Pioneer Investments: Pioneer Bond Fund


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Pioneer Bond Fund

Monthly Portfolio Holdings as of 12/31/2015

Security Name Coupon Maturity Date Par / Shares Market Value($)
Spirit Master Funding VII LLC, 3.8868%, 12/21/43 (144A) 3.8868 12/21/2043 875,000 895,178
Credit Suisse AG New York NY, 1.75%, 1/29/18 1.75 01/29/2018 7,000,000 7,032,059
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 10.2696 06/06/2016 275,000 284,335
Leaf Receivables Funding 10 LLC, 2.74%, 3/15/21 (144A) 2.74 03/15/2021 550,000 539,914
Flt% 15jun16 0.0 06/15/2016 500,000 505,150
Plains All American Pipeline LP, 4.9%, 2/15/45 4.9 02/15/2045 5,300,000 3,909,763
Domino's Pizza Master Issuer LLC, 3.484%, 10/25/45 (144A) 3.484 10/25/2045 5,500,000 5,427,259
Agate Bay Mortgage Trust 2015-2, Floating Rate Note, 3/25/45 (144A) 3.5 03/25/2045 6,830,000 5,749,352
Fannie Mae, 5.5%, 7/1/33 5.5 07/01/2033 3,800,000 135,140
Government National Mortgage Association I, 7.5%, 2/15/31 7.5 02/15/2031 1,466,543 15,473
Government National Mortgage Association I, 6.0%, 9/15/33 6.0 09/15/2033 904,389 72,337
Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43 2.2538 06/25/2043 24,278,000 642,071
BBVA Bancomer SA Texas, 6.5%, 3/10/21 (144A) 6.5 03/10/2021 3,815,000 4,120,359
CRH America, Inc., 3.875%, 5/18/25 (144A) 3.875 05/18/2025 10,600,000 10,575,127
BP Capital Markets Plc, 3.062%, 3/17/22 3.062 03/17/2022 4,175,000 4,127,943
Government National Mortgage Association I, 4.0%, 3/15/45 4.0 03/15/2045 5,763,172 4,614,141
Federal Home Loan Mortgage Corp., 3.0%, 10/1/29 3.0 10/01/2029 5,250,000 4,459,090
GLP Capital LP, 4.375%, 11/1/18 4.375 11/01/2018 1,010,000 1,007,265
Federal Home Loan Mortgage Corp., 7.0%, 8/1/22 7.0 08/01/2022 687,553 84,490
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1.75 01/07/2019 1,750,000 1,736,301
TD Ameritrade Holding Corp., 3.625%, 4/1/25 3.625 04/01/2025 6,025,000 6,151,697
Highwoods Realty LP, 3.2%, 6/15/21 3.2 06/15/2021 2,032,000 1,979,725
Nakilat, Inc., 6.267%, 12/31/33 (144A) 6.267 12/31/2033 2,450,000 2,430,464
Federal Home Loan Mortgage Corp., 6.5%, 3/1/31 6.5 03/01/2031 527,335 7,866
Government National Mortgage Association I, 7.0%, 5/15/32 7.0 05/15/2032 5,500,000 110,291
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 2.575 02/25/2034 11,243,500 500,867
Government National Mortgage Association I, 4.0%, 3/15/44 4.0 03/15/2044 33,576 26,092
Monsanto Co., 3.375%, 7/15/24 3.375 07/15/2024 2,675,000 2,591,980
Government National Mortgage Association I, 6.0%, 9/15/32 6.0 09/15/2032 1,406,079 108,742
Fannie Mae, 6.0%, 9/1/34 6.0 09/01/2034 6,273,165 109,394
Kane Zero% 19feb16 0.0 02/19/2016 3,000,000 3,490,500
Government National Mortgage Association, 5.25%, 8/16/35 5.25 08/16/2035 450,000 857,111
Johnson & Johnson, 4.375%, 12/5/33 4.375 12/05/2033 3,150,000 3,484,343
Fannie Mae, 4.0%, 6/1/44 4.0 06/01/2044 325,000 237,895
Univision Communications, Inc., Replacement First-Lien Term Loan, 3/1/20 4.0 03/01/2020 2,242,029 2,199,525
Fannie Mae, 4.0%, 2/1/45 4.0 02/01/2045 73,989 74,371
Intel Corp., 4.8%, 10/1/41 4.8 10/01/2041 11,075,000 11,678,333
Federal Home Loan Mortgage Corp., 5.5%, 6/1/41 5.5 06/01/2041 2,145,000 1,967,603
Federal Home Loan Mortgage Corp., 6.5%, 3/1/31 6.5 03/01/2031 217,521 580
Government National Mortgage Association I, 4.0%, 11/15/40 4.0 11/15/2040 245,475 61,403
HSBC Holdings Plc, 4.25%, 3/14/24 4.25 03/14/2024 3,940,000 4,004,056
Fannie Mae, 5.0%, 7/1/40 5.0 07/01/2040 5,000,000 1,229,502
Fannie Mae, 6.0%, 3/1/33 6.0 03/01/2033 3,500,000 113,164
Sequoia Mortgage Trust 2013-6, Floating Rate Note, 5/26/43 2.5 05/26/2043 9,070,000 6,933,177
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 1.1716 05/25/2035 1,100,000 827,473
CSMC Trust 2013-IVR4, Floating Rate Note, 7/27/43 (144A) 3.0 07/27/2043 3,790,000 2,901,771
COMM 2013-CCRE11 Mortgage Trust, Floating Rate Note, 8/12/50 (144A) 5.3382 08/12/2050 4,200,000 4,382,766
Government National Mortgage Association II, 6.5%, 2/20/29 6.5 02/20/2029 210,000 2,939
Ardent Legacy Acquisitions Inc 1st Lien Tl-B L + 5.5% 31jul21 6.5 07/31/2021 184,686 183,763
Banc of America Alternative Loan Trust 2004-6, 5.0%, 7/25/19 5.0 07/25/2019 10,861,500 991,895
Domino's Pizza Master Issuer LLC, 5.216%, 1/27/42 (144A) 5.216 01/27/2042 4,051,000 2,570,749
Fannie Mae, 4.0%, 9/1/44 4.0 09/01/2044 983,213 797,460
Federal Home Loan Mortgage Corp., 4.0%, 2/1/44 4.0 02/01/2044 700,000 631,660
Australia & New Zealand Banking Group, Ltd., 4.5%, 3/19/24 (144A) 4.5 03/19/2024 5,215,000 5,300,015
Royal Bank of Scotland Group Plc, Floating Rate Note (Perpetual) 7.5 12/31/2049 6,325,000 6,705,818
Government National Mortgage Association I, 6.0%, 2/15/29 6.0 02/15/2029 2,700,000 139,246
Fannie Mae, 4.0%, 12/1/43 4.0 12/01/2043 7,600,000 6,374,733
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A) 9.226 03/16/2016 250,000 253,838
Federal Home Loan Mortgage Corp., Floating Rate Note, 9/26/44 (144A) 4.303 09/26/2044 1,250,000 1,276,556
Federal Home Loan Mortgage Corp., 6.5%, 7/1/32 6.5 07/01/2032 1,000,000 16,995
COMM 2012-LC4 Mortgage Trust, 4.063%, 12/12/44 4.063 12/12/2044 4,000,000 4,213,589
Fannie Mae, 7.0%, 12/1/31 7.0 12/01/2031 1,198,074 27,515
Vers 2015-A Zero% 31dec17 0.0 12/31/2017 2,500,000 2,920,000
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.3716 10/25/2037 1,079,000 172,975
Lehman ABS Manufactured Housing Contract Trust 2001-B, 3.01%, 5/15/41 3.01 05/15/2041 22,820,000 227,705
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 7.24 07/05/2016 1,100,000 1,133,801
Sequoia Mortgage Trust 2013-3, Floating Rate Note, 3/25/43 3.5344 03/25/2043 7,915,000 7,514,549
Government National Mortgage Association II, 4.5%, 9/20/41 4.5 09/20/2041 5,800,000 2,227,681
Government National Mortgage Association I, 4.0%, 10/15/44 4.0 10/15/2044 449,138 274,838
Fannie Mae, 5.5%, 3/1/36 5.5 03/01/2036 5,005,809 438,419
FPL Energy Wind Funding LLC, 6.876%, 6/27/17 (144A) 6.876 06/27/2017 1,050,000 70,981
Eden Re II, Ltd., 0.0%, 4/19/18 (Cat Bond) (144A) 0.0 04/19/2018 2,500,000 2,687,500
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 1,500,000 1,483,575
CHS, Incremental 2021 Term H Loan, 1/27/21 4.0 01/27/2021 2,050,243 2,017,568
Axis Equipment Finance Receivables III LLC, 3.41%, 4/20/20 (144A) 3.41 04/20/2020 700,000 697,997
Government National Mortgage Association I, 6.5%, 1/15/35 6.5 01/15/2035 62,679 787
Springleaf Funding Trust 2014-A, 2.41%, 12/15/22 (144A) 2.41 12/15/2022 1,200,000 1,197,877
Government National Mortgage Association I, 5.5%, 8/15/19 5.5 08/15/2019 2,543,276 150,621
Velocity Commercial Capital Loan Trust 2015-1, Floating Rate Note, 6/25/45 (144A) 2.8321 06/25/2045 3,700,000 3,375,190
U.S. Treasury Notes, 2.125%, 5/15/25 2.125 05/15/2025 4,250,000 4,206,211
Verisk Analytics, Inc., 5.5%, 6/15/45 5.5 06/15/2045 4,740,000 4,537,168
Fannie Mae, 4.5%, 7/1/41 4.5 07/01/2041 750,000 334,412
CEMEX Espana SA, 9.875%, 4/30/19 (144A) 9.875 04/30/2019 3,328,000 3,575,046
Government National Mortgage Association I, 4.0%, 1/15/45 4.0 01/15/2045 4,616,359 3,267,500
Federal Home Loan Mortgage Corp., 6.5%, 1/1/31 6.5 01/01/2031 66,916 192
Government National Mortgage Association I, 5.5%, 10/15/33 5.5 10/15/2033 1,509,492 99,846
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 4.0 05/05/2017 1,250,000 1,259,153
MRFC Mortgage Pass-Through Trust Series 2000-TBC3, Floating Rate Note, 12/15/30 0.7705 12/15/2030 15,930,000 658,439
Terwin Mortgage Trust Series TMTS 2005-12ALT, 4.94256%, 7/25/36 (Step) 4.9416 07/25/2036 835,000 286,220
Macquarie Group, Ltd., 6.0%, 1/14/20 (144A) 6.0 01/14/2020 2,730,000 3,089,053
Halliburton Co., 7.6%, 8/15/96 (144A) 7.6   2,250,000 2,851,995
Government National Mortgage Association I, 4.5%, 9/15/33 4.5 09/15/2033 2,256,215 275,591
GS Mortgage Securities Trust 2006-GG8 REMICS, 5.56%, 11/10/39 5.56 11/10/2039 900,000 757,202
Macquarie Bank, Ltd., 4.875%, 6/10/25 (144A) 4.875 06/10/2025 5,125,000 5,072,724
Government National Mortgage Association I, 5.5%, 9/15/19 5.5 09/15/2019 3,000,000 152,481
Government National Mortgage Association I, 6.0%, 10/15/32 6.0 10/15/2032 2,001,957 49,149
Fannie Mae, 2.5%, 7/1/30 2.5 07/01/2030 1,905,000 1,854,787
Pangaea Zero% 01jul18 0.0 07/01/2018 2,000,000 36,000
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA Netherlands, 3.875%, 2/8/22 3.875 02/08/2022 3,435,000 3,678,117
Fannie Mae, 4.5%, 1/1/44 4.5 01/01/2044 15,989,536 11,051,190
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 3.5471 06/25/2043 6,700,000 6,352,650
Government National Mortgage Association I, 4.0%, 11/15/44 4.0 11/15/2044 1,537,490 1,171,701
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 9.5196 06/06/2017 250,000 264,531
Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19 4.0 04/23/2019 666,667 495,000
Frisco Independent School District, 4.0%, 8/15/40 4.0 08/15/2040 2,700,000 2,946,243
Israel Electric Corp, Ltd., 7.25%, 1/15/19 (144A) 7.25 01/15/2019 1,925,000 2,197,854
The Home Depot, Inc., 2.625%, 6/1/22 2.625 06/01/2022 4,520,000 4,525,164
University of Virginia, 5.0%, 4/1/45 5.0 04/01/2045 3,100,000 3,691,015
SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A) 2.0 09/20/2029 1,200,000 448,934
HSBC Bank USA NA New York NY, 6.0%, 8/9/17 6.0 08/09/2017 3,350,000 3,642,822
Fannie Mae, 4.0%, 8/1/44 4.0 08/01/2044 597,740 478,356
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 3,594,840 217,131
Government National Mortgage Association I, 6.0%, 4/15/33 6.0 04/15/2033 3,907,830 56,352
GS Mortgage Securities Corp II, 3.682%, 2/12/46 (144A) 3.682 02/12/2046 1,000,000 990,403
Citigroup Mortgage Loan Trust, Inc. REMICS, Floating Rate Note, 8/25/34 2.2941 08/25/2034 17,660,000 2,710,835
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 7.408 01/09/2017 1,200,000 1,229,120
Government National Mortgage Association I, 7.0%, 6/15/31 7.0 06/15/2031 3,800,000 41,153
Baxalta, Inc., 3.6%, 6/23/22 (144A) 3.6 06/23/2022 11,025,000 11,030,876
Government National Mortgage Association I, 4.0%, 2/15/42 4.0 02/15/2042 128,311 53,427
Fannie Mae, 6.0%, 1/1/32 6.0 01/01/2032 183,200 5,293
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA Netherlands, 3.95%, 11/9/22 3.95 11/09/2022 6,425,000 6,540,197
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 3.75 12/12/2019 590,405 588,929
Fannie Mae, 6.5%, 3/1/32 6.5 03/01/2032 3,500,000 89,520
Government National Mortgage Association I, 6.5%, 5/15/33 6.5 05/15/2033 1,672,708 37,247
Edenre Zero% 23apr19 144a 0.0 04/23/2019 925,000 925,000
Valeant Pharmaceuticals Internatio 1st Lien Tl-Bf1 L + 3.25% 13mar22 4.0 03/13/2022 992,500 958,797
Adobe Systems, Inc., 3.25%, 2/1/25 3.25 02/01/2025 8,100,000 8,015,134
Stanley Black & Decker, Inc., Floating Rate Note, 12/15/53 5.75 12/15/2053 3,600,000 3,789,200
BNP Paribas SA, 4.375%, 9/28/25 (144A) 4.375 09/28/2025 7,800,000 7,726,868
American Homes 4 Rent 2014-SFR3 Trust, 4.596%, 12/18/36 (144A) 4.596 12/18/2036 2,800,000 2,729,888
Fannie Mae, 6.5%, 9/1/31 6.5 09/01/2031 2,000,000 6,198
Africa Finance Corp., 4.375%, 4/29/20 (144A) 4.375 04/29/2020 4,550,000 4,596,932
Citigroup Capital XIII, Floating Rate Note, 10/30/40 6.6919 10/30/2040 30,353 788,874
Kilimanjaro Re, Ltd., Floating Rate Note, 12/6/19 (Cat Bond) (144A) 9.25 12/06/2019 1,500,000 1,505,850
CubeSmart LP, 4.8%, 7/15/22 4.8 07/15/2022 730,000 793,518
Federal Home Loan Mortgage Corp., 6.0%, 2/1/33 6.0 02/01/2033 550,000 5,628
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 6.2083 08/15/2030 2,800,000 24,990
Agrium, Inc., 4.125%, 3/15/35 4.125 03/15/2035 2,800,000 2,415,823
Federal Home Loan Mortgage Corp., 6.0%, 5/1/34 6.0 05/01/2034 1,440,424 229,221
Government National Mortgage Association I, 7.0%, 7/15/31 7.0 07/15/2031 536,209 4,957
Blackstone Holdings Finance Co LLC, 6.25%, 8/15/42 (144A) 6.25 08/15/2042 6,925,000 8,345,942
Federal Home Loan Mortgage Corp., 6.0%, 5/1/34 6.0 05/01/2034 7,192,224 701,094
Texas Competitive Electric Holdings Co LLC, DIP Delayed Draw Term Loan (2014), 5/5/16 3.75 05/05/2016 1,285,660 1,279,232
Government National Mortgage Association I, 5.0%, 4/15/34 5.0 04/15/2034 1,504,329 140,715
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A) 2.181 05/19/2031 1,800,000 1,748,667
Canadian Natural Resources, Ltd., 6.5%, 2/15/37 6.5 02/15/2037 1,096,000 1,047,957
Structured Asset Securities Corp., 4.77%, 10/25/34 (Step) 4.77 10/25/2034 2,100,000 56,696
MGM Resorts International, 6.0%, 3/15/23 6.0 03/15/2023 3,550,000 3,586,092
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 216,972 162,962
Immucor, Inc., Term B-2 Loan, 8/19/18 5.0 08/19/2018 1,909,924 1,819,203
Freddie Mac Whole Loan Securities Trust 2015-SC01, 3.5%, 5/25/45 3.5 05/25/2045 2,500,000 2,342,061
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 9,171,532 365,898
WPX Energy, Inc., 7.5%, 8/1/20 7.5 08/01/2020 4,150,000 3,498,969
Citigroup Commercial Mortgage Trust 2014-GC25 REMICS, 3.371%, 10/11/47 3.371 10/11/2047 5,000,000 5,104,472
Government National Mortgage Association I, 6.0%, 10/15/33 6.0 10/15/2033 2,000,000 63,718
Fannie Mae, 4.0%, 12/1/41 4.0 12/01/2041 5,950,000 2,094,391
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 978,436 682,385
Fannie Mae, 4.0%, 2/1/42 4.0 02/01/2042 24,690,000 10,433,043
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 8.765 04/08/2016 1,650,000 1,661,926
Fannie Mae, 5.5%, 7/1/34 5.5 07/01/2034 13,142,000 955,980
Government National Mortgage Association I, 6.5%, 10/15/31 6.5 10/15/2031 9,167,721 119,914
Government National Mortgage Association I, 7.0%, 8/15/31 7.0 08/15/2031 17,500,000 208,399
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 0.9216 06/25/2035 4,920,000 1,186,667
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 0.0 01/15/2017 8,850,000 8,989,128
Freeport-McMoRan, Inc., 4.55%, 11/14/24 4.55 11/14/2024 1,650,000 954,426
Fannie Mae, 5.0%, 10/1/20 5.0 10/01/2020 4,036,945 359,799
Government National Mortgage Association I, 4.0%, 10/15/41 4.0 10/15/2041 63,254 9,435
WinWater Mortgage Loan Trust 2015-5, Floating Rate Note, 8/20/45 (144A) 3.5 08/20/2045 4,352,667 4,126,868
WFRBS Commercial Mortgage Trust 2013-C16, 4.136%, 9/17/46 4.136 09/17/2046 4,800,000 5,110,528
Fannie Mae, 3.5%, 4/1/45 3.5 04/01/2045 10,310,000 10,156,326
GTP Acquisition Partners I LLC, 2.35%, 6/15/45 (144A) 2.35 06/15/2045 4,800,000 4,659,765
Blackstone Holdings Finance Co LLC, 5.0%, 6/15/44 (144A) 5.0 06/15/2044 1,725,000 1,765,029
Catalent 1st Lien Tl-B L + 3.5% 08may21 4.25 05/08/2021 1,628,854 1,617,995
Southwest Airlines Co., 2.65%, 11/5/20 2.65 11/05/2020 4,370,000 4,365,801
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 1,082,000 1,076,998
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.49 04/30/2018 350,000 349,405
Government National Mortgage Association I, 6.0%, 9/15/33 6.0 09/15/2033 500,663 20,689
FREMF Mortgage Trust 2012-K710, Floating Rate Note, 6/25/47 (144A) 3.9496 06/25/2047 2,010,000 2,057,200
Fannie Mae, 6.0%, 9/1/29 6.0 09/01/2029 124,691 1,472
Charter Communications Operating L 1st Lien Bridge L + 6.625% 26may16   05/26/2016 3,685,000 3,685,000
OMNOVA Solutions, Inc., Term B-1 Loan, 5/31/18 4.25 05/31/2018 475,000 468,766
JP Morgan Mortgage Trust 2013-2, Floating Rate Note, 5/25/43 (144A) 3.5 05/25/2043 2,136,900 1,372,497
Fannie Mae, 3.5%, 2/1/29 3.5 02/01/2029 4,606,320 3,437,201
Cardtronics, Inc., 5.125%, 8/1/22 5.125 08/01/2022 3,000,000 2,959,063
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 0.8116 11/25/2035 35,386,800 5,344,340
Federal Mogul 1st Lien Tl-C L + 3.75% 15apr21 4.75 04/15/2021 1,415,164 1,251,713
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 3.0 06/25/2043 916,000 693,303
COMM 2013-LC6 Mortgage Trust, 2.941%, 1/12/46 2.941 01/12/2046 1,900,000 1,894,355
Amherst College, 3.794%, 11/1/42 3.794 11/01/2042 525,000 502,195
Fannie Mae, 4.5%, 11/1/20 4.5 11/01/2020 6,500,000 332,406
Federal Home Loan Mortgage Corp., 3.5%, 8/1/43 3.5 08/01/2043 4,521,618 3,919,695
Buckeye Partners LP, 4.15%, 7/1/23 4.15 07/01/2023 5,425,000 4,760,698
Tiers Trust, Floating Rate Note, 10/15/97 (144A) 0.0   1,250,000 1,150,830
Government National Mortgage Association I, 7.0%, 8/15/28 7.0 08/15/2028 200,000 1,749
Government National Mortgage Association I, 3.5%, 7/15/42 3.5 07/15/2042 19,357,527 11,642,292
Government National Mortgage Association I, 4.5%, 9/15/40 4.5 09/15/2040 900,000 408,393
National Rural Utilities Cooperative Finance Corp., 5.45%, 2/1/18 5.45 02/01/2018 2,000,000 2,197,915
DIRECTV Holdings LLC, 3.8%, 3/15/22 3.8 03/15/2022 6,200,000 6,308,574
Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A) 3.74 11/25/2019 1,700,000 1,700,482
Fannie Mae, 3.5%, 9/1/45 3.5 09/01/2045 3,000,000 3,081,407
Government National Mortgage Association I, 5.5%, 6/15/33 5.5 06/15/2033 400,000 18,667
Ally Financial, Inc., 5.75%, 11/20/25 5.75 11/20/2025 1,125,000 1,146,430
Government National Mortgage Association I, 5.5%, 8/15/33 5.5 08/15/2033 750,075 47,874
ERAC USA Finance LLC, 4.5%, 2/15/45 (144A) 4.5 02/15/2045 4,600,000 4,355,777
Kane Ilw Zero% 02feb16 0.0 02/02/2016 1,000,000 1,000,000
Government National Mortgage Association I, 3.5%, 1/21/16 3.5 01/21/2016 30,710,000 32,009,480
Sequoia Mortgage Trust 2013-5 REMICS, Floating Rate Note, 5/25/43 (144A) 2.5 05/25/2043 3,694,000 2,794,024
Lockheed Martin Corp., 3.1%, 1/15/23 3.1 01/15/2023 1,915,000 1,920,001
Bway Holding Co 1st Lien Tl-B L + 4.5% 08aug20 5.5 08/08/2020 197,000 190,762
Kane Zero% 15jan16 0.0 01/15/2016 1,012,000 1,030,924
Expedia, Inc., 4.5%, 8/15/24 4.5 08/15/2024 5,900,000 5,794,685
EnLink Midstream Partners LP, 4.4%, 4/1/24 4.4 04/01/2024 4,198,000 3,370,146
Government National Mortgage Association I, 7.0%, 10/15/31 7.0 10/15/2031 2,044,706 7,460
Tyco Electronics Group SA, 6.55%, 10/1/17 6.55 10/01/2017 2,950,000 3,227,474
La Hipotecaria Panamanian Mortgage Trust 2014-1, Floating Rate Note, 11/24/42 (144A) 3.258 11/24/2042 4,250,000 3,892,854
NBTY, Inc., Term B-2 Loan, 10/1/17 3.5 10/01/2017 828,016 810,680
Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2005-C, Floating Rate Note, 10/25/35 0.7916 10/25/2035 1,750,000 1,256,555
The University of Texas System, 5.0%, 8/15/43 5.0 08/15/2043 525,000 616,397
Banc of America Mortgage Trust 2004-9, 5.5%, 11/25/34 5.5 11/25/2034 2,350,000 797,506
Fannie Mae, 3.0%, 12/1/42 3.0 12/01/2042 2,352,529 1,819,215
Government National Mortgage Association I, 4.5%, 5/15/41 4.5 05/15/2041 5,733,621 1,739,535
Protective Life Corp., 7.375%, 10/15/19 7.375 10/15/2019 4,250,000 4,982,540
Federal Home Loan Mortgage Corp., 6.0%, 1/1/33 6.0 01/01/2033 1,890,000 69,147
Government National Mortgage Association I, 6.5%, 3/15/31 6.5 03/15/2031 1,000,000 13,993
Fannie Mae, 6.0%, 2/1/35 6.0 02/01/2035 180,000 15,269
Government National Mortgage Association II, 7.0%, 11/20/28 7.0 11/20/2028 10,000,000 94,200
JG Wentworth XXII LLC, 3.82%, 12/15/48 (144A) 3.82 12/15/2048 1,100,000 634,267
Government National Mortgage Association I, 5.5%, 10/15/35 5.5 10/15/2035 2,002,398 243,208
Sprint Corp., 7.25%, 9/15/21 7.25 09/15/2021 1,500,000 1,164,071
Fannie Mae, 4.5%, 10/1/35 4.5 10/01/2035 3,754,694 306,604
Government National Mortgage Association I, 6.0%, 9/15/28 6.0 09/15/2028 12,973,600 282,964
JobsOhio Beverage System, 3.985%, 1/1/29 3.985 01/01/2029 4,075,000 4,322,699
Biogen, Inc., 3.625%, 9/15/22 3.625 09/15/2022 3,550,000 3,627,211
DigitalGlobe, Inc., Term Loan, 1/31/20 4.75 01/31/2020 2,556,756 2,514,795
Icon Brand Holdings LLC, 4.229%, 1/26/43 (144A) 4.229 01/26/2043 1,801,000 1,351,348
Revlon Consumer Products Corp., Acquisition Term Loan, 8/19/19 4.0 08/19/2019 972,098 969,365
American International Group, Inc., 3.875%, 1/15/35 3.875 01/15/2035 5,985,000 5,385,902
Federal Home Loan Mortgage Corp., 4.0%, 11/1/41 4.0 11/01/2041 21,893,143 15,006,314
Diamond Resorts Owner Trust 2015-1, 3.17%, 7/20/27 (144A) 3.17 07/20/2027 1,000,000 738,506
Grain Spectrum Funding II LLC, 3.29%, 10/10/19 (144A) 3.29 10/10/2019 1,900,000 1,867,111
JP Morgan Chase Commercial Mortgage Securities Corp., 2.84%, 12/17/47 2.84 12/17/2047 4,260,234 4,208,852
Government National Mortgage Association I, 5.5%, 9/15/33 5.5 09/15/2033 3,636,072 206,567
Morgan Stanley Capital I Trust 2007-HQ13, 5.569%, 12/15/44 5.569 12/15/2044 4,300,000 4,076,194
Federal Home Loan Mortgage Corp., 6.5%, 5/1/31 6.5 05/01/2031 1,043,809 6,279
Fannie Mae, 3.5%, 1/13/16 3.5 01/13/2016 32,475,000 33,543,098
Government National Mortgage Association I, 5.5%, 10/15/35 5.5 10/15/2035 1,001,204 137,968
Government National Mortgage Association I, 4.0%, 1/15/45 4.0 01/15/2045 6,351,775 4,583,312
VOLT XXXVII LLC, 3.625%, 7/25/45 (Step) (144A) 3.625 07/25/2045 3,400,000 3,201,701
American Homes 4 Rent 2015-SFR1, 4.11%, 4/18/52 (144A) 4.11 04/18/2052 1,300,000 1,217,136
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 5.0 07/25/2018 7,610,000 263,159
Fannie Mae, 6.5%, 5/1/31 6.5 05/01/2031 1,960,805 7,565
Commercial Mortgage Pass Through Certificates, 2.822%, 10/17/45 2.822 10/17/2045 3,850,000 3,815,323
Wells Fargo Commercial Mortgage Trust 2010-C1, 3.349%, 11/18/43 (144A) 3.349 11/18/2043 3,900,000 1,532,058
CVS Pass-Through Trust, 5.298%, 1/11/27 (144A) 5.298 01/11/2027 1,200,000 676,979
NRP Mortgage Trust 2013-1, Floating Rate Note, 7/25/43 3.3179 07/25/2043 6,602,000 6,176,107
Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A) 3.721 11/16/2044 2,250,000 1,204,982
Southern California Edison Co., Floating Rate Note (Perpetual) 6.25 12/31/2049 2,200,000 2,481,142
Fannie Mae, 4.0%, 9/1/44 4.0 09/01/2044 95,762 79,359
OneBeacon US Holdings, Inc., 4.6%, 11/9/22 4.6 11/09/2022 945,000 956,102
Fannie Mae, 3.5%, 2/1/44 3.5 02/01/2044 18,215,601 14,921,564
Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 6.0 12/01/2033 3,297,768 135,921
Government National Mortgage Association I, 6.5%, 8/15/32 6.5 08/15/2032 2,400,000 28,745
PVH Corp., Tranche B Term Loan, 2/13/20 3.25 02/13/2020 306,034 307,839
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 3.0 03/27/2024 1,550,000 433,079
Government National Mortgage Association I, 6.5%, 1/15/33 6.5 01/15/2033 263,074 5,302
Government National Mortgage Association I, 6.5%, 5/15/31 6.5 05/15/2031 2,567,327 27,502
Government National Mortgage Association I, 4.5%, 9/15/35 4.5 09/15/2035 393,589 28,052
Government National Mortgage Association I, 6.5%, 12/15/32 6.5 12/15/2032 25,822,328 503,286
Government National Mortgage Association I, 4.5%, 3/15/35 4.5 03/15/2035 1,722,219 86,021
Teachers Insurance & Annuity Association of America, 6.85%, 12/16/39 (144A) 6.85 12/16/2039 6,830,000 8,463,963
Crockett Cogeneration LP, 5.869%, 3/30/25 (144A) 5.869 03/30/2025 1,010,000 541,204
GAHR Commercial Mortgage Trust 2015-NRF, Floating Rate Note, 12/15/34 (144A) 3.3822 12/15/2034 4,630,000 4,532,074
Government National Mortgage Association I, 6.0%, 4/15/18 6.0 04/15/2018 1,038,016 3,614
Federal Home Loan Mortgage Corp., 6.0%, 1/1/34 6.0 01/01/2034 3,744,314 42,142
Highwoods Realty LP, 3.625%, 1/15/23 3.625 01/15/2023 2,100,000 2,069,628
Government National Mortgage Association I, 5.5%, 10/15/17 5.5 10/15/2017 5,636,984 87,405
GCI Holdings, Inc., New Term B Loan, 2/2/22 4.0 02/02/2022 1,205,888 1,208,149
Fannie Mae, 4.5%, 5/1/41 4.5 05/01/2041 454,433 148,504
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 1.6021 11/20/2036 5,300,000 852,005
United States Treasury Floating Rate Note, Floating Rate Note, 10/31/17 0.4282 10/31/2017 16,800,000 16,795,023
Brixmor Operating Partnership LP, 3.85%, 2/1/25 3.85 02/01/2025 4,225,000 4,172,714
Sequoia Mortgage Trust 2013-5 REMICS, Floating Rate Note, 5/25/43 (144A) 3.0 05/25/2043 3,300,000 2,589,984
Enterprise Products Operating LLC, 3.9%, 2/15/24 3.9 02/15/2024 5,310,000 5,032,506
Activision Blizzard, Inc., Term Loan, 7/26/20 3.25 07/26/2020 1,146,608 1,147,324
Massachusetts Development Finance Agency, 5.25%, 4/1/37 5.25 04/01/2037 325,000 380,463
Government National Mortgage Association I, 6.0%, 6/15/33 6.0 06/15/2033 368,522 15,261
Government National Mortgage Association I, 4.5%, 7/15/33 4.5 07/15/2033 633,571 109,548
NRG Energy, Inc., 8.25%, 9/1/20 8.25 09/01/2020 2,000,000 1,995,000
Government National Mortgage Association I, 6.5%, 1/15/32 6.5 01/15/2032 7,587,058 107,919
Government National Mortgage Association I, 6.0%, 1/15/33 6.0 01/15/2033 2,500,000 52,565
Morgan Stanley, 4.1%, 5/22/23 4.1 05/22/2023 5,100,000 5,174,678
FCA US LLC, Term Loan B, 5/24/17 3.5 05/24/2017 3,738,825 3,732,189
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/31 5.0 12/15/2031 2,100,000 2,311,202
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 0.6216 12/25/2036 4,900,000 868,762
Government National Mortgage Association I, 7.0%, 9/15/31 7.0 09/15/2031 2,202,152 14,692
Ascentium Equipment Receivables 2015-1 LLC, 3.24%, 1/10/22 (144A) 3.24 01/10/2022 2,200,000 2,205,817
Fannie Mae, 5.5%, 6/1/33 5.5 06/01/2033 1,148,000 38,060
Government National Mortgage Association I, 5.5%, 8/15/19 5.5 08/15/2019 4,380,618 144,585
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 2.75 01/09/2017 500,000 506,176
Neuberger Berman Group LLC, 4.875%, 4/15/45 (144A) 4.875 04/15/2045 4,250,000 3,627,246
Trafigura Securitisation Finance Plc. 2014-1, Floating Rate Note, 4/16/18 (144A) 2.5805 04/16/2018 800,000 797,950
CSMC Trust 2014-WIN1, Floating Rate Note, 9/25/44 (144A) 3.0 09/25/2044 11,130,000 5,032,206
Fannie Mae, 6.0%, 9/1/34 6.0 09/01/2034 352,132 14,870
Federal Home Loan Mortgage Corp., 2.5%, 1/1/30 2.5 01/01/2030 490,000 455,223
TTX Co., 3.6%, 1/15/25 (144A) 3.6 01/15/2025 6,650,000 6,701,172
Massachusetts Institute of Technology, 5.6%, 7/1/11 5.6   1,100,000 1,376,440
Government National Mortgage Association I, 6.0%, 8/15/36 6.0 08/15/2036 4,350,000 373,186
Citigroup, Inc., Floating Rate Note (Perpetual) 7.125 12/31/2049 171,525 4,804,415
The Priceline Group, Inc., 3.65%, 3/15/25 3.65 03/15/2025 7,375,000 7,257,068
Sunoco Logistics Partners Operations LP, 6.1%, 2/15/42 6.1 02/15/2042 2,200,000 1,807,739
Federal Home Loan Mortgage Corp., 3.0%, 8/1/29 3.0 08/01/2029 4,875,000 4,303,367
Fannie Mae, 4.0%, 2/1/44 4.0 02/01/2044 14,000,000 10,391,350
State of Texas, 4.0%, 10/1/44 4.0 10/01/2044 3,000,000 3,197,700
Grupo Bimbo SAB de CV, 3.875%, 6/27/24 (144A) 3.875 06/27/2024 4,200,000 4,083,738
American Airlines 2015-2 Class AA Pass Through Trust, 3.6%, 9/22/27 3.6 09/22/2027 4,300,000 4,384,710
The George Washington University, 1.827%, 9/15/17 1.827 09/15/2017 1,900,000 1,904,658
DBUBS 2011-LC3 Mortgage Trust, Floating Rate Note, 8/12/44 (144A) 5.5827 08/12/2044 1,900,000 2,125,337
Fannie Mae, 4.5%, 7/1/41 4.5 07/01/2041 5,000,000 2,426,574
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 1.9216 06/25/2028 3,300,000 522,188
Telefonica Emisiones SAU, 6.221%, 7/3/17 6.221 07/03/2017 2,750,000 3,007,178
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 4,256,655 165,026
USAA Capital Corp., 2.45%, 8/1/20 (144A) 2.45 08/01/2020 11,625,000 11,750,551
Dollar Tree Inc 1st Lien Tl-B1 L + 2.75% 09mar22 3.5 03/09/2022 665,000 664,050
Government National Mortgage Association I, 6.5%, 10/15/31 6.5 10/15/2031 3,015,231 39,205
Fannie Mae, 4.0%, 8/1/44 4.0 08/01/2044 434,083 408,656
Government National Mortgage Association I, 6.0%, 5/15/33 6.0 05/15/2033 4,328,221 183,123
VOLT XXXIII LLC, 3.5%, 3/25/55 (Step) (144A) 3.5 03/25/2055 4,000,000 3,367,372
DuPont Fabros Technology LP, 5.875%, 9/15/21 5.875 09/15/2021 1,675,000 1,770,975
Sequoia Mortgage Trust 2013-9, 3.5%, 7/27/43 (144A) 3.5 07/27/2043 2,190,000 1,703,053
FREMF Mortgage Trust 2010-K9 REMICS, Floating Rate Note, 9/25/45 (144A) 5.2001 09/25/2045 890,000 964,155
Government National Mortgage Association II, 7.0%, 1/20/29 7.0 01/20/2029 8,400,000 100,574
Government National Mortgage Association I, 6.5%, 2/15/32 6.5 02/15/2032 3,127,662 36,307
Irwin Home Equity Loan Trust 2005-1, 5.82%, 6/25/35 (Step) 5.82 06/25/2035 4,350,000 189,429
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 2.3805 09/18/2031 3,360,000 3,267,284
CNH Equipment Trust 2013-A, 0.69%, 6/15/18 0.69 06/15/2018 1,200,000 370,957
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 2.748 07/25/2033 27,814,878 1,004,676
Federal Home Loan Mortgage Corp., 6.5%, 1/1/33 6.5 01/01/2033 39,165 405
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 4.0536 06/07/2017 2,000,000 2,001,413
Duke Realty LP, 3.75%, 12/1/24 3.75 12/01/2024 5,300,000 5,171,438
KKR Group Finance Co III LLC, 5.125%, 6/1/44 (144A) 5.125 06/01/2044 1,650,000 1,622,979
NOVA Chemicals Corp., 5.0%, 5/1/25 (144A) 5.0 05/01/2025 40,000 38,933
Government National Mortgage Association I, 5.5%, 2/15/37 5.5 02/15/2037 575,000 62,419
Ford Motor Credit Co LLC, 2.24%, 6/15/18 2.24 06/15/2018 4,975,000 4,934,720
Fannie Mae, 4.5%, 5/1/41 4.5 05/01/2041 18,000,000 5,051,253
RPI Finance Trust, Term B-4 Term Loan, 11/9/20 3.5 11/09/2020 1,640,289 1,634,479
SBP DPR Finance Co., Floating Rate Note, 3/15/17 (144A) 3.262 03/15/2017 2,000,000 526,804
OneMain Financial Issuance Trust 2015-1, 3.19%, 3/18/26 (144A) 3.19 03/18/2026 1,600,000 1,591,923
Sanders Re, Ltd., Floating Rate Note, 5/25/18 (Cat Bond) (144A) 2.99 05/25/2018 2,550,000 2,509,880
Federal Home Loan Mortgage Corp., 6.0%, 4/1/36 6.0 04/01/2036 7,000,000 330,317
WideOpenWest Finance LLC, Replacement Term B Loan, 4/1/19 4.5 04/01/2019 146,833 141,841
Government National Mortgage Association I, 5.5%, 2/15/18 5.5 02/15/2018 4,000,000 112,961
Banco Bilbao Vizcaya Argentaria SA, Floating Rate Note (Perpetual) 9.0 12/31/2049 4,600,000 4,984,753
Virginia Commonwealth Transportation Board, 4.0%, 5/15/32 4.0 05/15/2032 2,210,000 2,412,792
Fannie Mae, 4.5%, 5/1/41 4.5 05/01/2041 17,795,568 3,591,589
Approach Resources, Inc., 7.0%, 6/15/21 7.0 06/15/2021 1,500,000 537,167
Agate Bay Mortgage Trust 2015-5, Floating Rate Note, 7/25/45 (144A) 3.5 07/25/2045 5,000,000 4,783,389
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 0.6916 04/25/2032 27,275,000 1,723,861
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 0.4855 05/15/2047 1,100,000 380,099
Chesapeake Funding LLC, Floating Rate Note, 2/7/27 (144A) 2.0186 02/07/2027 1,600,000 1,605,011
Government National Mortgage Association I, 4.0%, 4/15/44 4.0 04/15/2044 8,249,860 4,757,206
National Financial Partners 1st Lien Tl-B L + 3.5% 01jul20 4.5 07/01/2020 1,155,382 1,114,943
Federal Home Loan Mortgage Corp., 6.5%, 2/1/33 6.5 02/01/2033 62,297 4,092
Sprint Corp., 7.125%, 6/15/24 7.125 06/15/2024 1,500,000 1,086,625
Electricite de France SA, Floating Rate Note (Perpetual) (144A) 5.25 12/31/2049 2,150,000 2,068,658
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 8.3271 01/07/2016 250,000 255,033
Fannie Mae, 6.0%, 10/1/34 6.0 10/01/2034 389,152 21,172
Dynegy, Inc., Tranche B-2 Term Loan, 4/23/20 4.0 04/23/2020 1,015,989 984,875
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 0.6716 02/25/2037 10,766,469 727,727
Pride International, Inc., 6.875%, 8/15/20 6.875 08/15/2020 1,025,000 978,338
FREMF Mortgage Trust 2014-KF05 REMICS, Floating Rate Note, 9/25/21 (144A) 4.243 09/25/2021 2,000,000 1,900,209
Icon Brand Holdings LLC, 4.352%, 1/25/43 (144A) 4.352 01/25/2043 395,000 333,646
VFC 2015-3 LLC, 2.75%, 12/20/31 (144A) 2.75 12/20/2031 2,000,000 432,999
Ball Corp., 4.0%, 11/15/23 4.0 11/15/2023 2,275,000 2,181,409
Massachusetts Development Finance Agency, 5.375%, 4/1/41 5.375 04/01/2041 550,000 638,516
DCP Midstream Operating LP, 5.6%, 4/1/44 5.6 04/01/2044 2,125,000 1,320,309
Permanent University Fund, 5.0%, 7/1/30 5.0 07/01/2030 800,000 992,720
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 2.6547 02/25/2034 20,103,000 1,344,605
DIRECTV Holdings LLC, 3.95%, 1/15/25 3.95 01/15/2025 9,690,000 9,728,991
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 0.9816 01/25/2030 46,068,000 1,391,230
Public Service Co of New Mexico, 7.95%, 5/15/18 7.95 05/15/2018 2,690,000 3,037,581
Government National Mortgage Association I, 6.5%, 10/15/33 6.5 10/15/2033 32,450 2,428
FREMF Mortgage Trust 2010-K7, Floating Rate Note, 5/25/29 (144A) 5.4407 05/25/2029 850,000 926,821
Activision Blizzard, Inc., 6.125%, 9/15/23 (144A) 6.125 09/15/2023 650,000 700,723
Fannie Mae, 6.0%, 7/1/38 6.0 07/01/2038 974,925 71,261
Fannie Mae, 4.0%, 1/1/44 4.0 01/01/2044 273,906 201,981
Altrl Zero% 30jun16 0.0 06/30/2016 937,930 65,655
Fannie Mae, 6.0%, 7/1/33 6.0 07/01/2033 7,500,000 522,074
LSTAR Securities Investment Trust 2015-3, Floating Rate Note, 3/1/20 (144A) 2.2438 03/01/2020 2,500,000 2,268,469
JP Morgan Chase Commercial Mortgage Securities Trust 2014-CBM, Floating Rate Note, 10/15/29 (144A) 2.2805 10/15/2029 4,600,000 4,557,421
Alamo Re, Ltd., Floating Rate Note, 6/7/18 (Cat Bond) (144A) 6.1238 06/07/2018 2,750,000 2,823,937
Csmc 3.5% 25feb45 15-2-A18 3.5 02/25/2045 5,480,000 4,860,122
Ally Financial, Inc., 3.6%, 5/21/18 3.6 05/21/2018 1,500,000 1,506,000
Chesapeake Funding LLC, Floating Rate Note, 3/4/26 1.3948 03/04/2026 400,000 400,296
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 2.5432 11/25/2034 6,054,578 448,787
Fannie Mae, 4.5%, 1/1/42 4.5 01/01/2042 11,834,581 7,152,349
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 3,654,000 4,000,034
Government National Mortgage Association I, 4.0%, 3/15/44 4.0 03/15/2044 1,268,496 802,194
Nevada Power Co., 6.5%, 8/1/18 6.5 08/01/2018 910,000 1,034,551
JP Morgan Mortgage Trust 2013-1, Floating Rate Note, 3/25/43 (144A) 3.0 03/25/2043 4,170,000 2,353,620
Fannie Mae, 4.0%, 11/1/44 4.0 11/01/2044 528,022 478,048
BXG Receivables Note Trust 2015-A, 2.88%, 5/2/30 (144A) 2.88 05/02/2030 3,000,000 2,428,034
Applebee's Funding LLC/ IHOP Funding LLC, 4.277%, 9/5/44 (144A) 4.277 09/05/2044 2,600,000 2,640,906
Government National Mortgage Association I, 7.0%, 4/15/29 7.0 04/15/2029 1,014,372 25,330
Fannie Mae, 4.0%, 1/1/42 4.0 01/01/2042 1,821,298 675,186
Fannie Mae, 3.0%, 9/1/43 3.0 09/01/2043 6,720,470 5,820,489
AXIS Equipment Finance Receivables II LLC, 4.94%, 7/20/18 (144A) 4.94 07/20/2018 500,000 509,368
Springleaf Mortgage Loan Trust 2013-1, Floating Rate Note, 6/25/58 (144A) 3.79 06/25/2058 750,000 754,258
Fannie Mae, 4.5%, 11/1/43 4.5 11/01/2043 800,000 771,155
Federal Home Loan Mortgage Corp., 3.5%, 11/1/45 3.5 11/01/2045 10,000,000 10,328,154
COMM 2012-CCRE4 Mortgage Trust, 2.436%, 10/17/45 2.436 10/17/2045 915,000 912,467
Federal National Mortgage Association, 4.0%, 11/1/34 4.0 11/01/2034 507,128 452,009
Fannie Mae, 4.0%, 3/1/42 4.0 03/01/2042 2,780,000 1,775,838
Fannie Mae, 2.5%, 7/1/30 2.5 07/01/2030 3,160,000 3,093,440
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/20 (Cat Bond) (144A) 6.9924 04/07/2020 1,850,000 1,925,502
Government National Mortgage Association I, 6.0%, 3/15/17 6.0 03/15/2017 2,000,000 12,478
Government National Mortgage Association I, 6.5%, 2/15/29 6.5 02/15/2029 301,000 10,974
Government National Mortgage Association I, 7.0%, 11/15/28 7.0 11/15/2028 2,367,683 22,406
Valero Energy Corp., 6.625%, 6/15/37 6.625 06/15/2037 2,825,000 2,848,627
Federal Home Loan Mortgage Corp., 6.5%, 11/1/30 6.5 11/01/2030 53,302 405
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 5.25 03/07/2016 1,250,000 1,266,453
Federal Home Loan Mortgage Corp., 6.0%, 9/1/33 6.0 09/01/2033 3,396,240 164,385
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 2.7 08/15/2018 850,000 641,585
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 2.5874 10/25/2033 7,000,000 552,462
JP Morgan Trust 2015-3 REMICS, Floating Rate Note, 5/25/45 (144A) 3.7359 05/25/2045 3,335,000 3,238,203
Altrl Zero% 30jun17 0.0 06/30/2017 974,064 1,155,435
Government National Mortgage Association II, 4.0%, 9/20/44 4.0 09/20/2044 604,599 415,811
Bank of America Corp., 4.2%, 8/26/24 4.2 08/26/2024 1,150,000 1,157,776
Pinnacle Entertainment, Inc., Tranche B-2 Term Loan, 8/13/20 3.75 08/13/2020 288,511 288,082
Wells Fargo Commercial Mortgage Trust 2014-TISH REMICS, Floating Rate Note, 2/16/27 (144A) 2.1805 02/16/2027 5,300,000 5,199,047
Morgan Stanley, Floating Rate Note (Perpetual) 6.375 12/31/2049 110,230 2,925,504
Government National Mortgage Association I, 4.5%, 6/15/41 4.5 06/15/2041 3,601,538 1,466,188
Government National Mortgage Association I, 4.0%, 4/15/44 4.0 04/15/2044 75,647 66,910
Toyota Motor Credit Corp., 2.125%, 7/18/19 2.125 07/18/2019 5,000,000 5,057,068
TimberStar Trust I REMICS, 5.668%, 10/15/36 (144A) 5.668 10/15/2036 4,470,000 4,605,646
Fannie Mae, 3.5%, 12/1/42 3.5 12/01/2042 1,000,000 786,623
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 6/25/33 5.5 06/25/2033 1,000,000 163,417
UBS Commercial Mortgage Trust 2012-C1, 3.4%, 5/12/45 3.4 05/12/2045 5,100,000 5,207,796
The Williams Companies, Inc., 7.75%, 6/15/31 7.75 06/15/2031 2,475,000 1,761,337
Federal Home Loan Mortgage Corp., 4.0%, 6/1/44 4.0 06/01/2044 11,301,413 8,425,231
JP Morgan Mortgage Trust 2013-1, Floating Rate Note, 3/25/43 (144A) 2.5 03/25/2043 12,732,000 7,001,399
Garda World Security Corp., Term B Loan, 11/1/20 4.0038 11/01/2020 788,554 755,780
Sequoia Mortgage Trust 2013-4 REMICS, Floating Rate Note, 4/27/43 2.325 04/27/2043 9,500,000 7,027,882
Government National Mortgage Association I, 4.0%, 3/15/45 4.0 03/15/2045 668,226 473,288
Government National Mortgage Association II, 3.5%, 3/20/45 3.5 03/20/2045 1,325,000 1,332,377
NCR Corp., 6.375%, 12/15/23 6.375 12/15/2023 1,425,000 1,407,663
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 2.0716 03/25/2035 430,000 424,491
Government National Mortgage Association I, 4.0%, 3/15/44 4.0 03/15/2044 12,909,682 7,153,376
Clearwater Paper Corp., 4.5%, 2/1/23 4.5 02/01/2023 1,285,000 1,231,994
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 2.25 08/20/2025 2,000,000 639,652
Kraft Foods Group, Inc., 3.5%, 6/6/22 3.5 06/06/2022 3,240,000 3,283,340
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 7,500,000 4,954,258
Fannie Mae, 4.0%, 12/1/44 4.0 12/01/2044 877,680 830,868
RESI Finance LP 2003-CB1, Floating Rate Note, 7/9/35 1.9431 07/09/2035 12,829,000 2,701,868
Government National Mortgage Association I, 5.5%, 2/15/35 5.5 02/15/2035 2,043,628 64,901
Welk Resorts 2015-A LLC, 2.79%, 6/16/31 (144A) 2.79 06/16/2031 1,938,000 1,665,024
Scotiabank Peru SAA, Floating Rate Note, 12/13/27 (144A) 4.5 12/13/2027 2,600,000 2,501,850
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 15,000,000 11,882,057
Verizon Communications, Inc., 5.15%, 9/15/23 5.15 09/15/2023 5,100,000 5,683,898
PennUnion Re, Ltd., Floating Rate Note, 12/7/18 (Cat Bond) (144A) 4.7696 12/07/2018 3,200,000 3,196,560
Fannie Mae, 4.5%, 4/1/41 4.5 04/01/2041 6,978,836 2,717,597
The PNC Financial Services Group, Inc., Floating Rate Note (Perpetual) 6.75 12/31/2049 890,000 971,435
EP Energy LLC, 9.375%, 5/1/20 9.375 05/01/2020 1,010,000 659,656
Igloo Holdings Corp., 8.25%, 12/15/17 (144A) (PIK) 8.25 12/15/2017 2,875,000 2,885,542
Fannie Mae, 3.0%, 1/19/16 3.0 01/19/2016 3,900,000 4,023,408
V 2.2% 14dec20 2.2 12/14/2020 4,550,000 4,546,259
Government National Mortgage Association I, 6.0%, 4/15/33 6.0 04/15/2033 2,000,000 44,223
Glencore Funding LLC, 4.125%, 5/30/23 (144A) 4.125 05/30/2023 1,175,000 870,748
JP Morgan Chase Commercial Mortgage Securities Trust 2015-SGP, Floating Rate Note, 7/15/36 (144A) 3.081 07/15/2036 4,000,000 3,999,064
Store Master Funding I LLC, 3.75%, 4/20/45 (144A) 3.75 04/20/2045 1,400,000 1,385,931
Fannie Mae, 6.5%, 11/1/37 6.5 11/01/2037 2,222,350 204,265
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 1,076,561 847,088
U.S. Treasury Bonds, 4.375%, 5/15/40 4.375 05/15/2040 3,700,000 4,676,541
Federal Home Loan Mortgage Corp., 6.0%, 6/1/35 6.0 06/01/2035 3,600,000 141,570
Ormat Funding Corp., 8.25%, 12/30/20 8.25 12/30/2020 555,000 224,273
Santander Drive Auto Receivables Trust 2012-1, 3.78%, 11/15/17 3.78 11/15/2017 1,450,000 17,667
Spectra Energy Capital LLC, 6.75%, 7/15/18 6.75 07/15/2018 1,500,000 1,659,632
Barclays Plc, 3.65%, 3/16/25 3.65 03/16/2025 5,250,000 5,101,272
Catholic Health Initiatives, 4.35%, 11/1/42 4.35 11/01/2042 2,600,000 2,450,653
Enel S.p.A., Floating Rate Note, 9/24/73 (144A) 8.133 09/24/2073 2,320,000 2,696,597
UBS AG, 7.625%, 8/17/22 7.625 08/17/2022 4,400,000 5,140,881
Crown Castle 1st Lien Term-B2 L + 2.5% 31jan21 3.0 01/31/2021 1,484,848 1,475,568
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 2.8634 01/15/2017 1,500,000 1,519,056
Glenn Pool Oil & Gas Trust, Term Loan, 5/2/16 4.5 05/02/2016 269,232 268,559
Federal Home Loan Mortgage Corp., 6.0%, 11/1/33 6.0 11/01/2033 1,151,218 25,207
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 1.47 05/15/2018 1,250,000 4,443
Southwest Airlines Co., 2.75%, 11/6/19 2.75 11/06/2019 2,350,000 2,378,090
Government National Mortgage Association I, 7.5%, 12/15/31 7.5 12/15/2031 7,728,804 49,204
Bank of America Corp., Floating Rate Note (Perpetual) 6.1 12/31/2049 3,950,000 4,073,920
DynCorp International, Inc., Term Loan, 7/7/16 6.25 07/07/2016 425,419 409,466
Kinder Morgan, Inc. Delaware, 5.05%, 2/15/46 5.05 02/15/2046 7,100,000 5,400,897
Fannie Mae, 4.0%, 7/1/44 4.0 07/01/2044 800,000 593,919
BCC Funding Corp X, 3.622%, 11/20/20 (144A) 3.622 11/20/2020 1,650,000 1,648,988
Federal Home Loan Mortgage Corp., 6.0%, 6/1/35 6.0 06/01/2035 3,778,102 127,097
Talen Energy Supply LLC, 6.5%, 6/1/25 (144A) 6.5 06/01/2025 4,556,000 3,031,638
Becton Dickinson and Co., 3.734%, 12/15/24 3.734 12/15/2024 10,525,000 10,632,203
Brocade Communications Systems, Inc., 4.625%, 1/15/23 4.625 01/15/2023 2,860,000 2,777,993
Wells Fargo Bank NA, 6.0%, 11/15/17 6.0 11/15/2017 3,540,000 3,845,122
Federal Home Loan Mortgage Corp., 4.0%, 4/1/45 4.0 04/01/2045 2,507,831 2,446,868
Fannie Mae, 6.5%, 2/1/32 6.5 02/01/2032 1,000,100 5,645
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 3,750,000 495,651
Fannie Mae, 4.0%, 12/1/42 4.0 12/01/2042 142,828 44,630
Government National Mortgage Association I, 7.5%, 10/15/29 7.5 10/15/2029 514,502 6,689
Sequoia Mortgage Trust 2013-4, Floating Rate Note, 4/27/43 1.55 04/27/2043 385,000 274,953
Parish of St John the Baptist Louisiana, 5.125%, 6/1/37 5.125 06/01/2037 2,560,000 2,605,801
Government National Mortgage Association I, 6.5%, 4/15/31 6.5 04/15/2031 8,257,522 91,372
AT&T, Inc., 4.75%, 5/15/46 4.75 05/15/2046 2,250,000 2,073,747
Masco Corp., 7.125%, 3/15/20 7.125 03/15/2020 4,260,000 5,009,671
Fannie Mae, 6.0%, 12/1/35 6.0 12/01/2035 8,000,000 414,179
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 2.4 11/17/2025 1,750,000 343,297
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 1.3616 12/25/2034 24,739,000 751,507
Silverton RE, Ltd., 0.0%, 9/16/16 (Cat Bond) (144A) 0.0 09/16/2016 250,000 2,350
Federal Home Loan Mortgage Corp., 4.5%, 10/1/20 4.5 10/01/2020 6,000,000 322,137
Fannie Mae, 6.0%, 11/1/33 6.0 11/01/2033 400,765 40,991
Fannie Mae, 6.0%, 10/1/35 6.0 10/01/2035 7,125,770 194,839
Aviation Capital Group Corp., 6.75%, 4/6/21 (144A) 6.75 04/06/2021 3,725,000 4,231,367
NYU Hospitals Center, 4.428%, 7/1/42 4.428 07/01/2042 2,400,000 2,334,166
Fannie Mae, 6.0%, 2/1/35 6.0 02/01/2035 62,166 6,411
Federal Home Loan Mortgage Corp., 5.5%, 11/1/34 5.5 11/01/2034 550,000 33,021
Sinopec Group Overseas Development 2014, Ltd., 4.375%, 4/10/24 (144A) 4.375 04/10/2024 4,750,000 4,954,187
CCO Safari II LLC, 6.384%, 10/23/35 (144A) 6.384 10/23/2035 7,645,000 7,816,169
CHS, Incremental 2019 Term G Loan, 12/31/19 3.3567 12/31/2019 1,114,278 1,087,988
Government National Mortgage Association I, 4.5%, 10/15/33 4.5 10/15/2033 2,103,237 303,160
Entegris, Inc., 6.0%, 4/1/22 (144A) 6.0 04/01/2022 2,500,000 2,568,750
VOLT XXX LLC, 3.625%, 10/25/57 (Step) (144A) 3.625 10/25/2057 2,150,000 1,902,617
Spectra Energy Capital LLC, 6.2%, 4/15/18 6.2 04/15/2018 2,475,000 2,651,985
JP Morgan Mortgage Trust 2014-5, Floating Rate Note, 10/25/29 (144A) 3.0 10/25/2029 6,000,000 5,005,364
Prudential Financial, Inc., 4.5%, 11/16/21 4.5 11/16/2021 1,090,000 1,183,074
The Allstate Corp., Floating Rate Note, 5/15/57 6.5 05/15/2057 5,455,000 6,045,807
GSR Mortgage Loan Trust 2005-AR1, Floating Rate Note, 1/25/35 2.8641 01/25/2035 5,115,000 884,493
DB Master Finance LLC 2015-1, 3.98%, 2/21/45 (144A) 3.98 02/21/2045 5,000,000 4,969,801
Fannie Mae, 6.0%, 4/1/33 6.0 04/01/2033 4,000,000 111,894
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 4.0761 06/28/2016 1,150,000 1,165,027
Barclays Bank Plc, 6.05%, 12/4/17 (144A) 6.05 12/04/2017 3,515,000 3,765,280
Fannie Mae, 5.0%, 2/1/22 5.0 02/01/2022 7,621,650 271,971
Enbridge Energy Partners LP, 7.375%, 10/15/45 7.375 10/15/2045 9,250,000 9,023,284
Aircastle, Ltd., 6.75%, 4/15/17 6.75 04/15/2017 2,800,000 2,960,664
CSMC 2015-TWNI Trust, Floating Rate Note, 3/15/28 (144A) 2.581 03/15/2028 2,700,000 2,679,229
Fannie Mae, 5.5%, 5/1/36 5.5 05/01/2036 4,000,000 210,733
DCT Industrial Operating Partnership LP, 4.5%, 10/15/23 4.5 10/15/2023 1,475,000 1,490,092
Nortek Inc 1st Lien Tl-B L + 2.75% 30oct20 3.5 10/30/2020 1,369,026 1,345,068
Fannie Mae, 6.0%, 9/1/34 6.0 09/01/2034 2,000,000 68,605
CIT Equipment Collateral 2014-VT1, 2.65%, 2/20/20 (144A) 2.65 02/20/2020 1,400,000 1,407,214
Federal Home Loan Mortgage Corp., 4.5%, 3/1/20 4.5 03/01/2020 4,000,000 139,651
President and Fellows of Harvard College, 2.3%, 10/1/23 2.3 10/01/2023 2,600,000 2,472,072
Prudential Financial, Inc., Floating Rate Note, 6/15/43 5.625 06/15/2043 1,500,000 1,537,500
Government National Mortgage Association I, 7.0%, 3/15/31 7.0 03/15/2031 1,750,000 19,645
Fannie Mae, 5.0%, 2/1/20 5.0 02/01/2020 700,000 45,313
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 4.2851 04/24/2017 550,000 554,970
Government National Mortgage Association I, 5.5%, 2/15/35 5.5 02/15/2035 500,000 49,322
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4 REMICS, Floating Rate Note, 12/16/30 ( 2.5305 12/16/2030 2,200,000 2,197,310
NCR Corp., 4.625%, 2/15/21 4.625 02/15/2021 4,600,000 4,461,872
Rosneft Finance SA, 7.875%, 3/13/18 (144A) 7.875 03/13/2018 1,000,000 1,087,609
Federal Home Loan Mortgage Corp., 4.0%, 9/1/44 4.0 09/01/2044 5,790,000 4,832,004
Federal National Mortgage Association REMICS, 10.3%, 4/25/19 10.3 04/25/2019 1,000,000 2,593
Government National Mortgage Association I, 5.5%, 10/15/17 5.5 10/15/2017 2,400,000 27,461
Fannie Mae, 6.0%, 9/1/34 6.0 09/01/2034 408,807 40,893
Government National Mortgage Association I, 4.5%, 10/15/35 4.5 10/15/2035 2,106,954 179,468
Fannie Mae, 6.0%, 8/1/34 6.0 08/01/2034 3,757,089 200,800
JobsOhio Beverage System, 4.532%, 1/1/35 4.532 01/01/2035 1,035,000 1,118,742
Alexandria Real Estate Equities, Inc., 4.6%, 4/1/22 4.6 04/01/2022 2,670,000 2,800,680
Government National Mortgage Association I, 4.5%, 4/15/38 4.5 04/15/2038 1,004,042 128,749
Prudential Financial, Inc., Floating Rate Note, 9/15/42 5.875 09/15/2042 1,800,000 1,902,238
QVC, Inc., 4.45%, 2/15/25 4.45 02/15/2025 7,300,000 6,892,982
CNOOC Nexen Finance 2014 ULC, 4.25%, 4/30/24 4.25 04/30/2024 5,275,000 5,354,786
Westgate Resorts 2014-1 LLC, 2.15%, 12/20/26 (144A) 2.15 12/20/2026 3,500,000 2,279,653
NSG Holdings LLC, New Term Loan, 12/11/19 3.75 12/11/2019 722,016 711,186
Macquarie Bank, Ltd., 6.625%, 4/7/21 (144A) 6.625 04/07/2021 840,000 954,021
Fannie Mae, 5.0%, 1/1/20 5.0 01/01/2020 4,159,304 221,164
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 0.7716 08/25/2036 1,525,000 229,645
Cinedigm Digital Funding 1 LLC, Term Loan, 2/28/18 3.75 02/28/2018 230,629 230,052
JP Morgan Trust 2015-3 REMICS, Floating Rate Note, 5/25/45 (144A) 3.0 05/25/2045 6,863,000 6,032,392
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 2,018,867 2,199,959
Fannie Mae, 4.0%, 7/1/42 4.0 07/01/2042 624,000 355,679
Nationstar Mortgage LLC, 6.5%, 6/1/22 6.5 06/01/2022 5,480,000 4,769,883
Masco Corp., 4.45%, 4/1/25 4.45 04/01/2025 1,050,000 1,040,681
Verizon Communications, Inc., 6.55%, 9/15/43 6.55 09/15/2043 7,254,000 8,751,923
Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37 0.5716 03/25/2037 550,000 189,395
Government National Mortgage Association I, 6.0%, 3/15/17 6.0 03/15/2017 2,080,702 16,804
Government National Mortgage Association I, 6.5%, 7/15/32 6.5 07/15/2032 5,169,128 36,376
American Credit Acceptance Receivables Trust 2014-1, 5.2%, 4/12/21 (144A) 5.2 04/12/2021 500,000 506,129
COMM 2014-FL5 Mortgage Trust, Floating Rate Note, 10/17/31 (144A) 2.4805 10/17/2031 3,800,000 3,813,547
STORE Master Funding LLC, 4.16%, 3/20/43 (144A) 4.16 03/20/2043 300,000 293,891
Government National Mortgage Association I, 6.5%, 2/15/34 6.5 02/15/2034 733,600 55,132
JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2, 3.6159%, 11/15/43 (144A) 3.6159 11/15/2043 1,600,000 1,640,241
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 2.25 06/25/2043 928,000 613,156
Fannie Mae, 6.0%, 7/1/33 6.0 07/01/2033 10,874,932 226,063
Government National Mortgage Association I, 6.5%, 10/15/32 6.5 10/15/2032 6,591,983 123,864
Bear Stearns Commercial Mortgage Securities Trust 2006-TOP22, Floating Rate Note, 4/12/38 5.62 04/12/2038 2,600,000 840,763
Access Point Funding I 2015-A LLC, 2.61%, 4/15/20 (144A) 2.61 04/15/2020 2,500,000 1,611,806
U.S. Treasury Inflation Indexed Bonds, 0.125%, 7/15/24 0.125 07/15/2024 124,580,000 118,552,324
Federal Home Loan Mortgage Corp., 4.0%, 1/1/44 4.0 01/01/2044 4,260,000 3,000,765
Biogen, Inc., 4.05%, 9/15/25 4.05 09/15/2025 4,275,000 4,345,379
Government National Mortgage Association I, 7.0%, 11/15/28 7.0 11/15/2028 4,530,958 68,427
Fannie Mae, 4.0%, 2/1/45 4.0 02/01/2045 428,722 381,551
Penske Truck Leasing Co Lp, 3.375%, 2/1/22 (144A) 3.375 02/01/2022 8,850,000 8,717,688
U.S. Treasury Bills, 0.0%, 7/21/16 0.0 07/21/2016 16,800,000 16,752,674
Avago Technologies Ltd 1st Lien Tl-B L + 3% 16apr21 3.75 04/16/2021 322,619 322,418
Government National Mortgage Association I, 4.0%, 2/15/45 4.0 02/15/2045 6,553,563 4,654,567
Sinopec Group Overseas Development 2015, Ltd., 2.5%, 4/28/20 (144A) 2.5 04/28/2020 10,050,000 9,930,666
First Investors Auto Owner Trust 2015-1, 3.59%, 1/18/22 (144A) 3.59 01/18/2022 510,000 501,828
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 4.568 01/15/2031 1,700,000 106,310
Sotheby's, 5.25%, 10/1/22 (144A) 5.25 10/01/2022 1,300,000 1,200,063
Hyundai Capital America, 1.45%, 2/6/17 (144A) 1.45 02/06/2017 2,245,000 2,247,634
Alexandria Real Estate Equities, Inc., 3.9%, 6/15/23 3.9 06/15/2023 1,093,000 1,081,389
Fannie Mae, 4.5%, 7/1/41 4.5 07/01/2041 5,000,000 1,799,141
First Investors Auto Owner Trust 2014-3, 2.97%, 11/16/20 (144A) 2.97 11/16/2020 2,100,000 2,093,139
Brixmor Operating Partnership LP, 3.875%, 8/15/22 3.875 08/15/2022 1,175,000 1,187,435
Kinetic Concepts, Inc., Dollar Term E-1 Loan, 5/4/18 4.5 05/04/2018 1,978,551 1,907,654
Government National Mortgage Association II, 4.0%, 10/20/44 4.0 10/20/2044 4,890,000 3,503,022
The Allstate Corp., 5.95%, 4/1/36 5.95 04/01/2036 1,300,000 1,586,736
Freeport-McMoRan, Inc., 3.875%, 3/15/23 3.875 03/15/2023 1,850,000 1,075,608
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5, 4.1712%, 8/17/46 4.1712 08/17/2046 1,350,000 1,442,299
Empresa Electrica Angamos SA, 4.875%, 5/25/29 (144A) 4.875 05/25/2029 2,825,000 2,533,918
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 5.46 11/15/2035 484,000 325,038
Queest Flt% 07jun19 144a   06/07/2019 2,000,000 2,003,573
DCP Midstream LLC, Floating Rate Note, 5/21/43 (144A) 5.85 05/21/2043 3,340,000 2,576,810
Hyundai Capital America, 2.0%, 3/19/18 (144A) 2.0 03/19/2018 3,125,000 3,105,568
JPMorgan Chase & Co., Floating Rate Note, 8/29/49 6.75 08/29/2049 9,100,000 10,174,938
Government National Mortgage Association I, 5.5%, 8/15/33 5.5 08/15/2033 400,000 29,494
Fannie Mae, 4.0%, 4/1/39 4.0 04/01/2039 7,360,371 1,654,285
Government National Mortgage Association I, 6.5%, 5/15/31 6.5 05/15/2031 1,798,476 23,884
Asciano Finance, Ltd., 4.625%, 9/23/20 (144A) 4.625 09/23/2020 529,000 540,625
Fannie Mae, 6.0%, 4/1/35 6.0 04/01/2035 4,000,000 282,177
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 0.8716 04/28/2039 1,486,142 675,658
Fannie Mae, 4.0%, 12/1/44 4.0 12/01/2044 507,378 450,224
Government National Mortgage Association I, 4.5%, 10/15/33 4.5 10/15/2033 2,981,200 243,110
Sector Zero% 01dec20 144a 0.0 12/01/2020 1,100,000 1,105,170
CeramTec Service GmbH, Initial Dollar Term B-1 Loan, 8/30/20 4.25 08/30/2020 1,011,286 1,005,387
Arbor Realty Collateralized Loan Obligation 2015-FL1, Ltd., Floating Rate Note, 3/15/25 (144A) 2.0805 03/15/2025 5,000,000 5,004,912
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 5.999 12/06/2016 1,650,000 1,678,204
Fannie Mae, 4.5%, 12/1/43 4.5 12/01/2043 20,516,456 11,548,354
Government National Mortgage Association I, 5.5%, 11/15/18 5.5 11/15/2018 1,443,964 40,411
JP Morgan Trust 2015-6, Floating Rate Note, 10/25/45 (144A) 3.5 10/25/2045 5,000,000 4,911,818
Essex Portfolio LP, 3.5%, 4/1/25 3.5 04/01/2025 9,125,000 8,858,276
Government National Mortgage Association I, 4.0%, 10/15/40 4.0 10/15/2040 27,335 11,171
Washington Suburban Sanitary Commission, 4.0%, 6/1/44 4.0 06/01/2044 1,565,000 1,666,668
Fannie Mae, 3.5%, 12/1/26 3.5 12/01/2026 4,340,805 1,815,759
Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 6.0 12/01/2033 635,770 10,540
Automatic Data Processing, Inc., 2.25%, 9/15/20 2.25 09/15/2020 3,750,000 3,789,045
Federal Home Loan Mortgage Corp., 5.5%, 9/1/33 5.5 09/01/2033 5,200,000 330,156
Selma Industrial Development Board, 5.8%, 5/1/34 5.8 05/01/2034 2,310,000 2,606,181
VOLT XXXVI LLC, 3.625%, 7/25/45 (Step) (144A) 3.625 07/25/2045 2,900,000 2,606,106
New Residential Mortgage Loan Trust 2015-1, Floating Rate Note, 5/28/52 (144A) 3.75 05/28/2052 11,783,000 9,866,592
Government National Mortgage Association I, 4.0%, 9/15/40 4.0 09/15/2040 25,000 11,216
Government National Mortgage Association I, 5.5%, 2/15/18 5.5 02/15/2018 4,000,000 79,181
American Airlines 2015-2 Class B Pass Through Trust, 4.4%, 9/22/25 4.4 09/22/2025 2,575,000 2,586,216
GTP Cellular Sites LLC, 3.721%, 3/15/17 (144A) 3.721 03/15/2017 800,000 766,532
Equinix, Inc., 5.75%, 1/1/25 5.75 01/01/2025 1,875,000 1,971,094
FREMF Mortgage Trust 2012-K501, Floating Rate Note, 11/26/46 (144A) 3.3972 11/26/2046 650,000 656,186
Sequoia Mortgage Trust 2012-6, Floating Rate Note, 12/26/42 1.808 12/26/2042 8,060,000 4,615,130
Washington Suburban Sanitary Commission, 4.0%, 6/1/43 4.0 06/01/2043 1,620,000 1,726,472
Westgate Resorts 2015-1 LLC, 2.75%, 5/20/27 (144A) 2.75 05/20/2027 3,000,000 2,238,849
Progress Residential 2015-SFR1 Trust, Floating Rate Note, 2/20/32 (144A) 2.7305 02/20/2032 2,700,000 2,652,741
Fannie Mae, 6.5%, 9/1/31 6.5 09/01/2031 2,000,200 9,569
Mid-State Capital Trust 2010-1, 5.25%, 12/15/45 (144A) 5.25 12/15/2045 950,000 660,974
Gilead Sciences, Inc., 4.5%, 2/1/45 4.5 02/01/2045 7,550,000 7,526,701
Fannie Mae, 5.0%, 2/1/45 5.0 02/01/2045 24,000,000 21,139,642
Avg Technologies Nv 1st Lien Tl-B L + 4.75% 07oct20 5.75 10/07/2020 603,900 601,635
JP Morgan Mortgage Trust 2014-OAK4, Floating Rate Note, 9/25/44 (144A) 4.0828 09/25/2044 5,977,000 6,050,926
Trans Union Llc 1st Lien Tl-B2 L + 3% 09apr21 3.5 04/09/2021 1,484,887 1,445,166
JP Morgan Mortgage Trust 2015-4, Floating Rate Note, 6/26/45 (144A) 3.5 06/26/2045 9,500,000 9,157,064
Federal Home Loan Mortgage Corp., 5.5%, 11/1/35 5.5 11/01/2035 1,000,000 51,242
Wells Fargo Credit Risk Transfer Securities Trust 2015, Floating Rate Note, 11/25/25 (144A) 2.9469 11/25/2025 2,530,000 2,502,025
Loma Reinsurance, Ltd. Bermuda, Floating Rate Note, 1/8/18 (Cat Bond) (144A) 9.755 01/08/2018 250,000 261,676
Kinder Morgan Energy Partners LP, 4.25%, 9/1/24 4.25 09/01/2024 4,675,000 4,042,957
Liberty Mutual Insurance Co., 7.697% (Perpetual) (144A) 7.697   5,325,000 6,659,207
Owens Corning, 4.2%, 12/1/24 4.2 12/01/2024 5,150,000 5,030,263
Government National Mortgage Association I, 6.0%, 9/15/19 6.0 09/15/2019 1,829,714 92,749
Eaton Vance Corp., 6.5%, 10/2/17 6.5 10/02/2017 733,000 794,481
Capital One Financial Corp., 3.75%, 4/24/24 3.75 04/24/2024 6,650,000 6,739,457
FREMF Mortgage Trust 2010-K8, Floating Rate Note, 9/25/43 (144A) 5.4157 09/25/2043 600,000 650,388
Irwin Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/25 0.8616 06/25/2025 15,300,000 2,779,384
Fannie Mae, 5.0%, 6/1/40 5.0 06/01/2040 3,004,062 1,023,048
Citigroup, Inc., Floating Rate Note (Perpetual) 5.9 12/31/2049 2,850,000 2,863,648
Government National Mortgage Association I, 5.5%, 7/15/33 5.5 07/15/2033 2,100,000 101,912
KeyCorp, 5.1%, 3/24/21 5.1 03/24/2021 7,378,000 8,165,149
Government National Mortgage Association I, 6.5%, 7/15/32 6.5 07/15/2032 14,653,970 182,524
Government National Mortgage Association I, 4.5%, 4/15/41 4.5 04/15/2041 2,223,928 1,336,025
Government National Mortgage Association I, 6.5%, 9/15/34 6.5 09/15/2034 121,399 4,779
Government National Mortgage Association II, 5.5%, 10/20/19 5.5 10/20/2019 4,728,248 307,547
Government National Mortgage Association I, 4.0%, 6/15/41 4.0 06/15/2041 167,972 108,090
General Motors Financial Co, Inc., 3.7%, 11/24/20 3.7 11/24/2020 2,300,000 2,314,968
Government National Mortgage Association I, 6.0%, 11/15/31 6.0 11/15/2031 1,614,291 43,236
Morgan Stanley, Floating Rate Note (Perpetual) 5.55 12/31/2049 2,900,000 2,974,216
Fannie Mae, 4.0%, 7/1/18 4.0 07/01/2018 675,000 21,145
Government National Mortgage Association I, 5.5%, 8/15/33 5.5 08/15/2033 299,970 28,711
Structured Asset Mortgage Investments Trust 2003-AR2, Floating Rate Note, 12/19/33 0.9425 12/19/2033 41,560,377 1,863,646
Fannie Mae, 5.5%, 12/1/17 5.5 12/01/2017 12,031,696 104,702
University of California, 3.38%, 5/15/28 3.38 05/15/2028 2,600,000 2,648,305
Huntsman International Llc 1st Lien Tl-B L + 3% 19apr19 3.318 04/19/2019 252,086 249,145
HOA Funding LLC, 4.846%, 8/22/44 (144A) 4.846 08/22/2044 3,050,000 2,719,644
Structured Asset Securities Corp Mortgage Loan Trust 2006-GEL4, Floating Rate Note, 10/25/36 (144A) 0.6416 10/25/2036 5,952,000 1,224,334
Fannie Mae, 4.0%, 1/13/16 4.0 01/13/2016 31,650,000 33,533,341
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 1,009,200 1,200,040
Valeant Pharmaceuticals International, Inc., Series C-2 Tranche B Term Loan, 12/11/19 3.75 12/11/2019 532,996 514,508
Air Canada 2015-1 Class A Pass Through Trust, 3.6%, 9/15/28 (144A) 3.6 09/15/2028 4,025,000 3,936,853
CDGJ Commercial Mortgage Trust 2014-BXCH, Floating Rate Note, 12/15/27 (144A) 2.8305 12/15/2027 4,000,000 3,957,680
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 8.665 05/09/2016 7,300,000 7,471,530
Government National Mortgage Association I, 4.0%, 6/15/39 4.0 06/15/2039 28,840 8,252
Government National Mortgage Association I, 5.5%, 7/15/34 5.5 07/15/2034 6,580,000 509,631
Government National Mortgage Association I, 6.0%, 2/15/33 6.0 02/15/2033 1,254,640 47,929
Government National Mortgage Association I, 4.0%, 8/15/44 4.0 08/15/2044 1,041,626 808,166
Israel Electric Corp, Ltd., 9.375%, 1/28/20 (144A) 9.375 01/28/2020 610,000 767,590
Federal Home Loan Mortgage Corp., 6.5%, 10/1/33 6.5 10/01/2033 2,000,000 52,422
Government National Mortgage Association I, 4.0%, 10/15/41 4.0 10/15/2041 52,992 9,925
DigitalGlobe, Inc., 5.25%, 2/1/21 (144A) 5.25 02/01/2021 2,600,000 2,240,875
Valero Energy Corp., 9.375%, 3/15/19 9.375 03/15/2019 2,890,000 3,494,109
NRP Mortgage Trust 2013-1, Floating Rate Note, 7/25/43 (144A) 3.25 07/25/2043 5,945,000 4,873,400
FREMF Mortgage Trust 2013-K502, Floating Rate Note, 3/27/45 (144A) 3.2959 03/27/2045 900,000 909,273
Crown Castle Towers LLC, 4.883%, 8/15/20 (144A) 4.883 08/15/2020 3,015,000 3,229,643
CeramTec Acquisition Corp., Initial Dollar Term B-2 Loan, 8/30/20 4.25 08/30/2020 105,355 104,741
Federal Home Loan Mortgage Corp., 6.5%, 4/1/34 6.5 04/01/2034 299,956 4,190
Fannie Mae, 3.5%, 11/1/45 3.5 11/01/2045 15,275,000 15,827,701
Delta Air Lines Inc 1st Lien Tl-B L + 2.5% 24aug22 3.25 08/24/2022 800,000 800,250
State of Washington, 5.0%, 7/1/30 5.0 07/01/2030 1,600,000 1,962,736
Federal Home Loan Mortgage Corp., 6.0%, 5/1/17 6.0 05/01/2017 7,876,244 33,235
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 2.75 01/23/2021 660,089 655,963
Fannie Mae, 4.0%, 1/1/45 4.0 01/01/2045 194,065 161,016
Ensco Plc, 4.5%, 10/1/24 4.5 10/01/2024 4,725,000 3,305,709
Bayview Commercial Asset Trust 2007-2, 0.0%, 7/27/37 (Step) (144A) 0.0 07/27/2037 21,000,000 0
LSTAR Commercial Mortgage Trust 2015-3, Floating Rate Note, 4/22/48 (144A) 3.475 04/22/2048 3,690,000 3,591,371
Government National Mortgage Association II, 5.5%, 4/20/34 5.5 04/20/2034 2,500,000 256,247
Government National Mortgage Association I, 5.5%, 12/15/18 5.5 12/15/2018 406,708 26,309
Kane Zero% 29apr16 0.0 04/29/2016 3,700,000 4,210,970
Government National Mortgage Association I, 6.0%, 12/15/32 6.0 12/15/2032 1,500,000 187,553
Kilimanjaro Re, Ltd., Floating Rate Note, 12/6/19 (Cat Bond) (144A) 6.75 12/06/2019 3,000,000 3,004,500
International Paper Co., 3.65%, 6/15/24 3.65 06/15/2024 6,975,000 6,833,228
Banc of America Mortgage Trust 2004-11, 5.75%, 1/25/35 5.75 01/25/2035 11,116,000 651,887
Banc of America Alternative Loan Trust 2003-2, 5.75%, 4/25/33 5.75 04/25/2033 6,525,000 556,298
WF-RBS Commercial Mortgage Trust 2011-C2, Floating Rate Note, 2/15/44 (144A) 5.392 02/15/2044 350,000 372,628
New Jersey Economic Development Authority, 0.0%, 2/15/18 0.0 02/15/2018 4,500,000 4,227,660
Federal Home Loan Mortgage Corp., 4.5%, 3/1/42 4.5 03/01/2042 22,167,426 7,393,348
Carrington Mortgage Loan Trust Series 2005-NC4, Floating Rate Note, 9/25/35 0.8216 09/25/2035 725,000 6,999
Capital One Bank USA NA, 8.8%, 7/15/19 8.8 07/15/2019 1,465,000 1,804,688
JP Morgan Mortgage Trust 2014-1 REMICS, Floating Rate Note, 1/25/44 (144A) 3.5 01/25/2044 1,739,000 1,398,696
Fannie Mae, 6.0%, 8/1/32 6.0 08/01/2032 315,000 5,678
Mohawk Industries, Inc., 3.85%, 2/1/23 3.85 02/01/2023 800,000 822,822
Government National Mortgage Association I, 4.0%, 12/15/41 4.0 12/15/2041 28,465 10,447
CSMC Trust 2013-IVR2, Floating Rate Note, 4/27/43 (144A) 1.55 04/27/2043 9,745,000 6,928,495
The Williams Companies, Inc., 5.75%, 6/24/44 5.75 06/24/2044 16,525,000 9,830,294
Ball Corp., 5.25%, 7/1/25 5.25 07/01/2025 4,000,000 4,198,500
Fannie Mae, 4.0%, 1/1/45 4.0 01/01/2045 512,424 435,805
STORE Master Funding LLC, 5.77%, 8/20/42 (144A) 5.77 08/20/2042 2,095,000 2,093,195
Win Flt% 20jun45 15-4-A3 3.5 06/20/2045 8,855,000 8,003,870
Federal National Mortgage Association, 4.0%, 10/1/45 4.0 10/01/2045 4,800,000 5,040,524
Longpoint Re, Ltd. III, Floating Rate Note, 5/23/18 (Cat Bond) (144A) 3.75 05/23/2018 4,000,000 4,060,400
Government National Mortgage Association I, 6.5%, 3/15/29 6.5 03/15/2029 5,001,628 93,661
Fannie Mae, 7.0%, 9/1/31 7.0 09/01/2031 2,000,000 15,408
Government National Mortgage Association I, 6.5%, 11/15/31 6.5 11/15/2031 100,000 6,150
Piedmont Operating Partnership LP, 3.4%, 6/1/23 3.4 06/01/2023 2,550,000 2,398,299
Federal Home Loan Mortgage Corp., 6.0%, 3/1/33 6.0 03/01/2033 5,524,534 240,113
Federal Home Loan Mortgage Corp., 2.5%, 4/1/30 2.5 04/01/2030 274,552 263,661
Fannie Mae, 3.5%, 11/1/42 3.5 11/01/2042 380,000 303,431
GRIFOLS WORLDWIDE OPERATIONS USA INC, U.S. Tranche B Term Loam, 4/1/21 3.4239 04/01/2021 383,175 380,110
General Electric Capital Corp., 5.3%, 2/11/21 5.3 02/11/2021 1,392,000 1,598,338
Staples Inc 1st Lien Tl-B L + 2.75% 24apr21 3.5 04/24/2021 1,925,000 1,907,074
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 0.7216 09/25/2036 5,715,000 558,015
Frontier Communications Corp., 10.5%, 9/15/22 (144A) 10.5 09/15/2022 130,000 133,153
Government National Mortgage Association I, 5.5%, 6/15/35 5.5 06/15/2035 900,000 147,582
CVS Health Corp., 2.25%, 8/12/19 2.25 08/12/2019 650,000 654,791
Government National Mortgage Association I, 6.0%, 5/15/17 6.0 05/15/2017 1,900,000 22,965
Government National Mortgage Association II, 5.5%, 3/20/34 5.5 03/20/2034 3,000,000 289,341
CubeSmart LP, 4.0%, 11/15/25 4.0 11/15/2025 2,700,000 2,698,737
Altice Financing SA, 7.875%, 12/15/19 (144A) 7.875 12/15/2019 1,675,000 1,747,863
Silvre Zero% 18sep18 144a 0.0 09/18/2018 1,700,000 1,700,000
Government National Mortgage Association I, 4.0%, 3/15/44 4.0 03/15/2044 3,196,509 1,712,672
Sequoia Mortgage Trust 2015-1, Floating Rate Note, 1/25/45 (144A) 3.0 01/25/2045 7,710,000 6,296,560
Federal Home Loan Mortgage Corp., 6.0%, 1/1/34 6.0 01/01/2034 500,000 44,046
Government National Mortgage Association II, 3.5%, 8/20/45 3.5 08/20/2045 6,125,000 6,291,484
Fortune Brands Home & Security, Inc., 3.0%, 6/15/20 3.0 06/15/2020 7,225,000 7,195,207
Sector Re V, Ltd., 0.0%, 3/1/20 (Cat Bond) (144A) 0.0 03/01/2020 400,000 479,920
Alexandria Real Estate Equities, Inc., 2.75%, 1/15/20 2.75 01/15/2020 75,000 74,683
WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21 2.75 01/23/2021 237,546 236,061
Rowan Companies, Inc., 5.85%, 1/15/44 5.85 01/15/2044 5,505,000 3,470,468
Government National Mortgage Association I, 4.0%, 11/15/40 4.0 11/15/2040 30,717 12,998
Federal Home Loan Mortgage Corp., 4.0%, 11/1/42 4.0 11/01/2042 255,000 179,075
Omega Healthcare Investors, Inc., 4.95%, 4/1/24 4.95 04/01/2024 3,945,000 4,032,981
The Kroger Co., 2.95%, 11/1/21 2.95 11/01/2021 7,472,000 7,432,388
Duke Realty LP, 3.625%, 4/15/23 3.625 04/15/2023 2,175,000 2,141,766
Fannie Mae, 6.5%, 8/1/31 6.5 08/01/2031 1,500,000 10,512
Government National Mortgage Association I, 4.5%, 4/15/35 4.5 04/15/2035 200,000 23,730
Federal Home Loan Mortgage Corp., 5.5%, 11/1/34 5.5 11/01/2034 1,900,000 160,047
CeramTec GmbH, Dollar Term B-3 Loan, 8/30/20 4.25 08/30/2020 307,740 305,945
Fannie Mae, 4.0%, 11/1/44 4.0 11/01/2044 4,035,000 3,539,100
Fannie Mae, 4.0%, 5/1/44 4.0 05/01/2044 3,800,000 2,740,301
Everglades Re, Ltd., Floating Rate Note, 3/28/18 (Cat Bond) (144A) 10.216 03/28/2016 7,550,000 7,731,678
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 2.5 03/20/2025 550,000 95,328
ING Groep NV, Floating Rate Note, 12/29/49 6.5 12/29/2049 11,836,000 11,722,572
Fannie Mae, 4.0%, 4/1/42 4.0 04/01/2042 2,200,000 892,021
Acorn Re, Ltd., Floating Rate Note, 7/17/18 (Cat Bond) (144A) 3.6634 07/17/2018 1,500,000 1,513,840
Astoria Financial Corp., 5.0%, 6/19/17 5.0 06/19/2017 2,300,000 2,382,739
Government National Mortgage Association I, 5.5%, 11/15/34 5.5 11/15/2034 4,800,000 606,751
Verizon Communications, Inc., 5.012%, 8/21/54 5.012 08/21/2054 1,938,000 1,809,491
Bayview Financial Mortgage Pass-Through Trust 2006-A, 5.865%, 2/28/41 (Step) 5.865 02/28/2041 1,462,628 1,405,319
Federal Home Loan Mortgage Corp., 6.0%, 3/1/33 6.0 03/01/2033 2,255,430 43,555
Government National Mortgage Association I, 7.75%, 2/15/30 7.75 02/15/2030 500,000 2,413
Newfield Exploration Co., 5.625%, 7/1/24 5.625 07/01/2024 1,400,000 1,232,875
Government National Mortgage Association II, 6.5%, 4/20/29 6.5 04/20/2029 2,900,000 38,232
Sequoia Mortgage Trust 2015-2, Floating Rate Note, 5/25/45 (144A) 3.5 05/25/2045 9,911,000 9,143,260
Government National Mortgage Association I, 5.5%, 1/15/35 5.5 01/15/2035 2,222,000 172,727
ConocoPhillips Co., 3.35%, 11/15/24 3.35 11/15/2024 5,350,000 4,915,562
RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32 6.0 01/25/2032 9,900,000 299,056
WASH Multifamily Laundry Systems LLC, 2/21/19 4.5 02/21/2019 0 0
Government National Mortgage Association I, 4.0%, 10/15/41 4.0 10/15/2041 40,767 6,752
Fannie Mae, 4.0%, 11/1/44 4.0 11/01/2044 225,000 210,833
Government National Mortgage Association I, 6.5%, 6/15/34 6.5 06/15/2034 1,330,499 186,253
Terwin Mortgage Trust Series TMTS 2005-16HE, 4.31625%, 9/25/36 (Step) 4.2996 09/25/2036 14,000,000 2,434,910
Expedia, Inc., 5.95%, 8/15/20 5.95 08/15/2020 3,800,000 4,231,649
Sumitomo Mitsui Banking Corp., 1.75%, 1/16/18 1.75 01/16/2018 1,800,000 1,807,581
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 4.25