Banc of America Alternative Loan Trust 2003-2, 5.75%, 4/25/33 5.75 04/25/2033 6,525,000 758,925
SNAAC Auto Receivables Trust, 3.11%, 6/15/17 (144A) 3.11 06/15/2017 1,400,000 708,523
Government National Mortgage Association I, 7.0%, 9/15/31 7.0 09/15/2031 2,202,152 16,176
Colony American Homes 2014-1, Floating Rate Note, 5/17/31 2.1 05/17/2031 1,800,000 1,802,532
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 8.1034 01/07/2016 250,000 264,115
Impac CMB Trust Series 2004-9, Floating Rate Note, 1/25/35 0.912 01/25/2035 10,000,000 709,002
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 2.722 01/15/2017 1,500,000 1,533,536
Enterprise Products Operating LLC, 3.9%, 2/15/24 3.9 02/15/2024 5,310,000 5,572,937
FREMF Mortgage Trust 2011-K702, 4.77%, 4/25/44 (144A) 4.9361 04/25/2044 1,750,000 1,906,836
Leaf Receivables Funding 8 LLC, 1.92%, 9/15/20 (144A) 1.92 09/15/2020 2,203,000 2,214,155
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 2.4925 10/25/2033 11,067,000 1,114,611
Pinnacle Entertainment, Inc., Tranche B-2 Term Loan, 8/13/20 3.75 08/05/2020 894,913 897,520
Mon 3.375% 15jul24 3.375 07/15/2024 2,675,000 2,692,682
RALI Series 2003-QS13 Trust, Floating Rate Note, 7/25/33 0.702 07/25/2033 6,130,000 707,533
Government National Mortgage Association I, 6.0%, 4/15/33 6.0 04/15/2033 3,907,830 197,909
JG Wentworth XXII LLC, 3.82%, 12/15/48 (144A) 3.82 12/15/2048 1,100,000 794,159
Fannie Mae, 4.5%, 10/1/35 4.5 10/01/2035 3,754,694 375,660
Nomura Resecuritization Trust 2011-3R, Floating Rate Note, 7/26/37 (144A) 0.34 07/26/2037 3,000,000 2,503,325
Government National Mortgage Association I, 6.0%, 5/15/17 6.0 05/15/2017 1,900,000 53,780
Fannie Mae, 6.0%, 9/1/34 6.0 09/01/2034 352,132 23,378
Government National Mortgage Association I, 7.0%, 6/15/31 7.0 06/15/2031 3,800,000 54,217
Fannie Mae, 6.0%, 3/1/33 6.0 03/01/2033 3,500,000 162,161
Wells Fargo Mortgage Backed Securities 2004-V Trust, Floating Rate Note, 10/25/34 2.6134 10/25/2034 0 769
Tasc Inc/Va 1st Lien Tl-B L + 5.5% 12may20 6.5 05/12/2020 647,771 638,459
Fannie Mae, 5.5%, 3/1/36 5.5 03/01/2036 5,005,809 606,112
Banc of America Mortgage Trust 2004-9, 5.5%, 11/25/34 5.5 11/25/2034 2,350,000 1,244,169
AngloGold Ashanti Holdings Plc, 5.375%, 4/15/20 5.375 04/15/2020 2,335,000 2,397,842
LB-UBS Commercial Mortgage Trust 2005-C2, Floating Rate Note, 4/15/30 5.205 04/15/2030 2,255,000 2,326,586
Verizon Communications, Inc., 6.55%, 9/15/43 6.55 09/15/2043 3,460,000 4,420,936
Government National Mortgage Association I, 6.5%, 8/15/32 6.5 08/15/2032 129,066 10,885
Fannie Mae, 5.0%, 2/1/22 5.0 02/01/2022 450,000 29,749
CHS, 2017 Term E Loan, 1/25/17 3.4774 07/25/2014 597,145 599,289
Government National Mortgage Association I, 6.5%, 3/15/29 6.5 03/15/2029 5,001,628 100,960
Digital Realty Trust LP, 5.875%, 2/1/20 5.875 02/01/2020 725,000 823,517
Cronos Containers Program, Ltd., 3.81%, 9/18/27 (144A) 3.81 09/18/2027 1,850,000 1,536,001
Government National Mortgage Association II, 6.5%, 3/20/29 6.5 03/20/2029 100,000 1,618
PNC Bank NA, 6.0%, 12/7/17 6.0 12/07/2017 1,435,000 1,649,376
Fannie Mae, 4.0%, 6/1/42 4.0 06/01/2042 3,678,905 1,595,567
CNOOC Nexen Finance 2014 ULC, 4.25%, 4/30/24 4.25 04/30/2024 5,275,000 5,446,624
Federal Home Loan Mortgage Corp., 5.0%, 11/1/34 5.0 11/01/2034 250,000 31,035
Wells Fargo & Co., 7.5%, 12/31/49 (Perpetual) 7.5   5,610 6,810,540
Mondelez International, Inc., 6.5%, 2/9/40 6.5 02/09/2040 2,581,000 3,371,217
Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36 0.642 06/25/2036 1,949,000 1,165,044
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 3.0 03/27/2024 1,550,000 1,475,448
Government National Mortgage Association II, 4.5%, 3/20/35 4.5 03/20/2035 500,000 106,024
Federal Home Loan Mortgage Corp., 6.5%, 10/1/33 6.5 10/01/2033 2,000,000 62,532
Omega Healthcare Investors, Inc., 4.95%, 4/1/24 (144A) 4.95 04/01/2024 3,945,000 4,088,941
Gold Fields Orogen Holding BVI, Ltd., 4.875%, 10/7/20 (144A) 4.875 10/07/2020 5,000,000 4,656,875
U.S. Treasury Notes, 2.75%, 2/15/24 2.75 02/15/2024 6,000,000 6,198,393
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-5, Floating Rate Note, 1 0.402 12/25/2035 3,650,000 457,134
Government National Mortgage Association I, 6.0%, 12/15/32 6.0 12/15/2032 1,500,000 238,595
Government National Mortgage Association I, 5.5%, 10/15/35 5.5 10/15/2035 2,002,398 347,324
Prudential Financial, Inc., Floating Rate Note, 9/15/42 5.875 09/15/2042 1,800,000 1,986,388
Pride International, Inc., 6.875%, 8/15/20 6.875 08/15/2020 1,025,000 1,272,143
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/31 5.0 12/15/2031 2,100,000 2,233,943
Export-Import Bank of Korea, 5.875%, 1/14/15 5.875 01/14/2015 625,000 659,122
Federal Home Loan Mortgage Corp., 6.5%, 6/1/32 6.5 06/01/2032 39,022 321
Fannie Mae, 3.0%, 8/1/42 3.0 08/01/2042 24,375,000 22,691,893
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 6.5 08/15/2030 2,800,000 480,790
Massachusetts Development Finance Agency, 5.0%, 10/15/40 5.0 10/15/2040 1,200,000 1,381,855
Federal Home Loan Mortgage Corp., 6.0%, 3/1/33 6.0 03/01/2033 2,255,430 45,893
Corporate Office Properties LP, 3.6%, 5/15/23 3.6 05/15/2023 1,500,000 1,441,218
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 2.7804 01/09/2017 500,000 514,638
Morgan Stanley Capital I Trust 2005-HQ6, Floating Rate Note, 8/13/42 5.073 08/13/2042 2,400,000 2,491,494
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 2.299 08/25/2033 18,254,000 1,230,436
Bimboa 3.875% 27jun24 144a 3.875 06/27/2024 4,200,000 4,193,492
Bella Vista Mortgage Trust 2004-1, Floating Rate Note, 11/20/34 0.853 11/20/2034 66,102,000 2,000,426
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 5.46 11/15/2035 484,000 438,610
Structured Asset Investment Loan Trust 2006-1, Floating Rate Note, 1/25/36 0.352 01/25/2036 5,475,000 1,452,933
Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40 5.361 02/15/2040 3,500,000 2,870,747
RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35 5.25 07/25/2035 1,745,152 1,037,454
HCA, Inc., Tranche B-5 Term Loan, 3/31/17 2.9 03/31/2017 1,780,161 1,786,359
Ship Midco, Ltd., Facility B2A-II, 11/29/19 5.25 08/06/2017 999,288 1,010,530
Healthcare Realty Trust, Inc., 6.5%, 1/17/17 6.5 01/17/2017 2,425,000 2,798,278
Banc of America Mortgage 2005-H Trust, Floating Rate Note, 9/25/35 5.1191 09/25/2035 2,398,000 534,908
Government National Mortgage Association, 1.071%, 8/16/52 1.0631 08/16/2052 14,000,000 903,836
Crown Castle Towers LLC, 4.883%, 8/15/20 (144A) 4.883 08/15/2020 3,015,000 3,336,852
Federal Home Loan Mortgage Corp., 5.0%, 10/1/20 5.0 10/01/2020 9,000,000 1,543,415
Government National Mortgage Association I, 6.5%, 4/15/35 6.5 04/15/2035 517,486 85,913
Masco Corp., 7.125%, 3/15/20 7.125 03/15/2020 4,260,000 5,102,198
Fannie Mae, 4.5%, 12/1/41 4.5 12/01/2041 2,500,000 1,864,905
Kraft Foods Group, Inc., 3.5%, 6/6/22 3.5 06/06/2022 3,240,000 3,334,594
Government National Mortgage Association I, 7.5%, 10/15/29 7.5 10/15/2029 514,502 7,178
Government National Mortgage Association I, 6.5%, 8/15/31 6.5 08/15/2031 913,650 94,799
PVH Corp., Tranche B Term Loan, 2/13/20 3.25 12/19/2019 609,363 614,441
Fannie Mae, 6.0%, 8/1/32 6.0 08/01/2032 315,000 8,463
Government National Mortgage Association I, 4.5%, 2/15/34 4.5 02/15/2034 181,146 62,543
Spectra Energy Capital LLC, 6.2%, 4/15/18 6.2 04/15/2018 2,475,000 2,872,851
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 3.4234 01/17/2019 500,000 518,979
Platinum Underwriters Finance, Inc., 7.5%, 6/1/17 7.5 06/01/2017 5,048,000 5,826,518
Government National Mortgage Association I, 6.5%, 4/15/31 6.5 04/15/2031 8,257,522 127,661
NSG Holdings LLC, New Term Loan, 12/11/19 3.75 11/15/2019 784,624 785,604
Bank of America Corp., 7.75%, 8/15/15 7.75 08/15/2015 1,100,000 1,214,322
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/33 5.0 06/15/2033 5,000,000 556,392
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 8.7229 05/07/2015 750,000 783,817
Government National Mortgage Association I, 6.5%, 1/15/29 6.5 01/15/2029 1,500,000 30,877
COMM 2012-CCRE2 Mortgage Trust, 3.791%, 8/15/45 3.791 08/15/2045 450,000 466,978
Federal Home Loan Mortgage Corp., 6.0%, 8/1/34 6.0 08/01/2034 3,000,000 228,185
Government National Mortgage Association I, 5.5%, 7/15/33 5.5 07/15/2033 2,100,000 135,291
Government National Mortgage Association I, 6.0%, 9/15/19 6.0 09/15/2019 1,829,714 130,408
Government National Mortgage Association I, 6.0%, 9/15/33 6.0 09/15/2033 500,663 28,182
COMM 2006-FL12 Mortgage Trust, Floating Rate Note, 12/15/20 (144A) 0.2818 12/15/2020 12,165,000 2,128,511
GATX Corp., 5.2%, 3/15/44 5.2 03/15/2044 2,260,000 2,446,685
Government National Mortgage Association I, 5.0%, 4/15/35 5.0 04/15/2035 2,500,000 683,781
Crockett Cogeneration LP, 5.869%, 3/30/25 (144A) 5.869 03/30/2025 1,010,000 644,251
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 9.035 01/08/2015 300,000 309,930
Government National Mortgage Association I, 5.0%, 7/15/19 5.0 07/15/2019 1,587,453 195,840
GATX Corp., 6.0%, 2/15/18 6.0 02/15/2018 5,660,000 6,515,705
Wells Fargo Commercial Mortgage Trust 2012-LC5, 3.539%, 10/15/45 3.539 10/15/2045 1,927,000 1,968,036
Government National Mortgage Association I, 7.0%, 12/15/30 7.0 12/15/2030 599,940 13,468
Rosneft Finance SA, 6.625%, 3/20/17 (144A) 6.625 03/20/2017 1,000,000 1,113,587
Standard Chartered Plc, 3.95%, 1/11/23 (144A) 3.95 01/11/2023 1,300,000 1,317,422
Merna Reinsurance V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2.0355 04/07/2017 1,000,000 1,001,900
Fannie Mae, 6.5%, 2/1/33 6.5 02/01/2033 2,000,000 31,763
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 0.3218 04/15/2022 1,682,691 891,626
Alternative Loan Trust 2005-J4, Floating Rate Note, 7/25/35 0.592 07/25/2035 5,426,539 5,255,889
Navient Corp., Floating Rate Note, 7/25/14 4.0 07/25/2014 3,155,000 3,157,135
Cincinnati Bell, Inc., Tranche B Term Loan, 9/10/20 4.0 08/20/2020 1,940,338 1,942,965
Federal Mogul 1st Lien Tl-C L + 3.75% 15apr21 4.75 04/15/2021 1,433,078 1,435,467
Fannie Mae, 8.0%, 10/1/30 8.0 10/01/2030 155,531 823
U.S. Treasury Bonds, 4.625%, 2/15/40 4.625 02/15/2040 4,000,000 5,043,879
U.S. Treasury Bonds, 4.5%, 5/15/38 4.5 05/15/2038 8,435,000 10,304,915
Government National Mortgage Association I, 4.5%, 10/15/35 4.5 10/15/2035 2,106,954 287,751
Rowan Companies, Inc., 4.75%, 1/15/24 4.75 01/15/2024 4,460,000 4,816,496
Sinopec Group Overseas Development 2014, Ltd., 4.375%, 4/10/24 (144A) 4.375 04/10/2024 4,750,000 4,964,286
Prudential Financial, Inc., Floating Rate Note, 6/15/43 5.625 06/15/2043 1,500,000 1,608,270
Fannie Mae, 7.0%, 12/1/31 7.0 12/01/2031 1,198,074 29,265
Government National Mortgage Association I, 6.0%, 5/15/33 6.0 05/15/2033 4,328,221 237,122
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 3.5 08/16/2020 1,414,313 1,416,375
Fannie Mae, 6.0%, 2/1/33 6.0 02/01/2033 2,200,000 34,177
Fannie Mae, 4.0%, 12/1/41 4.0 12/01/2041 5,950,000 3,211,317
Federal Home Loan Mortgage Corp., 6.0%, 5/1/34 6.0 05/01/2034 7,192,224 873,227
Bayview Financial Mortgage Pass-Through Trust 2006-A, 5.865%, 2/28/41 (Step) 5.865 02/28/2041 1,462,628 1,519,271
Fannie Mae, 5.0%, 2/1/41 5.0 02/01/2041 17,669,429 7,794,415
Senior Housing Properties Trust, 6.75%, 4/15/20 6.75 04/15/2020 2,865,000 3,350,758
Federal Home Loan Mortgage Corp., 7.0%, 9/1/22 7.0 09/01/2022 1,775,260 308,783
Wells Fargo Mortgage Backed Securities 2003-L Trust, Floating Rate Note, 11/25/33 2.5446 11/25/2033 3,100,000 257,903
Pinnacle Foods Finance LLC, New Term Loan G, 4/29/20 3.25 04/16/2020 23,700 23,619
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5, 4.1712%, 8/15/46 4.1712 08/15/2046 1,350,000 1,469,710
COMM 2013-LC6 Mortgage Trust, 2.941%, 1/10/46 2.941 01/10/2046 1,900,000 1,880,933
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 3.0 05/15/2018 3,048,000 2,192,624
Morgan Stanley, 5.5%, 1/26/20 5.5 01/26/2020 3,135,000 3,662,459
Tradewynd Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 6.2804 01/08/2015 250,000 254,350
Sequoia Mortgage Trust 2013-7, Floating Rate Note, 6/25/43 3.0 06/25/2043 1,841,592 1,687,430
Government National Mortgage Association I, 7.0%, 11/15/28 7.0 11/15/2028 2,367,683 31,180
Government National Mortgage Association I, 6.5%, 5/15/31 6.5 05/15/2031 1,798,476 31,338
Asciano Finance, Ltd., 4.625%, 9/23/20 (144A) 4.625 09/23/2020 529,000 571,421
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 1.7724 03/25/2044 9,650,000 758,000
Massachusetts Institute of Technology, 5.6%, 7/1/11 5.6   1,100,000 1,411,172
Government National Mortgage Association I, 6.5%, 11/15/31 6.5 11/15/2031 100,000 8,582
Government National Mortgage Association I, 7.0%, 12/15/30 7.0 12/15/2030 500,000 5,506
Unum Group, 5.75%, 8/15/42 5.75 08/15/2042 1,080,000 1,281,247
DynCorp International, Inc., Term Loan, 7/7/16 6.25 07/07/2016 493,569 495,496
Federal Home Loan Mortgage Corp., 3.5%, 8/1/43 3.5 08/01/2043 4,521,618 4,590,784
Fannie Mae, 4.5%, 10/1/35 4.5 10/01/2035 3,754,911 458,935
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.852 01/25/2035 14,000,000 1,916,813
US Bancorp, Floating Rate Note, 12/31/49 (Perpetual) 6.5   64,000 1,808,640
Fannie Mae, 3.0%, 9/1/42 3.0 09/01/2042 7,819,203 7,125,456
Burger King Corp., Tranche B Term Loan (2012), 9/28/19 3.75 09/28/2019 481,425 483,797
Federal National Mortgage Association REMICS, 10.3%, 4/25/19 10.3 04/25/2019 1,000,000 4,674
CHS, 2021 Term D Loan, 1/27/21 4.25 01/27/2021 3,204,578 3,228,363
Energy Transfer Partners LP, Floating Rate Note, 11/1/66 3.2429 11/01/2066 1,200,000 1,109,394
Government National Mortgage Association I, 7.5%, 2/15/31 7.5 02/15/2031 1,466,543 16,292
SCE Trust III, Floating Rate Note, 12/31/49 (Perpetual) 5.75 12/31/2049 167,900 4,432,560
Rosneft Finance SA, 7.5%, 7/18/16 (144A) 7.5 07/18/2016 2,080,000 2,348,233
Government National Mortgage Association I, 5.5%, 12/15/18 5.5 12/15/2018 406,708 44,923
Txu 1st Lien Dip L + 2.75% 05may16 3.75 05/05/2016 1,285,660 1,293,294
Fannie Mae, 6.0%, 9/1/34 6.0 09/01/2034 408,807 46,680
Government National Mortgage Association I, 7.0%, 8/15/28 7.0 08/15/2028 200,000 2,483
EP Energy LLC, 9.375%, 5/1/20 9.375 05/01/2020 1,800,000 2,089,125
Federal Home Loan Mortgage Corp., 6.0%, 4/1/33 6.0 04/01/2033 379,183 17,386
Baylor University, 4.313%, 3/1/42 4.313 03/01/2042 1,025,000 1,009,140
Prudential Financial, Inc., Floating Rate Note, 6/15/68 8.875 06/15/2038 2,140,000 2,632,723
Federal Home Loan Mortgage Corp., 7.0%, 8/1/22 7.0 08/01/2022 687,553 118,786
Flextronics International, Ltd., 10/1/14 2.462 10/01/2014 0 0
Domino's Pizza Master Issuer LLC, 5.216%, 1/25/42 (144A) 5.216 01/25/2042 4,051,000 4,243,801
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 0.402 02/25/2030 11,253,656 1,654,085
JobsOhio Beverage System, 3.985%, 1/1/29 3.985 01/01/2029 4,075,000 4,189,243
Amherst College, 3.794%, 11/1/42 3.794 11/01/2042 525,000 482,769
University of California, 3.38%, 5/15/28 3.38 05/15/2028 2,600,000 2,464,667
TI Group Automotive Systems LLC, Additional Term Loan, 3/28/19 5.5 03/27/2019 828,179 832,310
GSR Mortgage Loan Trust 2005-AR1, Floating Rate Note, 1/25/35 2.6699 01/25/2035 3,250,000 742,835
Government National Mortgage Association I, 5.5%, 8/15/33 5.5 08/15/2033 299,970 33,278
PFS Financing Corp., Floating Rate Note, 10/17/16 (144A) 0.8518 10/17/2016 526,376 526,831
Texas Competitive Electric Holding 1st Lien Dd L + 2.75% 05may16 1.5 05/05/2016 992,440 996,782
Alternative Loan Trust 2003-J1, 4.75%, 10/25/33 4.75 10/25/2033 9,200,000 483,239
Cummins, Inc., 6.75%, 2/15/27 6.75 02/15/2027 910,000 1,160,046
Bear Stearns ARM Trust 2003-6, Floating Rate Note, 8/25/33 2.7438 08/25/2033 60,314,000 3,263,156
Government National Mortgage Association I, 6.0%, 2/15/29 6.0 02/15/2029 2,700,000 175,328
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 0.902 12/25/2034 5,642,356 582,483
Sequoia Mortgage Trust 2004-12, Floating Rate Note, 1/20/35 0.6154 01/20/2035 15,500,000 1,100,202
Wells Fargo Commercial Mortgage Trust 2014-TISH, Floating Rate Note, 2/15/27 (144A) 1.1818 02/15/2027 1,800,000 1,804,904
Residential Asset Securitization Trust 2004-A10, 5.5%, 2/25/35 5.5 02/25/2035 9,400,000 290,409
Wilton Re Finance LLC, Floating Rate Note, 3/30/33 (144A) 5.875 03/30/2033 1,400,000 1,480,291
Government National Mortgage Association I, 6.0%, 2/15/33 6.0 02/15/2033 1,254,640 62,772
Queen Street VI Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 10.581 04/09/2015 250,000 257,666
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 5/25/50 (144A) 0.852 05/25/2050 3,750,000 93,910
Government National Mortgage Association I, 4.5%, 10/15/33 4.5 10/15/2033 2,103,237 534,694
Government National Mortgage Association I, 7.0%, 11/15/28 7.0 11/15/2028 4,530,958 86,779
WR Grace & Co., U.S. Term Loan, 1/23/21 3.0 01/23/2021 670,166 669,664
FPL Energy American Wind LLC, 6.639%, 6/20/23 (144A) 6.639 06/20/2023 2,520,000 670,678
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 1.502 06/25/2033 2,336,716 1,498,433
Glencore Funding LLC, 4.125%, 5/30/23 (144A) 4.125 05/30/2023 1,175,000 1,184,274
NYU Hospitals Center, 4.428%, 7/1/42 4.428 07/01/2042 2,400,000 2,305,987
Worthington Industries, Inc., 4.55%, 4/15/26 4.55 04/15/2026 3,135,000 3,290,965
Astoria Financial Corp., 5.0%, 6/19/17 5.0 06/19/2017 2,300,000 2,502,505
Fannie Mae, 6.0%, 7/1/33 6.0 07/01/2033 10,874,932 237,636