Pioneer Investments: Pioneer Bond Fund


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Pioneer Bond Fund

Monthly Portfolio Holdings as of 3/31/2015

Security Name Coupon Maturity Date Par / Shares Market Value($)
Australia & New Zealand Banking Group, Ltd., 4.5%, 3/19/24 (144A) 4.5 03/19/2024 5,215,000 5,457,591
Thornburg Mortgage Securities Trust 2004-3, Floating Rate Note, 9/25/34 0.9138 09/25/2034 72,667,000 5,579,617
Banc of America Funding 2010-R4 Trust REMICS, Floating Rate Note, 8/26/36 (144A) 0.2984 08/26/2036 3,200,000 180,128
Cummins, Inc., 6.75%, 2/15/27 6.75 02/15/2027 910,000 1,184,384
JP Morgan Chase Commercial Mortgage Securities Corp., 2.84%, 12/17/47 2.84 12/17/2047 3,910,234 4,008,039
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP6, Floating Rate Note, 4/15/43 5.565 04/15/2043 4,800,000 4,960,164
Altrl Zero% 30jun17 0.0 06/30/2017 840,000 852,432
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 2.25 08/20/2025 2,000,000 952,690
Progreso Receivables Funding III LLC, 3.625%, 1/30/25 (144A) 3.625 01/30/2025 3,200,000 3,207,411
Government National Mortgage Association II, 4.5%, 1/20/35 4.5 01/20/2035 2,500,000 444,446
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 3/15/17 (144A) 2.425 03/15/2017 2,700,000 2,699,833
MRFC Mortgage Pass-Through Trust Series 2000-TBC3, Floating Rate Note, 12/15/30 0.6145 12/15/2030 15,930,000 752,972
Government National Mortgage Association II, 7.0%, 11/20/28 7.0 11/20/2028 10,000,000 107,744
Chesapeake Funding LLC, Floating Rate Note, 3/4/26 1.375 03/04/2026 400,000 398,781
Beacon Container Finance LLC, 3.72%, 9/20/27 (144A) 3.72 09/20/2027 500,000 384,547
Government National Mortgage Association I, 4.0%, 6/15/39 4.0 06/15/2039 28,840 10,750
CWABS Asset-Backed Certificates Trust 2004-7, Floating Rate Note, 12/25/34 1.2238 12/25/2034 1,400,000 696,568
Alternative Loan Trust 2003-J1, 4.75%, 10/25/33 4.75 10/25/2033 9,200,000 354,191
Hyundai Motor Manufacturing Czech sro, 4.5%, 4/15/15 (144A) 4.5 04/15/2015 655,000 669,135
Fannie Mae, 6.0%, 9/1/34 6.0 09/01/2034 352,132 19,404
Fannie Mae, 4.0%, 12/1/40 4.0 12/01/2040 1,900,000 1,302,098
Intel Corp., 4.8%, 10/1/41 4.8 10/01/2041 11,075,000 12,744,025
Origen Manufactured Housing Contract Trust 2004-A, Floating Rate Note, 1/15/35 5.91 01/15/2035 1,400,000 564,210
Fannie Mae, 4.0%, 7/1/44 4.0 07/01/2044 800,000 777,745
Fannie Mae, 4.5%, 5/1/41 4.5 05/01/2041 454,433 181,897
Applebee's Funding LLC/ IHOP Funding LLC, 4.277%, 9/5/44 (144A) 4.277 09/05/2044 2,600,000 2,699,151
Morgan Stanley, Floating Rate Note (Perpetual) 5.55 12/31/2049 2,900,000 2,934,365
Federal Home Loan Mortgage Corp., 4.0%, 7/1/42 4.0 07/01/2042 255,000 215,870
BLCP Hotel Trust, Floating Rate Note, 8/15/29 (144A) 2.125 08/15/2029 2,210,000 2,212,216
Masco Corp., 7.125%, 3/15/20 7.125 03/15/2020 4,260,000 5,008,340
Government National Mortgage Association I, 4.0%, 8/15/44 4.0 08/15/2044 1,041,626 995,002
Federal Home Loan Mortgage Corp., 6.0%, 11/1/33 6.0 11/01/2033 1,151,218 27,669
Fannie Mae, 6.0%, 10/1/35 6.0 10/01/2035 7,125,770 200,207
Government National Mortgage Association I, 5.5%, 6/15/33 5.5 06/15/2033 400,000 19,205
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2.58 09/15/2021 2,800,000 2,426,449
ML-CFC Commercial Mortgage Trust 2006-1, Floating Rate Note, 2/12/39 5.4669 02/12/2039 2,500,000 2,335,431
Aflac, Inc., 3.625%, 11/15/24 3.625 11/15/2024 7,000,000 7,437,801
Masco Corp., 4.45%, 4/1/25 4.45 04/01/2025 1,050,000 1,085,034
Capital One Financial Corp., 3.75%, 4/24/24 3.75 04/24/2024 6,650,000 7,010,770
JPMorgan Chase & Co., Floating Rate Note (Perpetual) 5.15 12/31/2049 1,525,000 1,521,505
Kraft Foods Group, Inc., 3.5%, 6/6/22 3.5 06/06/2022 3,240,000 3,388,536
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 7/25/36 0.4738 07/25/2036 1,000,000 985,892
Clearwater Paper Corp., 4.5%, 2/1/23 4.5 02/01/2023 1,285,000 1,275,363
Cantor Fitzgerald LP, 7.875%, 10/15/19 (144A) 7.875 10/15/2019 2,980,000 3,349,200
Federal Home Loan Mortgage Corp., 6.0%, 9/1/33 6.0 09/01/2033 3,396,240 208,902
Equinix, Inc., 5.75%, 1/1/25 5.75 01/01/2025 1,875,000 1,993,919
DAE Aviation Holdings, Inc., Replacement Tranche B-1 Loan, 11/2/18 5.0 11/02/2018 1,318,634 1,325,022
Banc of America Mortgage Trust 2004-7, 4.5%, 8/25/19 4.5 08/25/2019 1,241,000 79,425
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 3.4452 01/17/2019 500,000 516,009
Fannie Mae, 5.0%, 6/1/40 5.0 06/01/2040 3,004,062 1,292,303
FREMF Mortgage Trust 2013-K713, Floating Rate Note, 4/25/46 (144A) 3.1648 04/25/2046 3,000,000 3,065,878
Fannie Mae, 6.0%, 2/1/35 6.0 02/01/2035 180,000 19,019
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 3.25 12/19/2020 1,242,450 1,241,145
Progress Residential 2015-SFR1 Trust, Floating Rate Note, 2/20/32 (144A) 2.5745 02/20/2032 2,700,000 2,730,010
Government National Mortgage Association I, 6.0%, 5/15/17 6.0 05/15/2017 1,413,485 42,336
Fannie Mae, 6.0%, 8/1/32 6.0 08/01/2032 315,000 6,882
Federal Home Loan Mortgage Corp., 7.0%, 8/1/22 7.0 08/01/2022 687,553 92,718
Stanley Black & Decker, Inc., Floating Rate Note, 12/15/53 5.75 12/15/2053 3,600,000 3,937,790
First Tennessee Bank NA, 2.95%, 12/1/19 2.95 12/01/2019 5,425,000 5,560,114
Home Equity Asset Trust 2005-7, Floating Rate Note, 1/25/36 0.5538 01/25/2036 750,000 380,200
United States Treasury Floating Rate Note, Floating Rate Note, 1/31/16 0.08 01/31/2016 11,325,000 11,325,166
Velocity Commercial Capital Loan Trust 2014-1, Floating Rate Note, 9/25/44 (144A) 2.171 09/25/2044 3,000,000 2,669,443
Federal Home Loan Mortgage Corp., 6.0%, 3/1/33 6.0 03/01/2033 5,524,534 275,982
The Travelers Companies, Inc., 6.25%, 6/15/37 6.25 06/15/2037 2,000,000 2,789,728
Government National Mortgage Association II, 6.5%, 2/20/29 6.5 02/20/2029 210,000 3,488
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A) 9.0101 03/16/2016 250,000 261,650
Alexandria Real Estate Equities, Inc., 3.9%, 6/15/23 3.9 06/15/2023 1,093,000 1,141,052
FREMF Mortgage Trust 2011-K10 , Floating Rate Note, 11/25/49 (144A) 4.6177 11/25/2049 1,500,000 1,651,440
Fannie Mae, 6.0%, 9/1/34 6.0 09/01/2034 2,000,000 87,393
Hercules Capital Funding Trust 2014-1, 3.524%, 4/16/21 (144A) 3.524 04/16/2021 2,920,000 2,923,375
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 2.35 10/25/2035 1,049,340 249,223
VOLT XXXI LLC, 3.375%, 2/25/55 (Step) (144A) 3.375 02/25/2055 1,850,000 1,838,963
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 0.4245 06/15/2033 5,786,084 2,481,966
SBA Tower Trust, 3.869%, 10/15/49 (144A) 3.869 10/15/2049 6,975,000 7,271,804
Panoche Energy Center LLC, 6.885%, 7/31/29 (144A) 6.885 07/31/2029 2,610,000 2,628,197
Plains All American Pipeline LP, 4.9%, 2/15/45 4.9 02/15/2045 5,300,000 5,653,518
CHS, 2021 Term D Loan, 1/27/21 4.25 01/27/2021 3,180,423 3,199,639
Fannie Mae, 4.5%, 11/1/40 4.5 11/01/2040 8,151,476 3,273,570
Government National Mortgage Association I, 7.0%, 5/15/32 7.0 05/15/2032 5,500,000 115,463
CCOH Safari LLC, 5.75%, 12/1/24 5.75 12/01/2024 800,000 839,333
Federal Home Loan Mortgage Corp., 5.5%, 9/1/33 5.5 09/01/2033 5,200,000 408,396
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 0.8738 03/25/2035 5,700,000 908,022
Alexandria Real Estate Equities, Inc., 2.75%, 1/15/20 2.75 01/15/2020 75,000 75,678
Wilton Re Finance LLC, Floating Rate Note, 3/30/33 (144A) 5.875 03/30/2033 1,400,000 1,553,775
Fannie Mae, 5.5%, 7/1/33 5.5 07/01/2033 3,800,000 165,906
Carrington Mortgage Loan Trust Series 2005-NC4, Floating Rate Note, 9/25/35 0.5738 09/25/2035 725,000 76,095
Government National Mortgage Association I, 4.0%, 11/15/40 4.0 11/15/2040 245,475 84,223
Westgate Resorts 2014-1 LLC, 2.15%, 12/20/26 (144A) 2.15 12/20/2026 3,500,000 2,916,190
WideOpenWest Finance LLC, Term B Loan, 4/1/19 4.75 04/01/2019 159,884 160,340
Massachusetts Development Finance Agency, 5.375%, 4/1/41 5.375 04/01/2041 550,000 637,794
American Homes 4 Rent 2014-SFR3 Trust, 5.04%, 12/18/36 (144A) 5.04 12/18/2036 700,000 752,093
Government National Mortgage Association I, 6.0%, 1/15/33 6.0 01/15/2033 4,534,594 185,316
Allison Transmission, Inc., Term B-3 Loan, 8/23/19 3.5 08/23/2019 1,134,303 1,136,194
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 0.6545 06/15/2030 9,460,074 517,234
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 9.26 06/06/2017 250,000 264,620
Resolute Forest Products, Inc., 5.875%, 5/15/23 5.875 05/15/2023 3,930,000 3,863,954
Westgate Resorts 2015-1 LLC, 2.75%, 5/20/27 (144A) 2.75 05/20/2027 3,000,000 2,916,189
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 6.0404 04/10/2015 250,000 253,169
U.S. Treasury Bonds, 3.0%, 11/15/44 3.0 11/15/2044 3,000,000 3,321,170
Government National Mortgage Association I, 6.5%, 5/15/31 6.5 05/15/2031 1,798,476 28,406
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5.372 09/10/2045 3,660,000 3,729,780
PNC Bank NA, 6.0%, 12/7/17 6.0 12/07/2017 1,435,000 1,625,813
Morgan Stanley Capital I Trust 2007-HQ13, 5.569%, 12/15/44 5.569 12/15/2044 1,000,000 1,073,725
Wells Fargo Commercial Mortgage Trust 2014-TISH, Floating Rate Note, 2/16/27 (144A) 1.205 02/16/2027 1,800,000 1,795,531
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 15,000,000 14,354,332
Government National Mortgage Association I, 5.5%, 10/15/17 5.5 10/15/2017 5,636,984 158,231
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 8.7551 12/06/2016 725,000 737,702
PPL Capital Funding, Inc., 5.9%, 4/30/73 5.9 04/30/2073 164,000 4,188,560
Igloo Holdings Corp., 8.25%, 12/15/17 (144A) (PIK) 8.25 12/15/2017 2,875,000 2,973,589
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 3.1033 07/15/2023 1,250,000 1,196,031
U.S. Treasury Bonds, 4.375%, 5/15/41 4.375 05/15/2041 9,400,000 12,967,547
Sensata Technologies Bv 1st Lien Tl-B2 L + 2.75% 08oct21 3.5 10/08/2021 1,169,125 1,177,455
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 812,515 781,242
California Educational Facilities Authority, 5.0%, 6/1/43 5.0 06/01/2043 1,980,000 2,776,369
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 3,594,840 270,161
Fannie Mae, 4.0%, 6/1/42 4.0 06/01/2042 3,678,905 1,237,707
Prudential Financial, Inc., Floating Rate Note, 9/15/42 5.875 09/15/2042 1,800,000 1,959,950
Discovery Communications LLC, 3.45%, 3/15/25 3.45 03/15/2025 1,850,000 1,853,654
New Jersey Economic Development Authority, 0.0%, 2/15/18 0.0 02/15/2018 4,500,000 4,246,245
Silverton RE, Ltd., 0.0%, 9/18/17 (Cat Bond) (144A) 0.0 09/18/2017 1,000,000 1,051,600
Federal Home Loan Mortgage Corp., 3.5%, 11/1/28 3.5 11/01/2028 2,200,200 2,064,778
14112z Zero% 01feb19 0.0 02/01/2019 3,600,000 3,752,640
Hercules Capital Funding Trust 2012-1, 3.32%, 12/16/17 (144A) 3.32 12/16/2017 650,000 20,564
Fannie Mae, 6.0%, 3/1/32 6.0 03/01/2032 450,000 10,535
JP Morgan Mortgage Trust 2014-IVR3, Floating Rate Note, 9/26/44 (144A) 3.2146 09/26/2044 2,235,000 1,940,271
Government National Mortgage Association I, 7.75%, 2/15/30 7.75 02/15/2030 500,000 2,486
Government National Mortgage Association II, 5.5%, 4/20/34 5.5 04/20/2034 2,500,000 307,385
BCMSC Trust 1998-A, 6.65%, 4/15/28 6.65 04/15/2028 10,000,000 71,988
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 8.5424 05/07/2015 2,250,000 2,284,763
Alternative Loan Trust 2003-14T1, Floating Rate Note, 8/25/18 0.6238 08/25/2018 11,900,000 427,611
Federal National Mortgage Association REMICS, 5.0%, 9/25/39 5.0 09/25/2039 704,000 107,707
Federal Home Loan Mortgage Corp., 4.0%, 9/1/44 4.0 09/01/2044 5,790,000 5,812,687
Motiva Enterprises LLC, 6.85%, 1/15/40 (144A) 6.85 01/15/2040 3,800,000 4,723,328
Government National Mortgage Association I, 6.5%, 1/15/32 6.5 01/15/2032 7,587,058 128,353
Government National Mortgage Association I, 6.0%, 8/15/32 6.0 08/15/2032 300,000 12,043
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 0.3295 05/15/2047 1,100,000 407,650
Southwestern Electric Power Co., 3.9%, 4/1/45 3.9 04/01/2045 10,800,000 10,686,305
Delphi Corp., 4.15%, 3/15/24 4.15 03/15/2024 5,400,000 5,750,554
Fannie Mae, 4.0%, 4/1/42 4.0 04/01/2042 2,200,000 1,008,356
Bear Stearns ARM Trust 2003-5, Floating Rate Note, 8/25/33 2.3448 08/25/2033 10,580,000 788,964
Federal Home Loan Mortgage Corp., 3.5%, 12/1/44 3.5 12/01/2044 10,570,000 10,951,600
GRIFOLS WORLDWIDE OPERATIONS USA INC, U.S. Tranche B Term Loam, 4/1/21 3.178 04/01/2021 386,100 386,173
Commercial Metals Co., 4.875%, 5/15/23 4.875 05/15/2023 3,550,000 3,420,129
NYU Hospitals Center, 4.428%, 7/1/42 4.428 07/01/2042 2,400,000 2,460,619
Ship Midco, Ltd., Facility B2A-II, 11/29/19 5.25 11/29/2019 795,333 800,469
Government National Mortgage Association I, 7.0%, 12/15/30 7.0 12/15/2030 599,940 13,253
Masco Corp., 5.95%, 3/15/22 5.95 03/15/2022 825,000 928,244
Carefree Portfolio Trust 2014-CARE, Floating Rate Note, 11/15/29 (144A) 2.025 11/15/2029 2,460,000 2,465,879
Weatherford International, Ltd. Bermuda, 9.625%, 3/1/19 9.625 03/01/2019 2,815,000 3,247,445
Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 6.0 12/01/2033 2,000,000 181,384
Expedia, Inc., 5.95%, 8/15/20 5.95 08/15/2020 800,000 909,184
Government National Mortgage Association I, 6.5%, 1/15/29 6.5 01/15/2029 1,500,000 29,970
Fannie Mae, 4.0%, 1/1/42 4.0 01/01/2042 2,000,000 798,728
Aviation Capital Group Corp., 6.75%, 4/6/21 (144A) 6.75 04/06/2021 3,725,000 4,361,429
American Homes 4 Rent 2015-SFR1, 4.11%, 4/17/45 (144A) 4.11 04/17/2045 900,000 917,579
Government National Mortgage Association I, 5.5%, 7/15/34 5.5 07/15/2034 6,580,000 611,812
Endo Finance LLC, 6.0%, 2/1/25 (144A) 6.0 02/01/2025 520,000 541,147
Carlyle Holdings II Finance LLC, 5.625%, 3/30/43 (144A) 5.625 03/30/2043 5,930,000 6,721,235
JP Morgan Mortgage Trust 2004-S1, 6.0%, 9/25/34 6.0 09/25/2034 9,800,000 1,787,329
Johnson & Johnson, 4.375%, 12/5/33 4.375 12/05/2033 3,150,000 3,654,943
Fannie Mae, 6.0%, 2/1/33 6.0 02/01/2033 2,200,000 20,787
PVH Corp., Tranche B Term Loan, 2/13/20 3.25 02/13/2020 436,759 439,519
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 0.4238 09/25/2030 2,760,310 426,870
Government National Mortgage Association I, 6.0%, 4/15/33 6.0 04/15/2033 3,907,830 87,158
AXIS Equipment Finance Receivables II LLC, 4.94%, 7/20/18 (144A) 4.94 07/20/2018 500,000 506,608
NCR Corp., 6.375%, 12/15/23 6.375 12/15/2023 1,425,000 1,544,373
Fannie Mae, 6.0%, 10/1/32 6.0 10/01/2032 4,502,006 94,481
Fannie Mae, 6.0%, 3/1/33 6.0 03/01/2033 230,257 17,682
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 1,956,533 1,962,207
U.S. Treasury Bonds, 4.375%, 11/15/39 4.375 11/15/2039 6,865,000 9,361,034
Government National Mortgage Association I, 7.0%, 8/15/28 7.0 08/15/2028 200,000 2,288
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 4.0 11/08/2020 203,267 202,674
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 0.6278 04/28/2039 1,486,142 1,318,372
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 6.5 08/15/2030 2,800,000 234,668
Southern California Edison Co., 1.845%, 2/1/22 1.845 02/01/2022 6,200,000 6,258,179
HSBC Bank USA NA New York NY, 6.0%, 8/9/17 6.0 08/09/2017 3,350,000 3,705,524
Federal Home Loan Mortgage Corp., 4.5%, 3/1/42 4.5 03/01/2042 22,167,426 8,983,355
Asciano Finance, Ltd., 4.625%, 9/23/20 (144A) 4.625 09/23/2020 529,000 569,378
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 4.0 07/09/2018 2,700,000 2,723,775
RESI Finance LP 2003-CB1, Floating Rate Note, 7/9/35 1.825 07/09/2035 12,352,000 3,044,637
Fannie Mae, 6.0%, 7/1/33 6.0 07/01/2033 7,500,000 538,990
Fidelity National Financial, Inc., 5.5%, 9/1/22 5.5 09/01/2022 1,200,000 1,315,047
FREMF Mortgage Trust 2011-K702, Floating Rate Note, 4/25/44 (144A) 4.7711 04/25/2044 5,380,000 5,800,680
Fannie Mae, 5.0%, 12/1/17 5.0 12/01/2017 499,951 13,216
Federal Home Loan Mortgage Corp., 5.0%, 10/1/38 5.0 10/01/2038 6,600,000 591,285
Nordea Bank AB, 4.25%, 9/21/22 (144A) 4.25 09/21/2022 4,500,000 4,764,729
NCR Corp., 4.625%, 2/15/21 4.625 02/15/2021 4,600,000 4,632,935
Barclays Bank Plc, 6.05%, 12/4/17 (144A) 6.05 12/04/2017 3,515,000 3,938,173
Government National Mortgage Association I, 6.0%, 1/15/17 6.0 01/15/2017 705,441 7,320
Helmerich & Payne International Drilling Co., 4.65%, 3/15/25 (144A) 4.65 03/15/2025 6,050,000 6,274,842
Government National Mortgage Association I, 4.0%, 10/15/41 4.0 10/15/2041 40,767 8,971
GATX Corp., 5.2%, 3/15/44 5.2 03/15/2044 2,260,000 2,539,809
Government National Mortgage Association I, 6.5%, 2/15/29 6.5 02/15/2029 301,000 11,879
IMS Health, Inc., Term B Dollar Loan, 3/17/21 3.5 03/17/2021 452,668 452,173
FPL Energy American Wind LLC, 6.639%, 6/20/23 (144A) 6.639 06/20/2023 2,520,000 707,344
Fannie Mae, 6.0%, 3/1/33 6.0 03/01/2033 3,500,000 138,089
Government National Mortgage Association II, 4.5%, 9/20/41 4.5 09/20/2041 5,800,000 2,744,591
East Lane Re VI, Ltd., Floating Rate Note, 3/13/20 (Cat Bond) (144A)   03/13/2020 700,000 698,460
Government National Mortgage Association I, 6.5%, 2/15/29 6.5 02/15/2029 260,526 2,330
Montpelier Re Holdings, Ltd., 4.7%, 10/15/22 4.7 10/15/2022 2,650,000 2,851,719
Public Service Co of New Mexico, 7.95%, 5/15/18 7.95 05/15/2018 2,690,000 3,238,799
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 1.273 12/05/2031 1,100,000 1,098,296
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA Netherlands, 3.95%, 11/9/22 3.95 11/09/2022 6,425,000 6,751,278
Sequoia Mortgage Trust, Floating Rate Note, 9/25/42 3.0 09/25/2042 100,000 55,970
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 5.46 11/15/2035 484,000 384,164
Bayview Commercial Asset Trust 2008-1, Floating Rate Note, 1/25/38 (144A) 1.1738 01/25/2038 12,910,000 2,275,184
Spirit Master Funding LLC, 5.74%, 3/20/42 (144A) 5.74 03/20/2042 268,008 307,646
Government National Mortgage Association I, 6.0%, 10/15/34 6.0 10/15/2034 2,897,739 376,635
Alternative Loan Trust 2004-J5, Floating Rate Note, 8/25/34 1.0738 08/25/2034 9,407,000 8,673,160
Government National Mortgage Association I, 4.5%, 10/15/33 4.5 10/15/2033 2,981,200 284,031
Government National Mortgage Association I, 4.5%, 9/15/33 4.5 09/15/2033 2,256,215 330,053
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 7.5 04/09/2015 500,000 509,167
Freeport-McMoRan, Inc., 4.55%, 11/14/24 4.55 11/14/2024 1,650,000 1,613,976
Icon Brand Holdings LLC, 4.229%, 1/26/43 (144A) 4.229 01/26/2043 1,801,000 1,560,445
Duke Energy Progress, Inc., 4.15%, 12/1/44 4.15 12/01/2044 8,700,000 9,634,453
Invitation Homes 2014-SFR3 Trust, Floating Rate Note, 12/17/31 (144A) 1.375 12/17/2031 1,700,000 1,694,836
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 11/25/33 2.5836 11/25/2033 9,200,000 460,642
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 3.5425 05/05/2017 1,200,000 1,201,380
FCA US LLC, Term Loan B, 5/24/17 3.5 05/24/2017 3,768,188 3,770,535
GTP Cellular Sites LLC, 3.721%, 3/15/17 (144A) 3.721 03/15/2017 800,000 793,325
Toyota Motor Credit Corp., 2.125%, 7/18/19 2.125 07/18/2019 5,000,000 5,101,290
Fannie Mae, 6.5%, 7/1/34 6.5 07/01/2034 1,095,000 35,523
Altrl Zero% 30jun16 0.0 06/30/2016 937,930 673,715
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 0.6156 10/25/2030 5,000,000 412,604
Irwin Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/25 0.3938 06/25/2025 15,300,000 2,982,246
Government National Mortgage Association II, 4.5%, 3/20/35 4.5 03/20/2035 500,000 80,990
American Homes 4 Rent 2014-SFR3 Trust, 4.596%, 12/18/36 (144A) 4.596 12/18/2036 2,800,000 2,970,007
Citigroup Capital XIII, Floating Rate Note, 10/30/40 7.875 10/30/2040 88,028 2,334,503
TransCanada PipeLines, Ltd., 1.875%, 1/12/18 1.875 01/12/2018 4,425,000 4,485,116
JP Morgan Mortgage Trust 2004-S1, 5.0%, 9/25/34 5.0 09/25/2034 17,960,288 916,762
Sequoia Mortgage Trust 2005-2, Floating Rate Note, 3/20/35 0.396 03/20/2035 13,325,000 1,206,031
Fannie Mae, 3.0%, 9/1/43 3.0 09/01/2043 6,720,470 6,418,104
Syniverse Holdings, Inc., Initial Term Loan, 4/23/19 4.0 04/23/2019 333,333 316,111
Fannie Mae, 4.0%, 7/1/18 4.0 07/01/2018 675,000 33,739
Halliburton Co., 7.6%, 8/15/96 (144A) 7.6   2,250,000 3,363,633
Federal Home Loan Mortgage Corp., 4.0%, 2/1/44 4.0 02/01/2044 700,000 675,214
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 0.9538 11/25/2034 19,339,000 2,489,930
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 1.5238 06/25/2033 2,336,716 1,247,964
QBE Insurance Group, Ltd., 2.4%, 5/1/18 (144A) 2.4 05/01/2018 1,100,000 1,121,773
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42 5.0064 08/15/2042 2,800,000 2,841,672
Nortek Inc 1st Lien Tl-B L + 3% 31dec20 3.5 12/31/2020 1,379,420 1,374,823
Government National Mortgage Association I, 6.0%, 8/15/36 6.0 08/15/2036 4,350,000 460,068
Crown Castle Towers LLC, 6.113%, 1/15/20 (144A) 6.113 01/15/2020 1,625,000 1,858,182
The Bank of New York Mellon Corp., Floating Rate Note (Perpetual) 4.5 12/31/2049 1,250,000 1,200,156
NextGear Floorplan Master Owner Trust, 2.61%, 10/15/19 (144A) 2.61 10/15/2019 1,000,000 1,004,928
Fannie Mae, 4.5%, 1/1/42 4.5 01/01/2042 11,834,581 9,033,241
Hologic, Inc., Refinancing Tranche B Term Loan, 8/1/19 3.25 08/01/2019 406,866 407,788
Federal Home Loan Mortgage Corp., 5.5%, 11/1/34 5.5 11/01/2034 550,000 41,109
Bank of America Corp., 4.2%, 8/26/24 4.2 08/26/2024 1,150,000 1,194,447
Fannie Mae, 4.5%, 11/1/43 4.5 11/01/2043 800,000 805,665
Banc of America Funding 2003-3 Trust, 5.5%, 10/25/33 5.5 10/25/2033 3,903,805 691,779
WASH Multifamily Laundry Systems LLC, U.S. Term Loan, 2/21/19 4.5032 02/21/2019 159,576 159,775
SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A) 2.0 09/20/2029 1,200,000 563,101
Blackstone Holdings Finance Co LLC, 5.0%, 6/15/44 (144A) 5.0 06/15/2044 1,725,000 1,896,069
Fannie Mae, 4.0%, 11/1/44 4.0 11/01/2044 225,000 230,753
Kane Zero% 15jan16 0.0 01/15/2016 1,012,000 1,016,655
Fannie Mae, 6.5%, 8/1/31 6.5 08/01/2031 1,500,000 10,837
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 2.02 01/15/2019 1,200,000 1,199,897
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 2.2245 09/18/2031 3,360,000 3,375,350
Fannie Mae, 8.0%, 10/1/30 8.0 10/01/2030 155,531 798
Fannie Mae, 5.5%, 6/1/36 5.5 06/01/2036 6,000,000 396,599
Becton Dickinson and Co., 3.734%, 12/15/24 3.734 12/15/2024 10,525,000 11,131,193
Fannie Mae, 8.0%, 7/1/30 8.0 07/01/2030 100,000 582
Bank of America Corp., 7.75%, 8/15/15 7.75 08/15/2015 1,100,000 1,137,917
Springleaf Mortgage Loan Trust 2012-2, Floating Rate Note, 10/25/57 (144A) 2.22 10/25/2057 3,200,000 1,306,488
Medtronic, Inc., 4.625%, 3/15/45 (144A) 4.625 03/15/2045 7,300,000 8,289,351
CommScope, Inc., Tranche 4 Term Loan, 1/14/18 3.25 01/14/2018 489,771 489,869
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 9,171,532 420,628
Government National Mortgage Association I, 6.0%, 9/15/33 6.0 09/15/2033 500,663 27,732
Fannie Mae, 4.5%, 12/1/43 4.5 12/01/2043 20,000,000 18,095,329
Government National Mortgage Association I, 6.5%, 7/15/35 6.5 07/15/2035 666,356 61,552
General Motors Financial Co, Inc., 4.0%, 1/15/25 4.0 01/15/2025 6,525,000 6,712,227
Government National Mortgage Association I, 6.5%, 6/15/34 6.5 06/15/2034 1,330,499 199,708
International Paper Co., 3.65%, 6/15/24 3.65 06/15/2024 6,975,000 7,186,511
Merrill Lynch Mortgage Trust 2005-LC1, Floating Rate Note, 1/12/44 5.291 01/12/2044 4,000,000 3,568,131
Baylor University, 4.313%, 3/1/42 4.313 03/01/2042 1,025,000 1,128,704
Federal Home Loan Mortgage Corp., 3.5%, 8/1/43 3.5 08/01/2043 4,521,618 4,412,893
Residential Asset Securitization Trust 2004-A9, 5.75%, 12/25/34 5.75 12/25/2034 3,690,000 1,262,832
Fannie Mae, 6.5%, 6/1/31 6.5 06/01/2031 2,750,000 88,974
International Paper Co., 6.0%, 11/15/41 6.0 11/15/2041 2,400,000 2,903,116
Federal Home Loan Mortgage Corp., 4.0%, 5/1/44 4.0 05/01/2044 12,595,000 11,245,593
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 8.1252 01/07/2016 250,000 258,822
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 1,076,561 1,044,617
Federal Home Loan Mortgage Corp., 6.5%, 2/1/33 6.5 02/01/2033 62,297 4,218
Bombardier, Inc., 4.75%, 4/15/19 (144A) 4.75 04/15/2019 1,960,000 1,963,729
JPMorgan Chase & Co., Floating Rate Note, 12/29/49 6.125 12/29/2049 1,890,000 1,976,167
Fannie Mae, 6.0%, 2/1/32 6.0 02/01/2032 2,379,023 38,469
Fannie Mae, 6.0%, 6/1/16 6.0 06/01/2016 4,000,000 9,606
Fannie Mae, 6.0%, 7/1/33 6.0 07/01/2033 10,874,932 235,699
Fannie Mae, 3.5%, 5/13/15 3.5 05/13/2015 13,008,000 13,650,446
Catalent 1st Lien Tl-B L + 3.5% 08may21 4.25 05/08/2021 1,641,254 1,650,359
Federal Home Loan Mortgage Corp., 5.5%, 11/1/34 5.5 11/01/2034 1,900,000 199,994
Ascentium Equipment Receivables 2015-1 LLC, 3.24%, 1/10/22 (144A) 3.24 01/10/2022 2,200,000 2,215,398
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 2.4472 11/25/2034 6,054,578 576,850
Grain Spectrum Funding II LLC, 3.29%, 10/10/19 (144A) 3.29 10/10/2019 1,400,000 1,424,908
American Honda Finance Corp., 1.2%, 7/14/17 1.2 07/14/2017 5,985,000 6,015,869
COMM 2012-CCRE2 Mortgage Trust REMICS, 3.791%, 8/17/45 3.791 08/17/2045 450,000 484,547
Queen Street VI Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 10.3625 04/09/2015 250,000 263,081
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 3,475,000 188,614
Prudential Financial, Inc., Floating Rate Note, 6/15/43 5.625 06/15/2043 1,500,000 1,614,844
NRP Mortgage Trust 2013-1, Floating Rate Note, 7/25/43 (144A) 3.25 07/25/2043 5,440,000 5,064,912
Nuance Communications, Inc., Term C Loan, 8/7/19 2.93 08/07/2019 369,800 366,749
Government National Mortgage Association I, 4.0%, 8/15/40 4.0 08/15/2040 38,807 17,789
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 8.6049 01/05/2017 1,000,000 1,070,733
Government National Mortgage Association I, 4.0%, 2/15/42 4.0 02/15/2042 128,311 78,204
Fannie Mae, 4.5%, 5/1/41 4.5 05/01/2041 17,795,568 4,681,197
Cincinnati Bell, Inc., Tranche B Term Loan, 9/10/20 4.0 09/10/2020 1,925,675 1,926,478
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.7652 04/30/2018 3,700,000 3,789,078
Government National Mortgage Association I, 7.0%, 8/15/31 7.0 08/15/2031 17,500,000 203,577
WF-RBS Commercial Mortgage Trust 2011-C2, Floating Rate Note, 2/15/44 (144A) 5.466 02/15/2044 1,323,000 1,450,511
Interactive Data 1st Lien Tl-B L + 3.75% 24apr21 4.75 04/24/2021 744,918 749,457
Successor X, Ltd., Floating Rate Note, 11/10/15 (Cat Bond) (144A) 11.2551 11/10/2015 250,000 261,081
Fannie Mae, 7.0%, 12/1/30 7.0 12/01/2030 525,099 10,099
Activision Blizzard, Inc., 6.125%, 9/15/23 (144A) 6.125 09/15/2023 650,000 710,269
The PNC Financial Services Group, Inc., Floating Rate Note (Perpetual) 4.4815 02/21/2049 6,273,000 6,316,001
Fifth Third Bancorp, Floating Rate Note (Perpetual) 6.625 12/31/2049 17,380 490,985
Government National Mortgage Association I, 4.0%, 3/15/44 4.0 03/15/2044 454,143 356,217
PFS Financing Corp., Floating Rate Note, 10/15/19 (144A) 1.0245 10/15/2019 1,000,000 999,751
KKR Group Finance Co II LLC, 5.5%, 2/1/43 (144A) 5.5 02/01/2043 5,025,000 5,412,863
Government National Mortgage Association I, 6.5%, 5/15/31 6.5 05/15/2031 2,567,327 32,576
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 1.1138 12/25/2034 24,739,000 750,319
Prudential Financial, Inc., Floating Rate Note, 6/15/68 8.875 06/15/2068 2,140,000 2,578,447
Sequoia Mortgage Trust 2013-10, Floating Rate Note, 8/25/43 (144A) 3.591 08/25/2043 7,372,000 7,076,325
Fannie Mae, 3.0%, 9/1/42 3.0 09/01/2042 7,819,203 7,072,125
Boardwalk Pipelines LP, 4.95%, 12/15/24 4.95 12/15/2024 5,550,000 5,689,197
Federal Home Loan Mortgage Corp., 6.0%, 12/1/36 6.0 12/01/2036 860,000 63,056
New York State Electric & Gas Corp., 6.15%, 12/15/17 (144A) 6.15 12/15/2017 5,055,000 5,719,744
Amphenol Corp., 3.125%, 9/15/21 3.125 09/15/2021 3,675,000 3,771,711
JobsOhio Beverage System, 4.532%, 1/1/35 4.532 01/01/2035 1,035,000 1,177,095
Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37 0.3238 03/25/2037 550,000 293,492
Fannie Mae, 4.0%, 8/1/42 4.0 08/01/2042 20,000,000 15,605,410
FREMF Mortgage Trust 2012-K710, Floating Rate Note, 6/25/47 (144A) 3.8192 06/25/2047 2,010,000 2,114,466
Penske Truck Leasing Co Lp, 3.375%, 2/1/22 (144A) 3.375 02/01/2022 8,850,000 8,883,004
Government National Mortgage Association I, 6.5%, 7/15/32 6.5 07/15/2032 14,653,970 214,849
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 9.0051 06/06/2015 1,125,000 1,145,138
LSTAR Securities Investment Trust 2015-1, Floating Rate Note, 1/1/20 (144A) 2.1709 01/01/2020 4,970,000 4,861,528
Hyundai Capital America, 2.0%, 3/19/18 (144A) 2.0 03/19/2018 3,125,000 3,177,143
Ormat Funding Corp., 8.25%, 12/30/20 8.25 12/30/2020 555,000 263,137
Fannie Mae, 4.0%, 5/1/44 4.0 05/01/2044 3,800,000 3,437,719
Government National Mortgage Association I, 5.5%, 8/15/19 5.5 08/15/2019 4,380,618 195,216
Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A) 1.1719 09/25/2037 5,372,163 676,493
Government National Mortgage Association I, 4.0%, 9/15/41 4.0 09/15/2041 2,091,451 1,016,051
Government National Mortgage Association I, 6.5%, 7/15/35 6.5 07/15/2035 3,323,439 105,709
Government National Mortgage Association I, 6.5%, 12/15/32 6.5 12/15/2032 25,822,328 581,866
Government National Mortgage Association I, 5.5%, 2/15/35 5.5 02/15/2035 2,043,628 117,398
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 2.623 07/25/2033 27,814,878 1,190,749
Government National Mortgage Association I, 6.0%, 4/15/18 6.0 04/15/2018 1,038,016 24,387
Government National Mortgage Association I, 7.0%, 6/15/31 7.0 06/15/2031 3,800,000 48,351
RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35 5.25 07/25/2035 1,745,152 885,449
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 3.9752 05/18/2016 2,450,000 2,474,329
Government National Mortgage Association I, 4.5%, 6/15/41 4.5 06/15/2041 3,601,538 1,946,358
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 216,972 198,444
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 978,436 1,045,046
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 1.6 06/19/2031 2,200,000 2,181,315
Government National Mortgage Association I, 4.5%, 9/15/35 4.5 09/15/2035 393,589 53,938
Affiliated Managers Group, Inc., 4.25%, 2/15/24 4.25 02/15/2024 2,525,000 2,709,725
DaVita HealthCare Partners, Inc., Tranche B Term Loan, 6/19/21 3.5 06/19/2021 251,775 252,697
Southern California Edison Co., Floating Rate Note (Perpetual) 6.25 12/31/2049 2,200,000 2,486,917
Scientific Games International Inc 1st Lien Tl-B2 L + 5% 17sep21 6.0 09/17/2021 4,339,125 4,354,794
Federal Home Loan Mortgage Corp., 6.5%, 10/1/33 6.5 10/01/2033 2,000,000 54,210
Fannie Mae, 4.0%, 11/1/44 4.0 11/01/2044 10,545,000 10,933,390
Sotheby's, 5.25%, 10/1/22 (144A) 5.25 10/01/2022 1,300,000 1,311,375
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 1,500,000 1,570,708
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 2.49 02/25/2034 20,103,000 1,762,144
Government National Mortgage Association I, 6.5%, 8/15/31 6.5 08/15/2031 913,650 84,862
Teachers Insurance & Annuity Association of America, 6.85%, 12/16/39 (144A) 6.85 12/16/2039 3,205,000 4,530,274
DIRECTV Holdings LLC, 3.95%, 1/15/25 3.95 01/15/2025 4,900,000 5,107,498
Government National Mortgage Association, 4.973%, 4/16/42 4.973 04/16/2042 375,000 32,108
Federal Home Loan Mortgage Corp., 6.5%, 5/1/31 6.5 05/01/2031 1,043,809 12,342
Government National Mortgage Association I, 6.0%, 6/15/33 6.0 06/15/2033 368,522 16,493
Government National Mortgage Association I, 5.0%, 7/15/33 5.0 07/15/2033 1,500,150 166,416
Government National Mortgage Association I, 4.0%, 3/15/44 4.0 03/15/2044 1,083,496 993,820
Fannie Mae, 6.0%, 8/1/34 6.0 08/01/2034 3,757,089 243,934
Wells Fargo & Co., 7.5% (Perpetual) 7.5 12/31/2049 5,610 6,861,030
Ford Motor Credit Co LLC, 3.219%, 1/9/22 3.219 01/09/2022 6,425,000 6,607,439
Kane Ilw Zero% 02feb16 0.0 02/02/2016 1,000,000 935,000
Citigroup, Inc., Floating Rate Note (Perpetual) 5.875 12/31/2049 2,925,000 2,966,813
New Residential Mortgage Loan Trust 2014-2, Floating Rate Note, 5/26/54 (144A) 3.75 05/26/2054 4,141,000 3,723,438
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 0.3445 04/16/2035 5,102,315 1,972,727
Government National Mortgage Association I, 6.5%, 9/15/34 6.5 09/15/2034 121,399 4,876
Enterprise Products Operating LLC, 3.9%, 2/15/24 3.9 02/15/2024 5,310,000 5,581,943
Agate Bay Mortgage Trust 2015-2, Floating Rate Note, 3/25/45 (144A) 3.5 03/25/2045 6,830,000 7,034,544
Government National Mortgage Association I, 7.0%, 10/15/31 7.0 10/15/2031 2,044,706 7,672
San Diego Gas & Electric Co., 1.914%, 2/1/22 1.914 02/01/2022 3,150,000 3,173,071
United Auto Credit Securitization Trust 2015-1, 2.92%, 6/17/19 (144A) 2.92 06/17/2019 2,140,000 2,140,542
Buckeye Partners LP, 4.15%, 7/1/23 4.15 07/01/2023 5,425,000 5,421,631
Sumitomo Mitsui Banking Corp., 1.75%, 1/16/18 1.75 01/16/2018 1,800,000 1,809,524
Brixmor Operating Partnership LP, 3.85%, 2/1/25 3.85 02/01/2025 4,225,000 4,260,093
Fannie Mae, 6.5%, 4/1/31 6.5 04/01/2031 500,000 3,467
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 1.376 11/20/2036 5,300,000 1,147,286
JG Wentworth XXII LLC, 3.82%, 12/15/48 (144A) 3.82 12/15/2048 1,100,000 727,144
Government National Mortgage Association I, 6.5%, 2/15/32 6.5 02/15/2032 3,127,662 42,190
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 2.3704 08/25/2033 18,254,000 1,126,596
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 3.0 06/25/2043 916,000 804,329
STORE Master Funding LLC, 5.77%, 8/20/42 (144A) 5.77 08/20/2042 2,095,000 2,192,745
Massachusetts Development Finance Agency, 5.25%, 4/1/37 5.25 04/01/2037 325,000 384,267
Bella Vista Mortgage Trust 2004-1, Floating Rate Note, 11/20/34 0.876 11/20/2034 66,102,000 1,681,496
The Valspar Corp., 3.3%, 2/1/25 3.3 02/01/2025 3,025,000 3,059,390
Fannie Mae, 4.5%, 4/1/41 4.5 04/01/2041 6,978,836 3,363,917
Government National Mortgage Association I, 6.5%, 4/15/32 6.5 04/15/2032 235,320 11,648
Morgan Stanley, Floating Rate Note (Perpetual) 6.375 12/31/2049 110,230 2,870,389
BAMLL Commercial Mortgage Securities Trust 2015-ASHF, Floating Rate Note, 1/18/28 (144A) 1.885 01/18/2028 4,200,000 4,201,158
SpringCastle America Funding LLC, 2.7%, 5/25/23 2.7 05/25/2023 2,600,000 2,157,553
Iberdrola International BV, 6.75%, 7/15/36 6.75 07/15/2036 4,475,000 5,945,722
Government National Mortgage Association II, 7.0%, 1/20/29 7.0 01/20/2029 8,400,000 117,341
SLM Student Loan Trust 2004-10, Floating Rate Note, 4/27/26 (144A) 1.0061 04/27/2026 900,000 895,313
OXEA Sarl, Tranche B-2 Term Loan (First Lien), 1/15/20 4.25 01/15/2020 194,627 189,396
Fannie Mae, 3.5%, 12/1/26 3.5 12/01/2026 4,340,805 2,172,199
Viterra, Inc., 5.95%, 8/1/20 (144A) 5.95 08/01/2020 5,175,000 5,872,666
DynCorp International, Inc., Term Loan, 7/7/16 6.25 07/07/2016 425,419 423,292
Citigroup Mortgage Loan Trust, Inc. REMICS, Floating Rate Note, 8/25/34 2.1762 08/25/2034 17,660,000 3,063,888
Structured Asset Securities Corp., 4.77%, 10/25/34 (Step) 4.77 10/25/2034 2,100,000 124,616
Fannie Mae, 5.5%, 5/1/36 5.5 05/01/2036 4,000,000 290,667
Government National Mortgage Association I, 5.5%, 8/15/33 5.5 08/15/2033 299,970 32,854
Federal Home Loan Mortgage Corp., 5.0%, 6/1/35 5.0 06/01/2035 4,244,107 470,196
Fannie Mae, 4.0%, 4/1/42 4.0 04/01/2042 1,100,000 719,668
Ohio Higher Educational Facility Commission, 5.0%, 1/1/42 5.0 01/01/2042 1,765,000 2,004,811
Texas Competitive Electric Holdings Co LLC, DIP Delayed Draw Term Loan (2014), 5/5/16 3.75 05/05/2016 1,285,660 1,293,856
Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A) 1.87 08/20/2029 750,000 221,158
Fannie Mae, 4.5%, 12/1/41 4.5 12/01/2041 2,500,000 1,374,824
Federal Home Loan Mortgage Corp., 6.0%, 6/1/35 6.0 06/01/2035 3,778,102 146,551
Sequoia Mortgage Trust 2013-6, Floating Rate Note, 5/26/43 3.0 05/26/2043 2,450,000 2,176,846
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.1512 04/30/2018 350,000 355,408
GLP Capital LP, 4.375%, 11/1/18 4.375 11/01/2018 1,010,000 1,056,186
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 3.0 05/15/2018 3,048,000 1,067,510
HOA Funding LLC, 4.846%, 8/22/44 (144A) 4.846 08/22/2044 3,050,000 3,043,714
Federal Home Loan Mortgage Corp., 6.5%, 1/1/33 6.5 01/01/2033 39,165 482
Government National Mortgage Association I, 6.5%, 3/15/29 6.5 03/15/2029 5,001,628 98,230
Government National Mortgage Association I, 5.5%, 7/15/33 5.5 07/15/2033 1,500,000 132,032
Fannie Mae, 4.0%, 5/13/15 4.0 05/13/2015 11,928,000 12,749,043
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 2.4925 10/25/2033 11,067,000 812,719
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 0.9738 10/25/2034 9,584,000 480,153
Spirit Master Funding LLC, 4.6291%, 1/20/45 (144A) 4.6291 01/20/2045 3,300,000 3,477,730
MASTR Alternative Loan Trust 2004-6, 6.0%, 7/25/34 6.0 07/25/2034 11,100,000 2,148,565
Glencore Funding LLC, 4.125%, 5/30/23 (144A) 4.125 05/30/2023 1,175,000 1,212,903
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 2,018,867 2,023,106
Government National Mortgage Association I, 5.0%, 4/15/35 5.0 04/15/2035 2,500,000 642,072
Fannie Mae, 5.0%, 7/1/40 5.0 07/01/2040 5,000,000 2,076,525
Blackstone Holdings Finance Co LLC, 6.25%, 8/15/42 (144A) 6.25 08/15/2042 1,975,000 2,539,362
Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A) 3.721 11/16/2044 2,250,000 1,979,063
Federal Home Loan Mortgage Corp., 6.5%, 1/1/31 6.5 01/01/2031 66,916 198
Delta Air Lines, Inc., Term Loan, 4/20/17 3.25 04/20/2017 1,650,000 1,651,800
Federal Home Loan Mortgage Corp., 7.0%, 11/1/30 7.0 11/01/2030 1,000,100 4,311
American Credit Acceptance Receivables Trust 2012-2, 4.05%, 2/15/18 (144A) 4.05 02/15/2018 428,000 366,805
CBS Corp., 4.6%, 1/15/45 4.6 01/15/2045 2,250,000 2,313,273
Fannie Mae, 6.0%, 9/1/34 6.0 09/01/2034 6,273,165 185,796
NOVA Chemicals Corp., 5.0%, 5/1/25 (144A) 5.0 05/01/2025 40,000 42,650
Merrill Lynch Mortgage Investors Trust Series 2005-A3, Floating Rate Note, 4/25/35 0.4438 04/25/2035 27,604,109 3,090,087
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 4.25 04/25/2034 8,370,000 189,131
Government National Mortgage Association I, 6.5%, 3/15/31 6.5 03/15/2031 1,000,000 14,474
DCP Midstream LLC, 9.75%, 3/15/19 (144A) 9.75 03/15/2019 2,900,000 3,238,480
JP Morgan Mortgage Trust 2013-1, Floating Rate Note, 3/25/43 (144A) 3.5406 03/25/2043 4,000,000 3,670,666
Nakilat, Inc., 6.267%, 12/31/33 (144A) 6.267 12/31/2033 2,450,000 2,604,771
Fannie Mae, 4.5%, 7/1/41 4.5 07/01/2041 5,000,000 2,780,740
Citicorp Residential Mortgage Trust Series 2006-2, 5.775%, 9/25/36 (Step) 5.775 09/25/2036 600,000 291,536
Washington Suburban Sanitary Commission, 4.0%, 6/1/43 4.0 06/01/2043 1,620,000 1,733,063
Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 6.0 12/01/2033 3,297,768 140,545
Government National Mortgage Association I, 4.0%, 2/15/41 4.0 02/15/2041 25,888 18,986
Federal Home Loan Mortgage Corp., 4.5%, 11/1/43 4.5 11/01/2043 637,703 498,766
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 3,044,810 152,236
Government National Mortgage Association I, 6.5%, 10/15/31 6.5 10/15/2031 477,508 9,479
Bear Stearns ALT-A Trust 2005-1, Floating Rate Note, 1/25/35 0.7338 01/25/2035 13,520,000 975,005
Avg Technologies Nv 1st Lien Tl-B L + 4.75% 07oct20 5.75 10/07/2020 608,475 608,095
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 0.5238 06/25/2034 24,782,615 1,979,556
Government National Mortgage Association I, 5.5%, 2/15/18 5.5 02/15/2018 4,000,000 132,497
Approach Resources, Inc., 7.0%, 6/15/21 7.0 06/15/2021 1,500,000 1,373,417
Navios Maritime Partners LP, Term Loan, 6/27/18 5.25 06/27/2018 654,908 660,638
Morgan Stanley Capital I Trust 2005-HQ6 REMICS, Floating Rate Note, 8/13/42 5.073 08/13/2042 2,400,000 2,418,932
Charter Communications Operating LLC, Term F Loan, 12/31/20 3.0 12/31/2020 1,694,813 1,690,443
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/30 5.0 12/15/2030 1,050,000 1,180,706
Federal Home Loan Mortgage Corp., 6.0%, 1/1/33 6.0 01/01/2033 1,890,000 72,728
Government National Mortgage Association I, 6.0%, 9/15/34 6.0 09/15/2034 1,374,301 249,089
Liberty Mutual Insurance Co., 7.697% (Perpetual) (144A) 7.697   5,325,000 7,132,580
CSMC Trust 2013-IVR4, Floating Rate Note, 7/27/43 (144A) 3.0 07/27/2043 3,790,000 3,354,398
Government National Mortgage Association I, 4.0%, 3/15/44 4.0 03/15/2044 33,576 30,962
Federal Home Loan Mortgage Corp., 4.0%, 11/1/41 4.0 11/01/2041 21,893,143 16,785,760
Federal Home Loan Mortgage Corp., 6.0%, 6/1/35 6.0 06/01/2035 3,600,000 146,012
FREMF Mortgage Trust 2010-K9 REMICS, Floating Rate Note, 9/25/45 (144A) 5.1942 09/25/2045 890,000 1,005,258
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 1.18 08/15/2017 2,126,000 363,678
Government National Mortgage Association I, 4.0%, 1/15/41 4.0 01/15/2041 281,135 165,680
Fannie Mae, 5.0%, 6/1/25 5.0 06/01/2025 6,134,875 6,441,294
Federal Home Loan Mortgage Corp., 6.0%, 5/1/34 6.0 05/01/2034 1,440,424 238,314
Government National Mortgage Association I, 6.0%, 10/15/32 6.0 10/15/2032 2,001,957 57,769
Government National Mortgage Association I, 6.5%, 8/15/32 6.5 08/15/2032 2,400,000 34,309
Air Canada 2015-1 Class A Pass Through Trust, 3.6%, 9/15/28 (144A) 3.6 09/15/2028 4,025,000 4,041,543
Fannie Mae, 7.0%, 1/1/32 7.0 01/01/2032 1,701,763 31,527
Fannie Mae, 6.0%, 7/1/38 6.0 07/01/2038 974,925 81,263
Export-Import Bank of Korea, 2.25%, 1/21/20 2.25 01/21/2020 7,475,000 7,579,672
Federal National Mortgage Association REMICS, 10.3%, 4/25/19 10.3 04/25/2019 1,000,000 3,698
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 0.7738 06/25/2034 34,555,000 2,619,580
Cisco Systems, Inc., 3.625%, 3/4/24 3.625 03/04/2024 3,485,000 3,774,261
Fannie Mae, 4.5%, 11/1/43 4.5 11/01/2043 430,000 428,119
Spirit Master Funding VII LLC, 3.8868%, 12/20/43 3.8868 12/20/2043 700,000 722,545
Government National Mortgage Association I, 7.0%, 11/15/28 7.0 11/15/2028 4,530,958 80,429
The University of Texas System, 5.0%, 8/15/43 5.0 08/15/2043 525,000 607,435
FREMF Mortgage Trust 2013-K502, Floating Rate Note, 3/27/45 (144A) 3.1912 03/27/2045 900,000 919,146
The Priceline Group, Inc., 3.65%, 3/15/25 3.65 03/15/2025 7,375,000 7,518,776
Nordea Bank AB, Floating Rate Note (Perpetual) (144A) 6.125 12/31/2049 5,600,000 5,786,150
Government National Mortgage Association I, 6.0%, 11/15/31 6.0 11/15/2031 1,614,291 54,887
Government National Mortgage Association I, 5.5%, 11/15/19 5.5 11/15/2019 2,683,028 331,739
Fannie Mae, 8.0%, 4/1/30 8.0 04/01/2030 150,000 695
Government National Mortgage Association I, 6.0%, 2/15/29 6.0 02/15/2029 2,700,000 157,135
Fannie Mae, 8.0%, 2/1/29 8.0 02/01/2029 240,000 2,898
Structured Asset Investment Loan Trust 2006-1, Floating Rate Note, 1/25/36 0.3738 01/25/2036 5,475,000 1,164,428
Federal Home Loan Mortgage Corp., 3.0%, 8/1/29 3.0 08/01/2029 4,875,000 4,888,538
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2.0203 04/07/2017 1,000,000 1,001,256
Air Canada 2013-1 Class A Pass Through Trust, 4.125%, 11/15/26 (144A) 4.125 11/15/2026 5,000,000 5,085,709
BioMed Realty LP, 4.25%, 7/15/22 4.25 07/15/2022 900,000 948,118
Barclays Plc, 3.65%, 3/16/25 3.65 03/16/2025 5,250,000 5,286,865
Nations Equipment Finance Funding II LLC, 3.276%, 1/22/19 (144A) 3.276 01/22/2019 1,000,000 957,414
Capital Automotive Real Estate Investment Trust, 3.66%, 10/17/44 (144A) 3.66 10/17/2044 3,000,000 3,039,667
Government National Mortgage Association I, 6.5%, 1/15/33 6.5 01/15/2033 263,074 6,128
Government National Mortgage Association II, 5.5%, 10/20/19 5.5 10/20/2019 4,728,248 439,382
Rowan Companies, Inc., 4.75%, 1/15/24 4.75 01/15/2024 6,185,000 5,914,999
Government National Mortgage Association I, 5.5%, 10/15/33 5.5 10/15/2033 1,509,492 119,269
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 8.0051 06/06/2016 800,000 848,382
Structured Asset Securities Corp Trust 2005-14, Floating Rate Note, 7/25/35 0.4738 07/25/2035 6,935,000 639,320
Israel Electric Corp, Ltd., 7.25%, 1/15/19 (144A) 7.25 01/15/2019 1,925,000 2,190,276
Fannie Mae, 4.0%, 11/1/44 4.0 11/01/2044 4,035,000 4,259,739
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 0.3445 04/15/2022 1,682,691 232,485
Altice Financing SA, 7.875%, 12/15/19 (144A) 7.875 12/15/2019 1,675,000 1,814,339
Fannie Mae, 6.5%, 2/1/32 6.5 02/01/2032 1,000,100 5,817
Government National Mortgage Association I, 5.5%, 10/15/35 5.5 10/15/2035 1,001,204 152,585
VFC 2015-3 LLC, 2.75%, 12/20/31 (144A) 2.75 12/20/2031 2,000,000 1,996,941
Fannie Mae, 5.0%, 2/1/20 5.0 02/01/2020 700,000 61,509
Canadian Natural Resources, Ltd., 6.5%, 2/15/37 6.5 02/15/2037 2,230,000 2,634,568
Fannie Mae, 5.0%, 5/1/23 5.0 05/01/2023 4,380,644 590,935
HLSS Servicer Advance Receivables Trust, 1.7436%, 1/16/46 (144A) 1.7436 01/16/2046 1,620,000 1,621,579
Hyatt Hotel Portfolio Trust 2015-HYT, Floating Rate Note, 11/15/29 (144A) 1.875 11/15/2029 2,100,000 2,105,190
BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros, 5.5%, 7/16/20 (144A) 5.5 07/16/2020 3,200,000 3,444,667
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 0.6738 06/25/2035 4,920,000 1,636,338
Blue Danube II, Ltd., Floating Rate Note, 5/23/18 (Cat Bond) (144A) 4.2787 05/23/2018 2,300,000 2,310,804
Federal Home Loan Mortgage Corp., 6.0%, 8/1/34 6.0 08/01/2034 3,000,000 194,937
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 5.23 12/17/2040 5,025,000 3,338,289
Government National Mortgage Association I, 6.0%, 1/15/19 6.0 01/15/2019 548,488 30,401
Standard Chartered Plc, 3.95%, 1/11/23 (144A) 3.95 01/11/2023 4,800,000 4,861,391
Valero Energy Corp., 6.625%, 6/15/37 6.625 06/15/2037 2,825,000 3,542,024
Colony Multifamily Mortgage Trust 2014-1, 2.5432%, 4/22/50 (144A) 2.5432 04/22/2050 4,000,000 3,531,019
CSMC Trust 2013-IVR4, Floating Rate Note, 7/27/43 (144A) 3.0 07/27/2043 2,860,000 2,521,101
Legg Mason, Inc., 5.625%, 1/15/44 5.625 01/15/2044 4,290,000 5,131,943
Fannie Mae, 5.5%, 6/1/33 5.5 06/01/2033 1,148,000 51,195
Queen Street V Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 8.5 04/09/2015 250,000 255,303
Entegris, Inc., 6.0%, 4/1/22 (144A) 6.0 04/01/2022 2,500,000 2,681,250
Acgl Zero% 01jul16 0.0 07/01/2016 1,000,000 1,011,000
Government National Mortgage Association I, 4.5%, 3/15/35 4.5 03/15/2035 784,949 46,269
JPMorgan Chase & Co., Floating Rate Note, 8/29/49 6.75 08/29/2049 4,815,000 5,278,444
Government National Mortgage Association I, 5.5%, 2/15/37 5.5 02/15/2037 575,000 75,427
Fannie Mae, 6.5%, 7/1/29 6.5 07/01/2029 500,000 10,620
NRG Energy, Inc., Term Loan (2013), 7/1/18 2.75 07/01/2018 1,319,105 1,314,799
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 10.0051 06/06/2016 275,000 294,779
Pinnacle Entertainment, Inc., Tranche B-2 Term Loan, 8/13/20 3.75 08/13/2020 691,568 692,504
Wells Fargo Alternative Loan 2005-2 Trust, Floating Rate Note, 10/25/35 0.9938 10/25/2035 1,233,457 1,227,601
Federal Home Loan Mortgage Corp., 3.5%, 3/1/45 3.5 03/01/2045 5,000,000 5,241,797
Government National Mortgage Association I, 4.0%, 11/15/44 4.0 11/15/2044 1,537,490 1,642,594
Expedia, Inc., 4.5%, 8/15/24 4.5 08/15/2024 5,900,000 5,996,908
Sequoia Mortgage Trust 2013-7, Floating Rate Note, 6/25/43 2.5 06/25/2043 14,077,000 11,993,631
Fannie Mae, 4.5%, 11/1/20 4.5 11/01/2020 6,500,000 477,966
Kane Zero% 22jan16 0.0 01/22/2016 800,000 814,240
Government National Mortgage Association I, 5.5%, 2/15/18 5.5 02/15/2018 4,000,000 160,642
MacDermid, Inc., Tranche B Term Loan (First Lien), 6/7/20 4.5 06/07/2020 913,849 918,826
DigitalGlobe, Inc., 5.25%, 2/1/21 (144A) 5.25 02/01/2021 2,600,000 2,622,750
Fannie Mae, 8.0%, 5/1/31 8.0 05/01/2031 45,000 401
GS Mortgage Securities Trust 2012-GCJ7, 3.377%, 5/12/45 3.377 05/12/2045 1,250,000 1,329,125
NRG Energy, Inc., 8.25%, 9/1/20 8.25 09/01/2020 2,000,000 2,131,250
Energy Transfer Partners LP, 4.05%, 3/15/25 4.05 03/15/2025 500,000 505,299
GATX Corp., 6.0%, 2/15/18 6.0 02/15/2018 5,660,000 6,277,063
Fannie Mae, 4.0%, 5/1/41 4.0 05/01/2041 3,008,750 1,362,531
Cummins, Inc., 5.65%, 3/1/98 5.65   3,727,000 4,397,436
CVS Pass-Through Trust, 5.298%, 1/11/27 (144A) 5.298 01/11/2027 1,200,000 727,390
Federal Home Loan Mortgage Corp., 4.5%, 10/1/20 4.5 10/01/2020 6,000,000 446,244
Wells Fargo Commercial Mortgage Trust 2012-LC5 REMICS, 3.539%, 10/17/45 3.539 10/17/2045 1,927,000 2,041,524
Fannie Mae, 6.5%, 10/1/31 6.5 10/01/2031 1,000,100 13,347
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 4.0253 05/05/2017 1,250,000 1,251,375
Government National Mortgage Association I, 5.5%, 7/15/33 5.5 07/15/2033 2,100,000 116,661
RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32 6.0 01/25/2032 9,900,000 364,112
Fannie Mae, 3.0%, 4/20/15 3.0 04/20/2015 3,900,000 4,094,472
Wells Fargo Mortgage Backed Securities 2003-L Trust, Floating Rate Note, 11/25/33 2.5535 11/25/2033 3,100,000 214,424
Valeant Pharmaceuticals Internatio 1st Lien Tl-Bf1 L + 3.25% 13mar22 4.0 03/13/2022 566,265 569,539
Fannie Mae, 4.0%, 2/1/42 4.0 02/01/2042 24,300,000 12,579,881
EP Energy LLC, 9.375%, 5/1/20 9.375 05/01/2020 1,800,000 1,955,813
Port Freeport Texas, 5.95%, 5/15/33 5.95 05/15/2033 3,965,000 4,530,678
Texas Transportation Commission State Highway Fund, 5.0%, 4/1/33 5.0 04/01/2033 1,000,000 1,204,180
Fannie Mae, 4.5%, 1/1/44 4.5 01/01/2044 15,989,536 14,179,444
Verizon Communications, Inc., 6.55%, 9/15/43 6.55 09/15/2043 1,934,000 2,524,006
Government National Mortgage Association I, 4.5%, 4/15/35 4.5 04/15/2035 1,999,800 314,464
Huntsman International LLC, Extended Term B Loan, 4/19/17 2.7231 04/19/2017 252,086 252,163
Sequoia Mortgage Trust 2013-7, Floating Rate Note, 6/25/43 3.0 06/25/2043 1,841,592 1,612,038
Government National Mortgage Association I, 4.0%, 11/15/40 4.0 11/15/2040 30,717 13,360
Federal Home Loan Mortgage Corp., 6.5%, 11/1/30 6.5 11/01/2030 53,302 495
Israel Electric Corp, Ltd., 9.375%, 1/28/20 (144A) 9.375 01/28/2020 610,000 777,083
Federal Home Loan Mortgage Corp., 5.0%, 11/1/34 5.0 11/01/2034 250,000 25,919
Federal Home Loan Mortgage Corp., 4.5%, 3/1/20 4.5 03/01/2020 4,000,000 238,464
Government National Mortgage Association I, 6.5%, 1/15/34 6.5 01/15/2034 1,311,303 18,170
Government National Mortgage Association I, 5.5%, 8/15/19 5.5 08/15/2019 2,543,276 196,607
Federal Home Loan Mortgage Corp., 7.0%, 9/1/22 7.0 09/01/2022 1,775,260 286,561
Banc of America Funding 2004-B Trust, Floating Rate Note, 12/20/34 0.536 12/20/2034 27,225,000 1,913,798
Assurant, Inc., 4.0%, 3/15/23 4.0 03/15/2023 3,900,000 4,074,271
WF-RBS Commercial Mortgage Trust 2011-C2, Floating Rate Note, 2/15/44 (144A) 5.392 02/15/2044 350,000 390,624
Fannie Mae, 4.0%, 4/1/41 4.0 04/01/2041 1,850,000 1,321,951
Government National Mortgage Association I, 6.0%, 12/15/32 6.0 12/15/2032 1,500,000 194,172
Verizon Communications, Inc., 5.012%, 8/21/54 5.012 08/21/2054 1,938,000 2,021,642
Freeport-McMoRan, Inc., 3.875%, 3/15/23 3.875 03/15/2023 1,850,000 1,717,037
GSR Mortgage Loan Trust 2005-AR1, Floating Rate Note, 1/25/35 2.6212 01/25/2035 5,115,000 971,487
Government National Mortgage Association I, 5.5%, 4/15/19 5.5 04/15/2019 25,000 2,154
Digital Realty Trust LP, 5.875%, 2/1/20 5.875 02/01/2020 725,000 829,317
Government National Mortgage Association I, 6.5%, 1/15/35 6.5 01/15/2035 62,679 887
Government National Mortgage Association I, 4.5%, 10/15/35 4.5 10/15/2035 2,106,954 216,754
GSR Mortgage Loan Trust 2004-7, Floating Rate Note, 6/25/34 2.6952 06/25/2034 14,810,263 1,740,734
Fannie Mae, 4.5%, 7/1/41 4.5 07/01/2041 5,000,000 2,417,325
Ensco Plc, 4.5%, 10/1/24 4.5 10/01/2024 4,725,000 4,687,219
Fannie Mae, 3.5%, 6/1/28 3.5 06/01/2028 5,531,277 4,677,098
EverBank Mortgage Loan Trust REMICS, Floating Rate Note, 4/25/43 (144A) 3.5065 04/25/2043 4,393,000 4,121,446
Government National Mortgage Association I, 4.0%, 10/15/44 4.0 10/15/2044 449,138 450,987
LeasePlan Corp NV, 2.5%, 5/16/18 (144A) 2.5 05/16/2018 1,475,000 1,505,432
Federal Home Loan Mortgage Corp., 6.5%, 4/1/34 6.5 04/01/2034 299,956 4,466
Bank of America Corp., Floating Rate Note (Perpetual) 6.1 12/31/2049 3,950,000 3,998,870
CS Intermediate Holdco 2 LLC, Term Loan, 3/28/21 4.0 03/28/2021 1,741,228 1,739,705
Government National Mortgage Association I, 4.5%, 4/15/35 4.5 04/15/2035 200,000 24,859
Sequoia Mortgage Trust 2004-12 REMICS, Floating Rate Note, 1/20/35 0.6336 01/20/2035 15,500,000 1,055,688
Sunoco Logistics Partners Operations LP, 4.25%, 4/1/24 4.25 04/01/2024 5,825,000 6,105,538
Fannie Mae, 3.0%, 9/1/28 3.0 09/01/2028 7,125,717 6,398,011
Residential Asset Securitization Trust 2004-A8, 5.25%, 11/25/34 5.25 11/25/2034 15,300,000 354,908
Wells Fargo & Co., Floating Rate Note (Perpetual) 5.875 12/31/2049 3,400,000 3,633,231
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 5.2703 03/07/2016 1,250,000 1,277,714
Essex Portfolio LP, 3.5%, 4/1/25 3.5 04/01/2025 9,125,000 9,281,321
WP Carey, Inc., 4.6%, 4/1/24 4.6 04/01/2024 1,715,000 1,813,216
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 3.0 03/27/2024 1,550,000 857,383
FREMF Mortgage Trust 2012-K501, Floating Rate Note, 11/26/46 (144A) 3.4432 11/26/2046 650,000 670,683
Federal Home Loan Mortgage Corp., 6.5%, 7/1/32 6.5 07/01/2032 1,000,000 20,017
Citigroup, Inc., Floating Rate Note (Perpetual) 5.9 12/31/2049 2,850,000 2,892,861
Gci Holdings Inc 1st Lien Tl-B L + 3.75% 22dec21 4.75 12/22/2021 1,215,000 1,221,075
Piedmont Operating Partnership LP, 3.4%, 6/1/23 3.4 06/01/2023 2,550,000 2,525,536
Garda World Security Corp., Term B Loan, 11/1/20 4.0 11/01/2020 794,589 792,271
Government National Mortgage Association I, 6.5%, 6/15/35 6.5 06/15/2035 190,431 7,879
Leaf Receivables Funding 8 LLC, 1.92%, 9/15/20 (144A) 1.92 09/15/2020 2,203,000 2,211,269
Irwin Whole Loan Home Equity Trust 2005-C, Floating Rate Note, 3/25/25 1.2238 03/25/2025 800,000 137,459
Federal Home Loan Mortgage Corp., 3.5%, 11/1/44 3.5 11/01/2044 200,000 209,218
DCT Industrial Operating Partnership LP, 4.5%, 10/15/23 4.5 10/15/2023 1,475,000 1,600,005
Government National Mortgage Association I, 7.0%, 3/15/31 7.0 03/15/2031 1,750,000 20,698
Springleaf Funding Trust 2014-A, 2.41%, 12/15/22 (144A) 2.41 12/15/2022 1,200,000 1,201,777
Ally Financial, Inc., 7.0% (Perpetual) (144A) 7.0 12/31/2049 1,250 1,283,008
The Goldman Sachs Group, Inc., 6.75%, 10/1/37 6.75 10/01/2037 6,875,000 9,259,271
Government National Mortgage Association I, 7.5%, 2/15/26 7.5 02/15/2026 893,000 2,026
Government National Mortgage Association, 5.25%, 8/16/35 5.25 08/16/2035 450,000 842,636
AmeriCredit Automobile Receivables Trust 2011-3, 4.04%, 7/10/17 4.04 07/10/2017 500,000 510,072
Fannie Mae, 6.5%, 12/1/31 6.5 12/01/2031 3,300,000 159,626
Fannie Mae, 6.0%, 12/1/35 6.0 12/01/2035 8,000,000 706,283
Rosneft Finance SA, 7.875%, 3/13/18 (144A) 7.875 03/13/2018 1,000,000 1,014,018
NRP Mortgage Trust 2013-1, Floating Rate Note, 7/25/43 (144A) 3.25 07/25/2043 5,825,000 5,318,231
HLSS Servicer Advance Receivables Trust, 3.96%, 10/15/45 (144A) 3.96 10/15/2045 224,000 227,351
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 0.7338 01/25/2030 46,068,000 1,829,726
Santander Drive Auto Receivables Trust 2012-1, 3.78%, 11/15/17 3.78 11/15/2017 1,450,000 942,126
Sprint Corp., 7.25%, 9/15/21 7.25 09/15/2021 1,500,000 1,512,333
Government National Mortgage Association I, 4.0%, 6/15/41 4.0 06/15/2041 167,972 125,871
LSTAR Commercial Mortgage Trust, Floating Rate Note, 6/25/43 (144A) 5.4227 06/25/2043 1,395,000 127,364
Fannie Mae, 3.0%, 8/1/42 3.0 08/01/2042 24,375,000 22,402,407
Crown Castle 1st Lien Term-B2 L + 2.5% 31jan21 3.0 01/31/2021 1,496,212 1,494,716
Dollar Tree Air Inc 1st Lien Tl-B L + 3.5% 06feb22 4.25 02/06/2022 750,000 758,789
JobsOhio Beverage System, 3.985%, 1/1/29 3.985 01/01/2029 4,075,000 4,447,710
Tyco Electronics Group SA, 6.55%, 10/1/17 6.55 10/01/2017 2,950,000 3,403,940
DigitalGlobe, Inc., Term Loan, 1/31/20 3.75 01/31/2020 2,583,047 2,590,138
Federal National Mortgage Association REMICS, 4.5%, 6/25/29 4.5 06/25/2029 1,000,000 768,609
Icon Brand Holdings LLC, 4.352%, 1/25/43 (144A) 4.352 01/25/2043 395,000 358,610
Standard Aero, Ltd., Replacement Tranche B-2 Loan, 11/2/18 5.0 11/02/2018 597,773 598,271
Fannie Mae, 6.0%, 10/1/34 6.0 10/01/2034 389,152 26,042
VOLT XXXIII LLC, 3.5%, 3/25/55 (Step) (144A) 3.5 03/25/2055 4,000,000 4,002,495
Federal Home Loan Mortgage Corp., 5.5%, 12/1/18 5.5 12/01/2018 2,500,000 261,375
CVS Pass-Through Trust, 5.773%, 1/10/33 (144A) 5.773 01/10/2033 1,555,000 1,639,063
WR Grace & Co-Conn, 5.125%, 10/1/21 (144A) 5.125 10/01/2021 1,130,000 1,203,744
Government National Mortgage Association I, 6.0%, 4/15/33 6.0 04/15/2033 2,000,000 53,875
Worthington Industries, Inc., 4.55%, 4/15/26 4.55 04/15/2026 3,135,000 3,431,614
COMM 2012-CCRE2 Mortgage Trust, 3.147%, 8/15/45 3.147 08/15/2045 850,000 893,072
JP Morgan Chase Commercial Mortgage Securities Trust 2015-COSMO, Floating Rate Note, 1/15/32 (144A) 2.4278 01/15/2032 4,600,000 4,602,073
Government National Mortgage Association I, 4.5%, 9/15/40 4.5 09/15/2040 900,000 533,183
JP Morgan Mortgage Trust 2013-2, Floating Rate Note, 5/25/43 (144A) 3.5 05/25/2043 2,101,900 1,661,369
Steel Dynamics, Inc., 5.125%, 10/1/21 (144A) 5.125 10/01/2021 1,385,000 1,433,485
EnLink Midstream Partners LP, 4.4%, 4/1/24 4.4 04/01/2024 7,040,000 7,555,166
Viasystems, Inc., 7.875%, 5/1/19 (144A) 7.875 05/01/2019 2,500,000 2,713,281
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 8.9051 06/06/2017 1,000,000 1,018,228
New Jersey Transportation Trust Fund Authority, 5.5%, 6/15/41 5.5 06/15/2041 2,750,000 3,149,477
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 2.5745 10/15/2015 3,134,000 3,144,990
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 1,500,000 1,553,953
Government National Mortgage Association I, 5.5%, 8/15/33 5.5 08/15/2033 400,000 32,811
Domino's Pizza Master Issuer LLC, 5.216%, 1/27/42 (144A) 5.216 01/27/2042 4,051,000 4,107,435
Government National Mortgage Association I, 5.5%, 6/15/35 5.5 06/15/2035 900,000 180,806
Kinder Morgan Energy Partners LP, 4.25%, 9/1/24 4.25 09/01/2024 4,675,000 4,796,904
Federal Home Loan Mortgage Corp., 6.5%, 1/1/31 6.5 01/01/2031 47,714 376
Fannie Mae, 5.5%, 9/1/17 5.5 09/01/2017 3,705,000 61,934
Government National Mortgage Association I, 6.5%, 10/15/31 6.5 10/15/2031 9,167,721 151,503
Telefonica Emisiones SAU, 6.221%, 7/3/17 6.221 07/03/2017 2,750,000 3,078,226
General Electric Capital Corp., 5.3%, 2/11/21 5.3 02/11/2021 4,860,000 5,649,697
The George Washington University, 1.827%, 9/15/17 1.827 09/15/2017 1,900,000 1,919,692
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 0.5238 08/25/2036 1,525,000 293,410
Fannie Mae, 6.0%, 9/1/32 6.0 09/01/2032 65,856 889
TimberStar Trust I, 5.7467%, 10/15/36 (144A) 5.7467 10/15/2036 1,435,000 1,516,275
Government National Mortgage Association I, 6.0%, 3/15/32 6.0 03/15/2032 80,300 2,991
Government National Mortgage Association I, 6.5%, 3/15/29 6.5 03/15/2029 1,120,633 12,418
U.S. Treasury Bonds, 3.125%, 2/15/43 3.125 02/15/2043 2,000,000 2,241,207
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7, Floating Rate Note, 2/11/41 5.214 02/11/2041 1,000,000 1,004,512
Federal Home Loan Mortgage Corp., 4.0%, 9/1/44 4.0 09/01/2044 11,749,606 11,995,179
Blackstone Holdings Finance Co LLC, 4.75%, 2/15/23 (144A) 4.75 02/15/2023 4,950,000 5,502,274
Government National Mortgage Association I, 6.0%, 10/15/36 6.0 10/15/2036 3,000,000 176,746
Government National Mortgage Association, 3.0%, 4/20/41 3.0 04/20/2041 2,000,000 1,624,814
US Airways 2013-1 Class A Pass Through Trust, 3.95%, 5/15/27 3.95 05/15/2027 1,500,000 1,532,664
Government National Mortgage Association I, 5.5%, 9/15/33 5.5 09/15/2033 3,636,072 245,548
Revlon Consumer Products Corp., Acquisition Term Loan, 8/19/19 4.0 08/19/2019 979,538 980,609
A10 Term Asset Financing 2013-2 LLC, 2.62%, 11/15/27 (144A) 2.62 11/15/2027 2,794,000 2,513,629
Fannie Mae, 5.0%, 10/1/20 5.0 10/01/2020 4,036,945 469,846
Government National Mortgage Association I, 4.5%, 10/15/33 4.5 10/15/2033 2,103,237 528,681
Fannie Mae, 4.0%, 12/1/42 4.0 12/01/2042 142,828 46,178
Fannie Mae, 4.5%, 7/1/41 4.5 07/01/2041 750,000 418,323
TTX Co., 3.6%, 1/15/25 (144A) 3.6 01/15/2025 6,650,000 6,990,320
Fannie Mae, 6.5%, 9/1/31 6.5 09/01/2031 2,000,000 9,020
Federal Home Loan Mortgage Corp., Floating Rate Note, 9/26/44 (144A) 4.1621 09/26/2044 1,250,000 1,301,538
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 8.5125 05/09/2016 300,000 309,130
Fannie Mae, 6.5%, 11/1/37 6.5 11/01/2037 2,222,350 256,544
Fannie Mae, 4.0%, 2/1/43 4.0 02/01/2043 2,065,000 1,519,649
Affinion Group, Inc., Tranche B Term Loan, 4/30/18 6.75 04/30/2018 1,062,249 1,009,800
Government National Mortgage Association I, 5.0%, 9/15/33 5.0 09/15/2033 1,254,232 158,375
Government National Mortgage Association II, 7.0%, 12/20/30 7.0 12/20/2030 400,864 3,222
Sequoia Mortgage Trust 2013-4 REMICS, Floating Rate Note, 4/27/43 2.325 04/27/2043 9,500,000 7,963,615
COMM 2014-FL5 Mortgage Trust, Floating Rate Note, 10/15/31 (144A) 2.322 10/15/2031 3,800,000 3,791,767
Government National Mortgage Association I, 6.5%, 11/15/31 6.5 11/15/2031 100,000 6,348
HCA, Inc., Tranche B-5 Term Loan, 3/31/17 2.922 03/31/2017 1,766,709 1,769,470
Fannie Mae, 6.5%, 10/1/32 6.5 10/01/2032 2,811,012 87,663
Fannie Mae, 4.0%, 9/1/44 4.0 09/01/2044 12,553,692 13,205,012
Federal Home Loan Mortgage Corp., 6.0%, 2/1/33 6.0 02/01/2033 4,851,146 98,540
Government National Mortgage Association II, 4.0%, 10/20/44 4.0 10/20/2044 4,890,000 5,018,877
Fannie Mae, 5.0%, 2/1/22 5.0 02/01/2022 450,000 22,356
Omega Healthcare Investors, Inc., 4.95%, 4/1/24 4.95 04/01/2024 3,945,000 4,254,091
Eaton Vance Corp., 6.5%, 10/2/17 6.5 10/02/2017 733,000 841,630
Government National Mortgage Association I, 3.5%, 7/15/42 3.5 07/15/2042 19,357,527 13,977,259
Government National Mortgage Association I, 6.0%, 3/15/17 6.0 03/15/2017 2,080,702 33,139
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 8.0424 05/07/2015 5,500,000 5,578,879
Chemtura Corp., New Term Loan, 8/29/16 3.5 08/29/2016 316,286 317,142
Bayview Financial Mortgage Pass-Through Trust 2006-A, 5.865%, 2/28/41 (Step) 5.865 02/28/2041 1,462,628 1,526,529
DIRECTV Holdings LLC, 3.8%, 3/15/22 3.8 03/15/2022 6,200,000 6,436,691
Fannie Mae, 7.0%, 12/1/30 7.0 12/01/2030 499,950 851
Valeant Pharmaceuticals Internatio 1st Lien Bf2-Dd L + 3.25% 13mar22 4.0 03/13/2022 433,735 436,242
Federal Home Loan Mortgage Corp., 6.0%, 4/1/35 6.0 04/01/2035 2,582,414 68,720
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 3.5593 06/25/2043 6,700,000 6,475,510
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 1.2738 01/25/2035 2,340,000 2,281,766
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 0.616 10/20/2017 1,659,000 1,659,667
Astoria Financial Corp., 5.0%, 6/19/17 5.0 06/19/2017 2,300,000 2,466,370
Sprint Corp., 7.125%, 6/15/24 7.125 06/15/2024 1,500,000 1,493,969
Owens Corning, 4.2%, 12/1/24 4.2 12/01/2024 5,150,000 5,394,520
AXA SA, 8.6%, 12/15/30 8.6 12/15/2030 2,335,000 3,316,452
Government National Mortgage Association I, 6.0%, 9/15/34 6.0 09/15/2034 1,315,000 125,583
Tronox Pigments BV, New Term Loan, 3/19/20 4.0 03/19/2020 766,815 767,918
Fannie Mae, 7.0%, 9/1/31 7.0 09/01/2031 2,000,000 20,848
Lincoln National Corp., 8.75%, 7/1/19 8.75 07/01/2019 1,690,000 2,163,474
Fannie Mae, 6.0%, 4/1/35 6.0 04/01/2035 4,000,000 340,942
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 2.3%, 3/5/20 (144A) 2.3 03/05/2020 11,675,000 11,704,562
Cinedigm Digital Funding I LLC, Term Loan, 2/28/18 3.75 02/28/2018 363,639 365,003
Alta Wind Holdings LLC, 7.0%, 6/30/35 (144A) 7.0 06/30/2035 700,000 683,273
FREMF Mortgage Trust 2010-K7, Floating Rate Note, 5/25/29 (144A) 5.4436 05/25/2029 850,000 966,213
Government National Mortgage Association I, 5.5%, 9/15/19 5.5 09/15/2019 3,000,000 185,902
U.S. Treasury Bonds, 4.5%, 2/15/36 4.5 02/15/2036 30,000,000 41,035,798
US Bancorp, Floating Rate Note (Perpetual) 6.0 12/31/2049 139,009 3,796,336
Fannie Mae, 8.0%, 3/1/31 8.0 03/01/2031 1,495,060 10,478
Adobe Systems, Inc., 3.25%, 2/1/25 3.25 02/01/2025 8,100,000 8,234,509
CF Industries, Inc., 5.15%, 3/15/34 5.15 03/15/2034 4,845,000 5,320,759
STORE Master Funding LLC, 4.16%, 3/20/43 (144A) 4.16 03/20/2043 300,000 299,968
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 3,654,000 3,668,251
Federal Home Loan Mortgage Corp., 6.0%, 3/1/33 6.0 03/01/2033 2,255,430 45,233
Government National Mortgage Association I, 4.5%, 12/15/39 4.5 12/15/2039 9,079,200 1,961,183
Government National Mortgage Association I, 7.0%, 9/15/31 7.0 09/15/2031 2,202,152 15,470
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 0.796 09/20/2033 37,500,000 1,575,298
Citigroup, Inc., Floating Rate Note (Perpetual) 7.125 12/31/2049 197,000 5,445,080
Government National Mortgage Association I, 6.5%, 4/15/35 6.5 04/15/2035 517,486 85,489
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 3.75 06/30/2019 418,066 379,097
Weatherford International, Ltd. Bermuda, 5.95%, 4/15/42 5.95 04/15/2042 675,000 611,832
Selma Industrial Development Board, 5.8%, 5/1/34 5.8 05/01/2034 2,310,000 2,719,440
Government National Mortgage Association I, 6.0%, 5/15/33 6.0 05/15/2033 4,328,221 222,124
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 1,009,200 1,013,540
The Allstate Corp., Floating Rate Note, 5/15/57 6.5 05/15/2057 5,455,000 6,448,113
Government National Mortgage Association I, 6.0%, 9/15/32 6.0 09/15/2032 1,406,079 113,333
United States Treasury Floating Rate Note, Floating Rate Note, 4/30/16 0.104 04/30/2016 11,325,000 11,327,637
Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A) 2.38 03/20/2029 4,692,000 1,156,051
Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A) 3.7753 11/25/2019 1,700,000 1,703,520
Electricite de France SA, Floating Rate Note (Perpetual) (144A) 5.25 12/31/2049 2,150,000 2,262,965
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4 REMICS, Floating Rate Note, 12/16/30 ( 2.375 12/16/2030 2,200,000 2,203,477
PHH Mortgage Capital LLC, 7.0%, 12/25/27 (Step) (144A) 7.0 12/25/2027 4,250,000 215,675
Perrigo Finance plc, 3.5%, 12/15/21 3.5 12/15/2021 4,275,000 4,473,217
Consolidated Edison Co of New York, Inc., 4.625%, 12/1/54 4.625 12/01/2054 5,475,000 6,237,662
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 1.9245 06/15/2034 4,150,000 4,144,086
Kiowa Power Partners LLC, 5.737%, 3/30/21 (144A) 5.737 03/30/2021 2,105,000 1,840,889
Spectra Energy Capital LLC, 6.2%, 4/15/18 6.2 04/15/2018 2,475,000 2,819,822
Sirius International Group, Ltd., 6.375%, 3/20/17 (144A) 6.375 03/20/2017 2,950,000 3,194,830
DCP Midstream LLC, Floating Rate Note, 5/21/43 (144A) 5.85 05/21/2043 3,950,000 2,927,444
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 2.7652 01/09/2017 500,000 513,349
Merna Reinsurance, Ltd., Floating Rate Note, 4/9/18 (Cat Bond) (144A)   04/09/2018 750,000 749,400
Corporate Office Properties LP, 3.6%, 5/15/23 3.6 05/15/2023 1,085,000 1,067,781
American Credit Acceptance Receivables Trust, 1.64%, 11/15/16 (144A) 1.64 11/15/2016 2,350,000 51,901
SBP DPR Finance Co., Floating Rate Note, 3/15/17 (144A) 3.0206 03/15/2017 2,000,000 842,233
SCE Trust III, Floating Rate Note (Perpetual) 5.75 12/31/2049 167,900 4,608,855
Arlington Flt% 01aug15 0.0 08/01/2015 700,000 781,130
Fannie Mae, 3.5%, 11/1/42 3.5 11/01/2042 380,000 344,335
Louisiana Local Government Environmental Facilities & Community Development Authority, 6.5%, 11/1/35 6.5 11/01/2035 2,350,000 2,880,544
LSTAR Securities Investment Trust 2015-3, Floating Rate Note, 3/1/20 (144A) 2.176 03/01/2020 2,500,000 2,484,326
Government National Mortgage Association I, 5.5%, 7/15/35 5.5 07/15/2035 5,500,000 809,348
Federal Home Loan Mortgage Corp., 5.5%, 11/1/35 5.5 11/01/2035 1,000,000 60,151
Kane Zero% 29apr16 0.0 04/29/2016 3,700,000 3,836,160
Parish of St John the Baptist Louisiana, 5.125%, 6/1/37 5.125 06/01/2037 2,560,000 2,739,567
Alterra Finance LLC, 6.25%, 9/30/20 6.25 09/30/2020 3,000,000 3,530,897
Fannie Mae, 5.0%, 1/1/20 5.0 01/01/2020 4,159,304 310,320
Remy International, Inc., Term B Loan 2013, 3/5/20 4.25 03/05/2020 1,719,394 1,725,842
Government National Mortgage Association I, 6.5%, 5/15/33 6.5 05/15/2033 1,672,708 53,741
Sirius International Group, Ltd., Floating Rate Note (Perpetual) (144A) 7.506 12/31/2049 0 40,034
TD Ameritrade Holding Corp., 3.625%, 4/1/25 3.625 04/01/2025 6,025,000 6,404,162
Fannie Mae, 4.0%, 2/1/44 4.0 02/01/2044 14,000,000 12,854,334
Federal Home Loan Mortgage Corp., 6.0%, 5/1/34 6.0 05/01/2034 7,192,224 783,852
Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40 5.361