Pioneer Investments: Pioneer Bond Fund


Mutual Funds
Funds Directory
Balanced / Flexible Funds
Equity Funds
International Equity Funds
Fixed Income Funds
Asset Allocation Series
Alternatives
Daily Pricing
Performance
Distributions
Historical Distributions
Morningstar Ratings
Historical Pricing
Holdings
Home Funds & Products Mutual Funds Printable Version
Pioneer Bond Fund

Monthly Portfolio Holdings as of 6/30/2015

Security Name Coupon Maturity Date Par / Shares Market Value($)
Hyundai Capital America, 2.0%, 3/19/18 (144A) 2.0 03/19/2018 3,125,000 3,143,824
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2.0051 04/07/2017 1,000,000 1,000,411
Bank of America Corp., Floating Rate Note, 10/23/49 6.5 10/23/2049 6,975,000 7,304,762
Rosneft Finance SA, 7.875%, 3/13/18 (144A) 7.875 03/13/2018 1,000,000 1,068,625
14112z Zero% 01feb19 0.0 02/01/2019 3,600,000 3,809,160
Government National Mortgage Association I, 4.5%, 4/15/38 4.5 04/15/2038 1,004,042 197,758
Fannie Mae, 5.0%, 2/1/20 5.0 02/01/2020 700,000 57,436
MRFC Mortgage Pass-Through Trust Series 2000-TBC3, Floating Rate Note, 12/15/30 0.6255 12/15/2030 15,930,000 713,001
Fannie Mae, 6.0%, 9/1/32 6.0 09/01/2032 65,856 750
Springleaf Mortgage Loan Trust 2013-1, Floating Rate Note, 6/25/58 (144A) 3.79 06/25/2058 750,000 757,434
Wilton Re Finance LLC, Floating Rate Note, 3/30/33 (144A) 5.875 03/30/2033 1,400,000 1,473,757
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 2.7576 01/15/2017 1,500,000 1,528,197
Sprint Corp., 7.125%, 6/15/24 7.125 06/15/2024 1,500,000 1,396,150
Citigroup, Inc., Floating Rate Note (Perpetual) 5.9 12/31/2049 2,850,000 2,870,773
Altice Financing SA, 7.875%, 12/15/19 (144A) 7.875 12/15/2019 1,675,000 1,768,800
Ship Midco, Ltd., Facility B2A-II, 11/29/19 5.25 11/29/2019 795,333 800,801
Oracle Corp., 2.5%, 5/15/22 2.5 05/15/2022 10,600,000 10,333,907
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 3.5572 06/25/2043 6,700,000 6,433,855
Toyota Motor Credit Corp., 2.125%, 7/18/19 2.125 07/18/2019 5,000,000 5,064,153
Fannie Mae, 4.0%, 1/1/42 4.0 01/01/2042 1,821,298 743,689
Vers 2015-A Zero% 31dec17 0.0 12/31/2017 2,500,000 2,619,500
Government National Mortgage Association I, 6.5%, 1/15/29 6.5 01/15/2029 1,500,000 29,521
Federal Home Loan Mortgage Corp., 6.5%, 8/1/31 6.5 08/01/2031 192,020 1,200
Flt% 15jun16 0.0 06/15/2016 500,000 487,450
Federal National Mortgage Association REMICS, 4.5%, 6/25/29 4.5 06/25/2029 1,000,000 699,525
Government National Mortgage Association I, 6.5%, 1/15/33 6.5 01/15/2033 25,065,172 579,460
Government National Mortgage Association I, 4.0%, 11/15/41 4.0 11/15/2041 25,000 8,077
Capital One Bank USA NA, 8.8%, 7/15/19 8.8 07/15/2019 1,465,000 1,856,596
Spectra Energy Capital LLC, 6.2%, 4/15/18 6.2 04/15/2018 2,475,000 2,736,268
Federal Home Loan Mortgage Corp., 6.0%, 4/1/36 6.0 04/01/2036 7,000,000 523,354
Fannie Mae, 5.0%, 7/1/40 5.0 07/01/2040 3,750,000 970,674
SCE Trust III, Floating Rate Note (Perpetual) 5.75 12/31/2049 167,900 4,469,498
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 0.537 08/25/2036 1,525,000 261,323
Lehman ABS Manufactured Housing Contract Trust 2001-B, 3.01%, 5/15/41 3.01 05/15/2041 22,820,000 272,601
SunGard Data Systems, Inc., Tranche C Term Loan, 2/28/17 3.9341 02/28/2017 953,650 955,284
Terwin Mortgage Trust Series TMTS 2005-16HE, 4.36948%, 9/25/36 (Step) 4.3589 09/25/2036 14,000,000 2,666,399
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 0.686 06/28/2044 400,000 317,783
Fannie Mae, 5.0%, 2/1/41 5.0 02/01/2041 17,669,429 6,301,953
Acgl Zero% 01jul16 0.0 07/01/2016 1,000,000 1,022,200
Indianapolis Airport Authority, 5.1%, 1/15/17 5.1 01/15/2017 1,000,000 1,085,627
Fannie Mae, 4.0%, 11/1/44 4.0 11/01/2044 528,022 519,351
Bll 5.25% 01jul25 5.25 07/01/2025 4,000,000 3,958,500
Bayview Commercial Asset Trust 2007-4, 3.491129%, 9/25/37 (Step) (144A) 3.4903 09/25/2037 13,200,000 201,379
Government National Mortgage Association I, 6.5%, 5/15/31 6.5 05/15/2031 1,798,476 26,599
Government National Mortgage Association I, 6.0%, 6/15/17 6.0 06/15/2017 519,853 4,917
Government National Mortgage Association I, 6.5%, 5/15/29 6.5 05/15/2029 273,319 5,616
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 0.636 04/28/2039 1,486,142 1,045,053
Intelsat Jackson Holdings SA, 7.25%, 4/1/19 7.25 04/01/2019 1,900,000 1,962,938
Arbor Realty Collateralized Loan Obligation 2015-FL1, Ltd., Floating Rate Note, 3/15/25 (144A) 1.9315 03/15/2025 4,200,000 4,203,613
Fannie Mae, 5.0%, 10/1/20 5.0 10/01/2020 4,036,945 442,169
Fannie Mae, 6.0%, 3/1/33 6.0 03/01/2033 3,500,000 126,382
Medtronic, Inc., 4.625%, 3/15/45 (144A) 4.625 03/15/2045 7,300,000 7,489,560
Fannie Mae, 4.0%, 11/1/44 4.0 11/01/2044 225,000 227,868
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 2.02 01/15/2019 1,200,000 1,201,508
NYU Hospitals Center, 4.428%, 7/1/42 4.428 07/01/2042 2,400,000 2,331,528
CubeSmart LP, 4.8%, 7/15/22 4.8 07/15/2022 730,000 801,319
Spirit Master Funding LLC, 5.74%, 3/20/42 (144A) 5.74 03/20/2042 268,008 292,060
Fannie Mae, 4.0%, 12/1/41 4.0 12/01/2041 5,950,000 2,298,304
Government National Mortgage Association I, 6.0%, 4/15/33 6.0 04/15/2033 3,907,830 86,511
Aviation Capital Group Corp., 6.75%, 4/6/21 (144A) 6.75 04/06/2021 3,725,000 4,313,932
FREMF Mortgage Trust 2011-K702, Floating Rate Note, 4/25/44 (144A) 4.9311 04/25/2044 5,380,000 5,760,730
Scientific Games International Inc 1st Lien Tl-B2 L + 5% 17sep21 6.0 09/17/2021 4,328,250 4,330,462
Government National Mortgage Association I, 4.0%, 9/15/40 4.0 09/15/2040 25,000 12,605
American Homes 4 Rent 2014-SFR3 Trust, 4.596%, 12/18/36 (144A) 4.596 12/18/2036 2,800,000 2,911,485
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 0.437 02/25/2030 16,378,656 2,058,421
Sequoia Mortgage Trust 2013-10, Floating Rate Note, 8/25/43 (144A) 3.5864 08/25/2043 7,372,000 6,898,651
Government National Mortgage Association I, 6.0%, 5/15/17 6.0 05/15/2017 1,413,485 12,401
Fannie Mae, 4.5%, 11/1/43 4.5 11/01/2043 430,000 420,666
Fannie Mae, 6.0%, 6/1/16 6.0 06/01/2016 4,000,000 7,088
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 2.3%, 3/5/20 (144A) 2.3 03/05/2020 11,675,000 11,711,778
Avago Technologies Ltd 1st Lien Tl-B L + 3% 16apr21 3.75 04/16/2021 324,504 325,426
Commonwealth Edison Co., 6.15%, 9/15/17 6.15 09/15/2017 980,000 1,097,531
Fannie Mae, 8.0%, 2/1/29 8.0 02/01/2029 240,000 2,675
Fannie Mae, 4.5%, 1/1/42 4.5 01/01/2042 11,834,581 8,144,765
STORE Master Funding LLC, 5.77%, 8/20/42 (144A) 5.77 08/20/2042 2,095,000 2,160,934
Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A) 1.55 11/15/2017 1,326,000 553,659
Kane Zero% 22jan16 0.0 01/22/2016 1,300,000 1,326,520
Government National Mortgage Association I, 5.5%, 1/15/35 5.5 01/15/2035 2,222,000 216,886
DAE Aviation Holdings, Inc., Replacement Tranche B-1 Loan, 11/2/18 6.25 11/02/2018 1,204,479 1,207,792
Newfield Exploration Co., 5.375%, 1/1/26 5.375 01/01/2026 2,360,000 2,375,512
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 0.8675 05/19/2035 79,912,853 3,844,560
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 3.4642 01/17/2019 500,000 512,880
Fannie Mae, 4.0%, 9/1/44 4.0 09/01/2044 327,471 308,327
Eaton Vance Corp., 6.5%, 10/2/17 6.5 10/02/2017 733,000 819,774
Government National Mortgage Association I, 4.5%, 6/15/41 4.5 06/15/2041 3,601,538 1,633,545
Federal Home Loan Mortgage Corp., 4.5%, 3/1/42 4.5 03/01/2042 22,167,426 8,359,194
State of Washington, 3.0%, 7/1/28 3.0 07/01/2028 560,000 565,583
Government National Mortgage Association I, 7.0%, 12/15/30 7.0 12/15/2030 500,000 4,916
Government National Mortgage Association I, 7.0%, 11/15/28 7.0 11/15/2028 2,367,683 25,337
Government National Mortgage Association I, 4.0%, 2/15/41 4.0 02/15/2041 25,888 17,900
Colony Multifamily Mortgage Trust 2014-1, 2.5432%, 4/22/50 (144A) 2.5432 04/22/2050 4,000,000 3,160,689
NBTY, Inc., Term B-2 Loan, 10/1/17 3.5 10/01/2017 861,429 857,121
Federal Home Loan Mortgage Corp., 5.5%, 11/1/35 5.5 11/01/2035 1,000,000 55,838
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 7,500,000 5,804,001
Government National Mortgage Association I, 4.5%, 8/15/41 4.5 08/15/2041 5,900,000 2,321,359
CommScope, Inc., Tranche 4 Term Loan, 1/14/18 3.25 01/14/2018 342,733 343,074
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 2.1251 11/19/2026 4,000,000 1,319,977
Steel Dynamics, Inc., 5.125%, 10/1/21 5.125 10/01/2021 1,385,000 1,405,515
CVS Pass-Through Trust, 5.298%, 1/11/27 (144A) 5.298 01/11/2027 1,200,000 718,288
United Technologies Corp., 1.778%, 5/4/18 (Step) 1.778 05/04/2018 10,250,000 10,310,374
Federal Home Loan Mortgage Corp., 6.5%, 3/1/31 6.5 03/01/2031 527,335 8,632
Mqgau 4.875% 10jun25 144a 4.875 06/10/2025 5,125,000 5,057,677
Protective Life Corp., 7.375%, 10/15/19 7.375 10/15/2019 4,250,000 5,098,829
Neuberger Berman Group LLC, 4.875%, 4/15/45 (144A) 4.875 04/15/2045 4,250,000 3,893,262
Government National Mortgage Association I, 4.5%, 9/15/40 4.5 09/15/2040 900,000 478,628
Baylor University, 4.313%, 3/1/42 4.313 03/01/2042 1,025,000 1,029,742
Energy Transfer Partners LP, Floating Rate Note, 11/1/66 3.2957 11/01/2066 1,200,000 1,026,701
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1.837 03/25/2035 430,000 423,007
Fannie Mae, 4.5%, 12/1/43 4.5 12/01/2043 20,000,000 16,254,756
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 5.0 07/25/2018 7,610,000 352,772
Fannie Mae, 4.0%, 9/1/44 4.0 09/01/2044 105,983 93,313
Government National Mortgage Association I, 5.0%, 7/15/19 5.0 07/15/2019 26,391 1,383
Air Canada 2015-1 Class A Pass Through Trust, 3.6%, 9/15/28 (144A) 3.6 09/15/2028 4,025,000 3,993,203
Wells Fargo & Co., Floating Rate Note (Perpetual) 5.875 12/31/2049 3,400,000 3,489,798
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 4.25 04/25/2034 8,370,000 145,567
Aflac, Inc., 3.625%, 11/15/24 3.625 11/15/2024 7,000,000 7,056,245
The Goldman Sachs Group, Inc., 6.75%, 10/1/37 6.75 10/01/2037 6,875,000 8,180,033
Spirit Master Funding LLC, 4.6291%, 1/20/45 (144A) 4.6291 01/20/2045 3,300,000 3,301,702
Fannie Mae, 6.0%, 10/1/35 6.0 10/01/2035 7,125,770 198,239
International Paper Co., 3.65%, 6/15/24 3.65 06/15/2024 6,975,000 6,885,931
Fannie Mae, 5.5%, 6/1/33 5.5 06/01/2033 1,148,000 45,283
Government National Mortgage Association I, 5.5%, 6/15/33 5.5 06/15/2033 400,000 19,266
Bella Vista Mortgage Trust 2004-1, Floating Rate Note, 11/20/34 0.8868 11/20/2034 66,102,000 1,499,754
Citigroup Mortgage Loan Trust 2014-A, Floating Rate Note, 1/1/35 (144A) 4.0 01/01/2035 1,000,000 645,087
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 0.6655 06/15/2030 9,460,074 497,700
Fannie Mae, 4.0%, 4/1/39 4.0 04/01/2039 7,360,371 1,845,708
JP Morgan Mortgage Trust 2014-2, Floating Rate Note, 6/25/29 (144A) 3.4261 06/25/2029 9,276,000 7,870,280
Fannie Mae, 4.0%, 2/1/45 4.0 02/01/2045 73,989 76,649
Amphenol Corp., 3.125%, 9/15/21 3.125 09/15/2021 3,675,000 3,711,446
Federal Home Loan Mortgage Corp., 6.5%, 5/1/31 6.5 05/01/2031 100,010 182
Fannie Mae, 7.0%, 12/1/30 7.0 12/01/2030 525,099 9,902
WF-RBS Commercial Mortgage Trust 2011-C2, Floating Rate Note, 2/15/44 (144A) 5.4662 02/15/2044 1,323,000 1,424,161
Fannie Mae, 6.0%, 7/1/33 6.0 07/01/2033 10,874,932 232,758
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/31 5.0 12/15/2031 2,100,000 2,264,141
Merna Reinsurance, Ltd., Floating Rate Note, 4/9/18 (Cat Bond) (144A) 2.0051 04/09/2018 750,000 751,293
DCP Midstream LLC, Floating Rate Note, 5/21/43 (144A) 5.85 05/21/2043 3,950,000 3,156,050
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 3/15/28 (144A) 2.436 03/15/2028 2,700,000 2,691,189
Virginia Commonwealth Transportation Board, 4.0%, 5/15/31 4.0 05/15/2031 2,200,000 2,313,280
United States Treasury Floating Rate Note, Floating Rate Note, 1/31/16 0.06 01/31/2016 11,325,000 11,326,067
Federal National Mortgage Association REMICS, 5.0%, 7/25/33 5.0 07/25/2033 5,000,000 316,309
Mid-State Capital Trust 2010-1, 5.25%, 12/15/45 (144A) 5.25 12/15/2045 950,000 700,284
COMM 2013-CCRE11 Mortgage Trust, Floating Rate Note, 12/8/50 (144A) 5.1709 12/08/2050 4,200,000 4,484,534
FREMF Mortgage Trust 2010-K9 REMICS, Floating Rate Note, 9/25/45 (144A) 5.3609 09/25/2045 890,000 992,451
Southern California Edison Co., 1.845%, 2/1/22 1.845 02/01/2022 6,200,000 6,246,309
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 0.437 02/25/2037 10,766,469 853,305
Government National Mortgage Association II, 4.5%, 3/20/35 4.5 03/20/2035 500,000 73,484
Intesa Sanpaolo S.p.A., 6.5%, 2/24/21 (144A) 6.5 02/24/2021 1,400,000 1,629,207
Masco Corp., 4.45%, 4/1/25 4.45 04/01/2025 1,050,000 1,065,215
FREMF Mortgage Trust 2013-K502, Floating Rate Note, 3/27/45 (144A) 3.3015 03/27/2045 900,000 916,729
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 0.937 12/25/2034 5,642,356 416,933
Federal Home Loan Mortgage Corp., 6.5%, 8/1/31 6.5 08/01/2031 1,070,805 4,968
Government National Mortgage Association I, 6.0%, 9/15/19 6.0 09/15/2019 1,829,714 105,927
Newfield Exploration Co., 5.625%, 7/1/24 5.625 07/01/2024 1,400,000 1,453,375
US Residential Opportunity Fund III Trust 2015-1, 3.7213%, 1/29/35 (144A) 3.7213 01/29/2035 4,000,000 3,848,130
Government National Mortgage Association I, 6.5%, 2/15/29 6.5 02/15/2029 301,000 11,347
Gold Fields Orogen Holdings BVI, Ltd., 4.875%, 10/7/20 (144A) 4.875 10/07/2020 4,000,000 3,705,500
Federal Home Loan Mortgage Corp., 6.0%, 5/1/17 6.0 05/01/2017 7,876,244 47,877
Origen Manufactured Housing Contract Trust 2004-A, Floating Rate Note, 1/15/35 5.91 01/15/2035 1,400,000 536,308
Federal Home Loan Mortgage Corp., 4.0%, 9/1/44 4.0 09/01/2044 11,749,606 11,772,085
Sequoia Mortgage Trust 2013-7, Floating Rate Note, 6/25/43 3.0 06/25/2043 1,841,592 1,520,729
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 2.7085 07/25/2033 27,814,878 1,091,606
Fannie Mae, 4.0%, 9/1/44 4.0 09/01/2044 95,762 87,066
PNC Bank NA, 6.0%, 12/7/17 6.0 12/07/2017 1,435,000 1,582,231
Telefonica Emisiones SAU, 6.221%, 7/3/17 6.221 07/03/2017 2,750,000 3,073,665
Grain Spectrum Funding II LLC, 3.29%, 10/10/19 (144A) 3.29 10/10/2019 1,400,000 1,380,591
Morgan Stanley, Floating Rate Note (Perpetual) 5.55 12/31/2049 2,900,000 2,924,578
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 1,500,000 1,466,152
Springleaf Mortgage Loan Trust 2013-1, Floating Rate Note, 6/25/58 (144A) 2.0036 06/25/2058 2,500,000 1,538,098
DigitalGlobe, Inc., Term Loan, 1/31/20 3.75 01/31/2020 2,569,902 2,575,525
Spectra Energy Capital LLC, 6.75%, 7/15/18 6.75 07/15/2018 1,500,000 1,723,676
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 2.437 03/25/2032 2,200,000 345,189
Ally Financial, Inc., 3.6%, 5/21/18 3.6 05/21/2018 1,500,000 1,508,175
Fannie Mae, 6.5%, 7/1/34 6.5 07/01/2034 1,095,000 35,292
Sanders Re, Ltd., Floating Rate Note, 5/25/18 (Cat Bond) (144A) 3.0203 05/25/2018 800,000 777,027
Fannie Mae, 3.0%, 8/1/42 3.0 08/01/2042 24,375,000 21,531,654
Mohawk Industries, Inc., 3.85%, 2/1/23 3.85 02/01/2023 800,000 811,698
Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A) 1.87 08/20/2029 750,000 198,662
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 8.6464 01/05/2017 1,000,000 1,026,271
Government National Mortgage Association I, 6.0%, 9/15/35 6.0 09/15/2035 5,000,000 1,050,062
Alternative Loan Trust 2004-J5, Floating Rate Note, 8/25/34 1.087 08/25/2034 9,407,000 8,680,450
CVS Pass-Through Trust, 5.773%, 1/10/33 (144A) 5.773 01/10/2033 1,555,000 1,553,965
Credit Suisse New York NY, 1.75%, 1/29/18 1.75 01/29/2018 7,000,000 7,024,506
Oxford Finance Funding Trust 2014-1, 3.475%, 12/15/22 (144A) 3.475 12/15/2022 1,600,000 1,607,255
BLCP Hotel Trust, Floating Rate Note, 8/15/29 (144A) 2.136 08/15/2029 2,210,000 2,218,443
Government National Mortgage Association I, 4.0%, 12/15/41 4.0 12/15/2041 28,465 11,964
Fannie Mae, 4.5%, 12/1/43 4.5 12/01/2043 20,516,456 14,012,562
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 15,000,000 13,078,391
Government National Mortgage Association I, 6.0%, 9/15/34 6.0 09/15/2034 1,315,000 78,505
Structured Asset Securities Corp Trust 2005-17, 5.5%, 10/25/35 5.5 10/25/2035 7,170,000 4,348,472
Government National Mortgage Association I, 4.0%, 3/15/44 4.0 03/15/2044 33,576 27,498
Fannie Mae, 6.0%, 1/1/32 6.0 01/01/2032 183,200 5,545
Kane Zero% 29apr16 0.0 04/29/2016 3,700,000 3,887,960
Government National Mortgage Association I, 4.5%, 4/15/41 4.5 04/15/2041 2,223,928 1,359,429
Government National Mortgage Association I, 6.0%, 1/15/17 6.0 01/15/2017 705,441 6,107
Fannie Mae, 6.0%, 10/1/32 6.0 10/01/2032 4,502,006 89,089
Wells Fargo Commercial Mortgage Trust 2014-TISH REMICS, Floating Rate Note, 2/16/27 (144A) 2.036 02/16/2027 5,300,000 5,274,532
Government National Mortgage Association I, 5.0%, 4/15/34 5.0 04/15/2034 1,504,329 156,160
Fannie Mae, 6.0%, 9/1/29 6.0 09/01/2029 124,691 1,628
Blackstone Holdings Finance Co LLC, 4.75%, 2/15/23 (144A) 4.75 02/15/2023 4,950,000 5,390,245
Sunoco Logistics Partners Operations LP, 6.1%, 2/15/42 6.1 02/15/2042 2,200,000 2,305,227
Government National Mortgage Association I, 6.5%, 3/15/29 6.5 03/15/2029 2,000,000 22,419
Fannie Mae, 5.0%, 2/1/22 5.0 02/01/2022 7,621,650 372,037
Loews Corp., 5.25%, 3/15/16 5.25 03/15/2016 2,650,000 2,772,868
Hercules Capital Funding Trust 2014-1, 3.524%, 4/16/21 (144A) 3.524 04/16/2021 2,920,000 2,931,588
Government National Mortgage Association I, 6.5%, 7/15/35 6.5 07/15/2035 666,356 60,980
Glencore Funding LLC, 4.125%, 5/30/23 (144A) 4.125 05/30/2023 1,175,000 1,140,886
Ally Financial, Inc., 5.125%, 9/30/24 5.125 09/30/2024 5,050,000 5,128,047
Fannie Mae, 4.0%, 11/1/44 4.0 11/01/2044 10,988,459 10,581,890
President and Fellows of Harvard College, 6.3%, 10/1/37 6.3 10/01/2037 3,095,000 3,275,274
Fannie Mae, 4.5%, 8/1/40 4.5 08/01/2040 5,950,444 1,414,040
BAMLL Commercial Mortgage Securities Trust 2015-ASHF, Floating Rate Note, 1/18/28 (144A) 1.896 01/18/2028 4,200,000 4,203,629
Government National Mortgage Association I, 5.5%, 10/15/17 5.5 10/15/2017 5,636,984 130,788
Bear Stearns ALT-A Trust 2005-1, Floating Rate Note, 1/25/35 0.747 01/25/2035 13,520,000 911,572
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 0.437 09/25/2030 2,760,310 420,042
Fannie Mae, 5.5%, 9/1/17 5.5 09/01/2017 3,705,000 54,134
Federal Home Loan Mortgage Corp., 6.5%, 10/1/33 6.5 10/01/2033 2,000,000 52,587
Blue Danube II, Ltd., Floating Rate Note, 5/23/18 (Cat Bond) (144A) 4.3682 05/23/2018 3,050,000 3,045,938
Government National Mortgage Association II, 6.5%, 3/20/29 6.5 03/20/2029 100,000 1,414
Government National Mortgage Association I, 4.0%, 6/15/39 4.0 06/15/2039 28,840 9,822
Federal Home Loan Mortgage Corp., 5.0%, 12/1/21 5.0 12/01/2021 450,000 31,214
University of Virginia, 5.0%, 4/1/45 5.0 04/01/2045 3,100,000 3,580,338
Kane Zero% 19feb16 0.0 02/19/2016 3,000,000 3,189,900
New Residential Mortgage Loan Trust 2014-1, Floating Rate Note, 1/25/54 (144A) 3.75 01/25/2054 5,200,000 4,185,475
Crockett Cogeneration LP, 5.869%, 3/30/25 (144A) 5.869 03/30/2025 1,010,000 574,227
Government National Mortgage Association I, 6.5%, 5/15/29 6.5 05/15/2029 6,774,704 103,648
Government National Mortgage Association I, 5.5%, 10/15/35 5.5 10/15/2035 2,002,398 293,764
Government National Mortgage Association II, 4.0%, 10/20/44 4.0 10/20/2044 4,890,000 4,318,246
Fannie Mae, 4.5%, 2/1/41 4.5 02/01/2041 2,435,128 1,253,445
Government National Mortgage Association I, 4.0%, 4/15/44 4.0 04/15/2044 75,647 71,170
Freeport-McMoRan, Inc., 3.875%, 3/15/23 3.875 03/15/2023 1,850,000 1,701,698
U.S. Treasury Notes, 2.0%, 2/15/25 2.0 02/15/2025 4,400,000 4,307,934
Progress Residential 2015-SFR1 Trust, Floating Rate Note, 2/20/32 (144A) 2.5855 02/20/2032 2,700,000 2,718,399
Nrpmt Flt% 25jul43 13-1 3.3181 07/25/2043 3,927,800 3,682,200
Government National Mortgage Association I, 6.5%, 5/15/33 6.5 05/15/2033 1,672,708 37,705
DB Master Finance LLC 2015-1, 3.98%, 2/21/45 (144A) 3.98 02/21/2045 5,000,000 4,990,003
Enterprise Products Operating LLC, 3.7%, 2/15/26 3.7 02/15/2026 3,825,000 3,724,835
JP Morgan Mortgage Trust 2014-5, Floating Rate Note, 10/25/29 (144A) 3.0431 10/25/2029 2,609,000 2,410,402
Kinetic Concepts, Inc., Dollar Term E-1 Loan, 5/4/18 4.5 05/04/2018 1,988,646 1,998,899
Fannie Mae, 4.0%, 2/1/45 4.0 02/01/2045 875,790 853,084
Fannie Mae, 3.5%, 12/1/42 3.5 12/01/2042 1,015,373 784,612
Banc of America Mortgage Trust 2004-11, 5.75%, 1/25/35 5.75 01/25/2035 11,116,000 802,684
Fannie Mae, 6.0%, 4/1/35 6.0 04/01/2035 4,000,000 319,730
Government National Mortgage Association I, 4.0%, 10/15/44 4.0 10/15/2044 449,138 375,694
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 1.6 06/19/2031 2,200,000 2,188,884
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 0.457 04/25/2032 27,275,000 2,071,489
Aircastle, Ltd., 6.75%, 4/15/17 6.75 04/15/2017 2,800,000 3,021,900
EverBank Mortgage Loan Trust REMICS, Floating Rate Note, 4/25/43 (144A) 3.5032 04/25/2043 4,393,000 4,086,274
Government National Mortgage Association I, 6.0%, 10/15/36 6.0 10/15/2036 3,000,000 176,279
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 1.47 05/15/2018 1,250,000 129,987
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 8.03 07/09/2015 2,100,000 2,138,943
U.S. Treasury Bonds, 4.375%, 11/15/39 4.375 11/15/2039 6,865,000 8,482,309
JP Morgan Mortgage Trust 2014-1 REMICS, Floating Rate Note, 1/25/44 (144A) 3.5 01/25/2044 1,000,000 873,895
Federal Home Loan Mortgage Corp., 6.5%, 5/1/31 6.5 05/01/2031 1,043,809 8,064
Sinopec Group Overseas Development 2014, Ltd., 4.375%, 4/10/24 (144A) 4.375 04/10/2024 4,750,000 5,028,653
Federal National Mortgage Association REMICS, 10.3%, 4/25/19 10.3 04/25/2019 1,000,000 3,352
Government National Mortgage Association I, 6.5%, 1/15/35 6.5 01/15/2035 62,679 851
Sumitomo Mitsui Banking Corp., 1.75%, 1/16/18 1.75 01/16/2018 1,800,000 1,820,833
Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 6.0 12/01/2033 2,000,000 179,316
NSG Holdings LLC, New Term Loan, 12/11/19 3.75 12/11/2019 746,113 744,248
U.S. Treasury Bonds, 4.375%, 5/15/40 4.375 05/15/2040 4,500,000 5,566,120
Government National Mortgage Association I, 4.0%, 11/15/40 4.0 11/15/2040 30,717 13,186
United States Treasury Floating Rate Note, Floating Rate Note, 4/30/17 0.089 04/30/2017 16,395,000 16,396,036
TransCanada PipeLines, Ltd., 1.875%, 1/12/18 1.875 01/12/2018 4,425,000 4,493,198
Government National Mortgage Association I, 5.5%, 2/15/35 5.5 02/15/2035 500,000 59,382
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 2.35 10/25/2035 1,049,340 237,849
Washington Suburban Sanitary Commission, 4.0%, 6/1/44 4.0 06/01/2044 1,565,000 1,599,607
NCR Corp., 4.625%, 2/15/21 4.625 02/15/2021 4,600,000 4,691,872
Louisiana Local Government Environmental Facilities & Community Development Authority, 6.5%, 11/1/35 6.5 11/01/2035 2,350,000 2,822,804
Government National Mortgage Association I, 5.5%, 10/15/33 5.5 10/15/2033 1,509,492 114,101
Government National Mortgage Association I, 5.5%, 8/15/33 5.5 08/15/2033 400,000 32,605
The PNC Financial Services Group, Inc., Floating Rate Note (Perpetual) 6.75 12/31/2049 890,000 1,010,539
Government National Mortgage Association I, 6.5%, 8/15/31 6.5 08/15/2031 913,650 74,216
Alterra Finance LLC, 6.25%, 9/30/20 6.25 09/30/2020 3,000,000 3,492,647
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 3.75 12/12/2019 590,405 591,143
Government National Mortgage Association I, 4.0%, 11/15/40 4.0 11/15/2040 245,475 67,756
Eastman Chemical Co., 4.8%, 9/1/42 4.8 09/01/2042 980,000 955,658
CVS Health Corp., 2.25%, 8/12/19 2.25 08/12/2019 650,000 652,695
Fannie Mae, 6.5%, 3/1/32 6.5 03/01/2032 3,500,000 92,493
Fannie Mae, 4.0%, 1/1/45 4.0 01/01/2045 868,181 909,613
Government National Mortgage Association I, 3.5%, 1/15/45 3.5 01/15/2045 20,435,006 20,742,907
Stanley Black & Decker, Inc., Floating Rate Note, 12/15/53 5.75 12/15/2053 3,600,000 3,888,200
Fannie Mae, 4.0%, 12/1/40 4.0 12/01/2040 1,900,000 1,230,020
Golden State RE II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A) 2.22 01/08/2019 2,800,000 2,792,533
Home Equity Asset Trust 2005-7, Floating Rate Note, 1/25/36 0.567 01/25/2036 750,000 346,500
Fannie Mae, 3.5%, 2/1/44 3.5 02/01/2044 18,215,601 15,648,020
Fannie Mae, 5.5%, 5/1/36 5.5 05/01/2036 4,000,000 267,849
Prudential Financial, Inc., Floating Rate Note, 9/15/42 5.875 09/15/2042 1,800,000 1,933,378
Government National Mortgage Association I, 4.0%, 4/15/44 4.0 04/15/2044 58,312 16,334
Interactive Data 1st Lien Tl-B L + 3.75% 24apr21 4.75 04/24/2021 743,042 746,138
Aspen Insurance Holdings, Ltd., Floating Rate Note (Perpetual) 5.95 12/31/2049 50,000 1,260,000
Cgcmt 3.371% 10oct47 14-Gc25-Aa 3.371 10/10/2047 5,000,000 5,154,331
Fannie Mae, 4.0%, 8/1/42 4.0 08/01/2042 20,000,000 14,549,362
Capital Auto Receivables Asset Trust 2013-1, 1.74%, 10/22/18 1.74 10/22/2018 2,900,000 2,909,424
Iberdrola International BV, 6.75%, 7/15/36 6.75 07/15/2036 4,475,000 5,623,652
US Bancorp, Floating Rate Note (Perpetual) 6.0 12/31/2049 95,890 2,553,551
WR Grace & Co-Conn, 5.125%, 10/1/21 (144A) 5.125 10/01/2021 1,130,000 1,152,953
Fannie Mae, 6.0%, 6/1/38 6.0 06/01/2038 2,250,000 406,070
Israel Electric Corp, Ltd., 9.375%, 1/28/20 (144A) 9.375 01/28/2020 610,000 782,230
Government National Mortgage Association I, 6.5%, 12/15/32 6.5 12/15/2032 25,822,328 557,734
Orcal Geothermal, Inc., 6.21%, 12/30/20 (144A) 6.21 12/30/2020 1,730,000 582,726
California Educational Facilities Authority, 5.0%, 6/1/43 5.0 06/01/2043 1,980,000 2,502,317
GAHR Commercial Mortgage Trust 2015-NRF, Floating Rate Note, 12/15/34 (144A) 3.3822 12/15/2034 4,630,000 4,610,005
Government National Mortgage Association I, 4.0%, 11/15/44 4.0 11/15/2044 1,537,490 1,556,574
Successor X, Ltd., Floating Rate Note, 11/10/15 (Cat Bond) (144A) 11.2601 11/10/2015 250,000 251,934
Government National Mortgage Association I, 6.5%, 3/15/29 6.5 03/15/2029 1,120,633 12,031
JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2, 3.6159%, 11/15/43 (144A) 3.6159 11/15/2043 1,600,000 1,675,592
Government National Mortgage Association I, 7.5%, 2/15/26 7.5 02/15/2026 893,000 1,994
DuPont Fabros Technology LP, 5.875%, 9/15/21 5.875 09/15/2021 1,250,000 1,287,248
Dominion Resources, Inc. Virginia, 3.625%, 12/1/24 3.625 12/01/2024 5,170,000 5,142,169
Government National Mortgage Association I, 4.0%, 10/15/41 4.0 10/15/2041 40,767 8,854
Bank of America Corp., 4.2%, 8/26/24 4.2 08/26/2024 1,150,000 1,164,002
U.S. Treasury Floating Rate Note, 0.085000569%, 7/31/16 0.085 07/31/2016 11,325,000 11,329,284
Bed Bath & Beyond, Inc., 3.749%, 8/1/24 3.749 08/01/2024 2,000,000 2,026,254
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 2.2355 09/18/2031 3,360,000 3,356,207
Activision Blizzard, Inc., 6.125%, 9/15/23 (144A) 6.125 09/15/2023 650,000 708,848
Government National Mortgage Association II, 7.0%, 11/20/28 7.0 11/20/2028 10,000,000 105,153
Government National Mortgage Association I, 6.0%, 12/15/32 6.0 12/15/2032 1,500,000 193,164
New Residential Mortgage Loan Trust 2014-3, Floating Rate Note, 11/25/54 (144A) 3.75 11/25/2054 3,900,000 3,475,678
Federal Home Loan Mortgage Corp., 6.0%, 2/1/33 6.0 02/01/2033 550,000 7,855
Wells Fargo & Co., 7.5% (Perpetual) 7.5 12/31/2049 5,610 6,591,750
Liberty Mutual Insurance Co., 7.697% (Perpetual) (144A) 7.697   5,325,000 6,591,105
Westgate Resorts 2014-1 LLC, 2.15%, 12/20/26 (144A) 2.15 12/20/2026 3,500,000 2,711,238
Government National Mortgage Association I, 4.5%, 2/15/34 4.5 02/15/2034 181,146 52,265
Sequoia Mortgage Trust, Floating Rate Note, 9/25/42 3.0 09/25/2042 100,000 49,431
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1.7703 01/07/2019 500,000 498,462
City Center Trust 2011-CCHP, Floating Rate Note, 7/17/28 (144A) 4.65 07/17/2028 1,000,000 1,002,661
Federal Home Loan Mortgage Corp., 5.0%, 9/1/38 5.0 09/01/2038 7,240,000 563,448
Fannie Mae, 6.5%, 2/1/32 6.5 02/01/2032 1,000,100 5,769
United States Treasury Floating Rate Note, Floating Rate Note, 4/30/16 0.084 04/30/2016 11,325,000 11,328,800
Fannie Mae, 6.0%, 11/1/34 6.0 11/01/2034 271,485 19,221
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 9.2675 06/06/2017 250,000 258,952
Tyco Electronics Group SA, 6.55%, 10/1/17 6.55 10/01/2017 2,950,000 3,321,573
MASTR Adjustable Rate Mortgages Trust 2005-1, Floating Rate Note, 1/25/35 2.8623 01/25/2035 6,959,000 542,031
Government National Mortgage Association I, 6.0%, 10/15/33 6.0 10/15/2033 2,000,000 64,255
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 3.75 06/30/2019 417,005 371,265
BB&T Corp., 5.625% (Perpetual) 5.625 12/31/2049 85,000 2,051,050
JobsOhio Beverage System, 4.532%, 1/1/35 4.532 01/01/2035 1,035,000 1,099,501
Citigroup Mortgage Loan Trust, Inc., 5.5%, 9/25/34 5.5 09/25/2034 4,860,000 1,131,532
CoBank ACB, 7.875%, 4/16/18 (144A) 7.875 04/16/2018 1,190,000 1,393,085
RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32 6.0 01/25/2032 9,900,000 344,835
Banc of America Funding 2010-R4 Trust REMICS, Floating Rate Note, 8/26/36 (144A) 0.3114 08/26/2036 3,200,000 25,181
Federal Home Loan Mortgage Corp., 3.5%, 3/1/45 3.5 03/01/2045 5,000,000 5,106,638
CSMC Trust 2014-WIN1, Floating Rate Note, 9/25/44 (144A) 3.0 09/25/2044 11,130,000 6,638,087
Zero% 31aug16 0.0 08/31/2016 900,000 906,390
GATX Corp., 5.2%, 3/15/44 5.2 03/15/2044 2,260,000 2,320,098
Crown Castle 1st Lien Term-B2 L + 2.5% 31jan21 3.0 01/31/2021 1,492,424 1,486,268
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5 REMICS, Floating Rate Note, 7/15/31 (1 2.1982 07/15/2031 900,000 897,718
Federal Home Loan Mortgage Corp., 5.5%, 8/1/35 5.5 08/01/2035 5,000,000 289,112
Government National Mortgage Association I, 7.5%, 10/15/29 7.5 10/15/2029 514,502 6,874
University of California, 3.38%, 5/15/28 3.38 05/15/2028 2,600,000 2,556,525
Tufts University, 5.017%, 4/15/12 5.017   3,550,000 3,602,130
Federal Home Loan Mortgage Corp., 6.0%, 1/1/34 6.0 01/01/2034 500,000 48,931
Federal Home Loan Mortgage Corp., 6.5%, 3/1/31 6.5 03/01/2031 217,521 594
Government National Mortgage Association I, 4.0%, 9/15/41 4.0 09/15/2041 25,471 9,733
California Statewide Communities Development Authority, 6.0%, 8/15/42 6.0 08/15/2042 2,925,000 3,532,396
Fannie Mae, 4.0%, 12/1/44 4.0 12/01/2044 101,566 91,283
Fannie Mae, 4.0%, 6/1/42 4.0 06/01/2042 3,678,905 1,026,307
Federal Home Loan Mortgage Corp., 4.0%, 2/1/44 4.0 02/01/2044 700,000 638,340
Fannie Mae, 6.0%, 7/1/38 6.0 07/01/2038 974,925 80,429
Motiva Enterprises LLC, 6.85%, 1/15/40 (144A) 6.85 01/15/2040 3,800,000 4,453,084
Bayview Commercial Asset Trust 2007-2, 0.0%, 7/27/37 (Step) (144A) 0.0 07/27/2037 21,000,000 0
Boardwalk Pipelines LP, 4.95%, 12/15/24 4.95 12/15/2024 5,550,000 5,454,890
CRH America, Inc., 3.875%, 5/18/25 (144A) 3.875 05/18/2025 10,600,000 10,553,058
Federal Home Loan Mortgage Corp., 6.5%, 1/1/31 6.5 01/01/2031 66,916 197
Fannie Mae, 7.0%, 4/1/31 7.0 04/01/2031 2,160,818 12,795
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 7.43 01/09/2019 1,200,000 1,228,393
Frontier Communications Corp., 7.125%, 1/15/23 7.125 01/15/2023 4,300,000 3,957,523
Sequoia Mortgage Trust 2015-2, Floating Rate Note, 5/25/45 (144A) 3.5 05/25/2045 8,762,000 8,697,825
Virginia Commonwealth Transportation Board, 4.0%, 5/15/32 4.0 05/15/2032 2,210,000 2,311,751
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 4.568 01/15/2031 1,700,000 179,554
Embarcadero Reinsurance, Ltd., Floating Rate Note, 2/7/17 (Cat Bond) (144A) 5.0101 02/07/2017 2,650,000 2,671,231
GTP Acquisition Partners I LLC, 2.35%, 6/15/20 (144A) 2.35 06/15/2020 4,800,000 4,784,539
Government National Mortgage Association I, 6.0%, 5/15/17 6.0 05/15/2017 1,900,000 31,929
Government National Mortgage Association I, 6.0%, 5/15/33 6.0 05/15/2033 4,328,221 220,851
Holcim US Finance Sarl & Cie SCS, 6.0%, 12/30/19 (144A) 6.0 12/30/2019 475,000 550,815
Government National Mortgage Association I, 6.5%, 5/15/32 6.5 05/15/2032 1,000,000 14,114
Irwin Whole Loan Home Equity Trust 2005-C, Floating Rate Note, 3/25/25 1.237 03/25/2025 800,000 40,917
Springleaf Mortgage Loan Trust 2012-2, Floating Rate Note, 10/25/57 (144A) 2.22 10/25/2057 3,200,000 1,098,364
LSTAR Securities Investment Trust 2015-4, Floating Rate Note, 4/1/20 (144A) 2.1803 04/01/2020 5,651,000 5,461,799
The Kroger Co., 2.95%, 11/1/21 2.95 11/01/2021 7,472,000 7,460,946
QVC, Inc., 4.45%, 2/15/25 4.45 02/15/2025 7,300,000 7,166,812
Federal Home Loan Mortgage Corp., 3.5%, 8/1/43 3.5 08/01/2043 4,521,618 4,200,542
JP Morgan Mortgage Trust 2014-2, Floating Rate Note, 6/25/29 (144A) 3.0 06/25/2029 10,055,000 8,537,902
Irwin Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/25 0.407 06/25/2025 15,300,000 2,901,287
CeramTec GmbH, Dollar Term B-3 Loan, 8/30/20 4.25 08/30/2020 314,222 314,811
Valeant Pharmaceuticals International, Inc., Series C-2 Tranche B Term Loan, 12/11/19 3.04 12/11/2019 532,996 532,589
Alternative Loan Trust 2003-14T1, Floating Rate Note, 8/25/18 0.637 08/25/2018 11,900,000 399,152
Masco Corp., 7.125%, 3/15/20 7.125 03/15/2020 4,260,000 5,030,971
Revlon Consumer Products Corp., Acquisition Term Loan, 8/19/19 4.0 08/19/2019 977,058 978,737
Fannie Mae, 4.0%, 1/1/45 4.0 01/01/2045 512,424 531,276
Fannie Mae, 7.0%, 1/1/32 7.0 01/01/2032 1,701,763 28,948
Government National Mortgage Association I, 6.0%, 4/15/33 6.0 04/15/2033 2,000,000 54,139
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 8.1442 01/07/2016 250,000 255,165
Nortek Inc 1st Lien Tl-B L + 3% 31dec20 3.5 12/31/2020 1,375,946 1,370,212
Federal Home Loan Mortgage Corp., 5.0%, 10/1/38 5.0 10/01/2038 6,600,000 534,955
Federal Home Loan Mortgage Corp., 5.5%, 9/1/33 5.5 09/01/2033 5,200,000 381,153
Morgan Stanley Capital I Trust 2007-HQ13, 5.569%, 12/15/44 5.569 12/15/2044 1,000,000 1,065,783
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 2.25 08/20/2025 2,000,000 847,174
NRG Energy, Inc., Term Loan (2013), 7/1/18 2.75 07/01/2018 1,315,739 1,306,941
Alexandria Real Estate Equities, Inc., 2.75%, 1/15/20 2.75 01/15/2020 75,000 75,188
WASH Multifamily Laundry Systems LLC, U.S. Term Loan, 2/21/19 4.5 02/21/2019 0 0
Southern California Edison Co., Floating Rate Note (Perpetual) 6.25 12/31/2049 2,200,000 2,486,092
Wlkrg 2.79% 16jun31 15-Aa-A 2.79 06/16/2031 1,938,000 1,941,464
Enel S.p.A., Floating Rate Note, 9/24/73 (144A) 8.133 09/24/2073 2,320,000 2,716,897
COMM 2014-FL5 Mortgage Trust, Floating Rate Note, 10/17/31 (144A) 2.3355 10/17/2031 3,800,000 3,799,184
Fannie Mae, 4.5%, 7/1/41 4.5 07/01/2041 750,000 388,308
CBS Corp., 4.6%, 1/15/45 4.6 01/15/2045 2,250,000 2,057,617
Government National Mortgage Association I, 6.5%, 2/15/29 6.5 02/15/2029 260,526 1,748
Port Authority of New York & New Jersey, 4.458%, 10/1/62 4.458 10/01/2062 600,000 581,061
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A) 9.0 03/16/2016 250,000 253,088
JP Morgan Chase Commercial Mortgage Securities Corp., 2.84%, 12/17/47 2.84 12/17/2047 3,910,234 3,907,058
RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35 5.25 07/25/2035 1,745,152 811,572
Bxlt 3.6% 23jun22 144a 3.6 06/23/2022 11,025,000 11,027,007
Wells Fargo Bank NA, 6.0%, 11/15/17 6.0 11/15/2017 3,540,000 3,926,595
Ohio Higher Educational Facility Commission, 5.0%, 1/1/42 5.0 01/01/2042 1,765,000 1,963,068
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 2.4598 11/25/2034 6,054,578 519,240
Fannie Mae, 4.0%, 2/1/44 4.0 02/01/2044 14,000,000 11,586,118
Australia & New Zealand Banking Group, Ltd., 4.5%, 3/19/24 (144A) 4.5 03/19/2024 5,215,000 5,310,502
Nakilat, Inc., 6.267%, 12/31/33 (144A) 6.267 12/31/2033 2,450,000 2,582,719
Carlyle Holdings II Finance LLC, 5.625%, 3/30/43 (144A) 5.625 03/30/2043 5,930,000 6,245,107
Bear Stearns Commercial Mortgage Securities Trust 2006-TOP22, Floating Rate Note, 4/12/38 5.7657 04/12/2038 2,600,000 2,099,302
Opmac Flt% 25nov35 05-4-1a2 0.577 11/25/2035 35,386,800 5,998,983
Ally Financial, Inc., 4.625%, 3/30/25 4.625 03/30/2025 800,000 771,353
PFS Financing Corp., Floating Rate Note, 10/15/19 (144A) 1.0355 10/15/2019 1,000,000 997,289
The Goodyear Tire & Rubber Co., Loan (Second Lien), 4/30/19 3.75 04/30/2019 3,491,667 3,502,578
Government National Mortgage Association I, 5.5%, 8/15/19 5.5 08/15/2019 2,543,276 180,746
LeasePlan Corp NV, 2.5%, 5/16/18 (144A) 2.5 05/16/2018 1,475,000 1,481,778
Semt Flt% 25apr43 13-4-B1 3.5085 04/25/2043 4,691,000 4,473,132
Fannie Mae, 5.5%, 12/1/17 5.5 12/01/2017 12,031,696 155,097
Government National Mortgage Association I, 7.75%, 2/15/30 7.75 02/15/2030 500,000 2,464
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 2.5074 02/25/2034 20,103,000 1,604,561
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 0.3405 05/15/2047 1,100,000 398,897
JPMorgan Chase & Co., Floating Rate Note, 12/29/49 6.125 12/29/2049 1,890,000 1,917,364
TimberStar Trust I, 5.7467%, 10/15/36 (144A) 5.7467 10/15/2036 1,435,000 1,502,723
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.887 01/25/2035 20,675,000 2,163,938
Government National Mortgage Association II, 5.5%, 10/20/19 5.5 10/20/2019 4,728,248 410,189
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.5203 04/30/2018 350,000 339,421
Fannie Mae, 5.0%, 6/1/40 5.0 06/01/2040 3,850,000 1,255,765
Fannie Mae, 7.0%, 12/1/30 7.0 12/01/2030 499,950 837
Government National Mortgage Association I, 6.5%, 11/15/32 6.5 11/15/2032 3,929,947 87,161
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 3,750,000 502,674
Fannie Mae, 4.0%, 7/1/44 4.0 07/01/2044 800,000 683,702
Domino's Pizza Master Issuer LLC, 5.216%, 1/27/42 (144A) 5.216 01/27/2042 4,051,000 4,077,832
DBUBS 2011-LC3 Mortgage Trust, Floating Rate Note, 8/12/44 (144A) 5.4241 08/12/2044 1,900,000 2,167,814
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 3,044,810 140,574
Fannie Mae, 4.5%, 5/1/41 4.5 05/01/2041 18,000,000 5,789,253
Federal Home Loan Mortgage Corp., 4.0%, 12/1/44 4.0 12/01/2044 2,975,000 2,956,128
NRG Energy, Inc., 8.25%, 9/1/20 8.25 09/01/2020 2,000,000 2,150,000
ML-CFC Commercial Mortgage Trust 2006-1, Floating Rate Note, 2/12/39 5.6497 02/12/2039 2,500,000 2,281,769
PHH Mortgage Capital LLC, 6.0%, 12/25/27 (Step) (144A) 6.6 12/25/2027 4,250,000 117,741
East Lane Re VI, Ltd., Floating Rate Note, 3/13/20 (Cat Bond) (144A) 3.7551 03/13/2020 700,000 689,217
Government National Mortgage Association II, 5.5%, 4/20/34 5.5 04/20/2034 2,500,000 293,188
WF-RBS Commercial Mortgage Trust 2011-C2, Floating Rate Note, 2/15/44 (144A) 5.392 02/15/2044 350,000 383,373
Federal Home Loan Mortgage Corp., 6.5%, 11/1/30 6.5 11/01/2030 53,302 486
Catalent 1st Lien Tl-B L + 3.5% 08may21 4.25 05/08/2021 1,637,121 1,642,237
Fannie Mae, 4.0%, 4/1/42 4.0 04/01/2042 2,200,000 901,291
Nordea Bank AB, Floating Rate Note (Perpetual) (144A) 6.125 12/31/2049 5,600,000 5,614,619
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 1.687 06/25/2028 3,300,000 630,221
GS Mortgage Securities Corp II, 3.682%, 2/12/46 (144A) 3.682 02/12/2046 1,000,000 1,005,895
Fannie Mae, 6.0%, 10/1/34 6.0 10/01/2034 389,152 24,602
Government National Mortgage Association I, 4.5%, 9/15/35 4.5 09/15/2035 393,589 35,033
Axis Equipment Finance Receivables III LLC, 3.41%, 4/20/20 (144A) 3.41 04/20/2020 700,000 697,459
Fannie Mae, 4.0%, 4/1/41 4.0 04/01/2041 1,850,000 1,243,953
Healthcare Realty Trust, Inc., 3.875%, 5/1/25 3.875 05/01/2025 3,750,000 3,644,002
Standard Aero, Ltd., Replacement Tranche B-2 Loan, 11/2/18 5.0 11/02/2018 544,335 546,203
The Valspar Corp., 3.3%, 2/1/25 3.3 02/01/2025 3,025,000 2,955,627
Capital Automotive Real Estate Investment Trust, 3.66%, 10/17/44 (144A) 3.66 10/17/2044 3,000,000 2,994,140
Capital One Financial Corp., 3.75%, 4/24/24 3.75 04/24/2024 6,650,000 6,665,815
Fannie Mae, 5.5%, 3/1/36 5.5 03/01/2036 5,005,809 462,330
Federal Home Loan Mortgage Corp., 6.5%, 1/1/33 6.5 01/01/2033 39,165 457
Government National Mortgage Association I, 6.0%, 9/15/34 6.0 09/15/2034 1,374,301 241,350
NRP Mortgage Trust 2013-1, Floating Rate Note, 7/25/43 3.3185 07/25/2043 6,602,000 6,270,826
Garda World Security Corp., Term B Loan, 11/1/20 4.0 11/01/2020 792,577 791,256
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/30 5.0 12/15/2030 1,050,000 1,134,895
Federal Home Loan Mortgage Corp., 6.5%, 6/1/32 6.5 06/01/2032 39,022 294
Federal Home Loan Mortgage Corp., 6.0%, 12/1/36 6.0 12/01/2036 860,000 59,435
WideOpenWest Finance LLC, Replacement Term B Loan, 4/1/19 4.5 04/01/2019 147,202 147,276
Federal Home Loan Mortgage Corp., 6.5%, 2/1/33 6.5 02/01/2033 62,297 4,184
Fannie Mae, 4.5%, 10/1/35 4.5 10/01/2035 3,754,911 312,586
Federal Home Loan Mortgage Corp., 5.0%, 10/1/20 5.0 10/01/2020 9,000,000 1,073,902
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 1.486 03/16/2026 1,895,000 1,894,430
American International Group, Inc., 3.875%, 1/15/35 3.875 01/15/2035 5,985,000 5,512,790
Government National Mortgage Association I, 6.0%, 8/15/36 6.0 08/15/2036 4,350,000 435,836
Wells Fargo Alternative Loan 2005-2 Trust, Floating Rate Note, 10/25/35 1.007 10/25/2035 1,233,457 1,228,702
CHS, Incremental 2018 Term F Loans, 12/31/18 3.5335 12/31/2018 592,659 592,870
Government National Mortgage Association I, 7.0%, 4/15/28 7.0 04/15/2028 266,017 2,765
Government National Mortgage Association I, 5.5%, 7/15/35 5.5 07/15/2035 5,500,000 790,449
Sector Re V, Ltd., 3/1/20 (Cat Bond) (144A) 0.0 03/01/2020 3,000,000 3,016,800
Discovery Communications LLC, 3.45%, 3/15/25 3.45 03/15/2025 1,850,000 1,757,034
Exc 2.85% 15jun20 2.85 06/15/2020 4,250,000 4,281,392
CSMC Trust 2013-IVR4, Floating Rate Note, 7/27/43 (144A) 3.0 07/27/2043 3,790,000 3,212,786
Government National Mortgage Association I, 6.0%, 6/15/33 6.0 06/15/2033 368,522 16,386
Government National Mortgage Association II, 4.5%, 1/20/35 4.5 01/20/2035 2,500,000 413,103
Government National Mortgage Association I, 6.5%, 2/15/34 6.5 02/15/2034 733,600 56,545
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 3,654,000 3,686,521
Federal Home Loan Mortgage Corp., 7.0%, 8/1/22 7.0 08/01/2022 687,553 90,053
CDGJ Commercial Mortgage Trust 2014-BXCH, Floating Rate Note, 12/15/27 (144A) 2.6855 12/15/2027 3,990,000 4,004,243
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5, 4.1712%, 8/17/46 4.1712 08/17/2046 1,350,000 1,469,475
Restaurant Brands 1st Lien Tl-B L + 2.75% 12dec21 3.75 12/12/2021 364,309 364,537
Resolute Forest Products, Inc., 5.875%, 5/15/23 5.875 05/15/2023 3,930,000 3,605,802
SunTrust Banks, Inc., 3.5%, 1/20/17 3.5 01/20/2017 1,025,000 1,071,584
Fannie Mae, 4.5%, 10/1/35 4.5 10/01/2035 3,754,694 313,263
Fannie Mae, 4.0%, 2/1/45 4.0 02/01/2045 428,722 420,820
DIRECTV Holdings LLC, 3.8%, 3/15/22 3.8 03/15/2022 6,200,000 6,305,034
LSTAR Securities Investment Trust 2015-1, Floating Rate Note, 1/1/20 (144A) 2.1803 01/01/2020 4,970,000 4,777,691
US Airways 2013-1 Class A Pass Through Trust, 3.95%, 5/15/27 3.95 05/15/2027 1,500,000 1,419,702
JP Morgan Chase Commercial Mortgage Securities Trust 2015-COSMO, Floating Rate Note, 1/15/32 (144A) 2.436 01/15/2032 4,600,000 4,591,271
Export-Import Bank of Korea, 2.25%, 1/21/20 2.25 01/21/2020 7,475,000 7,477,399
Government National Mortgage Association I, 6.5%, 8/15/32 6.5 08/15/2032 129,066 4,621
Fannie Mae, 4.0%, 8/13/15 4.0 08/13/2015 14,825,000 15,691,818
Affiliated Managers Group, Inc., 4.25%, 2/15/24 4.25 02/15/2024 2,525,000 2,642,326
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 4.0 07/09/2018 2,700,000 2,710,275
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 6/25/34 2.7772 06/25/2034 4,049,418 519,219
USI, Inc. New York, Initial Term Loan 2013, 12/30/19 4.25 12/30/2019 6,177,456 6,189,039
Government National Mortgage Association I, 6.5%, 1/15/32 6.5 01/15/2032 7,587,058 129,081
DigitalGlobe, Inc., 5.25%, 2/1/21 (144A) 5.25 02/01/2021 2,600,000 2,601,625
Prudential Financial, Inc., Floating Rate Note, 6/15/43 5.625 06/15/2043 1,500,000 1,558,500
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 0.887 03/25/2035 5,700,000 900,629
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 3.5375 05/05/2017 1,200,000 1,179,657
Gci Holdings Inc 1st Lien Tl-B L + 3.75% 22dec21 4.75 12/22/2021 1,215,000 1,222,594
Chemtura Corp., New Term Loan, 8/29/16 3.5 08/29/2016 154,286 154,543
Government National Mortgage Association I, 5.5%, 6/15/35 5.5 06/15/2035 900,000 179,701
Fannie Mae, 3.0%, 9/1/42 3.0 09/01/2042 7,819,203 6,784,171
CHS, Incremental 2019 Term G Loan, 12/31/19 3.0318 12/31/2019 1,119,878 1,121,278
Bank of America Corp., Floating Rate Note (Perpetual) 6.1 12/31/2049 3,950,000 3,970,233
DCP Midstream Operating LP, 5.6%, 4/1/44 5.6 04/01/2044 2,125,000 1,925,029
Fannie Mae, 5.0%, 7/1/40 5.0 07/01/2040 5,000,000 1,603,017
FREMF Mortgage Trust 2010-K8, Floating Rate Note, 9/25/43 (144A) 5.4054 09/25/2043 600,000 669,573
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 4,256,655 188,545
First Investors Auto Owner Trust 2015-1, 3.59%, 1/18/22 (144A) 3.59 01/18/2022 510,000 507,466
Charter Communications Operating LLC, Term F Loan, 12/31/20 3.0 12/31/2020 1,690,500 1,672,011
Velocity Commercial Capital Loan Trust 2014-1, Floating Rate Note, 9/25/44 (144A) 2.187 09/25/2044 3,000,000 2,280,619
Fannie Mae, 6.5%, 8/1/31 6.5 08/01/2031 1,500,000 10,749
Federal Home Loan Mortgage Corp., 6.0%, 2/1/33 6.0 02/01/2033 4,851,146 90,772
Government National Mortgage Association I, 6.0%, 3/15/17 6.0 03/15/2017 2,080,702 28,775
Fannie Mae, 6.0%, 9/1/34 6.0 09/01/2034 352,132 16,539
Canadian Natural Resources, Ltd., 6.5%, 2/15/37 6.5 02/15/2037 2,230,000 2,587,983
Lorillard Tobacco Co., 3.75%, 5/20/23 3.75 05/20/2023 1,050,000 1,025,009
Constellation Brands, Inc., 3.75%, 5/1/21 3.75 05/01/2021 630,000 621,338
Unison Ground Lease Funding LLC, 2.981%, 3/16/43 (144A) 2.981 03/16/2043 1,500,000 1,490,956
Essex Portfolio LP, 3.5%, 4/1/25 3.5 04/01/2025 9,125,000 8,929,571
Leaf Receivables Funding 8 LLC, 1.92%, 9/15/20 (144A) 1.92 09/15/2020 2,203,000 2,210,035
AT&T, Inc., 4.75%, 5/15/46 4.75 05/15/2046 2,250,000 2,064,363
Federal Home Loan Mortgage Corp., 6.0%, 3/1/33 6.0 03/01/2033 2,255,430 44,689
Federal Home Loan Mortgage Corp., 4.5%, 3/1/20 4.5 03/01/2020 4,000,000 206,928
Federal Home Loan Mortgage Corp., 4.0%, 4/1/45 4.0 04/01/2045 2,507,831 2,648,295
Fannie Mae, 8.0%, 3/1/31 8.0 03/01/2031 1,495,060 9,860
Fannie Mae, 4.5%, 7/1/41 4.5 07/01/2041 5,000,000 2,551,609
Government National Mortgage Association I, 6.0%, 11/15/31 6.0 11/15/2031 1,614,291 50,033
Government National Mortgage Association I, 7.0%, 10/15/31 7.0 10/15/2031 2,044,706 7,612
Federal Home Loan Mortgage Corp., 6.0%, 8/1/34 6.0 08/01/2034 3,000,000 194,791
Federal Home Loan Mortgage Corp., 5.5%, 12/1/18 5.5 12/01/2018 2,500,000 236,207
Government National Mortgage Association I, 7.0%, 11/15/28 7.0 11/15/2028 4,530,958 75,096
Federal Home Loan Mortgage Corp., 4.0%, 7/1/42 4.0 07/01/2042 255,000 209,323
BXG Receivables Note Trust 2015-A, 2.88%, 5/2/30 (144A) 2.88 05/02/2030 3,000,000 2,775,031
La Hipotecaria Panamanian Mortgage Trust 2014-1, Floating Rate Note, 11/24/42 (144A) 3.258 11/24/2042 4,250,000 4,101,007
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 216,972 164,765
Government National Mortgage Association I, 7.0%, 12/15/30 7.0 12/15/2030 599,940 13,032
Federal Home Loan Mortgage Corp., 6.0%, 4/1/33 6.0 04/01/2033 379,183 16,289
Plains All American Pipeline LP, 4.9%, 2/15/45 4.9 02/15/2045 5,300,000 5,142,677
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 2.25 06/25/2043 928,000 703,219
Federal Home Loan Mortgage Corp., 5.0%, 6/1/35 5.0 06/01/2035 4,244,107 464,016
Fannie Mae, 4.0%, 9/1/44 4.0 09/01/2044 840,150 741,648
Fannie Mae, 8.0%, 10/1/30 8.0 10/01/2030 155,531 706
TI Group Automotive Systems LLC, Term Loan Facility, 7/1/21 4.25 07/01/2021 821,968 820,940
Federal Home Loan Mortgage Corp., 6.5%, 11/1/33 6.5 11/01/2033 1,109,301 57,336
Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A) 3.721 11/16/2044 2,250,000 1,705,295
Government National Mortgage Association I, 5.5%, 11/15/19 5.5 11/15/2019 2,683,028 312,634
The Allstate Corp., Floating Rate Note, 1/15/53 5.1 01/15/2053 147,475 3,697,198
Icon Brand Holdings LLC, 4.229%, 1/26/43 (144A) 4.229 01/26/2043 1,801,000 1,528,625
Fannie Mae, 5.5%, 7/1/33 5.5 07/01/2033 3,800,000 156,351
Government National Mortgage Association I, 6.5%, 9/15/34 6.5 09/15/2034 121,399 4,826
Credit Agricole SA, Floating Rate Note (Perpetual) (144A) 6.625 12/31/2049 5,075,000 4,960,672
Fannie Mae, 4.5%, 8/1/40 4.5 08/01/2040 3,540,000 991,096
Federal Mogul 1st Lien Tl-C L + 3.75% 15apr21 4.75 04/15/2021 1,422,330 1,408,462
Wells Fargo Commercial Mortgage Trust 2014-LC16 REMICS, 3.477%, 8/17/50 3.477 08/17/2050 4,500,000 4,694,803
Morgan Stanley, 4.875%, 11/1/22 4.875 11/01/2022 300,000 321,550
Fannie Mae, 4.0%, 8/1/44 4.0 08/01/2044 3,657,533 2,620,880
Structured Asset Securities Corp Mortgage Loan Trust 2006-GEL4, Floating Rate Note, 10/25/36 (144A) 0.407 10/25/2036 5,952,000 1,542,422
GSR Mortgage Loan Trust 2005-AR1, Floating Rate Note, 1/25/35 2.6373 01/25/2035 5,115,000 936,220
ERAC USA Finance LLC, 4.5%, 2/15/45 (144A) 4.5 02/15/2045 4,600,000 4,303,976
Government National Mortgage Association I, 6.5%, 10/15/32 6.5 10/15/2032 6,591,983 125,772
JP Morgan Mortgage Trust 2004-S1, 5.0%, 9/25/34 5.0 09/25/2034 17,960,288 789,415
Government National Mortgage Association I, 6.0%, 2/15/33 6.0 02/15/2033 1,254,640 51,485
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 5.2551 03/07/2016 1,250,000 1,242,771
Government National Mortgage Association I, 7.0%, 5/15/32 7.0 05/15/2032 5,500,000 112,870
Government National Mortgage Association I, 4.5%, 10/15/33 4.5 10/15/2033 2,103,237 408,812
Government National Mortgage Association I, 4.0%, 8/15/43 4.0 08/15/2043 4,891,389 3,435,932
Government National Mortgage Association I, 4.0%, 8/15/40 4.0 08/15/2040 38,807 15,541
FCA US LLC, Term Loan B, 5/24/17 3.5 05/24/2017 3,758,400 3,758,723
Government National Mortgage Association I, 6.5%, 10/15/33 6.5 10/15/2033 32,450 2,460
Dynegy, Inc., Tranche B-2 Term Loan, 4/23/20 4.0 04/23/2020 1,018,588 1,021,665
Federal Home Loan Mortgage Corp., 4.0%, 5/1/44 4.0 05/01/2044 12,595,000 10,042,573
Federal Home Loan Mortgage Corp., Floating Rate Note, 9/26/44 (144A) 4.3034 09/26/2044 1,250,000 1,302,541
Agrium, Inc., 4.125%, 3/15/35 4.125 03/15/2035 2,800,000 2,541,869
JP Morgan Mortgage Trust 2004-S1, 6.0%, 9/25/34 6.0 09/25/2034 9,800,000 1,755,657
Time Warner, Inc., 4.7%, 1/15/21 4.7 01/15/2021 8,300,000 9,148,951
Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40 5.361 02/15/2040 3,500,000 2,477,741
Fannie Mae, 5.0%, 2/1/22 5.0 02/01/2022 450,000 20,527
Astoria Financial Corp., 5.0%, 6/19/17 5.0 06/19/2017 2,300,000 2,418,320
U.S. Treasury Bonds, 4.5%, 2/15/36 4.5 02/15/2036 30,000,000 38,227,502
Teachers Insurance & Annuity Association of America, 6.85%, 12/16/39 (144A) 6.85 12/16/2039 3,205,000 4,022,298
Government National Mortgage Association I, 6.5%, 10/15/31 6.5 10/15/2031 9,167,721 148,029
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A) 2.1 05/19/2031 1,800,000 1,784,919
Citigroup Capital XIII, Floating Rate Note, 10/30/40 7.875 10/30/2040 87,990 2,284,220
Becton Dickinson and Co., 3.734%, 12/15/24 3.734 12/15/2024 10,525,000 10,507,061
Fannie Mae, 4.5%, 11/1/43 4.5 11/01/2043 800,000 792,418
CeramTec Service GmbH, Initial Dollar Term B-1 Loan, 8/30/20 4.25 08/30/2020 1,043,696 1,045,653
Lnstr Flt% 20apr48 15-3-As   04/20/2048 3,690,000 3,576,826
Frisco Independent School District, 4.0%, 8/15/45 4.0 08/15/2045 1,700,000 1,715,370
Cummins, Inc., 6.75%, 2/15/27 6.75 02/15/2027 910,000 1,141,658
Government National Mortgage Association I, 4.0%, 9/15/41 4.0 09/15/2041 2,091,451 937,436
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 0.3555 04/16/2035 5,102,315 1,911,432
CS Intermediate Holdco 2 LLC, Term Loan, 3/28/21 4.0 03/28/2021 1,736,842 1,736,481
Government National Mortgage Association I, 4.5%, 1/15/40 4.5 01/15/2040 1,235,000 672,223
Novelis Inc 1st Lien Tl-B L + 3.25% 28may22 4.0 05/28/2022 700,000 697,375
U.S. Treasury Bonds, 4.375%, 5/15/41 4.375 05/15/2041 1,150,000 1,427,754
JG Wentworth XXII LLC, 3.82%, 12/15/48 (144A) 3.82 12/15/2048 1,100,000 695,843
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 10.0051 06/06/2016 275,000 285,722
International Paper Co., 6.0%, 11/15/41 6.0 11/15/2041 2,400,000 2,605,905
Electricite de France SA, 6.0%, 1/22/14 (144A) 6.0   4,250,000 4,637,893
Fannie Mae, 6.0%, 3/1/32 6.0 03/01/2032 450,000 9,945
NextGear Floorplan Master Owner Trust, 2.61%, 10/15/19 (144A) 2.61 10/15/2019 1,000,000 1,005,757
Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A) 2.38 03/20/2029 4,692,000 1,027,343
TD Ameritrade Holding Corp., 3.625%, 4/1/25 3.625 04/01/2025 6,025,000 6,173,272
Seagate HDD Cayman, 4.875%, 6/1/27 (144A) 4.875 06/01/2027 3,700,000 3,620,193
San Diego Gas & Electric Co., 1.914%, 2/1/22 1.914 02/01/2022 3,150,000 3,181,346
CSMC Trust 2013-IVR4, Floating Rate Note, 7/27/43 (144A) 3.0 07/27/2043 2,860,000 2,391,566
Kane Ilw Zero% 02feb16 0.0 02/02/2016 1,000,000 956,500
Agate Bay Mortgage Trust 2015-2, Floating Rate Note, 3/25/45 (144A) 3.5 03/25/2045 6,830,000 6,574,702
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 8/25/24 1.537 08/25/2024 3,570,000 1,330,584
Nrzt Flt% 25apr52 15-1a-A2 3.75 04/25/2052 11,695,000 11,883,451
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5.372 09/10/2045 3,660,000 3,510,543
Blackstone Holdings Finance Co LLC, 5.0%, 6/15/44 (144A) 5.0 06/15/2044 1,725,000 1,733,141
Frisco Independent School District, 4.0%, 8/15/40 4.0 08/15/2040 2,700,000 2,735,184
Fannie Mae, 6.0%, 2/1/35 6.0 02/01/2035 180,000 17,137
Sequoia Mortgage Trust 2003-2, Floating Rate Note, 6/20/33 0.8468 06/20/2033 53,935,000 2,752,178
Pride International, Inc., 6.875%, 8/15/20 6.875 08/15/2020 1,025,000 1,198,883
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7, Floating Rate Note, 2/11/41 5.214 02/11/2041 1,000,000 1,004,081
JobsOhio Beverage System, 3.985%, 1/1/29 3.985 01/01/2029 4,075,000 4,294,989
Sequoia Mortgage Trust 2013-1, Floating Rate Note, 2/25/43 1.45 02/25/2043 6,221,000 3,071,526
Invitation Homes 2014-SFR3 Trust, Floating Rate Note, 12/17/31 (144A) 1.385 12/17/2031 1,700,000 1,685,152
Prudential Financial, Inc., Floating Rate Note, 6/15/68 8.875 06/15/2068 2,140,000 2,512,241
Government National Mortgage Association I, 6.5%, 3/15/31 6.5 03/15/2031 1,000,000 14,276
Selma Industrial Development Board, 5.8%, 5/1/34 5.8 05/01/2034 2,310,000 2,653,720
Delphi Financial Group, Inc., Floating Rate Note, 5/15/37 7.376 05/15/2037 153,800 3,854,613
Fannie Mae, 6.0%, 9/1/34 6.0 09/01/2034 6,273,165 154,885
HCA, Inc., Tranche B-4 Term Loan, 5/1/18 3.0318 05/01/2018 734,812 735,628
GS Mortgage Securities Trust 2006-GG8 REMICS, 5.56%, 11/10/39 5.56 11/10/2039 900,000 845,959
Government National Mortgage Association I, 5.0%, 4/15/35 5.0 04/15/2035 2,500,000 609,576
Panoche Energy Center LLC, 6.885%, 7/31/29 (144A) 6.885 07/31/2029 2,610,000 2,589,287
Federal Home Loan Mortgage Corp., 5.5%, 6/1/41 5.5 06/01/2041 2,145,000 2,299,624
Fannie Mae, 6.0%, 2/1/32 6.0 02/01/2032 2,379,023 36,214
Senior Housing Properties Trust, 6.75%, 4/15/20 6.75 04/15/2020 2,485,000 2,831,437
Cinedigm Digital Funding I LLC, Term Loan, 2/28/18 3.75 02/28/2018 318,163 318,561
Carrington Mortgage Loan Trust Series 2005-NC4, Floating Rate Note, 9/25/35 0.587 09/25/2035 725,000 59,671
OMNOVA Solutions, Inc., Term B-1 Loan, 5/31/18 4.25 05/31/2018 477,500 477,948
Government National Mortgage Association I, 5.5%, 2/15/18 5.5 02/15/2018 4,000,000 145,254
VFC 2015-3 LLC, 2.75%, 12/20/31 (144A) 2.75 12/20/2031 2,000,000 1,770,298
Immucor, Inc., Term B-2 Loan, 8/19/18 5.0 08/19/2018 2,123,082 2,133,698
Capella Healthcare Inc 1st Lien Tl-B L + 4.25% 31dec21 5.25 12/31/2021 339,150 339,998
Fannie Mae, 3.5%, 4/1/45 3.5 04/01/2045 10,310,000 10,600,453
Fannie Mae, 6.5%, 10/1/32 6.5 10/01/2032 2,811,012 86,986
Air Canada 2013-1 Class A Pass Through Trust, 4.125%, 11/15/26 (144A) 4.125 11/15/2026 5,000,000 4,771,213
Delphi Financial Group, Inc., 7.875%, 1/31/20 7.875 01/31/2020 1,850,000 2,253,530
Fannie Mae, 6.5%, 9/1/31 6.5 09/01/2031 2,000,200 9,867
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 2.4925 10/25/2033 11,067,000 422,764
President and Fellows of Harvard College, 2.3%, 10/1/23 2.3 10/01/2023 2,600,000 2,458,113
Federal Home Loan Mortgage Corp., 3.5%, 12/1/44 3.5 12/01/2044 10,570,000 10,326,784
Government National Mortgage Association I, 5.5%, 12/15/18 5.5 12/15/2018 406,708 32,368
Crown Castle Towers LLC, 4.883%, 8/15/20 (144A) 4.883 08/15/2020 3,015,000 3,278,883
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 0.967 11/25/2034 26,682,000 3,119,345
Compass Re II, Ltd., Floating Rate Note, 12/8/15 (Cat Bond) (144A) 0.0 12/08/2015 1,100,000 1,047,640
New York City Transitional Finance Authority Future Tax Secured Revenue, 5.0%, 11/1/33 5.0 11/01/2033 2,400,000 2,752,592
Government National Mortgage Association I, 5.5%, 2/15/18 5.5 02/15/2018 4,000,000 105,609
Government National Mortgage Association I, 7.5%, 12/15/31 7.5 12/15/2031 7,728,804 50,030
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 4.5051 12/06/2016 2,800,000 2,835,490
First Tennessee Bank NA, 2.95%, 12/1/19 2.95 12/01/2019 5,425,000 5,435,640
Waste Management, Inc., 3.125%, 3/1/25 3.125 03/01/2025 1,700,000 1,667,713
HLSS Servicer Advance Receivables Trust, 3.96%, 10/15/45 (144A) 3.96 10/15/2045 224,000 224,193
MASTR Alternative Loan Trust 2004-6, 6.0%, 7/25/34 6.0 07/25/2034 12,000,000 2,258,096
Bayview Commercial Asset Trust 2008-1, Floating Rate Note, 1/25/38 (144A) 1.187 01/25/2038 12,910,000 1,307,095
DaVita HealthCare Partners, Inc., Tranche B Term Loan, 6/19/21 3.5 06/19/2021 251,141 251,534
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 2.75 01/23/2021 663,448 663,626
Fannie Mae, 7.0%, 9/1/31 7.0 09/01/2031 2,000,000 19,495
GS Mortgage Securities Trust 2012-GCJ7, 3.377%, 5/12/45 3.377 05/12/2045 1,250,000 1,299,426
Dollar Tree Inc 1st Lien Tl-B1 L + 2.75% 09mar22 3.5 03/09/2022 666,667 667,778
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 1,082,000 1,113,131
Rowan Companies, Inc., 4.75%, 1/15/24 4.75 01/15/2024 6,185,000 6,045,954
Fannie Mae, 4.0%, 12/1/44 4.0 12/01/2044 100,000 100,908
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 812,515 670,280
NOVA Chemicals Corp., 5.0%, 5/1/25 (144A) 5.0 05/01/2025 40,000 40,483
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 0.787 06/25/2034 34,555,000 2,535,566
COMM 2015-CCRE23 Mortgage Trust, 3.807%, 5/12/48 (144A) 3.807 05/12/2048 1,750,000 1,784,982
Grupo Bimbo SAB de CV, 3.875%, 6/27/24 (144A) 3.875 06/27/2024 4,200,000 4,187,822
Huntsman International LLC, Extended Term B Loan, 4/19/17 2.7307 04/19/2017 252,086 252,242
National Financial Partners 1st Lien Tl-B L + 3.5% 01jul20 4.5 07/01/2020 1,161,227 1,162,679
JP Morgan Mortgage Trust 2013-1, Floating Rate Note, 3/25/43 (144A) 2.5 03/25/2043 8,922,000 5,398,946
Asciano Finance, Ltd., 4.625%, 9/23/20 (144A) 4.625 09/23/2020 529,000 567,745
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 5.7551 12/06/2016 1,650,000 1,683,781
Csco 3% 15jun22 3.0 06/15/2022 3,800,000 3,822,407
Empresa Electrica Angamos SA, 4.875%, 5/25/29 (144A) 4.875 05/25/2029 2,825,000 2,792,018
Fannie Mae, 5.5%, 9/1/19 5.5 09/01/2019 7,000,000 272,486
Government National Mortgage Association I, 5.5%, 10/15/35 5.5 10/15/2035 1,001,204 144,268
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA Netherlands, 3.95%, 11/9/22 3.95 11/09/2022 6,425,000 6,460,797
JPMorgan Chase & Co., Floating Rate Note, 8/29/49 6.75 08/29/2049 6,215,000 6,815,089
Carefree Portfolio Trust 2014-CARE, Floating Rate Note, 11/15/29 (144A) 2.036 11/15/2029 2,460,000 2,472,398
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 8.9051 06/06/2017 1,000,000 990,386
Federal Home Loan Mortgage Corp., 6.0%, 3/1/33 6.0 03/01/2033 5,524,534 263,185
Parish of St John the Baptist Louisiana, 5.125%, 6/1/37 5.125 06/01/2037 2,560,000 2,695,964
Government National Mortgage Association I, 4.0%, 3/15/44 4.0 03/15/2044 454,143 284,755
Government National Mortgage Association I, 7.5%, 2/15/31 7.5 02/15/2031 1,466,543 15,772
Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36 0.677 06/25/2036 1,949,000 865,208
Government National Mortgage Association I, 6.0%, 3/15/32 6.0 03/15/2032 80,300 2,964
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 3.25 12/19/2020 1,239,313 1,246,672
Duke Energy Progress, Inc., 4.15%, 12/1/44 4.15 12/01/2044 8,700,000 8,437,872
Bway Holding Co 1st Lien Tl-B L + 4.5% 08aug20 5.5 08/08/2020 198,000 199,268
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 3,594,840 261,039
Federal Home Loan Mortgage Corp., 6.0%, 4/1/35 6.0 04/01/2035 2,582,414 67,660
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (144A) 4.5101 06/28/2016 1,000,000 998,525
FREMF Mortgage Trust 2014-K503, Floating Rate Note, 10/25/47 (144A) 3.079 10/25/2047 2,401,000 2,544,300
Structured Asset Mortgage Investments Trust 2003-AR2, Floating Rate Note, 12/19/33 0.9275 12/19/2033 41,560,377 1,961,590
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/20 (Cat Bond) (144A) 6.8551 04/07/2020 1,850,000 1,887,935
Fannie Mae, 4.5%, 4/1/41 4.5 04/01/2041 6,978,836 3,088,584
TTX Co., 3.6%, 1/15/25 (144A) 3.6 01/15/2025 6,650,000 6,822,774
Standard Chartered Plc, 3.95%, 1/11/23 (144A) 3.95 01/11/2023 4,800,000 4,773,786
Glenn Pool Oil & Gas Trust, Term Loan, 5/2/16 4.5 05/02/2016 598,085 596,590
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 1.287 01/25/2035 2,340,000 2,280,890
Fannie Mae, 6.5%, 4/1/31 6.5 04/01/2031 500,000 3,403
Government National Mortgage Association I, 4.5%, 4/15/35 4.5 04/15/2035 1,999,800 287,462
Legg Mason, Inc., 5.625%, 1/15/44 5.625 01/15/2044 4,290,000 4,688,449
New Residential Mortgage Loan Trust 2014-2, Floating Rate Note, 5/26/54 (144A) 3.75 05/26/2054 4,978,000 4,159,735
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 2.662 12/25/2034 3,200,000 227,364
Ford Motor Credit Co LLC, 3.219%, 1/9/22 3.219 01/09/2022 6,425,000 6,451,764
Engility Holdings Inc 1st Lien Tl-B L + 5.5% 12may20 7.0 05/12/2020 641,293 649,042
Fannie Mae, 6.0%, 12/1/35 6.0 12/01/2035 8,000,000 596,537
Government National Mortgage Association I, 6.0%, 9/15/28 6.0 09/15/2028 12,973,600 311,939
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 1.537 06/25/2033 2,336,716 1,228,581
Trafigura Securitisation Finance Plc. 2014-1, Floating Rate Note, 4/16/18 (144A) 2.4355 04/16/2018 800,000 802,384
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 1.285 12/05/2031 1,100,000 190,771
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 3,475,000 152,565
Progress Residential 2014-SFR1 Trust, Floating Rate Note, 10/17/31 (144A) 2.436 10/17/2031 180,000 180,901
GATX Corp., 6.0%, 2/15/18 6.0 02/15/2018 5,660,000 6,313,722
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 2,018,867 2,030,374
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 6.4924 08/15/2030 2,800,000 163,105
Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43 2.1639 06/25/2043 24,278,000 734,791
Remy International, Inc., Term B Loan 2013, 3/5/20 4.25 03/05/2020 1,714,996 1,717,140
Siemens Financieringsmaatschappij NV, 4.4%, 5/27/45 (144A) 4.4 05/27/2045 5,000,000 4,960,393
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.887 01/25/2035 14,000,000 1,579,971
Fannie Mae, 4.0%, 1/1/42 4.0 01/01/2042 2,000,000 789,668
Viterra, Inc., 5.95%, 8/1/20 (144A) 5.95 08/01/2020 5,175,000 5,817,640
Sequoia Mortgage Trust 2013-3, Floating Rate Note, 3/25/43 3.5368 03/25/2043 7,915,000 7,604,213
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 2.4 11/17/2025 1,750,000 392,342
VOLT XXXIII LLC, 3.5%, 3/25/55 (Step) (144A) 3.5 03/25/2055 4,000,000 3,859,878
Clearwater Paper Corp., 4.5%, 2/1/23 4.5 02/01/2023 1,285,000 1,241,631
Fannie Mae, 6.0%, 3/1/33 6.0 03/01/2033 230,257 17,468
Freeport-McMoRan, Inc., 4.55%, 11/14/24 4.55 11/14/2024 1,650,000 1,547,225
Fannie Mae, 4.0%, 12/1/43 4.0 12/01/2043 7,600,000 7,010,288
Federal Home Loan Mortgage Corp., 5.0%, 11/1/34 5.0 11/01/2034 250,000 23,477
COMM 2013-LC6 Mortgage Trust, 2.941%, 1/12/46 2.941 01/12/2046 1,900,000 1,903,089
Government National Mortgage Association I, 5.5%, 4/15/19 5.5 04/15/2019 25,000 2,011
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 0.747 01/25/2030 46,068,000 1,711,376
Fannie Mae, 4.0%, 7/1/18 4.0 07/01/2018 675,000 28,672
Silverton RE, Ltd., 0.0%, 9/16/16 (Cat Bond) (144A) 0.0 09/16/2016 250,000 9,750
CIT Equipment Collateral 2014-VT1, 2.65%, 2/20/20 (144A) 2.65 02/20/2020 1,400,000 1,408,386
Sequoia Mortgage Trust 2013-4 REMICS, Floating Rate Note, 4/27/43 2.325 04/27/2043 9,500,000 7,412,352
AXIS Equipment Finance Receivables II LLC, 4.94%, 7/20/18 (144A) 4.94 07/20/2018 500,000 513,402
F 2.24% 15jun18 2.24 06/15/2018 4,975,000 4,983,006
BBVA Bancomer SA Texas, 4.375%, 4/10/24 (144A) 4.375 04/10/2024 2,400,000 2,452,425
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 2.7 08/15/2018 850,000 860,590
COMM 2012-CCRE2 Mortgage Trust, 3.147%, 8/15/45 3.147 08/15/2045 850,000 868,162
Fannie Mae, 4.0%, 12/1/44 4.0 12/01/2044 877,680 926,389
Africa Finance Corp., 4.375%, 4/29/20 (144A) 4.375 04/29/2020 4,550,000 4,629,783
CeramTec Acquisition Corp., Initial Dollar Term B-2 Loan, 8/30/20 4.25 08/30/2020 105,893 106,091
Government National Mortgage Association I, 4.5%, 4/15/35 4.5 04/15/2035 200,000 24,272
Federal Home Loan Mortgage Corp., 3.5%, 9/1/44 3.5 09/01/2044 875,160 867,765
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 4.2601 04/18/2017 250,000 245,089
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 5.23 12/17/2040 5,025,000 2,754,855
FPL Energy American Wind LLC, 6.639%, 6/20/23 (144A) 6.639 06/20/2023 2,520,000 590,491
Fannie Mae, 4.0%, 11/1/44 4.0 11/01/2044 4,035,000 3,936,439
Federal Home Loan Mortgage Corp., 4.0%, 11/1/41 4.0 11/01/2041 21,893,143 16,189,431
Fannie Mae, 5.0%, 1/1/20 5.0 01/01/2020 4,159,304 271,789
Massachusetts Institute of Technology, 5.6%, 7/1/11 5.6   1,100,000 1,351,847
VOLT XXX LLC, 3.625%, 10/25/57 (Step) 3.625 10/25/2057 2,150,000 2,065,686
Altrl Zero% 30jun17 0.0 06/30/2017 1,400,000 1,442,000
Government National Mortgage Association I, 6.5%, 6/15/35 6.5 06/15/2035 190,431 7,799
Federal Home Loan Mortgage Corp., 4.0%, 9/1/44 4.0 09/01/2044 5,790,000 5,293,306
MGM Resorts International, 6.0%, 3/15/23 6.0 03/15/2023 3,550,000 3,657,092
RALI Series 2004-QS3 Trust, 5.0%, 3/25/19 5.0 03/25/2019 13,042,000 910,820
Apf 2.61% 15apr20 15-A-A 2.61 04/15/2020 2,500,000 2,502,650
Federal Home Loan Mortgage Corp., 6.5%, 7/1/32 6.5 07/01/2032 1,000,000 18,329
Permanent University Fund, 5.0%, 7/1/30 5.0 07/01/2030 800,000 960,408
Fannie Mae, 5.0%, 5/1/23 5.0 05/01/2023 4,380,644 537,192
FPL Energy Wind Funding LLC, 6.876%, 6/27/17 (144A) 6.876 06/27/2017 1,050,000 65,675
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 4.0203 05/05/2017 1,250,000 1,233,514
UBS AG, 7.625%, 8/17/22 7.625 08/17/2022 4,400,000 5,281,676
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 0.937 05/25/2035 1,100,000 996,775
Fannie Mae, 4.0%, 1/1/45 4.0 01/01/2045 194,065 198,858
Seagate HDD Cayman, 5.75%, 12/1/34 (144A) 5.75 12/01/2034 4,350,000 4,303,945
Fannie Mae, 6.0%, 2/1/33 6.0 02/01/2033 2,200,000 20,380
AmeriCredit Automobile Receivables Trust 2013-1, 1.57%, 1/8/19 1.57 01/08/2019 800,000 802,008
Westgate Resorts 2015-1 LLC, 2.75%, 5/20/27 (144A) 2.75 05/20/2027 3,000,000 2,678,962
CHS, Incremental 2021 Term H Loan, 1/27/21 4.0 01/27/2021 2,060,545 2,065,839
Fannie Mae, 4.0%, 4/1/42 4.0 04/01/2042 1,100,000 683,241
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 3.5 08/17/2020 1,400,063 1,402,093
Government National Mortgage Association I, 6.5%, 5/15/31 6.5 05/15/2031 2,567,327 31,042
Fannie Mae, 4.0%, 2/1/43 4.0 02/01/2043 2,065,000 1,406,812
Federal Home Loan Mortgage Corp., 6.5%, 4/1/34 6.5 04/01/2034 299,956 4,403
CNOOC Nexen Finance 2014 ULC, 4.25%, 4/30/24 4.25 04/30/2024 5,275,000 5,425,071
Federal Home Loan Mortgage Corp., 6.0%, 1/1/34 6.0 01/01/2034 3,744,314 59,989
Chesapeake Funding LLC, Floating Rate Note, 2/7/27 (144A) 1.9341 02/07/2027 1,600,000 1,603,475
Nuance Communications, Inc., Term C Loan, 8/7/19 2.94 08/07/2019 368,859 366,323
La Hipotecaria Panamanian Mortgage Trust 2010-1, Floating Rate Note, 9/8/39 (144A) 2.5 09/08/2039 750,000 488,399
The University of Texas System, 5.0%, 8/15/43 5.0 08/15/2043 525,000 599,303