Pioneer Investments: Pioneer Bond Fund


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Pioneer Bond Fund

Monthly Portfolio Holdings as of 5/30/2014

Security Name Coupon Maturity Date Par / Shares Market Value($)
Bank of America Corp., 7.75%, 8/15/15 7.75 08/15/2015 1,100,000 1,212,419
Federal Home Loan Mortgage Corp., 6.5%, 6/1/32 6.5 06/01/2032 39,022 326
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5, 4.1712%, 8/15/46 4.1712 08/15/2046 1,350,000 1,471,500
Massachusetts Development Finance Agency, 5.25%, 4/1/37 5.25 04/01/2037 325,000 360,068
Government National Mortgage Association I, 5.5%, 9/15/33 5.5 09/15/2033 3,636,072 252,262
Nevada Power Co., 6.5%, 8/1/18 6.5 08/01/2018 910,000 1,102,834
Banc of America Mortgage 2004-L Trust, Floating Rate Note, 1/25/35 2.9472 01/25/2035 2,775,352 145,539
Alexandria Real Estate Equities, Inc., 3.9%, 6/15/23 3.9 06/15/2023 1,093,000 1,110,146
Highwoods Realty LP, 3.625%, 1/15/23 3.625 01/15/2023 2,100,000 2,108,426
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 2.0258 10/25/2033 11,509,396 1,468,553
Government National Mortgage Association I, 7.0%, 6/15/31 7.0 06/15/2031 3,800,000 55,439
Government National Mortgage Association I, 6.0%, 2/15/33 6.0 02/15/2033 1,254,640 62,968
CHS, 1/25/17 3.4774 07/25/2014 598,645 600,421
Sunoco Logistics Partners Operations LP, 6.1%, 2/15/42 6.1 02/15/2042 2,200,000 2,573,512
Government National Mortgage Association I, 5.5%, 2/15/37 5.5 02/15/2037 575,000 93,421
LB-UBS Commercial Mortgage Trust 2005-C2, Floating Rate Note, 4/15/30 5.205 04/15/2030 2,255,000 2,332,091
Gates Investments LLC, 9/29/16 3.75 09/29/2016 663,470 664,876
Fannie Mae, 4.0%, 4/1/39 4.0 04/01/2039 7,360,371 2,421,571
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/17/26 (144A) 2.0911 11/17/2026 4,000,000 3,720,764
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 0.45 09/25/2036 5,715,000 928,579
Verizon Communications, Inc., 6.55%, 9/15/43 6.55 09/15/2043 3,460,000 4,439,584
Fannie Mae, 5.5%, 5/1/36 5.5 05/01/2036 4,000,000 557,543
Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A) 1.55 11/15/2017 1,326,000 1,335,625
Glenn Pool Oil & Gas Trust, 5/2/16 4.5 06/01/2016 1,338,495 1,348,534
Federal Home Loan Mortgage Corp., 4.5%, 3/1/42 4.5 03/01/2042 4,169,408 4,237,803
RAMP Series 2006-NC1 Trust, Floating Rate Note, 1/25/36 0.34 01/25/2036 2,502,221 204,478
Fannie Mae, 5.5%, 9/1/19 5.5 09/01/2019 7,000,000 445,048
Fannie Mae, 7.5%, 8/1/20 7.5 08/01/2020 250,000 1,111
First Horizon Mortgage Pass-Through Trust 2004-AR5, Floating Rate Note, 10/25/34 5.2127 10/25/2034 3,800,000 273,762
Residential Asset Securitization Trust 2004-A10, 5.5%, 2/25/35 5.5 02/25/2035 9,400,000 317,456
Fannie Mae, 8.0%, 3/1/31 8.0 03/01/2031 1,495,060 11,616
BioMed Realty LP, 4.25%, 7/15/22 4.25 07/15/2022 900,000 946,269
Fannie Mae, 4.0%, 12/1/43 4.0 12/01/2043 7,600,000 7,880,288
Government National Mortgage Association II, 7.0%, 11/20/28 7.0 11/20/2028 10,000,000 124,691
Fannie Mae, 6.0%, 10/1/32 6.0 10/01/2032 4,502,006 110,311
Government National Mortgage Association II, 6.5%, 2/20/29 6.5 02/20/2029 210,000 3,761
Government National Mortgage Association I, 5.5%, 2/15/35 5.5 02/15/2035 2,043,628 119,445
FREMF Mortgage Trust 2011-K703, Floating Rate Note, 7/25/44 (144A) 4.8866 07/25/2044 1,250,000 1,367,031
Structured Asset Securities Corp Trust 2005-14, Floating Rate Note, 7/25/35 0.45 07/25/2035 6,935,000 905,162
Federal Home Loan Mortgage Corp., 6.0%, 11/1/33 6.0 11/01/2033 1,151,218 36,299
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 0.55 09/25/2035 4,700,000 2,158,714
Federal National Mortgage Association REMICS, 5.0%, 9/25/39 5.0 09/25/2039 704,000 160,808
Wells Fargo Alternative Loan 2005-2 Trust, Floating Rate Note, 10/25/35 0.56 10/25/2035 1,233,457 1,219,590
Government National Mortgage Association I, 6.0%, 3/15/17 6.0 03/15/2017 2,080,702 50,940
GTP Cellular Sites LLC, 3.721%, 3/15/17 (144A) 3.721 03/15/2017 800,000 828,513
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 0.6505 06/28/2044 400,000 385,109
Home Equity Asset Trust 2005-7, Floating Rate Note, 1/25/36 0.53 01/25/2036 750,000 422,113
FREMF Mortgage Trust 2010-K9 REMICS, Floating Rate Note, 9/25/45 (144A) 5.1924 09/25/2045 890,000 991,123
Morgan Stanley Capital I, Inc., Floating Rate Note, 10/15/20 (144A) 0.252 10/15/2020 2,000,000 647,554
Hologic, Inc., 8/1/19 3.25 08/01/2019 558,074 558,205
Government National Mortgage Association I, 5.0%, 4/15/34 5.0 04/15/2034 1,504,329 188,399
Hyundai Capital America, 1.45%, 2/6/17 (144A) 1.45 02/06/2017 2,245,000 2,265,575
Federal National Mortgage Association REMICS, 4.5%, 6/25/29 4.5 06/25/2029 1,000,000 993,822
Government National Mortgage Association I, 5.5%, 8/15/33 5.5 08/15/2033 299,970 33,276
Government National Mortgage Association I, 6.0%, 11/15/34 6.0 11/15/2034 3,188,149 244,776
Federal Home Loan Mortgage Corp., 7.0%, 11/1/30 7.0 11/01/2030 1,000,100 5,250
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 3,750,000 577,971
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/25/29 (144A) 1.35 08/25/2029 2,951,282 2,087,603
Goodman Funding Pty, Ltd., 6.0%, 3/22/22 (144A) 6.0 03/22/2022 1,050,000 1,204,747
Government National Mortgage Association I, 6.0%, 9/15/34 6.0 09/15/2034 1,315,000 143,928
JPMorgan Chase & Co., Floating Rate Note, 8/29/49 6.75 08/29/2049 4,015,000 4,433,313
The PNC Financial Services Group, Inc., Floating Rate Note, 12/31/49 (Perpetual) 6.75 07/29/2049 1,320,000 1,484,505
Santander Drive Auto Receivables Trust 2011-2, 2.66%, 1/15/16 2.66 01/15/2016 1,350,000 257,798
Fannie Mae, 7.0%, 12/1/31 7.0 12/01/2031 1,198,074 29,489
Health Care Real Estate Investment Trust, Inc., 4.5%, 1/15/24 4.5 01/15/2024 1,000,000 1,086,370
Ormat Funding Corp., 8.25%, 12/30/20 8.25 12/30/2020 555,000 313,195
Government National Mortgage Association I, 6.0%, 11/15/31 6.0 11/15/2031 1,614,291 62,100
GMACM Mortgage Loan Trust 2003-AR1, Floating Rate Note, 10/19/33 3.3617 10/19/2033 8,020,000 1,192,376
Fannie Mae, 5.5%, 12/1/17 5.5 12/01/2017 12,031,696 290,449
Nakilat, Inc., 6.267%, 12/31/33 (144A) 6.267 12/31/2033 2,450,000 2,546,331
Fannie Mae, 4.5%, 11/1/43 4.5 11/01/2043 290,000 315,367
BBVA Bancomer SA Texas, 6.5%, 3/10/21 (144A) 6.5 03/10/2021 3,815,000 4,313,599
Government National Mortgage Association I, 6.0%, 2/15/29 6.0 02/15/2029 2,700,000 179,692
SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A) 2.0 09/20/2029 1,200,000 726,217
Prudential Financial, Inc., 4.5%, 11/16/21 4.5 11/16/2021 1,090,000 1,203,733
Government National Mortgage Association I, 6.0%, 6/15/17 6.0 06/15/2017 519,853 9,278
Federal Home Loan Mortgage Corp., 6.0%, 9/1/33 6.0 09/01/2033 3,396,240 257,007
Fannie Mae, 3.5%, 12/1/26 3.5 12/01/2026 4,340,805 2,549,921
CF Industries, Inc., 5.15%, 3/15/34 5.15 03/15/2034 4,845,000 5,222,258
Government National Mortgage Association I, 6.5%, 2/15/29 6.5 02/15/2029 260,526 2,714
Icon Brands Holdings LLC, 4.229%, 1/25/43 (144A) 4.229 01/25/2043 1,391,000 1,286,206
Fannie Mae, 6.5%, 3/1/32 6.5 03/01/2032 3,500,000 94,728
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 7.4253 01/09/2017 1,200,000 1,240,187
Israel Electric Corp, Ltd., 9.375%, 1/28/20 (144A) 9.375 01/28/2020 610,000 780,355
Bosphorus 1 Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 2.5456 05/03/2016 350,000 350,994
Pilot Travel Centers LLC, 3/30/18 3.75 03/30/2018 1,431,555 1,436,906
Massachusetts Institute of Technology, 5.6%, 7/1/11 5.6   1,100,000 1,435,944
Government National Mortgage Association I, 6.0%, 3/15/17 6.0 03/15/2017 2,000,000 50,358
Microsemi 1st Lien Tl L + 2.5% 14mar21 3.25 03/14/2021 395,014 393,348
Government National Mortgage Association I, 6.5%, 4/15/35 6.5 04/15/2035 517,486 86,134
Loma Reinsurance, Ltd. Bermuda, Floating Rate Note, 1/8/18 (Cat Bond) (144A) 9.7804 01/08/2018 250,000 260,139
COMM 2012-CCRE4 Mortgage Trust, 2.436%, 10/15/45 2.436 10/15/2045 915,000 909,709
State of Washington, 3.0%, 7/1/28 3.0 07/01/2028 560,000 566,390
Government National Mortgage Association I, 6.5%, 8/15/32 6.5 08/15/2032 129,066 10,897
Goldcorp, Inc., 3.7%, 3/15/23 3.7 03/15/2023 1,650,000 1,632,794
Cummins, Inc., 6.75%, 2/15/27 6.75 02/15/2027 910,000 1,162,053
WR Grace & Co., 1/23/21 3.0 01/23/2021 671,846 669,914
Government National Mortgage Association I, 5.5%, 10/15/17 5.5 10/15/2017 2,400,000 61,914
Government National Mortgage Association I, 5.5%, 10/15/17 5.5 10/15/2017 5,636,984 258,500
JPMorgan Chase & Co., 6.0%, 1/15/18 6.0 01/15/2018 2,575,000 3,019,112
Bank of America Corp., 7.75%, 5/14/38 7.75 05/14/2038 4,350,000 5,992,224
Government National Mortgage Association REMICS, 2.1%, 2/16/48 2.1 02/16/2048 6,000,000 5,990,364
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 0.6005 04/28/2039 1,486,142 1,461,471
Mondelez International, Inc., 6.5%, 2/9/40 6.5 02/09/2040 2,581,000 3,333,953
Pride International, Inc., 6.875%, 8/15/20 6.875 08/15/2020 1,025,000 1,267,669
M&T Bank Corp., Floating Rate Note, 12/31/49 (Perpetual) 6.45 12/31/2049 3,960,000 4,265,745
Nissan Motor Acceptance Corp., 4.5%, 1/30/15 (144A) 4.5 01/30/2015 790,000 822,072
Fn 30 Yr Pool 4% #As2535 01may44 4.0 05/01/2044 3,800,000 4,045,090
Fannie Mae, 6.5%, 8/1/31 6.5 08/01/2031 1,500,000 10,923
Orcal Geothermal, Inc., 6.21%, 12/30/20 (144A) 6.21 12/30/2020 1,730,000 715,066
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 8.1034 01/07/2016 250,000 262,895
Fannie Mae, 3.5%, 12/1/42 3.5 12/01/2042 1,015,373 932,800
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 2.49 02/25/2034 11,243,500 1,015,305
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 0.7693 09/20/2033 27,000,000 1,413,304
AmeriCredit Automobile Receivables Trust 2011-3, 4.04%, 7/10/17 4.04 07/10/2017 500,000 520,042
Leaf Receivables Funding 8 LLC, 1.92%, 9/15/20 (144A) 1.92 09/15/2020 2,203,000 2,218,803
Government National Mortgage Association I, 6.0%, 10/15/34 6.0 10/15/2034 2,897,739 455,440
A10 Securitization 2013-1 LLC, 2.4%, 11/15/25 (144A) 2.4 11/15/2025 1,750,000 1,600,078
Federal Home Loan Mortgage Corp., 6.5%, 3/1/31 6.5 03/01/2031 527,335 9,673
SNAAC Auto Receivables Trust 2013-1, 1.14%, 7/16/18 (144A) 1.14 07/16/2018 2,100,000 745,006
Government National Mortgage Association I, 6.5%, 3/15/29 6.5 03/15/2029 1,120,633 13,430
Fg 30 Yr Pool 4% #G08588 01may44 4.0 05/01/2044 9,000,000 9,568,428
Corporate Office Properties LP, 3.6%, 5/15/23 3.6 05/15/2023 1,500,000 1,440,453
Wilton Re Finance LLC, Floating Rate Note, 3/30/33 (144A) 5.875 03/30/2033 1,400,000 1,473,208
Fn 30 Yr Pool 4.5% #Al3643 01jan42 4.5 01/01/2042 11,834,581 10,545,832
Prudential Financial, Inc., Floating Rate Note, 9/15/42 5.875 09/15/2042 1,800,000 1,943,825
Government National Mortgage Association I, 6.0%, 9/15/32 6.0 09/15/2032 1,406,079 115,023
Chesapeake Funding LLC, Floating Rate Note, 3/4/26 1.3515 03/04/2026 400,000 400,360
Massachusetts Health & Educational Facilities Authority, 6.0%, 7/1/36 6.0 07/01/2036 1,000,000 1,217,830
HLSS Servicer Advance Receivables Trust, 1.7436%, 1/16/46 (144A) 1.7436 01/16/2046 1,620,000 1,617,529
Southern California Edison Co., Floating Rate Note, 12/31/49 (Perpetual) 6.25 08/01/2049 2,200,000 2,416,333
FREMF Mortgage Trust 2011-K702, Floating Rate Note, 4/25/44 (144A) 4.7704 04/25/2044 1,750,000 1,905,396
Hercules Capital Funding Trust 2012-1, 3.32%, 12/16/17 (144A) 3.32 12/16/2017 650,000 242,645
AXA SA, 8.6%, 12/15/30 8.6 12/15/2030 2,335,000 3,221,793
Export-Import Bank of Korea, 5.875%, 1/14/15 5.875 01/14/2015 625,000 658,877
Government National Mortgage Association I, 6.5%, 9/15/34 6.5 09/15/2034 121,399 4,933
BM&FBovespa SA, 5.5%, 7/16/20 (144A) 5.5 07/16/2020 3,200,000 3,513,511
Citicorp Residential Mortgage Trust Series 2006-1, 5.939%, 7/25/36 (Step) 5.939 07/25/2036 2,791,000 2,071,202
Government National Mortgage Association I, 6.5%, 10/15/32 6.5 10/15/2032 6,591,983 129,990
Unison Ground Lease Funding LLC, 2.981%, 3/15/20 (144A) 2.981 03/15/2020 1,500,000 1,463,202
Embarcadero Reinsurance, Ltd., Floating Rate Note, 2/13/15 (Cat Bond) (144A) 7.4015 02/13/2015 250,000 254,803
Fannie Mae, 4.5%, 11/1/20 4.5 11/01/2020 6,500,000 606,985
Government National Mortgage Association I, 4.5%, 7/15/41 4.5 07/15/2041 1,442,000 957,452
Fifth Third Bancorp, Floating Rate Note, 12/31/49 (Perpetual) 6.625 12/31/2049 43,050 1,147,283
A10 Term Asset Financing 2013-2 LLC, 2.62%, 11/15/27 (144A) 2.62 11/15/2027 2,794,000 2,803,249
The Goldman Sachs Group, Inc., 5.5%, 11/15/14 5.5 11/15/2014 2,000,000 2,051,347
California Statewide Communities Development Authority, 6.0%, 8/15/42 6.0 08/15/2042 2,925,000 3,572,468
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 8.549 01/05/2017 500,000 534,843
RALI Series 2004-QS3 Trust, 5.0%, 3/25/19 5.0 03/25/2019 13,042,000 1,385,868
Fannie Mae, 6.5%, 2/1/33 6.5 02/01/2033 2,000,000 31,814
Valmont Industries, Inc., 6.625%, 4/20/20 6.625 04/20/2020 1,810,000 2,169,656
GS Mortgage Securities Trust 2012-GCJ7, 3.377%, 5/10/45 3.377 05/10/2045 1,250,000 1,292,890
Alta Wind Holdings LLC, 7.0%, 6/30/35 (144A) 7.0 06/30/2035 700,000 680,126
Government National Mortgage Association I, 6.0%, 8/15/32 6.0 08/15/2032 300,000 14,030
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 4.568 01/15/2031 1,700,000 216,789
Fannie Mae, 6.0%, 10/1/35 6.0 10/01/2035 7,125,770 200,719
Banc of America Mortgage 2003-I Trust, Floating Rate Note, 10/25/33 2.8195 10/25/2033 3,969,000 888,974
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 3.75 08/20/2025 2,025,000 1,392,244
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 3.4234 01/17/2019 500,000 514,105
Government National Mortgage Association II, 5.5%, 4/20/34 5.5 04/20/2034 2,500,000 364,316
FPL Energy Wind Funding LLC, 6.876%, 6/27/17 (144A) 6.876 06/27/2017 1,050,000 139,300
WaMu Mortgage Pass-Through Certificates Series 2004-AR14 Trust, Floating Rate Note, 1/25/35 2.3988 01/25/2035 15,238,744 3,409,697
General Electric Capital Corp., 5.3%, 2/11/21 5.3 02/11/2021 4,860,000 5,608,850
Sequoia Mortgage Trust 2005-2, Floating Rate Note, 3/20/35 0.3693 03/20/2035 12,300,000 1,251,757
CVS Pass-Through Trust, 5.298%, 1/11/27 (144A) 5.298 01/11/2027 1,200,000 753,210
Kiowa Power Partners LLC, 5.737%, 3/30/21 (144A) 5.737 03/30/2021 2,105,000 2,230,830
Fn 30 Yr Pool 3.5% #Aw4182 01feb44 3.5 02/01/2044 16,524,601 17,078,273
Fannie Mae, 4.5%, 12/1/41 4.5 12/01/2041 2,500,000 1,864,118
Government National Mortgage Association I, 7.5%, 10/15/29 7.5 10/15/2029 514,502 7,228
HSBC Holdings Plc, 4.25%, 3/14/24 4.25 03/14/2024 3,940,000 4,095,123
Government National Mortgage Association I, 7.0%, 3/15/31 7.0 03/15/2031 1,750,000 20,920
JobsOhio Beverage System, 4.532%, 1/1/35 4.532 01/01/2035 1,035,000 1,071,280
Aviation Capital Group Corp., 6.75%, 4/6/21 (144A) 6.75 04/06/2021 3,525,000 3,974,284
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A)   04/30/2018 350,000 350,595
Government National Mortgage Association II, 4.5%, 12/20/34 4.5 12/20/2034 1,007,144 203,079
JP Morgan Chase Commercial Mortgage Securities Corp., Floating Rate Note, 10/15/25 (144A) 2.5201 10/15/2025 2,800,000 2,809,167
Citicorp Mortgage Securities Trust Series 2006-1, 5.0%, 2/25/36 5.0 02/25/2036 2,840,000 486,823
The Williams Companies, Inc., 7.75%, 6/15/31 7.75 06/15/2031 2,475,000 3,029,467
Fannie Mae, 5.0%, 1/1/20 5.0 01/01/2020 4,159,304 459,678
WaMu Mortgage Pass-Through Certificates Series 2002-AR2 Trust, Floating Rate Note, 2/27/34 1.951 02/27/2034 1,023,565 153,032
Fannie Mae, 3.0%, 9/1/42 3.0 09/01/2042 7,819,203 7,160,026
COMM 2006-FL12 Mortgage Trust, Floating Rate Note, 12/15/20 (144A) 0.3211 12/15/2020 758,849 489,478
Colony American Homes 2014-1, Floating Rate Note, 5/17/31 2.0011 05/17/2031 1,800,000 1,795,128
Bayview Financial Mortgage Pass-Through Trust 2006-A, 5.865%, 2/28/41 (Step) 5.865 02/28/2041 1,462,628 1,521,465
Fannie Mae, 5.5%, 7/1/23 5.5 07/01/2023 1,010,000 80,095
New York City Transitional Finance Authority Future Tax Secured Revenue, 5.0%, 11/1/33 5.0 11/01/2033 2,400,000 2,752,504
North American Development Bank, 2.3%, 10/10/18 2.3 10/10/2018 643,000 644,542
Fannie Mae, 6.5%, 7/1/29 6.5 07/01/2029 500,000 10,970
US Bancorp, Floating Rate Note, 12/31/49 (Perpetual) 6.5   64,000 1,852,800
Platinum Underwriters Finance, Inc., 7.5%, 6/1/17 7.5 06/01/2017 5,048,000 5,847,628
VOLT XXIII LLC, 3.625%, 11/25/53 (Step) 3.625 11/25/2053 1,050,000 1,032,021
Government National Mortgage Association II, 6.5%, 4/20/29 6.5 04/20/2029 2,900,000 50,969
CHS, 1/27/21 4.25 01/27/2021 3,212,630 3,234,717
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 2.02 01/15/2019 1,200,000 1,204,791
Government National Mortgage Association I, 4.5%, 9/15/40 4.5 09/15/2040 900,000 629,710
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A) 9.05 03/16/2016 250,000 271,363
WaMu Mortgage Pass-Through Certificates Series 2005-AR3 Trust, Floating Rate Note, 3/25/35 2.4134 03/25/2035 8,713,500 2,126,218
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/34 5.0 06/15/2034 1,925,000 292,932
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 0.3211 04/15/2022 1,682,691 891,407
La Hipotecaria Panamanian Mortgage Trust 2010-1, Floating Rate Note, 9/8/39 (144A) 2.75 09/08/2039 750,000 559,980
Fannie Mae, 6.0%, 1/1/29 6.0 01/01/2029 60,204 1,342
Government National Mortgage Association I, 7.0%, 10/15/31 7.0 10/15/2031 2,044,706 7,917
Origen Manufactured Housing Contract Trust 2004-A, Floating Rate Note, 1/15/35 5.91 01/15/2035 1,400,000 656,166
RAMP Series 2005-RS5 Trust, Floating Rate Note, 5/25/35 0.59 05/25/2035 2,565,000 2,482,706
Federal Home Loan Mortgage Corp., 6.0%, 8/1/34 6.0 08/01/2034 3,000,000 227,613
Fannie Mae, 6.5%, 1/1/15 6.5 01/01/2015 145,737 202
Burger King Corp., 9/28/19 3.75 09/28/2019 482,650 485,196
Fannie Mae, 6.5%, 2/1/32 6.5 02/01/2032 1,000,100 8,899
Government National Mortgage Association I, 6.0%, 1/15/19 6.0 01/15/2019 548,488 38,387
Crown Castle Towers LLC, 4.883%, 8/15/20 (144A) 4.883 08/15/2020 3,015,000 3,358,979
Banc of America Alternative Loan Trust 2004-12, 5.5%, 1/25/20 5.5 01/25/2020 6,500,000 855,776
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 3.0 03/27/2024 1,550,000 1,482,708
Fannie Mae, 5.5%, 3/1/36 5.5 03/01/2036 5,005,809 605,697
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 4.0203 06/28/2016 900,000 909,030
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 3.0 05/15/2018 3,048,000 2,192,624
Sequoia Mortgage Trust 2003-2, Floating Rate Note, 6/20/33 0.8093 06/20/2033 43,225,000 2,764,233
Fannie Mae, 5.0%, 6/1/40 5.0 06/01/2040 3,850,000 1,608,878
Fannie Mae, 6.0%, 11/1/33 6.0 11/01/2033 400,765 52,736
Federal Home Loan Mortgage Corp., 6.0%, 4/1/35 6.0 04/01/2035 2,582,414 69,590
Israel Electric Corp, Ltd., 7.25%, 1/15/19 (144A) 7.25 01/15/2019 1,925,000 2,235,192
Citigroup, Inc., Floating Rate Note, 12/31/49 (Perpetual) 5.95 12/29/2049 2,000,000 2,054,667
Intesa Sanpaolo S.p.A., 3.625%, 8/12/15 (144A) 3.625 08/12/2015 3,476,000 3,598,403
Foundation Re III, Ltd., Floating Rate Note, 2/25/15 (Cat Bond) (144A) 5.0203 02/25/2015 1,050,000 1,059,783
Fannie Mae, 5.5%, 7/1/33 5.5 07/01/2033 3,800,000 205,844
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-5, Floating Rate Note, 1 0.4 12/25/2035 3,650,000 525,715
Carrington Mortgage Loan Trust Series 2005-NC4, Floating Rate Note, 9/25/35 0.55 09/25/2035 725,000 117,846
Government National Mortgage Association I, 6.0%, 10/15/36 6.0 10/15/2036 3,000,000 214,819
Federal Home Loan Mortgage Corp., 6.0%, 2/1/33 6.0 02/01/2033 550,000 11,797
Federal Home Loan Mortgage Corp., 6.0%, 4/1/36 6.0 04/01/2036 7,000,000 724,716
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 11/25/33 2.5697 11/25/2033 9,200,000 551,857
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 3.5304 05/05/2017 1,200,000 1,195,480
FREMF Mortgage Trust 2012-K710, Floating Rate Note, 6/25/47 (144A) 3.8185 06/25/2047 858,000 898,890
Delphi Financial Group, Inc., Floating Rate Note, 5/15/37 7.376 05/15/2037 153,800 3,768,100
Citigroup, Inc., Floating Rate Note, 12/31/49 (Perpetual) 7.125   197,000 5,449,020
U.S. Treasury Bonds, 4.5%, 5/15/38 4.5 05/15/2038 8,435,000 10,330,922
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 0.4 09/25/2030 2,760,310 495,625
Energy Transfer Partners LP, Floating Rate Note, 11/1/66 3.2429 11/01/2066 1,200,000 1,107,243
Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A) 2.38 03/20/2029 4,692,000 1,683,858
Crown Castle Towers LLC, 6.113%, 1/15/20 (144A) 6.113 01/15/2020 1,625,000 1,889,810
Intel Corp., 2.95%, 12/15/35 2.95 12/15/2035 4,725,000 5,710,648
Senior Housing Properties Trust, 6.75%, 4/15/20 6.75 04/15/2020 4,285,000 5,018,502
Government National Mortgage Association I, 6.5%, 8/15/32 6.5 08/15/2032 2,400,000 39,640
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 2.7 08/15/2018 850,000 875,097
Government National Mortgage Association I, 7.0%, 4/15/29 7.0 04/15/2029 1,014,372 27,300
STORE Master Funding LLC, 5.77%, 8/20/42 (144A) 5.77 08/20/2042 2,095,000 2,226,976
Fannie Mae, 6.5%, 11/1/37 6.5 11/01/2037 2,222,350 330,291
Capital One Bank USA NA, 8.8%, 7/15/19 8.8 07/15/2019 1,465,000 1,937,229
The Bank of New York Mellon Corp., 4.95%, 3/15/15 4.95 03/15/2015 2,000,000 2,092,370
Valeant Pharmaceuticals International, Inc., 12/11/19 3.75 12/11/2019 615,625 615,515
TimberStar Trust 1, 5.668%, 10/15/36 (144A) 5.668 10/15/2036 4,470,000 4,948,300
Fannie Mae, 6.0%, 2/1/35 6.0 02/01/2035 180,000 22,207
Irwin Whole Loan Home Equity Trust 2005-C, Floating Rate Note, 3/25/25 0.85 03/25/2025 800,000 398,214
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 8.5304 05/09/2016 300,000 318,600
Federal Home Loan Mortgage Corp., 6.5%, 3/1/31 6.5 03/01/2031 217,521 607
COMM 2012-CCRE2 Mortgage Trust, 3.791%, 8/15/45 3.791 08/15/2045 450,000 467,174
Wells Fargo Mortgage Backed Securities 2003-L Trust, Floating Rate Note, 11/25/33 2.5421 11/25/2033 3,100,000 259,009
Mohawk Industries, Inc., 3.85%, 2/1/23 3.85 02/01/2023 800,000 812,267
Government National Mortgage Association I, 6.0%, 9/15/33 6.0 09/15/2033 904,389 90,894
CVS Pass-Through Trust, 5.773%, 1/10/33 (144A) 5.773 01/10/2033 1,555,000 1,609,346
DCP Midstream LLC, Floating Rate Note, 5/21/43 (144A) 5.85 05/21/2043 3,950,000 3,739,169
Santander Drive Auto Receivables Trust 2012-1, 3.78%, 11/15/17 3.78 11/15/2017 1,450,000 1,493,699
Citicorp Residential Mortgage Trust Series 2007-1, 5.892%, 3/25/37 (Step) 5.892 03/25/2037 1,700,000 1,333,381
Fannie Mae, 6.0%, 3/1/33 6.0 03/01/2033 230,257 19,525
PVH Corp., 2/13/20 3.25 12/19/2019 619,793 623,809
Federal Home Loan Mortgage Corp., 4.5%, 3/1/20 4.5 03/01/2020 4,000,000 338,530
Government National Mortgage Association I, 6.0%, 12/15/32 6.0 12/15/2032 1,500,000 283,185
Government National Mortgage Association I, 4.5%, 4/15/35 4.5 04/15/2035 200,000 39,890
Federal Home Loan Mortgage Corp., 7.0%, 8/1/22 7.0 08/01/2022 687,553 119,952
Wells Fargo Commercial Mortgage Trust, 3.349%, 11/15/43 (144A) 3.349 11/15/2043 3,900,000 3,113,011
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 0.5 06/25/2034 24,782,615 2,528,725
Fannie Mae, 5.0%, 2/1/22 5.0 02/01/2022 450,000 30,332
Wells Fargo Mortgage Backed Securities 2003-L Trust, Floating Rate Note, 11/25/33 2.49 11/25/2033 975,000 653,340
Fannie Mae, 4.0%, 4/1/42 4.0 04/01/2042 2,200,000 1,197,645
Alternative Loan Trust 2003-21T1, 5.75%, 12/25/33 5.75 12/25/2033 4,205,000 1,921,192
Canadian Natural Resources, Ltd., 6.5%, 2/15/37 6.5 02/15/2037 2,230,000 2,871,769
Masco Corp., 7.125%, 3/15/20 7.125 03/15/2020 4,260,000 5,048,277
PFS Financing Corp., Floating Rate Note, 10/17/16 (144A) 1.6511 10/17/2016 775,712 777,747
Banc of America Funding 2005-8 Trust, 5.5%, 1/25/36 5.5 01/25/2036 4,458,000 1,434,198
Wachovia Bank Commercial Mortgage Trust Series 2004-C15, 4.803%, 10/15/41 4.803 10/15/2041 3,787,250 3,628,724
Gold Fields Orogen Holding BVI, Ltd., 4.875%, 10/7/20 (144A) 4.875 10/07/2020 5,000,000 4,585,885
NRG Energy, Inc., 7/1/18 2.75 07/01/2018 1,332,565 1,325,902
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/25/33 1.5 12/25/2033 5,231,000 310,365
DynCorp International, Inc., 7/7/16 6.25 07/07/2016 595,793 598,276
Oxford Finance Funding Trust 2012-1, 3.9%, 3/15/17 (144A) 3.9 03/15/2017 750,000 127,210
Credit-Based Asset Servicing and Securitization LLC, 5.70426%, 10/25/36 (Step) (144A) 5.4961 10/25/2036 700,000 690,002
Government National Mortgage Association I, 7.0%, 8/15/31 7.0 08/15/2031 17,500,000 242,735
Fannie Mae, 4.0%, 1/1/42 4.0 01/01/2042 1,821,298 910,447
Federal Home Loan Mortgage Corp., 6.5%, 4/1/34 6.5 04/01/2034 299,956 4,630
Cinedigm Digital Funding I LLC, 2/28/18 3.75 03/31/2016 531,074 532,402
Hyundai Motor Manufacturing Czech sro, 4.5%, 4/15/15 (144A) 4.5 04/15/2015 655,000 679,605
WF-RBS Commercial Mortgage Trust 2011-C2, Floating Rate Note, 2/15/44 (144A) 5.392 02/15/2044 350,000 387,796
Government National Mortgage Association I, 6.5%, 1/15/29 6.5 01/15/2029 1,500,000 30,897
Flextronics International, Ltd., 10/1/14 2.462 10/01/2014 0 0
Federal Mogul 1st Lien Tl-C L + 3.75% 15apr21 4.75 04/15/2021 1,433,078 1,429,944
Fannie Mae, 4.0%, 4/1/41 4.0 04/01/2041 1,850,000 1,456,069
Government National Mortgage Association I, 5.5%, 10/15/33 5.5 10/15/2033 1,509,492 136,760
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 0.5 08/25/2036 1,525,000 475,081
HLSS Servicer Advance Receivables Trust, 1.2437%, 1/17/45 1.2437 01/17/2045 1,300,000 1,302,669
Louisiana Local Government Environmental Facilities & Community Development Authority, 6.5%, 11/1/35 6.5 11/01/2035 2,350,000 2,739,928
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 1.7242 03/25/2044 9,650,000 769,770
Live Nation Entertainment, Inc., 8/17/20 3.5 08/16/2020 1,417,875 1,419,205
Government National Mortgage Association I, 6.0%, 3/15/32 6.0 03/15/2032 80,300 3,286
Government National Mortgage Association I, 6.0%, 5/15/17 6.0 05/15/2017 1,413,485 58,594
Government National Mortgage Association I, 6.5%, 8/15/31 6.5 08/15/2031 913,650 95,138
The George Washington University, 1.827%, 9/15/17 1.827 09/15/2017 1,900,000 1,907,872
KLA-Tencor Corp., 6.9%, 5/1/18 6.9 05/01/2018 3,100,000 3,665,973
Government National Mortgage Association I, 7.0%, 7/15/31 7.0 07/15/2031 536,209 6,583
Pinnacle Entertainment, Inc., 8/13/20 3.75 08/05/2020 897,538 898,319
JP Morgan Mortgage Trust 2005-A4, Floating Rate Note, 7/25/35 2.2351 07/25/2035 2,200,000 363,386
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 5.2855 03/07/2016 1,250,000 1,273,938
CoBank ACB, Floating Rate Note, 12/31/49 (Perpetual) (144A) 6.25   28,000 2,904,126
RESI Finance LP, Floating Rate Note, 9/10/35 (144A) 1.5503 09/10/2035 2,500,000 506,598
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 0.4 10/25/2035 4,359,000 950,630
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 0.9 12/25/2034 5,642,356 584,006
Government National Mortgage Association I, 7.0%, 8/15/28 7.0 08/15/2028 200,000 2,605
RALI Series 2004-QS13 Trust, 5.0%, 9/25/19 5.0 09/25/2019 18,375,000 2,441,348
Fannie Mae, 5.0%, 10/1/20 5.0 10/01/2020 4,036,945 606,961
Nationstar Mortgage Advance Receivables Trust 2013-T2, 1.679%, 6/20/46 (144A) 1.679 06/20/2046 1,087,000 1,087,014
Massachusetts Development Finance Agency, 5.375%, 4/1/41 5.375 04/01/2041 550,000 610,268
Ship Midco, Ltd., 11/29/19 5.25 08/06/2017 999,288 1,008,032
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 6.8855 04/07/2017 1,100,000 1,153,819
Countrywide Asset-Backed Certificates, Floating Rate Note, 2/25/36 5.069 02/25/2036 10,124,000 1,981,117
Morgan Stanley, 5.5%, 1/26/20 5.5 01/26/2020 3,135,000 3,637,842
Txu 1st Lien Dip L + 2.75% 05may16   05/05/2016 1,285,660 1,291,285
Government National Mortgage Association I, 5.5%, 7/15/34 5.5 07/15/2034 6,580,000 753,123
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 3,475,000 228,003
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 1/25/35 2.3708 01/25/2035 2,680,000 664,942
Tronox Pigments BV, 3/19/20 4.0 01/24/2017 774,619 776,487
Fg 30 Yr Pool 4.5% #C03832 01mar42 4.5 03/01/2042 22,167,426 10,228,824
Government National Mortgage Association I, 6.5%, 7/15/32 6.5 07/15/2032 14,653,970 257,545
Fannie Mae, 8.0%, 5/1/31 8.0 05/01/2031 45,000 424
Barclays Bank Plc, 6.05%, 12/4/17 (144A) 6.05 12/04/2017 3,515,000 4,089,835
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.85 01/25/2035 14,715,000 1,860,984
Blackstone Holdings Finance Co LLC, 5.0%, 6/15/44 (144A) 5.0 06/15/2044 1,725,000 1,805,361
Blue Danube II, Ltd., Floating Rate Note, 5/23/16 (Cat Bond) (144A) 0.0234 05/23/2016 500,000 503,975
Texas Transportation Commission State Highway Fund, 5.0%, 4/1/33 5.0 04/01/2033 1,000,000 1,172,784
Government National Mortgage Association I, 4.5%, 4/15/35 4.5 04/15/2035 1,999,800 326,665
Univision Communications, Inc., 3/1/20 4.0 03/01/2020 2,283,156 2,278,875
CKE Restaurant Holdings, Inc., 4.474%, 3/20/43 (144A) 4.474 03/20/2043 3,924,000 4,012,567
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 1.3015 05/07/2024 400,000 403,631
Wells Fargo Mortgage Backed Securities 2004-V Trust, Floating Rate Note, 10/25/34 2.6219 10/25/2034 2,400,000 374,957
Fannie Mae, 4.0%, 2/1/42 4.0 02/01/2042 24,300,000 13,881,748
Federal Home Loan Mortgage Corp., 6.0%, 5/1/34 6.0 05/01/2034 1,440,424 258,706
Government National Mortgage Association I, 6.0%, 9/15/28 6.0 09/15/2028 12,973,600 456,342
Mellon Funding Corp., 5.5%, 11/15/18 5.5 11/15/2018 2,505,000 2,864,361
Fannie Mae, 4.5%, 4/1/41 4.5 04/01/2041 6,978,836 3,852,270
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 1.251 12/05/2031 1,100,000 1,100,119
FREMF Mortgage Trust 2010-K7, Floating Rate Note, 4/25/20 (144A) 5.4346 04/25/2020 850,000 960,899
Alterra Finance LLC, 6.25%, 9/30/20 6.25 09/30/2020 3,000,000 3,512,456
DDR Corp., 7.5%, 4/1/17 7.5 04/01/2017 2,905,000 3,403,356
Impac CMB Trust Series 2004-5, Floating Rate Note, 10/25/34 0.87 10/25/2034 9,913,800 606,911
Triton Container Finance LLC, 4.21%, 5/14/27 (144A) 4.21 05/14/2027 1,290,000 1,034,933
Fannie Mae, 4.0%, 1/1/42 4.0 01/01/2042 2,000,000 973,671
Banc of America Alternative Loan Trust 2004-2, 6.0%, 3/25/34 6.0 03/25/2034 6,010,000 1,649,511
Fannie Mae, 5.0%, 2/1/20 5.0 02/01/2020 700,000 80,724
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 5.46 11/15/2035 484,000 444,453
Tasc Inc/Va 1st Lien Tl-B L + 5.5% 12may20   05/12/2020 647,771 641,132
Government National Mortgage Association I, 5.5%, 10/15/35 5.5 10/15/2035 1,001,204 183,355
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 8.2229 05/07/2015 500,000 523,718
Drug Royalty II LP 1, 4.474%, 1/15/25 (144A) 4.474 01/15/2025 500,000 350,521
Holcim US Finance Sarl & Cie SCS, 6.0%, 12/30/19 (144A) 6.0 12/30/2019 475,000 560,556
Federal Home Loan Mortgage Corp., 6.0%, 5/1/17 6.0 05/01/2017 7,876,244 90,133
Government National Mortgage Association I, 6.5%, 10/15/31 6.5 10/15/2031 477,508 9,616
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2.58 09/15/2021 2,800,000 2,820,954
Huntsman International LLC, 4/19/17 2.6921 04/19/2017 254,694 254,535
Sandre Flt% 25may18   05/25/2018 800,000 793,200
Government National Mortgage Association I, 6.0%, 8/15/36 6.0 08/15/2036 4,350,000 585,579
Goodman Funding Pty, Ltd., 6.375%, 4/15/21 (144A) 6.375 04/15/2021 3,455,000 4,048,399
Fannie Mae, 5.0%, 7/1/40 5.0 07/01/2040 5,000,000 2,044,155
Wells Fargo Commercial Mortgage Trust 2012-LC5, 3.539%, 10/15/45 3.539 10/15/2045 1,927,000 1,969,768
Fannie Mae, 6.5%, 5/1/31 6.5 05/01/2031 1,960,805 18,647
Fannie Mae, 6.0%, 12/1/35 6.0 12/01/2035 8,000,000 786,726
Government National Mortgage Association I, 6.5%, 1/15/34 6.5 01/15/2034 1,311,303 37,424
Fannie Mae, 7.0%, 9/1/31 7.0 09/01/2031 2,000,000 11,092
JP Morgan Mortgage Trust 2013-2, Floating Rate Note, 5/25/43 (144A) 3.5 05/25/2043 991,900 900,678
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 1.5 06/25/2033 2,336,716 1,498,506
Government National Mortgage Association, Floating Rate Note, 3/16/53 1.0489 03/16/2053 8,300,000 604,391
Springleaf Mortgage Loan Trust, Floating Rate Note, 6/25/58 (144A) 3.79 06/25/2058 750,000 744,969
Wachovia Bank NA, 6.0%, 11/15/17 6.0 11/15/2017 3,540,000 4,082,943
Government National Mortgage Association I, 6.5%, 1/15/33 6.5 01/15/2033 263,074 6,824
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 3,594,840 317,628
Government National Mortgage Association I, 5.5%, 8/15/19 5.5 08/15/2019 2,543,276 282,493
MetLife, Inc., 10.75%, 8/1/69 10.75 08/01/2039 4,200,000 6,702,500
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 0.5905 10/25/2030 5,000,000 473,829
Fannie Mae, 4.5%, 12/1/43 4.5 12/01/2043 900,000 953,038
Fn 30 Yr Pool 5% #935141 01apr39 5.0 04/01/2039 2,924,816 443,878
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 11/25/34 0.95 11/25/2034 75,831,301 2,163,077
Fannie Mae, 5.0%, 6/1/40 5.0 06/01/2040 3,004,062 1,569,691
Federal Home Loan Mortgage Corp., 6.5%, 8/1/31 6.5 08/01/2031 1,070,805 5,077
MASTR Alternative Loan Trust 2004-10, 5.5%, 10/25/19 5.5 10/25/2019 10,100,000 921,510
Beacon Container Finance LLC, 3.72%, 9/20/27 (144A) 3.72 09/20/2027 300,000 256,365
Fannie Mae, 6.5%, 10/1/32 6.5 10/01/2032 2,811,012 140,511
Fannie Mae, 5.0%, 7/1/40 5.0 07/01/2040 3,750,000 1,332,383
Government National Mortgage Association II, 4.5%, 1/20/35 4.5 01/20/2035 2,500,000 540,566
U.S. Treasury Bonds, 4.375%, 2/15/38 4.375 02/15/2038 4,650,000 5,641,189
Fannie Mae, 4.5%, 11/1/43 4.5 11/01/2043 800,000 870,610
Cummins, Inc., 5.65%, 3/1/98 5.65   3,200,000 3,702,230
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 9.035 01/08/2015 300,000 309,105
Protective Life Corp., 7.375%, 10/15/19 7.375 10/15/2019 4,250,000 5,286,046
STORE Master Funding LLC, 4.16%, 3/20/43 (144A) 4.16 03/20/2043 300,000 301,329
Federal Home Loan Mortgage Corp., 6.5%, 10/1/33 6.5 10/01/2033 2,000,000 66,405
MASTR Alternative Loan Trust 2004-13, 5.5%, 1/25/35 5.5 01/25/2035 3,000,000 156,056
Digital Realty Trust LP, 5.875%, 2/1/20 5.875 02/01/2020 725,000 817,249
Government National Mortgage Association I, 7.0%, 12/15/30 7.0 12/15/2030 599,940 13,506
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1.7804 01/07/2019 500,000 500,308
Government National Mortgage Association I, 6.5%, 6/15/34 6.5 06/15/2034 1,330,499 204,792
Bombardier, Inc., 4.25%, 1/15/16 (144A) 4.25 01/15/2016 2,250,000 2,373,313
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 6/25/34 2.48 06/25/2034 4,049,418 576,246
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 8.6507 04/08/2016 900,000 953,370
Fannie Mae, 6.0%, 3/1/32 6.0 03/01/2032 450,000 12,784
Federal Home Loan Mortgage Corp., 6.5%, 1/1/33 6.5 01/01/2033 39,165 558
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 6.5 08/15/2030 2,083,000 1,235,210
JPMorgan Chase & Co., Floating Rate Note, 12/31/49 (Perpetual) 5.15 12/29/2049 2,325,000 2,230,353
Citicorp Residential Mortgage Trust Series 2006-2, 5.775%, 9/25/36 (Step) 5.775 09/25/2036 600,000 343,013
Merrill Lynch Mortgage Investors Trust Series 2005-A3, Floating Rate Note, 4/25/35 0.42 04/25/2035 27,604,109 3,555,725
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/31 5.0 12/15/2031 2,100,000 2,266,374
Ras Laffan Liquefied Natural Gas Co, Ltd. III, 5.832%, 9/30/16 (144A) 5.832 09/30/2016 1,605,000 770,969
Altair Re, Floating Rate Note, 4/30/16 (Cat Bond) 0.0 04/30/2016 420,899 516,780
Federal Home Loan Mortgage Corp., 6.0%, 12/1/36 6.0 12/01/2036 860,000 92,488
Federal Home Loan Mortgage Corp., 6.5%, 11/1/30 6.5 11/01/2030 53,302 502
FPL Energy American Wind LLC, 6.639%, 6/20/23 (144A) 6.639 06/20/2023 2,520,000 779,788
Government National Mortgage Association I, 4.5%, 1/15/40 4.5 01/15/2040 1,235,000 815,391
Federal Home Loan Mortgage Corp., 5.0%, 10/1/38 5.0 10/01/2038 6,600,000 764,554
Residential Asset Securitization Trust 2004-A9, 5.75%, 12/25/34 5.75 12/25/2034 3,690,000 1,632,198
Domino's Pizza Master Issuer LLC, 5.216%, 1/25/42 (144A) 5.216 01/25/2042 4,051,000 4,251,603
Agilent Technologies, Inc., 6.5%, 11/1/17 6.5 11/01/2017 5,366,000 6,192,888
Government National Mortgage Association I, 4.5%, 10/15/35 4.5 10/15/2035 2,106,954 308,696
University of California, 3.38%, 5/15/28 3.38 05/15/2028 2,600,000 2,478,274
MASTR Seasoned Securitization Trust 2005-1, Floating Rate Note, 9/25/32 6.6345 09/25/2032 12,000,000 825,397
Countrywide Asset-Backed Certificates, Floating Rate Note, 12/25/34 1.2 12/25/2034 1,400,000 1,002,601
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 0.42 04/25/2032 18,410,000 1,971,265
EP Energy LLC, 9.375%, 5/1/20 9.375 05/01/2020 1,800,000 2,081,813
Fannie Mae, 6.5%, 1/1/31 6.5 01/01/2031 1,000,000 4,386
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 5/25/50 (144A) 0.85 05/25/2050 3,750,000 155,321
HSBC Bank USA NA New York NY, 6.0%, 8/9/17 6.0 08/09/2017 3,350,000 3,852,402
Citigroup, Inc., Floating Rate Note, 12/31/49 (Perpetual) 5.9 12/31/2049 2,000,000 2,044,744
Government National Mortgage Association I, 4.5%, 7/15/33 4.5 07/15/2033 633,571 135,023
Newfield Exploration Co., 5.625%, 7/1/24 5.625 07/01/2024 1,400,000 1,523,813
Fannie Mae, 4.5%, 5/1/41 4.5 05/01/2041 454,433 219,538
Government National Mortgage Association I, 4.5%, 9/15/33 4.5 09/15/2033 2,256,215 359,166
Federal Home Loan Mortgage Corp., 6.5%, 5/1/31 6.5 05/01/2031 1,043,809 12,513
Enel Finance International NV, 5.125%, 10/7/19 (144A) 5.125 10/07/2019 3,365,000 3,813,041
Rowan Companies, Inc., 4.75%, 1/15/24 4.75 01/15/2024 4,460,000 4,764,566
JP Morgan Mortgage Trust 2013-1, Floating Rate Note, 3/25/43 (144A) 2.5 03/25/2043 5,500,000 4,350,272
Crockett Cogeneration LP, 5.869%, 3/30/25 (144A) 5.869 03/30/2025 1,010,000 656,343
Federal Home Loan Mortgage Corp., 6.0%, 1/1/34 6.0 01/01/2034 3,744,314 124,383
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 6.2273 04/10/2015 250,000 257,027
Government National Mortgage Association I, 6.5%, 2/15/29 6.5 02/15/2029 301,000 14,403
Government National Mortgage Association, Floating Rate Note, 9/16/52 1.0665 09/16/2052 13,000,000 1,027,903
Fannie Mae, 6.0%, 10/1/34 6.0 10/01/2034 389,152 31,724
Fannie Mae, 4.0%, 4/1/42 4.0 04/01/2042 1,100,000 805,667
FREMF Mortgage Trust 2011-K701, Floating Rate Note, 7/25/48 (144A) 4.286 07/25/2048 5,000,000 5,339,608
Fannie Mae, 3.5%, 6/1/28 3.5 06/01/2028 5,531,277 5,146,691
Fannie Mae, 8.0%, 4/1/20 8.0 04/01/2020 215,000 1,997
Fannie Mae, 6.0%, 9/1/34 6.0 09/01/2034 6,273,165 234,593
New York State Dormitory Authority, 5.0%, 7/1/40 5.0 07/01/2040 1,600,000 1,859,781
Alternative Loan Trust 2005-J4, Floating Rate Note, 7/25/35 0.59 07/25/2035 5,426,539 5,248,052
Government National Mortgage Association I, 6.0%, 6/15/33 6.0 06/15/2033 368,522 17,342
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 2.625 12/25/2034 3,200,000 1,035,407
Altrl Flt% 30jun16   06/30/2016 1,500,000 1,543,800
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 9,171,532 483,309
Allison Transmission, Inc., 8/23/19 3.75 08/23/2019 1,145,790 1,148,110
NBTY, Inc., 10/1/17 3.5 10/01/2017 861,429 862,909
Banc of America Alternative Loan Trust 2003-7, 5.5%, 9/25/33 5.5 09/25/2033 7,600,000 1,685,341
Enel S.p.A., Floating Rate Note, 9/24/73 (144A) 8.75 09/24/2073 2,320,000 2,752,181
Cincinnati Bell, Inc., 9/10/20 4.0 08/20/2020 1,945,225 1,947,900
New Jersey Economic Development Authority, 0.0%, 2/15/18 0.0 02/15/2018 4,500,000 4,143,420
Bayview Commercial Asset Trust, 4.13574%, 7/25/37 (Step) (144A) 4.1269 07/25/2037 21,000,000 60,307
Port Freeport Texas, Floating Rate Note, 5/15/33 5.95 05/15/2033 3,965,000 4,416,314
Expedia, Inc., 5.95%, 8/15/20 5.95 08/15/2020 800,000 906,867
Fannie Mae, 6.0%, 9/1/32 6.0 09/01/2032 65,856 1,104
Sequoia Mortgage Trust 2004-12, Floating Rate Note, 1/20/35 0.6369 01/20/2035 15,500,000 1,119,718
TimberStar Trust 1, 5.7467%, 10/15/36 (144A) 5.7467 10/15/2036 1,435,000 1,584,557
Banc of America Alternative Loan Trust 2004-4, 5.25%, 5/25/34 5.25 05/25/2034 5,500,000 730,783
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 9.055 06/06/2015 650,000 691,600
Government National Mortgage Association I, 5.0%, 10/15/18 5.0 10/15/2018 3,153,375 196,704
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/15/26 (144A) 1.4511 03/15/2026 1,895,000 1,894,167
Alternative Loan Trust 2003-J1, 4.75%, 10/25/33 4.75 10/25/2033 9,200,000 485,528
Government National Mortgage Association I, 7.5%, 2/15/31 7.5 02/15/2031 1,466,543 16,389
Federal National Mortgage Association, 5.0%, 8/1/40 5.0 08/01/2040 3,000,000 1,826,489
Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37 0.3 03/25/2037 550,000 379,159
Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40 5.361 02/15/2040 3,500,000 2,885,170
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A)   04/18/2017 250,000 245,450
Fg 30 Yr Pool 4.5% #C09051 01nov43 4.5 11/01/2043 637,703 633,951
FREMF Mortgage Trust 2012-K501, Floating Rate Note, 11/25/46 (144A) 3.486 11/25/2046 650,000 676,170
Banc of America Mortgage Trust 2004-11, 5.75%, 1/25/35 5.75 01/25/2035 11,116,000 1,290,543
Government National Mortgage Association I, 6.0%, 5/15/17 6.0 05/15/2017 1,900,000 63,133
Sequoia Mortgage Trust 2013-9, 3.5%, 7/25/43 (144A) 3.5 07/25/2043 2,190,000 2,097,933
JobsOhio Beverage System, 3.985%, 1/1/29 3.985 01/01/2029 4,075,000 4,195,637
Government National Mortgage Association I, 5.5%, 2/15/35 5.5 02/15/2035 500,000 76,727
Successor X, Ltd., Floating Rate Note, 11/10/15 (Cat Bond) (144A) 11.2652 11/10/2015 250,000 263,734
Federal Home Loan Mortgage Corp., 4.0%, 1/1/44 4.0 01/01/2044 4,260,000 4,440,838
Fannie Mae, 7.0%, 12/1/30 7.0 12/01/2030 499,950 895
AmeriCredit Automobile Receivables Trust 2013-1, 1.57%, 1/8/19 1.57 01/08/2019 800,000 803,792
Morgan Stanley, 4.875%, 11/1/22 4.875 11/01/2022 300,000 322,512
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 1.3493 11/20/2036 5,300,000 1,490,244
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 4.0304 05/05/2017 1,250,000 1,247,083
Fannie Mae, 5.5%, 7/1/34 5.5 07/01/2034 13,142,000 1,416,580
Fannie Mae, 5.0%, 2/1/22 5.0 02/01/2022 7,621,650 470,722
OneBeacon US Holdings, Inc., 4.6%, 11/9/22 4.6 11/09/2022 1,000,000 1,021,173
NCR Corp., 4.625%, 2/15/21 4.625 02/15/2021 2,100,000 2,133,848
SCE Trust III, Floating Rate Note, 12/31/49 (Perpetual) 5.75 12/31/2049 167,900 4,521,547
Federal Home Loan Mortgage Corp., 6.0%, 5/1/34 6.0 05/01/2034 7,192,224 897,503
Fannie Mae, 4.0%, 12/1/41 4.0 12/01/2041 5,950,000 3,213,316
Government National Mortgage Association I, 6.0%, 1/15/33 6.0 01/15/2033 4,534,594 214,639
Government National Mortgage Association I, 6.5%, 4/15/31 6.5 04/15/2031 8,257,522 127,555
Glencore Funding LLC, 4.125%, 5/30/23 (144A) 4.125 05/30/2023 1,175,000 1,185,998
Government National Mortgage Association I, 6.0%, 10/15/32 6.0 10/15/2032 2,001,957 63,509
Government National Mortgage Association I, 4.5%, 8/15/41 4.5 08/15/2041 5,900,000 3,111,926
Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33 2.7535 09/25/2033 11,000,000 678,931
PFS Financing Corp., Floating Rate Note, 10/17/16 (144A) 0.8511 10/17/2016 526,376 527,013
HSBC Bank Plc, 7.65%, 5/1/25 7.65 05/01/2025 1,305,000 1,689,774
U.S. Treasury Bonds, 5.375%, 2/15/31 5.375 02/15/2031 4,000,000 5,345,486
Fannie Mae, 3.0%, 8/1/42 3.0 08/01/2042 24,375,000 22,860,069
BWAY Holding Co., 8/6/17 4.5 08/06/2017 419,688 421,576
Massachusetts Development Finance Agency, 5.0%, 10/15/40 5.0 10/15/2040 1,200,000 1,383,491
Cincinnati Bell, Inc., 8.375%, 10/15/20 8.375 10/15/2020 469,000 519,746
Enterprise Products Operating LLC, 3.9%, 2/15/24 3.9 02/15/2024 5,310,000 5,539,134
Standard Chartered Bank, 6.4%, 9/26/17 (144A) 6.4 09/26/2017 2,200,000 2,528,466
RALI Series 2003-QS13 Trust, Floating Rate Note, 7/25/33 0.7 07/25/2033 5,985,000 714,648
Government National Mortgage Association I, 6.0%, 4/15/18 6.0 04/15/2018 1,038,016 39,439
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 5.0 07/25/2018 7,610,000 559,476
JPMorgan Chase & Co., Floating Rate Note, 12/29/49 6.125 12/29/2049 1,890,000 1,930,222
NSG Holdings LLC, 12/11/19 3.75 11/15/2019 791,428 794,395
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 0.3061 05/15/2047 1,100,000 465,512
Federal Home Loan Mortgage Corp., 5.0%, 11/1/34 5.0 11/01/2034 250,000 31,285
MASTR Alternative Loan Trust 2004-13, 4.5%, 1/25/15 4.5 01/25/2015 13,000,000 35,845
Federal Home Loan Mortgage Corp., 6.5%, 5/1/31 6.5 05/01/2031 100,010 187
New York State Electric & Gas Corp., 6.15%, 12/15/17 (144A) 6.15 12/15/2017 5,055,000 5,698,119
The Allstate Corp., Floating Rate Note, 1/15/53 5.1 01/15/2053 147,475 3,700,148
Wells Fargo Mortgage Backed Securities 2006-16 Trust, 5.0%, 11/25/36 5.0 11/25/2036 4,500,000 304,541
Sirius International Group, Ltd., 6.375%, 3/20/17 (144A) 6.375 03/20/2017 3,600,000 4,053,661
Government National Mortgage Association I, 7.0%, 11/15/28 7.0 11/15/2028 4,530,958 88,441
Citigroup Mortgage Loan Trust 2006-HE1, Floating Rate Note, 1/25/36 0.42 01/25/2036 1,840,000 97,989
Fannie Mae, 6.0%, 7/1/33 6.0 07/01/2033 7,500,000 727,018
Fannie Mae, 6.5%, 4/1/31 6.5 04/01/2031 500,000 4,557
DCP Midstream LLC, 9.75%, 3/15/19 (144A) 9.75 03/15/2019 2,900,000 3,794,178
Federal Home Loan Mortgage Corp., Floating Rate Note, 9/25/44 (144A) 4.1624 09/25/2044 1,250,000 1,301,437
Federal Home Loan Mortgage Corp., 5.5%, 12/1/18 5.5 12/01/2018 2,500,000 368,212
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 9.2956 06/06/2017 250,000 265,374
Government National Mortgage Association I, 6.5%, 4/15/32 6.5 04/15/2032 235,320 17,780
NYU Hospitals Center, 4.428%, 7/1/42 4.428 07/01/2042 2,400,000 2,306,275
Bear Stearns Commercial Mortgage Securities Trust 2002-TOP6, Floating Rate Note, 10/15/36 (144A) 7.417 10/15/2036 1,600,000 274,475
Chrysler Group LLC, 5/24/17 3.5 05/24/2017 3,807,338 3,815,428
Federal Home Loan Mortgage Corp., 6.5%, 1/1/31 6.5 01/01/2031 66,916 203
U.S. Treasury Bonds, 4.25%, 5/15/39 4.25 05/15/2039 7,620,000 9,011,632
Masco Corp., 5.95%, 3/15/22 5.95 03/15/2022 825,000 916,832
Fannie Mae, 6.5%, 9/1/31 6.5 09/01/2031 2,000,200 13,045
Government National Mortgage Association I, 6.5%, 7/15/35 6.5 07/15/2035 3,323,439 107,326
Fn 30 Yr Pool 5% #Ah6735 01feb41 5.0 02/01/2041 17,669,429 7,784,990
Government National Mortgage Association I, 6.5%, 12/15/32 6.5 12/15/2032 25,822,328 654,683
Mid-State Capital Trust 2010-1, 5.25%, 12/15/45 (144A) 5.25 12/15/2045 950,000 776,879
Morgan Stanley, 4.1%, 5/22/23 4.1 05/22/2023 5,100,000 5,140,514
Nordea Bank AB, 4.25%, 9/21/22 (144A) 4.25 09/21/2022 4,500,000 4,697,046
Australia & New Zealand Banking Group, Ltd., 4.5%, 3/19/24 (144A) 4.5 03/19/2024 1,865,000 1,920,625
Banc of America Alternative Loan Trust 2004-6, 5.0%, 7/25/19 5.0 07/25/2019 10,021,500 1,599,495
Fannie Mae, 4.5%, 8/1/40 4.5 08/01/2040 5,950,444 1,775,272
SBP DPR Finance Co., Floating Rate Note, 3/15/17 (144A) 2.9834 03/15/2017 2,000,000 1,268,602
Liberty Mutual Group, Inc., 7.3%, 6/15/14 (144A) 7.3 06/15/2014 3,035,000 3,143,244
Sinopec Group Overseas Development 2014, Ltd., 4.375%, 4/10/24 (144A) 4.375 04/10/2024 4,750,000 5,002,445
Federal Home Loan Mortgage Corp., 4.5%, 10/1/20 4.5 10/01/2020 6,000,000 605,296
Sequoia Mortgage Trust 2004-9, Floating Rate Note, 10/20/34 0.4893 10/20/2034 9,485,000 1,041,551
Amherst College, 3.794%, 11/1/42 3.794 11/01/2042 525,000 483,001
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 1.47 05/15/2018 1,250,000 508,881
Spmf 5.74% 20mar42 14-3a 5.74 03/20/2042 268,007 298,880
Fannie Mae, 4.0%, 5/1/41 4.0 05/01/2041 3,008,750 1,374,218
Wells Fargo & Co., 7.5%, 12/31/49 (Perpetual) 7.5   5,610 6,911,520
Freeport-McMoRan Copper & Gold, Inc., 3.875%, 3/15/23 3.875 03/15/2023 1,850,000 1,840,353
Terwin Mortgage Trust Series TMTS 2005-16HE, 4.6175%, 9/25/36 (Step) 4.6075 09/25/2036 14,000,000 2,979,385
Government National Mortgage Association I, 6.5%, 5/15/29 6.5 05/15/2029 273,319 6,122
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 0.35 12/25/2036 3,900,000 962,172
Fn15 3% 17jun14 3.0 06/17/2014 3,900,000 4,063,638
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 4,256,655 235,603
GRIFOLS WORLDWIDE OPERATIONS USA INC, U.S. Tranche B Term Loam, 4/1/21   04/01/2021 390,000 388,873
JP Morgan Mortgage Trust 2004-S1, 6.0%, 9/25/34 6.0 09/25/2034 9,800,000 1,994,521
DBUBS 2011-LC3 Mortgage Trust, Floating Rate Note, 8/10/44 (144A) 5.418 08/10/2044 1,900,000 2,163,623
Government National Mortgage Association I, 5.5%, 12/15/18 5.5 12/15/2018 406,708 45,733
Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43 2.188 06/25/2043 24,278,000 860,984
Federal Home Loan Mortgage Corp., 5.0%, 6/1/35 5.0 06/01/2035 4,244,107 794,199
Springleaf Funding Trust 2014-A, 2.41%, 12/25/22 (144A) 2.41 12/25/2022 1,200,000 1,203,815
DAE Aviation Holdings, Inc., 11/2/18 4.2334 11/02/2018 1,344,309 1,362,793
Fannie Mae, 4.0%, 6/1/42 4.0 06/01/2042 3,678,905 1,613,853
Banc of America Funding 2010-R4 Trust, Floating Rate Note, 8/26/36 (144A) 0.2825 08/26/2036 3,200,000 690,931
Spirit Master Funding VII LLC, 3.8868%, 12/20/43 3.8868 12/20/2043 200,000 204,013
Government National Mortgage Association I, 6.0%, 9/15/33 6.0 09/15/2033 500,663 27,566
Panoche Energy Center LLC, 6.885%, 7/31/29 (144A) 6.885 07/31/2029 2,610,000 2,570,844
Permanent University Fund, 5.0%, 7/1/30 5.0 07/01/2030 800,000 982,539
Asciano Finance, Ltd., 4.625%, 9/23/20 (144A) 4.625 09/23/2020 529,000 560,052
Indianapolis Airport Authority, 5.1%, 1/15/17 5.1 01/15/2017 1,000,000 1,124,207
Fannie Mae, 5.0%, 12/1/17 5.0 12/01/2017 499,951 19,958
CEMEX Espana SA, 9.875%, 4/30/19 (144A) 9.875 04/30/2019 3,328,000 3,864,571
Cme: (Cdx.Na.Hy.22.V2) Usd 20jun19 Z91jjmp14 500.0 06/20/2019 0 -752,189
Government National Mortgage Association I, 7.0%, 5/15/32 7.0 05/15/2032 5,500,000 108,059
Fannie Mae, 8.0%, 4/1/30 8.0 04/01/2030 150,000 800
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A)   04/24/2017 550,000 538,450
Federal Home Loan Mortgage Corp., 5.5%, 9/1/33 5.5 09/01/2033 5,200,000 487,241
WaMu Mortgage Pass-Through Certificates Series 2004-AR9 Trust, Floating Rate Note, 8/25/34 2.4126 08/25/2034 741,000 126,942
Chemtura Corp., 8/29/16 3.5 08/27/2016 801,537 804,042
CubeSmart LP, 4.8%, 7/15/22 4.8 07/15/2022 730,000 801,360
Government National Mortgage Association I, 6.0%, 10/15/33 6.0 10/15/2033 2,000,000 78,239
LSTAR Commercial Mortgage Trust, Floating Rate Note, 6/25/43 (144A) 5.3697 06/25/2043 1,395,000 1,479,904
Nationstar Mortgage Loan Trust 2013-A, Floating Rate Note, 12/25/52 (144A) 3.75 12/25/2052 1,100,000 987,120
Government National Mortgage Association I, 6.5%, 5/15/31 6.5 05/15/2031 2,567,327 35,907
Fannie Mae, 4.5%, 7/1/41 4.5 07/01/2041 750,000 479,795
American Credit Acceptance Receivables Trust, 1.64%, 11/15/16 (144A) 1.64 11/15/2016 2,350,000 652,417
Federal National Mortgage Association REMICS, 5.0%, 7/25/33 5.0 07/25/2033 5,000,000 1,330,727
Alternative Loan Trust 2003-14T1, Floating Rate Note, 8/25/18 0.6 08/25/2018 11,900,000 562,161
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 0.831 05/19/2035 76,912,853 4,387,611
Macquarie Bank, Ltd., 6.625%, 4/7/21 (144A) 6.625 04/07/2021 840,000 977,110
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 0.85 03/25/2035 5,700,000 888,147
JG Wentworth XXII LLC, 3.82%, 12/15/48 (144A) 3.82 12/15/2048 1,100,000 804,386
Government National Mortgage Association I, 5.5%, 11/15/19 5.5 11/15/2019 2,683,028 449,271
Government National Mortgage Association I, 6.5%, 6/15/35 6.5 06/15/2035 190,431 8,006
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 0.4011 06/15/2033 3,840,084 2,286,549
COMM 2006-FL12 Mortgage Trust, Floating Rate Note, 12/15/20 (144A) 0.2811 12/15/2020 12,165,000 2,769,221
Banc of America Large Loan Trust 2007-BMB1, Floating Rate Note, 8/15/29 (144A) 1.251 08/15/2029 400,000 400,064
Government National Mortgage Association II, 4.5%, 9/20/41 4.5 09/20/2041 5,800,000 3,311,400
Government National Mortgage Association I, 4.5%, 3/15/35 4.5 03/15/2035 784,949 47,370
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 0.93 11/25/2034 19,339,000 2,798,849
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 2.25 06/25/2043 768,000 666,250
BBVA Bancomer SA Texas, 4.375%, 4/10/24 (144A) 4.375 04/10/2024 2,400,000 2,459,583
Darling Ingredients, Inc., 12/19/20 3.25 12/19/2020 1,255,000 1,258,514
Government National Mortgage Association I, 7.5%, 12/15/31 7.5 12/15/2031 7,728,804 70,352
Legg Mason, Inc., 5.625%, 1/15/44 5.625 01/15/2044 4,290,000 4,744,149
Selma Industrial Development Board, 5.8%, 5/1/34 5.8 05/01/2034 2,310,000 2,557,501
Fannie Mae, 6.0%, 7/1/38 6.0 07/01/2038 974,925 93,454
Unum Group, 5.75%, 8/15/42 5.75 08/15/2042 1,080,000 1,273,822
Fannie Mae, 8.0%, 7/1/30 8.0 07/01/2030 100,000 621
SLM Student Loan Trust 2004-10, Floating Rate Note, 4/27/26 (144A) 0.9788 04/27/2026 900,000 906,482
U.S. Treasury Bonds, 2.875%, 5/15/43 2.875 05/15/2043 10,375,000 9,536,897
KKR Group Finance Co II LLC, 5.5%, 2/1/43 (144A) 5.5 02/01/2043 5,025,000 5,452,277
Federal Home Loan Mortgage Corp., 7.0%, 9/1/22 7.0 09/01/2022 1,775,260 347,624
Affinion Group, Inc., 10/9/16 6.75 10/09/2016 1,072,978 1,079,206
JP Morgan Mortgage Trust 2004-A2, Floating Rate Note, 5/25/34 2.609 05/25/2034 3,200,000 244,072
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 0.72 06/25/2033 7,070,000 726,895
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 0.95 10/25/2034 7,729,000 457,348
The University of Texas System, 5.0%, 8/15/43 5.0 08/15/2043 525,000 597,225
Omega Healthcare Investors, Inc., 4.95%, 4/1/24 (144A) 4.95 04/01/2024 3,945,000 4,016,294
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 4.0253 05/18/2016 1,200,000 1,209,640
Government National Mortgage Association, Floating Rate Note, 8/16/52 1.0709 08/16/2052 14,000,000 915,629
Bear Stearns ARM Trust 2003-6, Floating Rate Note, 8/25/33 2.7369 08/25/2033 60,314,000 3,419,742
Fannie Mae, 6.0%, 11/1/34 6.0 11/01/2034 271,485 24,114
Structured Asset Securities Corp Mortgage Loan Trust 2006-GEL4, Floating Rate Note, 10/25/36 (144A) 0.37 10/25/2036 5,952,000 2,609,831
National Rural Utilities Cooperative Finance Corp., 5.45%, 2/1/18 5.45 02/01/2018 2,000,000 2,313,633
BCAP LLC 2010-RR10 Trust, Floating Rate Note, 12/27/34 (144A) 2.4768 12/27/2034 550,000 301,472
Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34 0.89 11/25/2034 32,667,000 2,323,779
Bayview Opportunity Master Fund Trust IIB LP, Floating Rate Note, 1/28/33 (144A) 2.9814 01/28/2033 1,000,000 467,795
Government National Mortgage Association I, 7.0%, 12/15/30 7.0 12/15/2030 500,000 5,561
RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32 6.0 01/25/2032 9,900,000 455,680
GATX Corp., 6.0%, 2/15/18 6.0 02/15/2018 5,660,000 6,524,388
Lorillard Tobacco Co., 3.75%, 5/20/23 3.75 05/20/2023 1,050,000 1,038,029
Pangaea Re, 0.0%, 10/1/15 (Cat Bond) 0.0 10/01/2015 950,000 1,066,945
Federal Home Loan Mortgage Corp., 5.0%, 9/1/38 5.0 09/01/2038 6,500,000 722,833
Fannie Mae, 7.0%, 7/1/21 7.0 07/01/2021 500,000 6,518
Eastman Chemical Co., 4.8%, 9/1/42 4.8 09/01/2042 980,000 1,009,408
Government National Mortgage Association I, 4.5%, 2/15/34 4.5 02/15/2034 181,146 62,791
Truman Capital Mortgage Loan Trust, Floating Rate Note, 1/25/34 1.85 01/25/2034 765,000 752,145
Wells Fargo Mortgage Backed Securities Trust, Floating Rate Note, 8/25/34 4.9154 08/25/2034 17,226,000 1,139,596
Fannie Mae Pool, 5.0%, 5/25/40 5.0 05/25/2040 30,000,000 33,195,833
GS Mortgage Securities Trust 2006-GG8, 5.56%, 11/10/39 5.56 11/10/2039 900,000 982,592
Fannie Mae, 6.0%, 6/1/38 6.0 06/01/2038 2,250,000 585,966
Fannie Mae, 4.5%, 11/1/40 4.5 11/01/2040 8,151,476 3,808,952
Assurant, Inc., 4.0%, 3/15/23 4.0 03/15/2023 3,900,000 3,973,895
UBS AG, 7.625%, 8/17/22 7.625 08/17/2022 1,450,000 1,773,505
Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36 0.64 06/25/2036 1,949,000 1,192,421
LeasePlan Corp NV, 2.5%, 5/16/18 (144A) 2.5 05/16/2018 1,475,000 1,483,867
Wells Fargo Mortgage Backed Securities 2004-K Trust, Floating Rate Note, 7/25/34 2.6176 07/25/2034 7,440,000 989,950
Viacom, Inc., 5.25%, 4/1/44 5.25 04/01/2044 3,200,000 3,413,900
Piedmont Operating Partnership LP, 3.4%, 6/1/23 3.4 06/01/2023 2,550,000 2,477,402
Federal Home Loan Mortgage Corp., 6.0%, 6/1/35 6.0 06/01/2035 3,600,000 146,474
Fannie Mae, 6.0%, 5/1/35 6.0 05/01/2035 1,799,482 116,995
Irwin Home Equity Loan Trust 2005-1, 5.32%, 6/25/35 (Step) 5.32 06/25/2035 4,350,000 750,478
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 8.0456 06/06/2016 800,000 886,249
Federal Home Loan Mortgage Corp., 4.5%, 11/1/40 4.5 11/01/2040 12,403,700 6,673,712
Cronos Containers Program, Ltd., 3.81%, 9/18/27 (144A) 3.81 09/18/2027 1,850,000 1,561,216
Intesa Sanpaolo S.p.A., 6.5%, 2/24/21 (144A) 6.5 02/24/2021 1,400,000 1,665,739
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 0.65 06/25/2035 4,920,000 2,066,960
Fannie Mae, 3.5%, 12/1/42 3.5 12/01/2042 1,000,000 987,738
COMM 2012-CCRE2 Mortgage Trust, 3.147%, 8/15/45 3.147 08/15/2045 850,000 858,392
CommScope, Inc., 1/21/17 2.7333 01/21/2017 329,829 330,035
Fannie Mae Pool, 4.5%, 8/25/40 4.5 08/25/2040 15,000,000 16,244,063
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 10.2601 01/08/2015 950,000 985,799
COMM 2013-LC6 Mortgage Trust, 2.941%, 1/10/46 2.941 01/10/2046 1,900,000 1,874,889
Government National Mortgage Association I, 7.5%, 8/15/29 7.5 08/15/2029 2,007,985 21,147
Bella Vista Mortgage Trust 2004-1, Floating Rate Note, 11/20/34 0.8493 11/20/2034 66,102,000 2,002,587
Loews Corp., 5.25%, 3/15/16 5.25 03/15/2016 2,650,000 2,888,488
Government National Mortgage Association I, 5.5%, 8/15/19 5.5 08/15/2019 4,380,618 326,873
JP Morgan Chase Commercial Mortgage Securities Trust 2013-FL3, Floating Rate Note, 4/15/28 (144A) 1.9511 04/15/2028 1,500,000 1,489,385
JP Morgan Chase Commercial Mortgage Securities Trust 2013-ALC, Floating Rate Note, 7/17/26 (144A) 3.001 07/17/2026 1,368,000 1,391,288
Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A) 1.87 08/20/2029 750,000 322,466
US Bancorp, Floating Rate Note, 12/31/49 (Perpetual) 6.0   235,000 6,575,300
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 2.4925 10/25/2033 11,067,000 1,118,541
Government National Mortgage Association I, 5.5%, 8/15/33 5.5 08/15/2033 400,000 36,522
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 4.25 04/25/2034 8,370,000 439,527
Houston Higher Education Finance Corp., 5.0%, 5/15/40 5.0 05/15/2040 1,500,000 1,689,333
NSG Holdings LLC, 7.75%, 12/15/25 (144A) 7.75 12/15/2025 1,016,000 1,136,128
Federal Home Loan Mortgage Corp., 5.5%, 11/1/34 5.5 11/01/2034 1,900,000 245,102
Government National Mortgage Association I, 7.0%, 4/15/28 7.0 04/15/2028 266,017 2,929
Delphi Corp., 4.15%, 3/15/24 4.15 03/15/2024 5,400,000 5,684,831
Massachusetts Health & Educational Facilities Authority, 5.5%, 7/1/32 5.5 07/01/2032 1,425,000 1,961,693
Government National Mortgage Association I, 6.5%, 10/15/33 6.5 10/15/2033 32,450 3,349
Halliburton Co., 7.6%, 8/15/96 (144A) 7.6   1,300,000 1,977,129
The PNC Financial Services Group, Inc., Floating Rate Note, 2/21/49 (Perpetual) 4.447 05/29/2049 6,273,000 6,293,295
Structured Asset Securities Corp., 4.77%, 10/25/34 (Step) 4.77 10/25/2034 2,100,000 260,139
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 0.4 02/25/2030 11,253,656 1,652,907
The Hanover Insurance Group, Inc., 7.625%, 10/15/25 7.625 10/15/2025 1,952,000 2,409,592
Government National Mortgage Association, 3.0%, 4/20/41 3.0 04/20/2041 2,000,000 1,885,089
WP Carey, Inc., 4.6%, 4/1/24 4.6 04/01/2024 1,715,000 1,806,440
Pinnacle Foods Finance LLC, 4/29/20 3.25 04/16/2020 23,760 23,661
PPL Capital Funding, Inc., 5.9%, 4/30/73 5.9 04/30/2073 164,000 3,927,800
Affiliated Managers Group, Inc., 4.25%, 2/15/24 4.25 02/15/2024 2,525,000 2,647,612
Sunoco Logistics Partners Operations LP, 4.25%, 4/1/24 4.25 04/01/2024 1,500,000 1,560,701
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/33 5.0 06/15/2033 5,000,000 637,036
Fannie Mae, 6.0%, 2/1/35 6.0 02/01/2035 62,166 8,972
RALI Series 2004-QS16 Trust, 5.5%, 12/25/34 5.5 12/25/2034 12,000,000 900,020
Jefferies Resecuritization Trust 2009-R2, Floating Rate Note, 5/26/37 (144A) 2.5666 05/26/2037 1,400,000 356,994
Government National Mortgage Association I, 6.0%, 4/15/33 6.0 04/15/2033 2,000,000 65,480
Universal Health Services, Inc., 11/15/16 2.4011 11/30/2016 704,687 708,295
Fannie Mae, 6.5%, 6/1/31 6.5 06/01/2031 2,750,000 115,658
Government National Mortgage Association II, 4.5%, 3/20/35 4.5 03/20/2035 500,000 107,843
Catholic Health Initiatives, 4.35%, 11/1/42 4.35 11/01/2042 2,600,000 2,476,458
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 1.18 08/15/2017 2,126,000 853,214
Texas Competitive Electric Holding 1st Lien Dd L + 2.75% 05may16   05/05/2016 992,440 996,782
Federal Home Loan Mortgage Corp., 5.0%, 10/1/20 5.0 10/01/2020 9,000,000 1,617,486
Fannie Mae, 6.0%, 8/1/34 6.0 08/01/2034 3,757,089 292,017
COMM 2007-FL14 Mortgage Trust, Floating Rate Note, 6/15/22 (144A) 0.3311 06/15/2022 4,954,166 1,108,291
Fn 30 Yr Pool 4.5% #Ah8051 01may41 4.5 05/01/2041 17,795,568 5,745,942
Prudential Financial, Inc., Floating Rate Note, 6/15/43 5.625 06/15/2043 1,500,000 1,617,656
Weatherford International, Ltd. Bermuda, 5.95%, 4/15/42 5.95 04/15/2042 125,000 141,047
Rosneft Finance SA, 6.625%, 3/20/17 (144A) 6.625 03/20/2017 1,000,000 1,095,566
The Travelers Companies, Inc., 6.25%, 6/15/37 6.25 06/15/2037 2,000,000 2,640,453
Federal Home Loan Mortgage Corp., 6.5%, 2/1/33 6.5 02/01/2033 62,297 4,256
Citigtoup Mortgage Loan Trust 2014-A, Floating Rate Note, 1/1/35 (144A) 4.0 01/01/2035 1,000,000 954,539
Stanley Black & Decker, Inc., Floating Rate Note, 12/15/53 5.75 12/15/2053 1,750,000 1,941,941
Federal Home Loan Mortgage Corp., 6.5%, 1/1/31 6.5 01/01/2031 47,714 380
Federal Home Loan Mortgage Corp., 3.5%, 11/1/28 3.5 11/01/2028 2,200,200 2,246,245
Fannie Mae, 5.5%, 2/1/18 5.5 02/01/2018 2,100,000 135,265
Fannie Mae, 6.0%, 4/1/35 6.0 04/01/2035 4,000,000 411,133
Ah4r Flt% 17jun31 14-Sfr1-B 1.4985 06/17/2031 600,000 598,809
Fannie Mae, 6.0%, 9/1/34 6.0 09/01/2034 408,807 49,225
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 8.805 06/06/2015 725,000 773,795
Bear Stearns ALT-A Trust 2005-1, Floating Rate Note, 1/25/35 0.71 01/25/2035 12,790,000 1,082,186
SunGard Data Systems, Inc., 2/28/17 3.9005 02/28/2017 953,650 957,219
USI, Inc. New York, 12/30/19 4.25 12/30/2019 6,256,050 6,267,780
Baylor University, 4.313%, 3/1/42 4.313 03/01/2042 1,025,000 1,006,583
Prudential Financial, Inc., Floating Rate Note, 6/15/68 8.875 06/15/2038 2,140,000 2,709,077
Government National Mortgage Association II, 7.0%, 1/20/29 7.0 01/20/2029 8,400,000 127,378
Federal Home Loan Mortgage Corp., 6.0%, 4/1/33 6.0 04/01/2033 379,183 17,399
Government National Mortgage Association I, 7.0%, 11/15/28 7.0 11/15/2028 2,367,683 31,919
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 6/25/33 5.5 06/25/2033 1,000,000 246,221
Fannie Mae, 6.5%, 10/1/31 6.5 10/01/2031 1,000,100 14,450
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 2.49 02/25/2034 20,103,000 2,125,187
City Center Trust 2011-CCHP, Floating Rate Note, 7/15/28 (144A) 4.65 07/15/2028 1,000,000 1,002,229
Morgan Stanley Capital I Trust 2007-HQ13, 5.569%, 12/15/44 5.569 12/15/2044 1,000,000 1,087,704
WESCO Distribution, Inc., 12/12/19 3.75 12/04/2019 590,405 591,051
American Credit Acceptance Receivables Trust 2012-2, 4.05%, 2/15/18 (144A) 4.05 02/15/2018 428,000 436,371
Mystic Re, Ltd., Floating Rate Note, 3/12/15 (Cat Bond) (144A) 9.0304 03/12/2015 650,000 676,715
JP Morgan Mortgage Trust 2014-1, Floating Rate Note, 1/25/44 (144A) 3.5 01/25/2044 1,000,000 990,950
JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2, 3.6159%, 11/15/43 (144A) 3.6159 11/15/2043 1,600,000 1,709,167
The Goodyear Tire & Rubber Co., 4/30/19 4.75 03/27/2019 4,190,000 4,219,644
GTP Towers Issuer LLC, 4.436%, 2/15/15 (144A) 4.436 02/15/2015 3,950,000 4,030,397
Fannie Mae, 5.5%, 6/1/33 5.5 06/01/2033 1,148,000 62,875
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 5.25 04/25/2032 3,090,877 1,018,772
GS Mortgage Securities Corp II, 3.682%, 2/10/46 (144A) 3.682 02/10/2046 1,000,000 1,009,743
Government National Mortgage Association I, 5.5%, 11/15/18 5.5 11/15/2018 1,443,964 78,115
The Allstate Corp., Floating Rate Note, 5/15/57 6.5 05/15/2057 5,455,000 5,948,071
Fannie Mae, 4.5%, 1/1/42 4.5 01/01/2042 23,783,862 13,755,594
Government National Mortgage Association I, 4.5%, 9/15/35 4.5 09/15/2035 393,589 72,405
BB&T Corp., 5.625%, 12/31/49 (Perpetual) 5.625   85,000 1,989,000
EnLink Midstream Partners LP, 4.4%, 4/1/24 4.4 04/01/2024 1,340,000 1,419,386
Aspen Insurance Holdings, Ltd., Floating Rate Note, 12/31/49 (Perpetual) 5.95   50,000 1,268,000
Citicorp Residential Mortgage Trust Series 2006-3, 5.703%, 11/25/36 (Step) 5.703 11/25/2036 3,850,000 2,150,688
Residential Asset Securitization Trust 2004-A8, 5.25%, 11/25/34 5.25 11/25/2034 15,300,000 531,513
SunTrust Banks, Inc., 3.5%, 1/20/17 3.5 01/20/2017 1,025,000 1,099,460
Government National Mortgage Association, 4.973%, 4/16/42 4.973 04/16/2042 375,000 321,180
Carlyle Holdings II Finance LLC, 5.625%, 3/30/43 (144A) 5.625 03/30/2043 5,930,000 6,642,258
Government National Mortgage Association I, 6.5%, 1/15/32 6.5 01/15/2032 7,587,058 159,619
Fannie Mae, 7.0%, 1/1/32 7.0 01/01/2032 1,701,763 36,741
RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35 5.25 07/25/2035 1,745,152 1,047,523
Lincoln National Corp., 8.75%, 7/1/19 8.75 07/01/2019 1,690,000 2,271,143
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 0.3211 04/16/2035 3,115,635 1,423,880
Commonwealth Edison Co., 6.15%, 9/15/17 6.15 09/15/2017 980,000 1,143,232
Government National Mortgage Association I, 6.5%, 3/15/32 6.5 03/15/2032 975,284 27,193
Fannie Mae, 6.0%, 3/1/33 6.0 03/01/2033 3,500,000 165,401
Fannie Mae, 3.0%, 12/1/42 3.0 12/01/2042 2,352,529 2,184,652
Queen Street VI Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 10.5849 04/09/2015 250,000 263,425
Government National Mortgage Association I, 5.5%, 7/15/33 5.5 07/15/2033 1,500,000 144,499
Fannie Mae, 4.5%, 10/1/35 4.5 10/01/2035 3,754,911 459,637
PHH Mortgage Capital LLC, 6.6%, 12/25/27 (Step) (144A) 6.6 12/25/2027 4,250,000 473,297
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 1.09 12/25/2034 24,739,000 750,860
Bayview Commercial Asset Trust, 3.855%, 9/25/37 (Step) (144A) 3.5269 09/25/2037 13,200,000 488,391
President and Fellows of Harvard College, 6.3%, 10/1/37 6.3 10/01/2037 3,095,000 3,424,549
Aegis Asset Backed Securities Trust 2005-5, Floating Rate Note, 12/25/35 0.42 12/25/2035 5,250,000 1,458,200
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 2.7661 07/25/2033 24,092,878 1,287,688
Banc of America Funding 2003-3 Trust, 5.5%, 10/25/33 5.5 10/25/2033 3,903,805 902,282
Ohio Higher Educational Facility Commission, 5.0%, 1/1/42 5.0 01/01/2042 1,765,000 1,978,730
Courtland Industrial Development Board, 5.0%, 8/1/27 5.0 08/01/2027 980,000 999,205
Government National Mortgage Association I, 5.0%, 7/15/33 5.0 07/15/2033 1,500,150 197,633
TOPRE_13-LTR, 3.47%, 11/20/28 (144A) 3.47 11/20/2028 5,250,000 3,796,357
Healthcare Realty Trust, Inc., 6.5%, 1/17/17 6.5 01/17/2017 2,425,000 2,793,414
Port Authority of New York & New Jersey, 4.458%, 10/1/62 4.458 10/01/2062 600,000 605,346
Government National Mortgage Association I, 4.5%, 3/15/35 4.5 03/15/2035 1,722,219 258,100
Impac CMB Trust Series 2004-9, Floating Rate Note, 1/25/35 0.91 01/25/2035 10,000,000 709,183
TI Group Automotive Systems LLC, 3/28/19 5.5 03/27/2019 830,276 835,206
Fannie Mae, 6.5%, 12/1/31 6.5 12/01/2031 3,300,000 161,626
Government National Mortgage Association I, 6.5%, 6/15/32 6.5 06/15/2032 1,561,662 26,318
Federal Home Loan Mortgage Corp., 5.5%, 11/1/34 5.5 11/01/2034 550,000 51,111
Government National Mortgage Association I, 7.5%, 2/15/26 7.5 02/15/2026 893,000 2,133
Aeroflex, Inc., 11/9/19 4.5 11/24/2019 3,048,411 3,064,287
Structured Asset Mortgage Investments Trust 2003-AR2, Floating Rate Note, 12/19/33 0.891 12/19/2033 18,250,377 1,016,537
Weatherford International, Ltd. Bermuda, 9.625%, 3/1/19 9.625 03/01/2019 2,815,000 3,790,077
MASTR Adjustable Rate Mortgages Trust 2005-1, Floating Rate Note, 1/25/35 5.2654 01/25/2035 6,959,000 1,031,044
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A)   04/30/2018 1,400,000 1,408,051
Fidelity National Financial, Inc., 5.5%, 9/1/22 5.5 09/01/2022 1,200,000 1,332,275
The Bank of New York Mellon Corp., Floating Rate Note, 12/31/49 (Perpetual) 4.5 12/29/2049 1,250,000 1,175,781
Government National Mortgage Association I, 6.0%, 9/15/19 6.0 09/15/2019