Pioneer Investments: Pioneer Bond Fund


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Pioneer Bond Fund

Monthly Portfolio Holdings as of 1/30/2015

Security Name Coupon Maturity Date Par / Shares Market Value($)
Federal Home Loan Mortgage Corp., 6.5%, 5/1/31 6.5 05/01/2031 100,010 184
Fannie Mae, 8.0%, 10/1/30 8.0 10/01/2030 155,531 805
Embarcadero Reinsurance, Ltd., Floating Rate Note, 2/13/15 (Cat Bond) (144A) 7.2575 02/13/2015 250,000 254,262
Pinnacle Entertainment, Inc., Tranche B-2 Term Loan, 8/13/20 3.75 08/13/2020 746,693 739,459
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 0.4165 06/15/2033 3,840,084 1,757,160
Ardent Medical Services, Inc., Term Loan (First Lien), 7/2/18 6.75 07/02/2018 501,069 502,165
Federal Home Loan Mortgage Corp., 6.0%, 4/1/36 6.0 04/01/2036 7,000,000 524,818
CBS Corp., 4.6%, 1/15/45 4.6 01/15/2045 2,250,000 2,361,510
JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2, 3.6159%, 11/15/43 (144A) 3.6159 11/15/2043 1,600,000 1,689,882
Banc of America Alternative Loan Trust 2004-2, 5.5%, 3/25/19 5.5 03/25/2019 8,048,483 787,674
Government National Mortgage Association I, 5.0%, 9/15/33 5.0 09/15/2033 1,254,232 164,570
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 7.2652 07/05/2016 1,100,000 1,150,096
Viasystems, Inc., 7.875%, 5/1/19 (144A) 7.875 05/01/2019 2,500,000 2,689,844
Air Canada 2013-1 Class A Pass Through Trust, 4.125%, 11/15/26 (144A) 4.125 11/15/2026 5,000,000 4,969,647
MASTR Adjustable Rate Mortgages Trust 2005-1, Floating Rate Note, 1/25/35 3.1738 01/25/2035 6,959,000 691,397
California Statewide Communities Development Authority, 6.0%, 8/15/42 6.0 08/15/2042 2,925,000 3,623,802
Duke Realty LP, 3.75%, 12/1/24 3.75 12/01/2024 5,300,000 5,606,527
Kinder Morgan Energy Partners LP, 5.95%, 2/15/18 5.95 02/15/2018 3,250,000 3,682,705
Federal Home Loan Mortgage Corp., 4.0%, 5/1/44 4.0 05/01/2044 9,000,000 8,655,006
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 0.3215 05/15/2047 1,100,000 414,811
Fannie Mae, 5.0%, 6/1/40 5.0 06/01/2040 3,850,000 1,404,347
Federal Home Loan Mortgage Corp., 4.0%, 11/1/42 4.0 11/01/2042 255,000 214,949
SCE Trust III, Floating Rate Note (Perpetual) 5.75 12/31/2049 167,900 4,595,423
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 4.25 04/25/2034 8,370,000 256,238
The Williams Companies, Inc., 7.75%, 6/15/31 7.75 06/15/2031 2,475,000 2,798,551
PVH Corp., Tranche B Term Loan, 2/13/20 3.25 02/13/2020 436,759 438,724
Irwin Whole Loan Home Equity Trust 2005-C, Floating Rate Note, 3/25/25 1.2183 03/25/2025 800,000 251,795
U.S. Treasury Bonds, 4.5%, 2/15/36 4.5 02/15/2036 7,400,000 10,712,956
Queen Street V Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 8.5051 04/09/2015 250,000 254,061
NRP Mortgage Trust 2013-1, Floating Rate Note, 7/25/43 (144A) 3.25 07/25/2043 5,825,000 5,395,689
Federal Home Loan Mortgage Corp., 6.5%, 2/1/33 6.5 02/01/2033 62,297 4,237
SunTrust Banks, Inc., 3.5%, 1/20/17 3.5 01/20/2017 1,025,000 1,073,688
The Kroger Co., 2.95%, 11/1/21 2.95 11/01/2021 7,472,000 7,700,956
Government National Mortgage Association, 4.973%, 4/16/42 4.973 04/16/2042 375,000 58,212
Wells Fargo & Co., Floating Rate Note (Perpetual) 5.875 12/31/2049 3,400,000 3,557,439
NextGear Floorplan Master Owner Trust, 1.92%, 10/15/19 (144A) 1.92 10/15/2019 1,050,000 1,057,089
Commercial Mortgage Pass Through Certificates, 2.822%, 10/17/45 2.822 10/17/2045 2,875,000 2,970,576
Velocity Commercial Capital Loan Trust 2014-1, Floating Rate Note, 9/25/44 (144A) 2.1695 09/25/2044 3,000,000 2,790,767
WR Grace & Co-Conn, 5.125%, 10/1/21 (144A) 5.125 10/01/2021 1,130,000 1,196,917
Piedmont Operating Partnership LP, 3.4%, 6/1/23 3.4 06/01/2023 2,550,000 2,575,272
Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40 5.361 02/15/2040 3,500,000 2,546,038
Fannie Mae, 5.5%, 5/1/36 5.5 05/01/2036 4,000,000 322,427
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 0.5683 09/25/2035 4,700,000 1,304,158
Government National Mortgage Association I, 5.5%, 8/15/33 5.5 08/15/2033 400,000 33,223
Federal Home Loan Mortgage Corp., 7.0%, 8/1/22 7.0 08/01/2022 687,553 113,676
Federal Home Loan Mortgage Corp., 4.0%, 11/1/41 4.0 11/01/2041 21,893,143 17,105,842
Government National Mortgage Association II, 4.0%, 10/20/44 4.0 10/20/2044 4,890,000 5,172,988
EP Energy LLC, 9.375%, 5/1/20 9.375 05/01/2020 1,800,000 1,855,688
TTX Co., 3.6%, 1/15/25 (144A) 3.6 01/15/2025 6,650,000 7,078,988
Crown Americas Llc 1st Lien Tl-B L + 3.25% 20oct21   10/20/2021 1,850,000 1,862,878
FCA US LLC, Term Loan B, 5/24/17 3.5 05/24/2017 3,777,975 3,766,430
Government National Mortgage Association I, 6.5%, 2/15/32 6.5 02/15/2032 3,127,662 41,444
Univision Communications, Inc., Replacement First-Lien Term Loan, 3/1/20 4.0 03/01/2020 2,265,775 2,234,974
Fannie Mae, 4.0%, 9/1/44 4.0 09/01/2044 12,553,692 13,310,852
Fannie Mae, 6.5%, 6/1/31 6.5 06/01/2031 2,750,000 88,854
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 1,956,533 1,957,512
AmeriCredit Automobile Receivables Trust 2011-3, 4.04%, 7/10/17 4.04 07/10/2017 500,000 509,483
PFS Financing Corp., Floating Rate Note, 10/15/19 (144A) 1.0165 10/15/2019 1,000,000 999,666
Government National Mortgage Association I, 5.5%, 7/15/33 5.5 07/15/2033 1,500,000 131,518
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 0.3365 04/16/2035 5,102,315 2,056,067
Ensco Plc, 4.5%, 10/1/24 4.5 10/01/2024 4,725,000 4,642,289
Scotiabank Peru SAA, Floating Rate Note, 12/13/27 (144A) 4.5 12/13/2027 2,600,000 2,550,275
FREMF Mortgage Trust 2014-K503, Floating Rate Note, 10/25/47 (144A) 3.0787 10/25/2047 2,401,000 2,455,304
DCP Midstream Operating LP, 5.6%, 4/1/44 5.6 04/01/2044 2,125,000 2,088,970
Government National Mortgage Association I, 4.5%, 10/15/35 4.5 10/15/2035 2,106,954 242,739
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 1/25/35 2.3723 01/25/2035 3,080,000 706,230
BM&FBovespa SA, 5.5%, 7/16/20 (144A) 5.5 07/16/2020 3,200,000 3,429,244
Federal Home Loan Mortgage Corp., 3.0%, 8/1/29 3.0 08/01/2029 4,875,000 4,985,200
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 3.75 06/30/2019 553,598 490,231
Sequoia Mortgage Trust 2005-2, Floating Rate Note, 3/20/35 0.388 03/20/2035 13,325,000 1,251,673
GLP Capital LP, 4.375%, 11/1/18 4.375 11/01/2018 1,010,000 1,046,297
Fannie Mae, 5.0%, 2/1/20 5.0 02/01/2020 700,000 64,153
Pinnacle Foods Finance LLC, New Term Loan G, 4/29/20 3.0 04/29/2020 20,755 20,295
Huntsman International LLC, Extended Term B Loan, 4/19/17 2.7115 04/19/2017 254,694 252,386
American Homes 4 Rent 2014-SFR3 Trust, 4.596%, 12/18/36 (144A) 4.596 12/18/2036 2,800,000 2,942,834
Brocade Communications Systems, Inc., 4.625%, 1/15/23 4.625 01/15/2023 2,860,000 2,787,229
Fannie Mae, 6.5%, 8/1/31 6.5 08/01/2031 1,500,000 10,807
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 0.609 10/25/2030 5,000,000 428,270
JP Morgan Mortgage Trust 2004-A5, Floating Rate Note, 12/25/34 2.1984 12/25/2034 1,450,000 1,034,985
Sequoia Mortgage Trust, Floating Rate Note, 9/25/42 3.0 09/25/2042 100,000 59,844
California Educational Facilities Authority, 5.0%, 6/1/43 5.0 06/01/2043 1,980,000 2,874,254
Westgate Resorts 2014-1 LLC, 2.15%, 12/20/26 (144A) 2.15 12/20/2026 3,500,000 3,068,760
EnLink Midstream Partners LP, 4.4%, 4/1/24 4.4 04/01/2024 7,040,000 7,473,704
Government National Mortgage Association I, 5.5%, 7/15/33 5.5 07/15/2033 2,100,000 118,170
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 6/25/34 2.4702 06/25/2034 4,049,418 543,805
American Credit Acceptance Receivables Trust, 1.64%, 11/15/16 (144A) 1.64 11/15/2016 2,350,000 156,339
Federal Home Loan Mortgage Corp., 4.0%, 7/1/42 4.0 07/01/2042 255,000 216,853
Fannie Mae, 4.5%, 10/1/35 4.5 10/01/2035 3,754,911 388,414
Leaf Receivables Funding 8 LLC, 1.92%, 9/15/20 (144A) 1.92 09/15/2020 2,203,000 2,212,282
Seagate HDD Cayman, 5.75%, 12/1/34 (144A) 5.75 12/01/2034 4,350,000 4,777,412
Government National Mortgage Association I, 4.5%, 12/15/39 4.5 12/15/2039 9,079,200 1,946,528
American Honda Finance Corp., 1.2%, 7/14/17 1.2 07/14/2017 5,985,000 6,015,689
Fannie Mae, 4.0%, 12/1/40 4.0 12/01/2040 1,900,000 1,334,059
UBS AG, 7.625%, 8/17/22 7.625 08/17/2022 4,400,000 5,404,837
Federal National Mortgage Association REMICS, 10.3%, 4/25/19 10.3 04/25/2019 1,000,000 3,926
Citigroup, Inc., Floating Rate Note (Perpetual) 5.9 12/31/2049 2,850,000 2,923,973
DCP Midstream LLC, Floating Rate Note, 5/21/43 (144A) 5.85 05/21/2043 3,950,000 3,678,931
Irwin Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/25 0.3883 06/25/2025 15,300,000 3,034,403
CCOH Safari LLC, 5.75%, 12/1/24 5.75 12/01/2024 800,000 818,667
COMM 2012-CCRE2 Mortgage Trust, 3.147%, 8/15/45 3.147 08/15/2045 850,000 897,764
Structured Asset Mortgage Investments Trust 2003-AR2, Floating Rate Note, 12/19/33 0.908 12/19/2033 20,990,377 1,059,492
Bayview Opportunity Master Fund Trust, Floating Rate Note, 1/28/33 (144A) 2.9814 01/28/2033 1,000,000 273,504
Progress Residential 2015-SFR1 Trust, Floating Rate Note, 2/17/32 (144A)   02/17/2032 2,700,000 2,702,531
Banc of America Alternative Loan Trust 2004-6, 5.0%, 7/25/19 5.0 07/25/2019 10,861,500 1,442,979
Spectra Energy Capital LLC, 6.2%, 4/15/18 6.2 04/15/2018 2,475,000 2,817,507
Government National Mortgage Association I, 6.5%, 1/15/35 6.5 01/15/2035 62,679 904
Fannie Mae, 3.5%, 2/1/44 3.5 02/01/2044 18,215,601 18,370,193
Amherst College, 3.794%, 11/1/42 3.794 11/01/2042 525,000 569,798
Bella Vista Mortgage Trust 2004-1, Floating Rate Note, 11/20/34 0.868 11/20/2034 66,102,000 1,694,434
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 1.9165 06/15/2034 4,150,000 4,141,580
Fannie Mae, 5.5%, 12/1/17 5.5 12/01/2017 12,031,696 200,038
Entegris, Inc., 6.0%, 4/1/22 (144A) 6.0 04/01/2022 2,500,000 2,575,000
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1.7652 01/07/2019 500,000 494,679
Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 6.0 12/01/2033 3,297,768 140,267
Fannie Mae, 7.0%, 12/1/30 7.0 12/01/2030 499,950 860
Government National Mortgage Association I, 4.5%, 3/15/35 4.5 03/15/2035 784,949 46,242
Perrigo Finance plc, 3.5%, 12/15/21 3.5 12/15/2021 4,275,000 4,501,888
Federal Home Loan Mortgage Corp., 6.0%, 5/1/34 6.0 05/01/2034 1,440,424 238,402
Capital Automotive Real Estate Investment Trust, 3.66%, 10/17/44 (144A) 3.66 10/17/2044 3,000,000 2,990,105
Government National Mortgage Association I, 5.5%, 8/15/19 5.5 08/15/2019 2,543,276 218,427
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 0.8683 03/25/2035 5,700,000 908,599
First Horizon Mortgage Pass-Through Trust 2005-AR1, Floating Rate Note, 4/25/35 2.5726 04/25/2035 2,113,000 422,795
General Electric Capital Corp., 5.3%, 2/11/21 5.3 02/11/2021 4,860,000 5,780,099
NBTY, Inc., Term B-2 Loan, 10/1/17 3.5 10/01/2017 861,429 837,874
Masco Corp., 7.125%, 3/15/20 7.125 03/15/2020 4,260,000 5,034,965
Government National Mortgage Association I, 6.5%, 8/15/32 6.5 08/15/2032 2,400,000 39,918
Alkermes, Inc., 2019 Term Loan, 9/25/19 3.5 09/25/2019 750,000 743,438
Empresa Electrica Angamos SA, 4.875%, 5/25/29 (144A) 4.875 05/25/2029 2,825,000 2,869,076
CF Industries, Inc., 5.15%, 3/15/34 5.15 03/15/2034 4,845,000 5,577,111
Government National Mortgage Association I, 5.5%, 10/15/17 5.5 10/15/2017 5,636,984 179,493
WP Carey, Inc., 4.6%, 4/1/24 4.6 04/01/2024 1,715,000 1,848,210
Brown & Brown, Inc., 4.2%, 9/15/24 4.2 09/15/2024 5,000,000 5,298,283
Residential Asset Securitization Trust 2004-A9, 5.75%, 12/25/34 5.75 12/25/2034 3,690,000 1,361,964
AmeriCredit Automobile Receivables Trust 2013-1, 1.57%, 1/8/19 1.57 01/08/2019 800,000 800,543
Springleaf Mortgage Loan Trust 2012-2, Floating Rate Note, 10/25/57 (144A) 2.22 10/25/2057 3,200,000 1,426,485
FREMF Mortgage Trust 2012-K501, Floating Rate Note, 11/26/46 (144A) 3.4426 11/26/2046 650,000 668,455
Federal Home Loan Mortgage Corp., 6.5%, 7/1/32 6.5 07/01/2032 1,000,000 20,863
GTP Cellular Sites LLC, 3.721%, 3/15/17 (144A) 3.721 03/15/2017 800,000 806,069
Government National Mortgage Association I, 6.0%, 9/15/32 6.0 09/15/2032 1,406,079 113,017
Montpelier Re Holdings, Ltd., 4.7%, 10/15/22 4.7 10/15/2022 2,650,000 2,858,720
Senior Housing Properties Trust, 6.75%, 4/15/20 6.75 04/15/2020 2,865,000 3,350,102
Thornburg Mortgage Securities Trust 2004-3, Floating Rate Note, 9/25/34 0.9083 09/25/2034 48,366,000 3,996,321
Government National Mortgage Association II, 5.5%, 3/20/34 5.5 03/20/2034 3,000,000 344,534
Fannie Mae, 6.0%, 12/1/35 6.0 12/01/2035 8,000,000 704,346
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 7.5051 04/09/2015 500,000 506,717
Government National Mortgage Association I, 6.5%, 5/15/32 6.5 05/15/2032 1,000,000 14,667
U.S. Treasury Floating Rate Note, 0.090001011%, 7/31/16 0.09 07/31/2016 11,325,000 11,327,621
Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36 0.6583 06/25/2036 1,949,000 1,012,687
Fannie Mae, 4.5%, 1/1/42 4.5 01/01/2042 23,783,862 11,991,492
The Goodyear Tire & Rubber Co., Loan (Second Lien), 4/30/19 4.75 04/30/2019 4,190,000 4,195,238
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 0.9483 11/25/2034 19,339,000 2,539,891
Fannie Mae, 4.5%, 5/1/41 4.5 05/01/2041 17,795,568 4,761,939
JP Morgan Mortgage Trust 2004-A2, Floating Rate Note, 5/25/34 2.6089 05/25/2034 3,200,000 214,733
Gilead Sciences, Inc., 4.5%, 2/1/45 4.5 02/01/2045 7,550,000 8,761,793
Holcim US Finance Sarl & Cie SCS, 6.0%, 12/30/19 (144A) 6.0 12/30/2019 475,000 556,499
Wells Fargo Commercial Mortgage Trust 2012-LC5 REMICS, 3.539%, 10/17/45 3.539 10/17/2045 1,927,000 2,043,364
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/30 5.0 12/15/2030 1,050,000 1,191,213
Government National Mortgage Association I, 4.0%, 4/15/44 4.0 04/15/2044 58,312 26,300
Fannie Mae, 6.0%, 4/1/35 6.0 04/01/2035 4,000,000 350,384
Israel Electric Corp, Ltd., 9.375%, 1/28/20 (144A) 9.375 01/28/2020 610,000 756,962
Novelis, Inc., Initial Term Loan, 3/10/17 3.75 03/10/2017 695,000 690,005
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 0.5183 08/25/2036 1,525,000 300,513
Standard Chartered Bank, 6.4%, 9/26/17 (144A) 6.4 09/26/2017 2,200,000 2,475,671
CBS Corp., 3.7%, 8/15/24 3.7 08/15/2024 6,125,000 6,459,082
Cinedigm Digital Funding I LLC, Term Loan, 2/28/18 3.75 02/28/2018 400,564 401,065
Federal Home Loan Mortgage Corp., 5.0%, 6/1/35 5.0 06/01/2035 4,244,107 599,846
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 7.42 01/09/2019 1,200,000 1,240,947
Origen Manufactured Housing Contract Trust 2004-A, Floating Rate Note, 1/15/35 5.91 01/15/2035 1,400,000 582,723
Government National Mortgage Association I, 5.0%, 7/15/19 5.0 07/15/2019 26,391 1,695
Government National Mortgage Association I, 4.5%, 3/15/35 4.5 03/15/2035 1,722,219 183,137
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 6.0404 04/10/2015 250,000 251,592
RALI Series 2004-QS13 Trust, 5.0%, 9/25/19 5.0 09/25/2019 18,375,000 1,931,325
Hercules Capital Funding Trust 2014-1, 3.524%, 4/16/21 (144A) 3.524 04/16/2021 2,920,000 2,924,288
US Airways 2013-1 Class A Pass Through Trust, 3.95%, 5/15/27 3.95 05/15/2027 1,500,000 1,523,077
Bear Stearns Commercial Mortgage Securities Trust 2006-TOP22, Floating Rate Note, 4/12/38 5.5713 04/12/2038 2,600,000 2,542,503
TimberStar Trust I, 5.7467%, 10/15/36 (144A) 5.7467 10/15/2036 1,435,000 1,525,102
Masco Corp., 5.95%, 3/15/22 5.95 03/15/2022 825,000 937,908
Federal Home Loan Mortgage Corp., 6.5%, 3/1/31 6.5 03/01/2031 527,335 9,020
Washington Suburban Sanitary Commission, 4.0%, 6/1/43 4.0 06/01/2043 1,620,000 1,769,875
Government National Mortgage Association I, 4.5%, 1/15/40 4.5 01/15/2040 1,235,000 736,876
Banc of America Funding 2010-R4 Trust REMICS, Floating Rate Note, 8/26/36 (144A) 0.2997 08/26/2036 3,200,000 272,050
Corporate Office Properties LP, 3.6%, 5/15/23 3.6 05/15/2023 1,085,000 1,084,031
The University of Texas System, 5.0%, 8/15/43 5.0 08/15/2043 525,000 626,407
Wells Fargo Alternative Loan 2005-2 Trust, Floating Rate Note, 10/25/35 0.9883 10/25/2035 1,233,457 1,225,849
Baylor University, 4.313%, 3/1/42 4.313 03/01/2042 1,025,000 1,181,672
Government National Mortgage Association I, 7.0%, 12/15/30 7.0 12/15/2030 599,940 13,408
Government National Mortgage Association I, 7.5%, 2/15/31 7.5 02/15/2031 1,466,543 16,004
Government National Mortgage Association I, 6.5%, 7/15/32 6.5 07/15/2032 5,169,128 54,774
NRP Mortgage Trust 2013-1, Floating Rate Note, 7/25/43   07/25/2043 6,602,000 6,327,429
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 5.25 04/25/2032 3,090,877 895,185
Bear Stearns ARM Trust 2003-6, Floating Rate Note, 8/25/33 2.5827 08/25/2033 69,274,000 3,459,344
Government National Mortgage Association I, 4.5%, 7/15/33 4.5 07/15/2033 633,571 125,794
Hyatt Hotel Portfolio Trust 2015-HYT, Floating Rate Note, 11/15/29 (144A) 1.85 11/15/2029 2,100,000 2,103,244
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 8.6325 04/08/2016 1,650,000 1,722,362
Banc of America Alternative Loan Trust 2004-10, 5.5%, 11/25/19 5.5 11/25/2019 5,500,000 710,592
Government National Mortgage Association I, 7.0%, 8/15/31 7.0 08/15/2031 17,500,000 218,209
SNAAC Auto Receivables Trust 2013-1, 1.14%, 7/16/18 (144A) 1.14 07/16/2018 2,100,000 155,049
Asciano Finance, Ltd., 4.625%, 9/23/20 (144A) 4.625 09/23/2020 529,000 578,782
Regency Energy Partners LP, 8.375%, 6/1/19 (144A) 8.375 06/01/2019 1,675,000 1,788,411
JP Morgan Chase Commercial Mortgage Securities Corp., 2.84%, 12/17/47 2.84 12/17/2047 3,910,234 4,017,522
Government National Mortgage Association I, 4.0%, 11/15/43 4.0 11/15/2043 32,084 34,167
Wells Fargo Mortgage Backed Securities 2006-16 Trust, 5.0%, 11/25/36 5.0 11/25/2036 4,500,000 198,505
Government National Mortgage Association I, 6.5%, 2/15/34 6.5 02/15/2034 733,600 58,098
Fannie Mae, 6.5%, 1/1/31 6.5 01/01/2031 1,000,000 3,990
Government National Mortgage Association II, 4.5%, 3/20/35 4.5 03/20/2035 500,000 86,259
Kane-Pi5 Zero% 18jul16 0.0 07/18/2016 1,004,000 1,130,203
KKR Group Finance Co II LLC, 5.5%, 2/1/43 (144A) 5.5 02/01/2043 5,025,000 6,282,994
The Allstate Corp., Floating Rate Note, 5/15/57 6.5 05/15/2057 5,455,000 6,129,905
Nakilat, Inc., 6.267%, 12/31/33 (144A) 6.267 12/31/2033 2,450,000 2,618,526
Aspen Insurance Holdings, Ltd., Floating Rate Note (Perpetual) 5.95 12/31/2049 50,000 1,261,500
Amphenol Corp., 3.125%, 9/15/21 3.125 09/15/2021 3,675,000 3,849,632
Federal Home Loan Mortgage Corp., 4.5%, 3/1/42 4.5 03/01/2042 22,167,426 9,340,754
Government National Mortgage Association I, 7.0%, 8/15/28 7.0 08/15/2028 200,000 2,336
Sequoia Mortgage Trust 2013-9, 3.5%, 7/25/43 (144A) 3.5 07/25/2043 2,190,000 2,054,587
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 3.25 12/19/2020 1,245,588 1,242,203
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 6.5 08/15/2030 2,800,000 275,670
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 3.5425 05/05/2017 1,200,000 1,201,223
BBVA Bancomer SA Texas, 6.5%, 3/10/21 (144A) 6.5 03/10/2021 3,815,000 4,325,362
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 3,654,000 3,657,654
Carlyle Holdings II Finance LLC, 5.625%, 3/30/43 (144A) 5.625 03/30/2043 5,930,000 7,288,296
Government National Mortgage Association I, 4.0%, 12/15/41 4.0 12/15/2041 28,465 13,822
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 2.1061 11/19/2026 4,000,000 1,510,838
Fannie Mae, 4.5%, 8/1/40 4.5 08/01/2040 5,950,444 1,580,199
Fannie Mae, 4.0%, 7/1/18 4.0 07/01/2018 675,000 36,335
Government National Mortgage Association I, 6.5%, 3/15/31 6.5 03/15/2031 1,000,000 14,586
Spirit Master Funding LLC, 5.74%, 3/20/42 (144A) 5.74 03/20/2042 268,008 300,266
Ormat Funding Corp., 8.25%, 12/30/20 8.25 12/30/2020 555,000 266,020
Government National Mortgage Association I, 6.5%, 10/15/33 6.5 10/15/2033 32,450 2,936
Microsemi Corp., Term Loan (2014), 3/14/21 3.25 03/14/2021 395,014 391,657
Government National Mortgage Association I, 6.5%, 1/15/34 6.5 01/15/2034 1,311,303 18,198
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 2.4925 10/25/2033 11,067,000 818,750
Crockett Cogeneration LP, 5.869%, 3/30/25 (144A) 5.869 03/30/2025 1,010,000 613,593
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 3.0 01/23/2021 666,807 665,870
Government National Mortgage Association I, 5.5%, 2/15/35 5.5 02/15/2035 500,000 58,682
Pangaea Zero% 01jul18 0.0 07/01/2018 2,000,000 2,146,000
Federal Home Loan Mortgage Corp., 6.5%, 3/1/31 6.5 03/01/2031 217,521 604
DuPont Fabros Technology LP, 5.875%, 9/15/21 5.875 09/15/2021 1,250,000 1,324,618
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 978,436 1,049,342
Fannie Mae, 7.0%, 9/1/31 7.0 09/01/2031 2,000,000 20,977
Bayview Commercial Asset Trust 2007-4, 3.49686%, 9/25/37 (Step) (144A) 3.4969 09/25/2037 13,200,000 296,569
Government National Mortgage Association I, 6.0%, 11/15/34 6.0 11/15/2034 3,188,149 199,856
Government National Mortgage Association I, 6.0%, 2/15/33 6.0 02/15/2033 1,254,640 56,530
Government National Mortgage Association I, 6.5%, 4/15/32 6.5 04/15/2032 235,320 11,670
Ibis Re II, Ltd., Floating Rate Note, 2/5/15 (Cat Bond) (144A) 13.5203 02/05/2015 1,550,000 1,577,629
NCR Corp., 6.375%, 12/15/23 6.375 12/15/2023 1,425,000 1,500,733
Government National Mortgage Association I, 4.5%, 4/15/35 4.5 04/15/2035 200,000 24,704
Fannie Mae, 5.5%, 6/1/36 5.5 06/01/2036 6,000,000 409,326
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 2.516 10/25/2033 7,000,000 736,374
COMM 2013-LC6 Mortgage Trust, 2.941%, 1/12/46 2.941 01/12/2046 1,900,000 1,971,592
ConocoPhillips Co., 3.35%, 11/15/24 3.35 11/15/2024 5,350,000 5,627,303
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 0.608 10/20/2017 1,659,000 1,660,786
Federal Home Loan Mortgage Corp., 4.0%, 9/1/44 4.0 09/01/2044 11,749,606 12,490,561
Government National Mortgage Association II, 7.0%, 1/20/29 7.0 01/20/2029 8,400,000 120,532
New York State Electric & Gas Corp., 6.15%, 12/15/17 (144A) 6.15 12/15/2017 5,055,000 5,711,257
Sirius International Group, Ltd., 6.375%, 3/20/17 (144A) 6.375 03/20/2017 3,600,000 4,043,603
CSMC Trust 2013-IVR4, Floating Rate Note, 7/27/43 (144A) 3.0 07/27/2043 3,790,000 3,395,068
STORE Master Funding LLC, 4.16%, 3/20/43 (144A) 4.16 03/20/2043 300,000 303,558
Merrill Lynch Mortgage Trust 2005-LC1, Floating Rate Note, 1/12/44 5.291 01/12/2044 4,000,000 3,630,423
Ursa Re, Ltd., Floating Rate Note, 12/7/17 (Cat Bond) (144A)   12/07/2017 1,000,000 1,000,400
Fannie Mae, 6.5%, 7/1/29 6.5 07/01/2029 500,000 10,646
Fannie Mae, 8.0%, 5/1/31 8.0 05/01/2031 45,000 408
Gold Fields Orogen Holdings BVI, Ltd., 4.875%, 10/7/20 (144A) 4.875 10/07/2020 4,300,000 3,871,299
Fannie Mae, 6.5%, 9/1/31 6.5 09/01/2031 2,000,200 12,588
Fannie Mae, 3.5%, 12/1/26 3.5 12/01/2026 4,340,805 2,242,085
Spirit Master Funding LLC, 4.6291%, 1/20/45 (144A) 4.6291 01/20/2045 3,300,000 3,358,105
Unison Ground Lease Funding LLC, 2.981%, 3/16/43 (144A) 2.981 03/16/2043 1,500,000 1,549,393
Eaton Vance Corp., 6.5%, 10/2/17 6.5 10/02/2017 733,000 840,707
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 2.3146 08/25/2033 18,254,000 1,128,420
Government National Mortgage Association I, 4.0%, 2/19/15 4.0 02/19/2015 7,500,000 8,068,535
Fannie Mae, 4.0%, 12/1/43 4.0 12/01/2043 7,600,000 7,620,512
Capella Healthcare Inc 1st Lien Tl-B L + 4.25% 31dec21 5.25 12/31/2021 340,000 341,700
Sinopec Group Overseas Development 2014, Ltd., 4.375%, 4/10/24 (144A) 4.375 04/10/2024 4,750,000 5,234,833
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/20 (Cat Bond) (144A) 6.8652 04/07/2020 1,350,000 1,422,763
Government National Mortgage Association I, 5.5%, 2/15/18 5.5 02/15/2018 4,000,000 173,844
Government National Mortgage Association I, 6.0%, 6/15/17 6.0 06/15/2017 519,853 6,310
Cincinnati Bell, Inc., Tranche B Term Loan, 9/10/20 4.0 09/10/2020 1,930,563 1,917,290
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 5.23 12/17/2040 5,025,000 3,423,516
Sequoia Mortgage Trust 2013-10, Floating Rate Note, 8/25/43 (144A) 3.5921 08/25/2043 7,372,000 7,191,883
LeasePlan Corp NV, 2.5%, 5/16/18 (144A) 2.5 05/16/2018 1,475,000 1,502,332
Government National Mortgage Association I, 7.0%, 12/15/30 7.0 12/15/2030 500,000 5,173
Fannie Mae, 6.5%, 2/1/32 6.5 02/01/2032 1,000,100 8,817
Louisiana Local Government Environmental Facilities & Community Development Authority, 6.5%, 11/1/35 6.5 11/01/2035 2,350,000 2,891,652
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 1.47 05/15/2018 1,250,000 246,307
Parish of St John the Baptist Louisiana, 5.125%, 6/1/37 5.125 06/01/2037 2,560,000 2,728,452
Standard Chartered Plc, 3.95%, 1/11/23 (144A) 3.95 01/11/2023 4,800,000 4,800,866
JP Morgan Mortgage Trust 2013-1, Floating Rate Note, 3/25/43 (144A) 3.0 03/25/2043 9,989,000 6,833,390
Fannie Mae, 4.5%, 5/1/41 4.5 05/01/2041 454,433 188,096
Canadian Natural Resources, Ltd., 6.5%, 2/15/37 6.5 02/15/2037 2,230,000 2,627,734
Government National Mortgage Association I, 3.5%, 1/21/15 3.5 01/21/2015 13,638,000 14,485,882
United States Treasury Floating Rate Note, Floating Rate Note, 1/31/16 0.065 01/31/2016 11,325,000 11,325,549
Trafigura Securitisation Finance Plc. 2014-1, Floating Rate Note, 4/16/18 (144A) 2.4165 04/16/2018 800,000 809,644
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 3,594,840 273,157
Fannie Mae, 5.0%, 7/1/40 5.0 07/01/2040 5,000,000 2,209,398
Government National Mortgage Association I, 6.5%, 7/15/35 6.5 07/15/2035 3,323,439 106,775
CSMC Trust 2013-IVR4, Floating Rate Note, 7/27/43 (144A) 3.0 07/27/2043 2,860,000 2,528,199
NRG Energy, Inc., Term Loan (2013), 7/1/18 2.75 07/01/2018 1,322,470 1,307,867
U.S. Treasury Bonds, 3.0%, 11/15/44 3.0 11/15/2044 3,000,000 3,500,080
Panoche Energy Center LLC, 6.885%, 7/31/29 (144A) 6.885 07/31/2029 2,610,000 2,711,606
Government National Mortgage Association I, 4.0%, 2/15/42 4.0 02/15/2042 128,311 83,390
Rosneft Finance SA, 7.5%, 7/18/16 (144A) 7.5 07/18/2016 2,080,000 2,033,800
GS Mortgage Securities Trust 2012-GCJ7, 3.377%, 5/12/45 3.377 05/12/2045 1,250,000 1,331,263
CVS Pass-Through Trust, 5.773%, 1/10/33 (144A) 5.773 01/10/2033 1,555,000 1,657,590
JPMorgan Chase & Co., Floating Rate Note (Perpetual) 5.15 12/31/2049 1,525,000 1,491,259
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 1.6683 06/25/2028 3,300,000 771,761
Clearwater Paper Corp., 4.5%, 2/1/23 4.5 02/01/2023 1,285,000 1,281,788
Citigroup Mortgage Loan Trust, Inc., 5.5%, 9/25/34 5.5 09/25/2034 4,860,000 1,232,291
Massachusetts Health & Educational Facilities Authority, 5.5%, 7/1/32 5.5 07/01/2032 1,425,000 2,047,274
Government National Mortgage Association I, 4.0%, 11/15/40 4.0 11/15/2040 30,717 13,422
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 3.1033 07/15/2023 750,000 710,796
Government National Mortgage Association I, 4.0%, 10/15/41 4.0 10/15/2041 52,992 11,106
Silverton RE, Ltd., 0.0%, 9/18/17 (Cat Bond) (144A) 0.0 09/18/2017 1,000,000 1,017,200
Government National Mortgage Association I, 4.0%, 6/15/39 4.0 06/15/2039 28,840 11,252
OMNOVA Solutions, Inc., Term B-1 Loan, 5/31/18 4.25 05/31/2018 480,000 476,100
Prudential Financial, Inc., Floating Rate Note, 6/15/43 5.625 06/15/2043 1,500,000 1,570,781
Government National Mortgage Association I, 4.5%, 9/15/33 4.5 09/15/2033 2,256,215 328,917
Federal Home Loan Mortgage Corp., 5.5%, 11/1/35 5.5 11/01/2035 1,000,000 59,952
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 2.02 01/15/2019 1,200,000 1,200,644
CSMC Trust 2014-WIN1, Floating Rate Note, 9/25/44 (144A) 3.0 09/25/2044 6,225,000 5,190,284
DAE Aviation Holdings, Inc., Replacement Tranche B-1 Loan, 11/2/18 5.0 11/02/2018 1,318,634 1,319,042
Blackstone Holdings Finance Co LLC, 6.25%, 8/15/42 (144A) 6.25 08/15/2042 875,000 1,176,476
Government National Mortgage Association I, 6.0%, 10/15/36 6.0 10/15/2036 3,000,000 187,986
Credit Agricole SA, Floating Rate Note, 12/31/64 (144A) 6.625 12/31/2064 5,075,000 5,015,334
Government National Mortgage Association I, 5.5%, 11/15/19 5.5 11/15/2019 2,683,028 344,722
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 0.4183 10/25/2035 4,359,000 427,394
FREMF Mortgage Trust 2010-K7, Floating Rate Note, 5/25/29 (144A) 5.4347 05/25/2029 850,000 968,181
Delphi Corp., 4.15%, 3/15/24 4.15 03/15/2024 5,400,000 5,895,357
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 5.2652 03/07/2016 1,250,000 1,273,526
Government National Mortgage Association I, 4.0%, 10/15/40 4.0 10/15/2040 27,335 14,397
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 5.46 11/15/2035 484,000 394,972
FPL Energy American Wind LLC, 6.639%, 6/20/23 (144A) 6.639 06/20/2023 2,520,000 680,494
Fannie Mae, 6.0%, 3/1/33 6.0 03/01/2033 230,257 17,646
Monty Parent Issuer 1 LLC, 3.47%, 11/20/28 (144A) 3.47 11/20/2028 5,250,000 206,922
Revlon Consumer Products Corp., Acquisition Term Loan, 8/19/19 4.0 08/19/2019 1,000,000 988,438
Government National Mortgage Association I, 6.0%, 5/15/17 6.0 05/15/2017 1,413,485 45,785
CSMC Trust 2013-IVR2, Floating Rate Note, 4/27/43 (144A) 1.55 04/27/2043 8,805,000 7,140,703
Government National Mortgage Association I, 6.0%, 5/15/33 6.0 05/15/2033 4,328,221 221,613
Kiowa Power Partners LLC, 5.737%, 3/30/21 (144A) 5.737 03/30/2021 2,105,000 1,951,580
Federal Home Loan Mortgage Corp., 6.0%, 12/1/36 6.0 12/01/2036 860,000 62,568
Government National Mortgage Association II, 6.5%, 4/20/29 6.5 04/20/2029 2,900,000 48,119
Citigroup, Inc., Floating Rate Note (Perpetual) 7.125 12/31/2049 197,000 5,338,700
CeramTec Service GmbH, Initial Dollar Term B-1 Loan, 8/30/20 4.25 08/30/2020 1,072,866 1,066,160
Fannie Mae, 3.5%, 2/18/15 3.5 02/18/2015 3,800,000 4,040,738
Progreso Receivables Funding I LLC, 3.625%, 1/30/25 (144A) 3.625 01/30/2025 3,200,000 3,200,000
WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21 1.2551 01/23/2021 239,945 239,608
Alternative Loan Trust 2004-J5, Floating Rate Note, 8/25/34 1.0683 08/25/2034 9,407,000 8,665,252
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 4.568 01/15/2031 1,700,000 190,423
Federal Home Loan Mortgage Corp., 5.0%, 10/1/20 5.0 10/01/2020 9,000,000 1,215,198
New Residential Mortgage Loan Trust 2014-3, Floating Rate Note, 11/25/54 (144A) 3.75 11/25/2054 3,900,000 4,049,682
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP6, Floating Rate Note, 4/15/43 5.565 04/15/2043 4,800,000 4,956,680
Government National Mortgage Association I, 7.0%, 9/15/31 7.0 09/15/2031 2,202,152 15,659
Mid-State Capital Trust 2010-1, 5.25%, 12/15/45 (144A) 5.25 12/15/2045 950,000 724,165
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 8/25/24 1.5183 08/25/2024 3,570,000 3,462,963
Government National Mortgage Association I, 6.0%, 9/15/28 6.0 09/15/2028 12,973,600 344,383
Fannie Mae, 5.0%, 6/1/40 5.0 06/01/2040 3,004,062 1,356,151
Fannie Mae, 8.0%, 2/1/29 8.0 02/01/2029 240,000 2,968
Government National Mortgage Association I, 7.0%, 4/15/29 7.0 04/15/2029 1,014,372 26,510
Government National Mortgage Association I, 5.5%, 7/15/35 5.5 07/15/2035 5,500,000 800,814
Alternative Loan Trust 2003-14T1, Floating Rate Note, 8/25/18 0.6183 08/25/2018 11,900,000 451,843
JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8, Floating Rate Note, 10/17/45 (144A) 3.9767 10/17/2045 1,200,000 1,286,824
Mondelez International, Inc., 6.5%, 2/9/40 6.5 02/09/2040 2,581,000 3,616,736
Sanders Re, Ltd., Floating Rate Note, 5/25/18 (Cat Bond) (144A) 3.0152 05/25/2018 800,000 794,013
Fannie Mae, 7.0%, 9/1/31 7.0 09/01/2031 2,000,000 10,803
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 8.02 07/09/2015 2,100,000 2,164,447
Government National Mortgage Association I, 4.0%, 2/15/41 4.0 02/15/2041 25,888 19,375
Government National Mortgage Association I, 6.0%, 2/15/29 6.0 02/15/2029 2,700,000 163,541
Government National Mortgage Association I, 6.0%, 4/15/33 6.0 04/15/2033 1,000,000 28,641
Methanex Corp., 4.25%, 12/1/24 4.25 12/01/2024 2,625,000 2,655,912
Government National Mortgage Association II, 6.5%, 3/20/29 6.5 03/20/2029 100,000 1,536
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.8683 01/25/2035 20,675,000 2,391,417
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 1,500,000 1,608,203
Government National Mortgage Association I, 7.0%, 4/15/28 7.0 04/15/2028 266,017 2,830
Government National Mortgage Association I, 5.5%, 7/15/34 5.5 07/15/2034 6,580,000 628,059
Citigroup, Inc., Floating Rate Note (Perpetual) 5.95 12/31/2049 2,295,000 2,360,408
Fannie Mae, 5.0%, 7/1/40 5.0 07/01/2040 3,750,000 1,117,282
Federal Home Loan Mortgage Corp., 6.5%, 8/1/31 6.5 08/01/2031 1,070,805 5,010
CommScope, Inc., Tranche 3 Term Loan, 1/21/17 2.8285 01/21/2017 327,343 325,842
QBE Insurance Group, Ltd., 2.4%, 5/1/18 (144A) 2.4 05/01/2018 1,100,000 1,117,092
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5.372 09/10/2045 3,660,000 3,755,254
Sequoia Mortgage Trust 2013-4 REMICS, Floating Rate Note, 4/27/43 2.325 04/27/2043 9,500,000 8,232,739
Fannie Mae, 4.0%, 8/1/44 4.0 08/01/2044 20,000,000 20,865,251
Government National Mortgage Association I, 4.0%, 2/15/42 4.0 02/15/2042 854,888 560,697
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 2.05 10/25/2033 11,509,396 1,328,737
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/34 5.0 06/15/2034 1,925,000 253
Fannie Mae, 6.5%, 3/1/32 6.5 03/01/2032 3,500,000 93,705
Plains All American Pipeline LP, 4.9%, 2/15/45 4.9 02/15/2045 5,300,000 5,813,415
Sumitomo Mitsui Banking Corp., 1.75%, 1/16/18 1.75 01/16/2018 1,800,000 1,809,179
Boardwalk Pipelines LP, 4.95%, 12/15/24 4.95 12/15/2024 2,750,000 2,833,626
Fifth Third Bancorp, Floating Rate Note (Perpetual) 6.625 12/31/2049 17,380 479,167
Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34 0.9083 11/25/2034 44,417,000 2,837,049
Astoria Financial Corp., 5.0%, 6/19/17 5.0 06/19/2017 2,300,000 2,456,021
NCR Corp., 4.625%, 2/15/21 4.625 02/15/2021 4,600,000 4,606,101
County of Sweetwater Wyoming, 5.6%, 12/1/35 5.6 12/01/2035 995,000 1,025,759
Fannie Mae, 5.0%, 7/1/40 5.0 07/01/2040 5,000,000 1,760,841
GTP Acquisition Partners I LLC, 4.347%, 6/15/41 (144A) 4.347 06/15/2041 3,355,000 3,425,948
Sequoia Mortgage Trust 2012-6, Floating Rate Note, 12/26/42 1.808 12/26/2042 8,060,000 5,729,054
DCP Midstream LLC, 9.75%, 3/15/19 (144A) 9.75 03/15/2019 2,900,000 3,378,475
Fannie Mae, 5.0%, 2/1/41 5.0 02/01/2041 17,669,429 7,263,757
Nevada Power Co., 6.5%, 8/1/18 6.5 08/01/2018 910,000 1,090,971
Fannie Mae, 4.0%, 12/1/42 4.0 12/01/2042 142,828 46,353
BCMSC Trust 1998-A, 6.65%, 4/15/28 6.65 04/15/2028 10,000,000 150,765
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 8.9152 06/06/2017 1,000,000 1,039,650
SpringCastle America Funding LLC, 2.7%, 5/25/23 2.7 05/25/2023 2,600,000 2,296,205
Enel Finance International NV, 5.125%, 10/7/19 (144A) 5.125 10/07/2019 3,365,000 3,836,131
LB-UBS Commercial Mortgage Trust 2005-C2 REMICS, Floating Rate Note, 4/15/30 5.205 04/15/2030 2,255,000 2,272,252
Rosneft Finance SA, 6.625%, 3/20/17 (144A) 6.625 03/20/2017 1,000,000 959,108
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2.58 09/15/2021 2,800,000 2,813,117
Government National Mortgage Association I, 6.0%, 1/15/19 6.0 01/15/2019 548,488 32,219
Fannie Mae, 3.5%, 12/1/42 3.5 12/01/2042 1,000,000 915,887
Macquarie Bank, Ltd., 6.625%, 4/7/21 (144A) 6.625 04/07/2021 840,000 1,012,382
Bayview Commercial Asset Trust 2005-3, Floating Rate Note, 11/25/35 (144A) 0.4883 11/25/2035 10,500,000 2,396,575
Constellation Brands, Inc., 3.75%, 5/1/21 3.75 05/01/2021 630,000 642,206
Government National Mortgage Association I, 7.0%, 5/15/32 7.0 05/15/2032 5,500,000 116,442
Activision Blizzard, Inc., Term Loan, 7/26/20 3.25 07/26/2020 300,000 299,981
Federal Home Loan Mortgage Corp., 6.5%, 11/1/33 6.5 11/01/2033 1,109,301 172,394
CoBank ACB, Floating Rate Note (Perpetual) (144A) 6.25 12/31/2049 28,000 2,887,500
WaMu Mortgage Pass-Through Certificates Series 2003-AR6 Trust, Floating Rate Note, 6/25/33 2.4373 06/25/2033 47,783,250 2,202,130
Blue Danube II, Ltd., Floating Rate Note, 5/23/18 (Cat Bond) (144A) 4.2787 05/23/2018 2,300,000 2,335,149
Federal Home Loan Mortgage Corp., 6.0%, 3/1/33 6.0 03/01/2033 2,255,430 45,275
Frontier Communications Corp., 7.125%, 1/15/23 7.125 01/15/2023 4,300,000 4,474,867
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 2.7 08/15/2018 850,000 864,279
Massachusetts Institute of Technology, 5.6%, 7/1/11 5.6   1,100,000 1,672,390
Delta Air Lines, Inc., Term Loan, 4/20/17 3.25 04/20/2017 1,650,000 1,646,773
Eden Re II, Ltd., 0.0%, 4/19/18 (Cat Bond) (144A) 0.0 04/19/2018 2,500,000 2,500,000
State Street Corp., Floating Rate Note, 12/31/73 5.9 12/31/2073 54,200 1,432,506
Government National Mortgage Association I, 5.5%, 1/15/35 5.5 01/15/2035 2,222,000 244,928
Government National Mortgage Association I, 4.0%, 8/15/40 4.0 08/15/2040 38,807 18,043
Impac CMB Trust Series 2004-9, Floating Rate Note, 1/25/35 0.9283 01/25/2035 10,000,000 641,511
CVS Health Corp., 2.25%, 8/12/19 2.25 08/12/2019 650,000 670,652
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 0.848 05/19/2035 79,912,853 4,151,592
Home Equity Asset Trust 2005-7, Floating Rate Note, 1/25/36 0.5483 01/25/2036 750,000 388,501
Fannie Mae, 4.0%, 11/1/44 4.0 11/01/2044 10,545,000 11,210,970
Lincoln National Corp., 8.75%, 7/1/19 8.75 07/01/2019 1,690,000 2,163,571
Government National Mortgage Association I, 6.0%, 3/15/32 6.0 03/15/2032 80,300 3,082
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 2.5665 10/15/2015 3,134,000 3,146,876
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 2.49 02/25/2034 11,243,500 706,566
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 3,475,000 188,207
GSR Mortgage Loan Trust 2005-AR1, Floating Rate Note, 1/25/35 2.6209 01/25/2035 5,115,000 979,751
Sunoco Logistics Partners Operations LP, 6.1%, 2/15/42 6.1 02/15/2042 2,200,000 2,587,754
Fannie Mae, 6.0%, 10/1/32 6.0 10/01/2032 4,502,006 96,316
Sequoia Mortgage Trust 2004-9, Floating Rate Note, 10/20/34 0.848 10/20/2034 9,485,000 876,430
Wells Fargo Commercial Mortgage Trust 2014-TISH, Floating Rate Note, 2/16/27 (144A) 1.197 02/16/2027 1,800,000 1,793,251
Sequoia Mortgage Trust 2013-6, Floating Rate Note, 5/26/43 3.0 05/26/2043 2,450,000 2,240,997
Government National Mortgage Association I, 6.5%, 8/15/32 6.5 08/15/2032 129,066 4,677
Fidelity National Financial, Inc., 5.5%, 9/1/22 5.5 09/01/2022 1,200,000 1,355,696
Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A) 3.721 11/16/2044 2,250,000 2,181,537
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 4.0 11/08/2020 203,267 198,566
Fannie Mae, 6.0%, 7/1/38 6.0 07/01/2038 974,925 80,984
Domino's Pizza Master Issuer LLC, 5.216%, 1/27/42 (144A) 5.216 01/27/2042 4,051,000 4,124,657
Colony Multifamily Mortgage Trust 2014-1, 2.5432%, 4/22/50 (144A) 2.5432 04/22/2050 4,000,000 3,763,690
Government National Mortgage Association I, 4.0%, 1/15/41 4.0 01/15/2041 281,135 172,117
The Valspar Corp., 3.3%, 2/1/25 3.3 02/01/2025 3,025,000 3,078,451
Government National Mortgage Association I, 5.5%, 4/15/19 5.5 04/15/2019 25,000 2,253
Avg Technologies Nv 1st Lien Tl-B L + 4.75% 07oct20 5.75 10/07/2020 610,000 602,375
Citigroup Mortgage Loan Trust, Inc. REMICS, Floating Rate Note, 8/25/34 2.1778 08/25/2034 17,660,000 3,088,372
Government National Mortgage Association II, 4.5%, 12/20/34 4.5 12/20/2034 1,007,144 183,380
Government National Mortgage Association I, 4.0%, 3/15/44 4.0 03/15/2044 454,143 414,088
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 1.368 11/20/2036 5,300,000 1,208,495
Standard Aero, Ltd., Replacement Tranche B-2 Loan, 11/2/18 5.0 11/02/2018 597,773 597,275
Invitation Homes 2014-SFR3 Trust, Floating Rate Note, 12/17/31 (144A) 1.368 12/17/2031 1,700,000 1,686,619
OneBeacon US Holdings, Inc., 4.6%, 11/9/22 4.6 11/09/2022 1,000,000 1,082,572
PPL Capital Funding, Inc., 5.9%, 4/30/73 5.9 04/30/2073 164,000 4,182,000
Alexandria Real Estate Equities, Inc., 3.9%, 6/15/23 3.9 06/15/2023 1,093,000 1,139,309
New York City Transitional Finance Authority Future Tax Secured Revenue, 5.0%, 11/1/33 5.0 11/01/2033 2,400,000 2,845,656
Federal Home Loan Mortgage Corp., 6.5%, 6/1/32 6.5 06/01/2032 39,022 306
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 3.9669 08/25/2053 1,450,000 1,104,180
Port Freeport Texas, 5.95%, 5/15/33 5.95 05/15/2033 3,965,000 4,506,584
Alta Wind Holdings LLC, 7.0%, 6/30/35 (144A) 7.0 06/30/2035 700,000 645,842
Federal Home Loan Mortgage Corp., 3.5%, 11/1/44 3.5 11/01/2044 200,000 211,224
Fannie Mae, 8.0%, 4/1/30 8.0 04/01/2030 150,000 736
CVS Pass-Through Trust, 5.298%, 1/11/27 (144A) 5.298 01/11/2027 1,200,000 734,965
Government National Mortgage Association I, 4.5%, 10/15/33 4.5 10/15/2033 2,981,200 294,822
Crown Castle Towers LLC, 6.113%, 1/15/20 (144A) 6.113 01/15/2020 1,625,000 1,883,833
Government National Mortgage Association I, 6.5%, 5/15/29 6.5 05/15/2029 6,774,704 111,008
Government National Mortgage Association I, 6.5%, 1/15/29 6.5 01/15/2029 1,500,000 30,273
Orcal Geothermal, Inc., 6.21%, 12/30/20 (144A) 6.21 12/30/2020 1,730,000 598,218
U.S. Treasury Bonds, 3.125%, 2/15/43 3.125 02/15/2043 2,000,000 2,392,608
Federal Home Loan Mortgage Corp., 4.5%, 3/1/20 4.5 03/01/2020 4,000,000 256,664
Bear Stearns ARM Trust 2003-5, Floating Rate Note, 8/25/33 2.325 08/25/2033 10,580,000 794,769
FREMF Mortgage Trust 2013-K713, Floating Rate Note, 4/25/46 (144A) 3.2737 04/25/2046 3,000,000 3,067,744
Eastman Chemical Co., 4.8%, 9/1/42 4.8 09/01/2042 980,000 1,116,200
Icon Brand Holdings LLC, 4.352%, 1/25/43 (144A) 4.352 01/25/2043 395,000 355,461
JPMorgan Chase & Co., Floating Rate Note, 8/29/49 6.75 08/29/2049 4,815,000 5,313,049
Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A) 1.55 11/15/2017 1,326,000 1,193,793
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 1.6 06/19/2031 600,000 592,314
Government National Mortgage Association I, 6.0%, 1/15/17 6.0 01/15/2017 705,441 8,207
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 5.0 07/25/2018 7,610,000 434,951
Government National Mortgage Association I, 5.5%, 2/15/35 5.5 02/15/2035 2,043,628 116,742
Federal Home Loan Mortgage Corp., 4.0%, 9/1/44 4.0 09/01/2044 5,790,000 6,087,961
Federal Home Loan Mortgage Corp., 6.5%, 4/1/34 6.5 04/01/2034 299,956 4,477
Bosphorus Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 2.5608 05/03/2016 350,000 351,069
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 8.0152 06/06/2016 800,000 862,756
US Bancorp, Floating Rate Note (Perpetual) 6.0 12/31/2049 192,120 5,217,979
JP Morgan Mortgage Trust 2013-1, Floating Rate Note, 3/25/43 (144A) 2.5 03/25/2043 6,600,000 4,543,265
Port Authority of New York & New Jersey, 4.458%, 10/1/62 4.458 10/01/2062 600,000 679,890
Transunion Llc 1st Lien Tl-B L + 3% 21mar21 4.0 03/21/2021 1,500,000 1,481,484
Johnson & Johnson, 4.375%, 12/5/33 4.375 12/05/2033 3,150,000 3,763,726
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 0.3365 04/15/2022 1,682,691 231,453
Hyundai Motor Manufacturing Czech sro, 4.5%, 4/15/15 (144A) 4.5 04/15/2015 655,000 668,052
Fannie Mae, 7.0%, 12/1/30 7.0 12/01/2030 525,099 10,240
National Rural Utilities Cooperative Finance Corp., 5.45%, 2/1/18 5.45 02/01/2018 2,000,000 2,299,904
Federal National Mortgage Association REMICS, 5.0%, 9/25/39 5.0 09/25/2039 704,000 118,644
Fannie Mae, 3.5%, 11/1/42 3.5 11/01/2042 380,000 348,567
Hercules Capital Funding Trust 2012-1, 3.32%, 12/16/17 (144A) 3.32 12/16/2017 650,000 78,126
Blackstone Holdings Finance Co LLC, 4.75%, 2/15/23 (144A) 4.75 02/15/2023 4,950,000 5,650,181
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 4.0253 05/05/2017 1,250,000 1,253,778
Fannie Mae, 4.5%, 12/1/41 4.5 12/01/2041 2,500,000 1,538,260
WF-RBS Commercial Mortgage Trust 2011-C2, Floating Rate Note, 2/15/44 (144A) 5.392 02/15/2044 350,000 393,724
MacDermid, Inc., Tranche B Term Loan (First Lien), 6/7/20 4.0 06/07/2020 916,175 915,460
Sotheby's, 5.25%, 10/1/22 (144A) 5.25 10/01/2022 1,300,000 1,257,750
Fannie Mae, 3.5%, 3/12/15 3.5 03/12/2015 33,008,000 34,825,988
Consolidated Edison Co of New York, Inc., 4.625%, 12/1/54 4.625 12/01/2054 5,475,000 6,475,855
Cantor Fitzgerald LP, 7.875%, 10/15/19 (144A) 7.875 10/15/2019 2,980,000 3,352,165
GSR Mortgage Loan Trust 2004-7, Floating Rate Note, 6/25/34 2.695 06/25/2034 14,810,263 1,781,100
Government National Mortgage Association I, 7.0%, 6/15/31 7.0 06/15/2031 3,800,000 51,507
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 2.623 07/25/2033 24,092,878 1,078,398
Government National Mortgage Association I, 4.0%, 9/15/41 4.0 09/15/2041 2,091,451 1,055,676
Allison Transmission, Inc., Term B-3 Loan, 8/23/19 3.75 08/23/2019 1,137,175 1,133,503
Fannie Mae, 4.0%, 2/1/43 4.0 02/01/2043 2,065,000 1,569,777
Newfield Exploration Co., 5.625%, 7/1/24 5.625 07/01/2024 1,400,000 1,389,063
Government National Mortgage Association I, 6.0%, 8/15/36 6.0 08/15/2036 4,350,000 473,355
Government National Mortgage Association I, 7.5%, 8/15/29 7.5 08/15/2029 2,007,985 20,359
Commonwealth Edison Co., 6.15%, 9/15/17 6.15 09/15/2017 980,000 1,125,447
COMM 2013-CCRE11 Mortgage Trust, Floating Rate Note, 12/8/50 (144A) 5.1712 12/08/2050 4,200,000 4,736,065
Kane Flt% 12jun15   06/12/2015 1,600,000 1,533,440
Federal Home Loan Mortgage Corp., 6.0%, 5/1/34 6.0 05/01/2034 7,192,224 790,647
Catholic Health Initiatives, 4.35%, 11/1/42 4.35 11/01/2042 2,600,000 2,709,281
Government National Mortgage Association I, 6.5%, 7/15/32 6.5 07/15/2032 14,653,970 209,838
Fannie Mae, 3.5%, 6/1/28 3.5 06/01/2028 5,531,277 4,729,152
Delphi Financial Group, Inc., Floating Rate Note, 5/15/37 7.376 05/15/2037 153,800 3,845,000
Kane Ilw Zero% 02feb16 0.0 02/02/2016 1,000,000 920,800
Tiers Trust, Floating Rate Note, 10/15/97 (144A) 0.0   1,250,000 1,204,377
President and Fellows of Harvard College, 6.3%, 10/1/37 6.3 10/01/2037 3,095,000 3,368,304
Public Service Co of New Mexico, 7.95%, 5/15/18 7.95 05/15/2018 2,690,000 3,244,808
FREMF Mortgage Trust 2011-K701, Floating Rate Note, 7/25/48 (144A) 4.286 07/25/2048 5,000,000 5,302,515
Prudential Financial, Inc., 4.5%, 11/16/21 4.5 11/16/2021 1,090,000 1,228,139
Government National Mortgage Association I, 6.0%, 12/15/32 6.0 12/15/2032 1,500,000 194,012
Federal Home Loan Mortgage Corp., 6.0%, 2/1/33 6.0 02/01/2033 4,851,146 101,898
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 2,018,867 2,019,472
Bed Bath & Beyond, Inc., 3.749%, 8/1/24 3.749 08/01/2024 2,000,000 2,142,502
Omega Healthcare Investors, Inc., 4.95%, 4/1/24 4.95 04/01/2024 3,945,000 4,284,388
Fannie Mae, 6.5%, 11/1/37 6.5 11/01/2037 2,222,350 264,061
QVC, Inc., 4.45%, 2/15/25 4.45 02/15/2025 6,325,000 6,591,553
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 3,044,810 162,589
Sabine Pass LNG LP, 6.5%, 11/1/20 6.5 11/01/2020 3,500,000 3,609,375
Fannie Mae, 8.0%, 3/1/31 8.0 03/01/2031 1,495,060 11,051
TD Ameritrade Holding Corp., 3.625%, 4/1/25 3.625 04/01/2025 6,025,000 6,427,246
Fannie Mae, 4.0%, 4/1/41 4.0 04/01/2041 1,850,000 1,352,553
Government National Mortgage Association I, 6.0%, 6/15/33 6.0 06/15/2033 368,522 16,456
Fannie Mae, 4.0%, 11/1/44 4.0 11/01/2044 4,035,000 4,291,781
Government National Mortgage Association I, 6.5%, 2/15/29 6.5 02/15/2029 301,000 13,392
GS Mortgage Securities Corp II, 3.682%, 2/12/46 (144A) 3.682 02/12/2046 1,000,000 1,046,098
Federal Home Loan Mortgage Corp., 6.0%, 2/1/33 6.0 02/01/2033 550,000 7,963
Federal Home Loan Mortgage Corp., 5.5%, 9/1/33 5.5 09/01/2033 5,200,000 421,691
Charter Communications Operating LLC, Term F Loan, 12/31/20 3.0 12/31/2020 1,699,125 1,674,700
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 0.4183 02/25/2030 14,753,656 2,016,649
Government National Mortgage Association I, 6.5%, 1/15/33 6.5 01/15/2033 25,065,172 626,816
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 8.5059 05/07/2015 2,250,000 2,331,413
CNH Equipment Trust 2013-A, 0.69%, 6/15/18 0.69 06/15/2018 1,200,000 881,472
The George Washington University, 1.827%, 9/15/17 1.827 09/15/2017 1,900,000 1,929,454
Wells Fargo Mortgage Backed Securities 2003-L Trust, Floating Rate Note, 11/25/33 2.5546 11/25/2033 3,100,000 216,447
Resolute Forest Products, Inc., 5.875%, 5/15/23 5.875 05/15/2023 3,930,000 3,801,893
Spirit Master Funding VII LLC, 3.8868%, 12/20/43 3.8868 12/20/2043 700,000 726,073
Navios Maritime Partners LP, Term Loan, 6/27/18 5.25 06/27/2018 688,258 682,235
Freeport-McMoRan, Inc., 3.875%, 3/15/23 3.875 03/15/2023 1,850,000 1,684,645
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 9.0152 06/06/2015 1,125,000 1,164,375
Government National Mortgage Association I, 6.0%, 3/15/17 6.0 03/15/2017 2,000,000 31,099
Fannie Mae, 6.5%, 7/1/34 6.5 07/01/2034 1,095,000 35,389
Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 6.0 12/01/2033 635,770 10,876
Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A) 1.1695 09/25/2037 5,372,163 827,836
Foundation Re III, Ltd., Floating Rate Note, 2/25/15 (Cat Bond) (144A) 5.0152 02/25/2015 3,300,000 3,341,947
Fannie Mae, 4.5%, 12/1/43 4.5 12/01/2043 20,516,456 16,965,360
Federal Home Loan Mortgage Corp., 6.0%, 1/1/34 6.0 01/01/2034 3,744,314 87,521
Legg Mason, Inc., 3.95%, 7/15/24 3.95 07/15/2024 2,400,000 2,533,996
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 2.4 11/17/2025 1,750,000 661,468
DBUBS 2011-LC3 Mortgage Trust, Floating Rate Note, 8/12/44 (144A) 5.419 08/12/2044 1,900,000 2,207,400
Rosneft Finance SA, 7.875%, 3/13/18 (144A) 7.875 03/13/2018 1,000,000 956,428
Government National Mortgage Association, 5.25%, 8/16/35 5.25 08/16/2035 450,000 840,885
Government National Mortgage Association I, 6.0%, 4/15/33 6.0 04/15/2033 2,000,000 53,741
Citicorp Residential Mortgage Trust Series 2006-3, 5.703%, 11/25/36 (Step) 5.703 11/25/2036 3,850,000 2,027,666
Fannie Mae, 4.0%, 1/1/42 4.0 01/01/2042 2,000,000 964,694
HSBC Bank Plc, 7.65%, 5/1/25 7.65 05/01/2025 1,305,000 1,779,486
First Investors Auto Owner Trust 2014-3, 2.97%, 11/16/20 (144A) 2.97 11/16/2020 2,100,000 2,120,695
Fannie Mae, 4.5%, 12/1/43 4.5 12/01/2043 20,000,000 18,650,221
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.1512 04/30/2018 350,000 354,603
HLSS Servicer Advance Receivables Trust, 3.96%, 10/15/45 (144A) 3.96 10/15/2045 224,000 227,351
United States Treasury Floating Rate Note, Floating Rate Note, 4/30/16 0.089 04/30/2016 11,325,000 11,327,490
Bway Holding Co 1st Lien Tl-B L + 4.5% 08aug20 5.5 08/08/2020 199,000 199,083
Mystic Re, Ltd., Floating Rate Note, 3/12/15 (Cat Bond) (144A) 9.0152 03/12/2015 650,000 658,678
Glenn Pool Oil & Gas Trust, Term Loan, 5/2/16 4.5 05/02/2016 878,139 873,748
Bank of America Corp., Floating Rate Note, 10/23/49 6.5 10/23/2049 3,150,000 3,354,377
Morgan Stanley, Floating Rate Note (Perpetual) 6.375 12/31/2049 110,230 2,856,059
Virginia Commonwealth Transportation Board, 4.0%, 5/15/31 4.0 05/15/2031 2,200,000 2,440,140
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 2.25 06/25/2043 928,000 787,684
Government National Mortgage Association I, 4.0%, 9/15/41 4.0 09/15/2041 25,471 11,775
Government National Mortgage Association I, 6.5%, 1/15/32 6.5 01/15/2032 7,587,058 126,379
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 11/25/34 0.9683 11/25/2034 75,831,301 1,834,609
Wells Fargo Commercial Mortgage Trust 2010-C1, 3.349%, 11/18/43 (144A) 3.349 11/18/2043 3,900,000 2,886,232
GATX Corp., 6.0%, 2/15/18 6.0 02/15/2018 5,660,000 6,495,041
Endo Finance LLC, 6.0%, 2/1/25 (144A) 6.0 02/01/2025 520,000 531,722
Affinion Group, Inc., Tranche B Term Loan, 4/30/18 6.75 04/30/2018 1,064,931 998,373
Government National Mortgage Association I, 6.5%, 4/15/31 6.5 04/15/2031 8,257,522 117,020
Interactive Data 1st Lien Tl-B L + 3.75% 24apr21 4.75 04/24/2021 746,794 745,628
Ibis Re II, Ltd., Floating Rate Note, 2/5/15 (Cat Bond) (144A) 8.3703 02/05/2015 1,750,000 1,769,252
Federal Home Loan Mortgage Corp., 5.0%, 12/1/21 5.0 12/01/2021 450,000 35,793
Banc of America Mortgage Trust 2004-7, 4.5%, 8/25/19 4.5 08/25/2019 1,241,000 86,098
Government National Mortgage Association I, 7.0%, 6/15/31 7.0 06/15/2031 3,678,509 7,161
Fannie Mae, 4.5%, 7/1/41 4.5 07/01/2041 750,000 434,975
Syniverse Holdings, Inc., Initial Term Loan, 4/23/19 4.0 04/23/2019 333,333 323,056
General Electric Capital Corp., Floating Rate Note (Perpetual) 7.125 12/31/2049 4,400,000 5,160,558
Ship Midco, Ltd., Facility B2A-II, 11/29/19 5.25 11/29/2019 999,288 998,694
DIRECTV Holdings LLC, 3.95%, 1/15/25 3.95 01/15/2025 4,900,000 5,169,476
Worthington Industries, Inc., 4.55%, 4/15/26 4.55 04/15/2026 3,135,000 3,507,335
IMS Health, Inc., Term B Dollar Loan, 3/17/21 3.5 03/17/2021 453,811 446,247
Wilton Re Finance LLC, Floating Rate Note, 3/30/33 (144A) 5.875 03/30/2033 1,400,000 1,544,644
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 0.9683 10/25/2034 9,584,000 493,087
Government National Mortgage Association I, 6.5%, 3/15/29 6.5 03/15/2029 1,120,633 12,597
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 0.9183 12/25/2034 5,642,356 415,619
Government National Mortgage Association, 3.0%, 4/20/41 3.0 04/20/2041 2,000,000 1,675,156
Morgan Stanley, 4.875%, 11/1/22 4.875 11/01/2022 300,000 329,716
Fannie Mae, 3.0%, 12/1/42 3.0 12/01/2042 2,352,529 2,122,526
Wells Fargo & Co., 7.5% (Perpetual) 7.5 12/31/2049 5,610 6,973,230
Morgan Stanley Capital I Trust 2005-HQ6 REMICS, Floating Rate Note, 8/13/42 5.073 08/13/2042 2,400,000 2,436,563
Government National Mortgage Association I, 5.5%, 11/15/18 5.5 11/15/2018 1,443,964 57,668
Loma Reinsurance, Ltd. Bermuda, Floating Rate Note, 1/8/18 (Cat Bond) (144A) 9.775 01/08/2018 250,000 265,169
Government National Mortgage Association I, 4.0%, 10/15/41 4.0 10/15/2041 63,254 14,106
NextGear Floorplan Master Owner Trust, 2.61%, 10/15/19 (144A) 2.61 10/15/2019 1,000,000 1,006,896
Government National Mortgage Association I, 6.5%, 11/15/32 6.5 11/15/2032 3,929,947 93,547
Fannie Mae, 3.0%, 9/1/42 3.0 09/01/2042 7,819,203 7,274,677
Kinetic Concepts, Inc., Dollar Term E-1 Loan, 5/4/18 4.0 05/04/2018 1,998,741 1,980,180
Banc of America Alternative Loan Trust 2004-4, 5.25%, 5/25/19 5.25 05/25/2019 5,500,000 589,410
Wells Fargo Bank NA, 6.0%, 11/15/17 6.0 11/15/2017 3,540,000 4,022,140
Springleaf Mortgage Loan Trust 2013-1, Floating Rate Note, 6/25/58 (144A) 3.79 06/25/2058 750,000 757,940
Government National Mortgage Association I, 6.5%, 6/15/32 6.5 06/15/2032 1,561,662 20,686
Duke Energy Progress, Inc., 4.15%, 12/1/44 4.15 12/01/2044 8,700,000 10,139,160
HSBC Bank USA NA New York NY, 6.0%, 8/9/17 6.0 08/09/2017 3,350,000 3,800,792
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 7/25/36 0.4683 07/25/2036 1,000,000 983,279
Fannie Mae, 4.0%, 4/1/39 4.0 04/01/2039 7,360,371 2,103,143
Government National Mortgage Association I, 6.5%, 6/15/35 6.5 06/15/2035 190,431 7,957
Fannie Mae, 6.0%, 6/1/38 6.0 06/01/2038 2,250,000 404,158
Buckeye Partners LP, 4.15%, 7/1/23 4.15 07/01/2023 5,425,000 5,447,586
Fannie Mae, 6.0%, 9/1/32 6.0 09/01/2032 65,856 969
Australia & New Zealand Banking Group, Ltd., 4.5%, 3/19/24 (144A) 4.5 03/19/2024 5,215,000 5,576,196
Agrium, Inc., 5.25%, 1/15/45 5.25 01/15/2045 7,600,000 9,009,791
Government National Mortgage Association II, 6.5%, 2/20/29 6.5 02/20/2029 210,000 3,550
Federal Home Loan Mortgage Corp., 5.5%, 12/1/18 5.5 12/01/2018 2,500,000 277,407
Icon Brand Holdings LLC, 4.229%, 1/26/43 (144A) 4.229 01/26/2043 1,801,000 1,555,475
Federal National Mortgage Association REMICS, 5.0%, 7/25/33 5.0 07/25/2033 5,000,000 655,399
Federal Home Loan Mortgage Corp., 6.0%, 1/1/33 6.0 01/01/2033 1,890,000 89,927
Government National Mortgage Association II, 5.5%, 4/20/34 5.5 04/20/2034 2,500,000 314,226
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 3.0 05/15/2018 3,048,000 1,245,150
Oxford Finance Funding Trust 2014-1, 3.475%, 12/15/22 (144A) 3.475 12/15/2022 1,600,000 1,609,335
Fannie Mae, 6.0%, 5/1/35 6.0 05/01/2035 1,799,482 91,094
American Credit Acceptance Receivables Trust 2012-2, 4.05%, 2/15/18 (144A) 4.05 02/15/2018 428,000 430,283
New Residential Mortgage Loan Trust 2014-2, Floating Rate Note, 5/26/54 (144A) 3.75 05/26/2054 3,895,000 3,674,610
Government National Mortgage Association I, 6.5%, 10/15/31 6.5 10/15/2031 3,015,231 54,929
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 1.2683 01/25/2035 2,340,000 2,282,373
Verizon Communications, Inc., 6.55%, 9/15/43 6.55 09/15/2043 1,934,000 2,660,380
Government National Mortgage Association I, 6.0%, 9/15/33 6.0 09/15/2033 904,389 87,971
Fannie Mae, 5.5%, 7/1/34 5.5 07/01/2034 13,142,000 1,196,217
Golden State RE II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A) 2.2152 01/08/2019 2,800,000 2,802,536
DynCorp International, Inc., Term Loan, 7/7/16 6.25 07/07/2016 425,419 423,469
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A) 9.0375 03/16/2016 250,000 267,125
Citicorp Residential Mortgage Trust Series 2006-2, 5.775%, 9/25/36 (Step) 5.775 09/25/2036 600,000 301,356
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 4.0 07/09/2018 1,500,000 1,515,083
Aviation Capital Group Corp., 6.75%, 4/6/21 (144A) 6.75 04/06/2021 3,725,000 4,270,945
JP Morgan Mortgage Trust 2004-S1, 5.0%, 9/25/34 5.0 09/25/2034 17,960,288 969,270
DigitalGlobe, Inc., Term Loan, 1/31/20 3.75 01/31/2020 1,990,136 1,984,215
Fannie Mae, 3.0%, 9/1/43 3.0 09/01/2043 6,720,470 6,539,601
Capital One Bank USA NA, 8.8%, 7/15/19 8.8 07/15/2019 1,465,000 1,854,664
DigitalGlobe, Inc., 5.25%, 2/1/21 (144A) 5.25 02/01/2021 2,600,000 2,565,030
Weatherford International, Ltd. Bermuda, 5.95%, 4/15/42 5.95 04/15/2042 125,000 94,264
Tasc Inc/Va 1st Lien Tl-B L + 5.5% 12may20 6.5 05/12/2020 644,532 632,179
Government National Mortgage Association I, 6.0%, 1/15/33 6.0 01/15/2033 2,500,000 54,515
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 3.0 03/27/2024 1,550,000 939,886
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 1.18 08/15/2017 2,126,000 448,795
Adobe Systems, Inc., 3.25%, 2/1/25 3.25 02/01/2025 8,100,000 8,232,892
Nortek Inc 1st Lien Tl-B L + 3% 31dec20 3.75 12/31/2020 1,382,895 1,357,830
Government National Mortgage Association I, 7.5%, 12/15/31 7.5 12/15/2031 7,728,804 70,537
Government National Mortgage Association I, 7.5%, 10/15/29 7.5 10/15/2029 514,502 7,012
Federal Home Loan Mortgage Corp., Floating Rate Note, 9/26/44 (144A) 4.1618 09/26/2044 1,250,000 1,307,741
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 6/25/33 5.5 06/25/2033 1,000,000 196,678
FPL Energy Wind Funding LLC, 6.876%, 6/27/17 (144A) 6.876 06/27/2017 1,050,000 100,071
New Jersey Economic Development Authority, 0.0%, 2/15/18 0.0 02/15/2018 4,500,000 4,205,070
Government National Mortgage Association I, 4.0%, 8/15/44 4.0 08/15/2044 1,041,626 1,053,159
Fannie Mae, 6.0%, 9/1/34 6.0 09/01/2034 408,807 44,484
Massachusetts Development Finance Agency, 5.375%, 4/1/41 5.375 04/01/2041 550,000 644,450
Fannie Mae, 5.0%, 4/1/39 5.0 04/01/2039 2,924,816 334,261
Capital One Financial Corp., 3.75%, 4/24/24 3.75 04/24/2024 6,650,000 7,064,442
Progress Residential 2014-SFR1 Trust, Floating Rate Note, 10/17/31 (144A) 2.4165 10/17/2031 180,000 179,216
Fannie Mae, 3.5%, 9/1/44 3.5 09/01/2044 5,275,000 5,534,443
Permanent University Fund, 5.0%, 7/1/30 5.0 07/01/2030 800,000 1,008,341
Lehman ABS Manufactured Housing Contract Trust 2001-B, 5.873%, 5/15/41 5.873 05/15/2041 2,450,000 337,059
Becton Dickinson and Co., 3.734%, 12/15/24 3.734 12/15/2024 10,525,000 11,261,994
Bank of America Corp., Floating Rate Note, 9/29/49 6.25 09/29/2049 2,350,000 2,462,699
Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 6.0 12/01/2033 2,000,000 181,212
Alternative Loan Trust 2003-21T1, 5.75%, 12/25/33 5.75 12/25/2033 4,205,000 1,662,447
Blackstone Holdings Finance Co LLC, 5.0%, 6/15/44 (144A) 5.0 06/15/2044 1,725,000 1,943,816
SBP DPR Finance Co., Floating Rate Note, 3/15/17 (144A) 2.9906 03/15/2017 2,000,000 950,007
Spectra Energy Capital LLC, 6.75%, 7/15/18 6.75 07/15/2018 1,500,000 1,713,882
Carefree Portfolio Trust 2014-CARE, Floating Rate Note, 11/15/29 (144A) 2.017 11/15/2029 2,460,000 2,463,366
Toyota Motor Credit Corp., 2.125%, 7/18/19 2.125 07/18/2019 5,000,000 5,146,452
Government National Mortgage Association I, 6.0%, 8/15/32 6.0 08/15/2032 300,000 12,219
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 3.25 11/05/2020 723,178 714,365
Fannie Mae, 6.0%, 1/1/32 6.0 01/01/2032 183,200 5,970
The Bank of New York Mellon Corp., 4.95%, 3/15/15 4.95 03/15/2015 2,000,000 2,047,940
Cronos Containers Program I, Ltd., 3.81%, 9/18/27 (144A) 3.81 09/18/2027 1,850,000 1,421,116
Government National Mortgage Association I, 4.0%, 3/15/44 4.0 03/15/2044 12,909,682 11,872,661
Government National Mortgage Association I, 4.5%, 5/15/41 4.5 05/15/2041 5,733,621 2,345,799
DB Master Finance LLC 2015-1, 3.98%, 2/21/45 (144A) 3.98 02/21/2045 5,000,000 5,066,264
Government National Mortgage Association I, 3.5%, 7/15/42 3.5 07/15/2042 19,357,527 14,486,092
Texas Competitive Electric Holdings Co LLC, DIP Delayed Draw Term Loan (2014), 5/5/16 3.75 05/05/2016 1,285,660 1,292,491
Alexandria Real Estate Equities, Inc., 2.75%, 1/15/20 2.75 01/15/2020 75,000 75,769
Banc of America Funding 2004-B Trust, Floating Rate Note, 12/20/34 0.528 12/20/2034 27,225,000 1,938,815
Lorillard Tobacco Co., 3.75%, 5/20/23 3.75 05/20/2023 1,050,000 1,084,957
WideOpenWest Finance LLC, Term B Loan, 4/1/19 4.75 04/01/2019 160,291 159,530
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 8.0059 05/07/2015 5,500,000 5,685,366
JG Wentworth XXII LLC, 3.82%, 12/15/48 (144A) 3.82 12/15/2048 1,100,000 744,792
Government National Mortgage Association I, 4.0%, 1/21/15 4.0 01/21/2015 23,994,000 25,874,081
Government National Mortgage Association I, 6.0%, 9/15/35 6.0 09/15/2035 5,000,000 1,084,212
Nordea Bank AB, 4.25%, 9/21/22 (144A) 4.25 09/21/2022 4,500,000 4,867,638
Government National Mortgage Association I, 6.5%, 5/15/29 6.5 05/15/2029 273,319 5,935
WASH Multifamily Laundry Systems LLC, U.S. Term Loan, 2/21/19 4.5 02/21/2019 159,576 157,780
Federal Home Loan Mortgage Corp., 5.5%, 8/1/35 5.5 08/01/2035 5,000,000 323,920
Fannie Mae, 6.0%, 1/1/29 6.0 01/01/2029 60,204 1,196
LSTAR Securities Investment Trust 2015-1, Floating Rate Note, 1/1/20 (144A) 2.1665 01/01/2020 4,970,000 4,900,834
Government National Mortgage Association I, 6.5%, 3/15/32 6.5 03/15/2032 975,284 27,094
Federal Home Loan Mortgage Corp., 3.5%, 8/1/43 3.5 08/01/2043 4,521,618 4,465,754
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 8.5355 05/09/2016 300,000 317,233
Fannie Mae, 6.0%, 11/1/34 6.0 11/01/2034 271,485 20,780
Fannie Mae, 5.0%, 6/1/25 5.0 06/01/2025 6,134,875 6,603,797
Immucor, Inc., Term B-2 Loan, 8/19/18 5.0 08/19/2018 2,133,970 2,121,522
North American Development Bank, 2.3%, 10/10/18 2.3 10/10/2018 643,000 663,907
JPMorgan Chase & Co., Floating Rate Note, 12/29/49 6.125 12/29/2049 1,890,000 1,956,149
Federal Home Loan Mortgage Corp., 6.5%, 1/1/31 6.5 01/01/2031 47,714 376
Government National Mortgage Association I, 5.5%, 11/15/34 5.5 11/15/2034 4,800,000 748,481
Fannie Mae, 6.0%, 8/1/32 6.0 08/01/2032 315,000 7,088
Government National Mortgage Association I, 6.5%, 3/15/29 6.5 03/15/2029 2,000,000 23,154
COMM 2012-CCRE4 Mortgage Trust, 2.436%, 10/17/45 2.436 10/17/2045 915,000 932,620
VOLT XXXI LLC, 3.375%, 2/25/55 (Step) (144A) 3.375 02/25/2055 1,850,000 1,862,787
Altrl Zero% 30jun17 0.0 06/30/2017 840,000 844,032
Embarcadero Reinsurance, Ltd., Floating Rate Note, 2/7/17 (Cat Bond) (144A) 5.0 02/07/2017 2,650,000 2,690,980
Expedia, Inc., 4.5%, 8/15/24 4.5 08/15/2024 4,300,000 4,546,351
14112z Zero% 01feb19 0.0 02/01/2019 3,600,000 3,649,680
Gci Holdings Inc 1st Lien Tl-B L + 3.75% 22dec21   12/22/2021 1,215,000 1,217,782
Federal Home Loan Mortgage Corp., 3.5%, 9/1/44 3.5 09/01/2044 875,160 922,292
Fannie Mae, 6.0%, 10/1/34 6.0 10/01/2034 389,152 26,833
Barclays Bank Plc, 6.05%, 12/4/17 (144A) 6.05 12/04/2017 3,515,000 3,921,352
Kane Zero% 15jan16 0.0 01/15/2016 1,012,000 1,013,518
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 1.5183 06/25/2033 2,336,716 1,386,324
BB&T Corp., 5.625% (Perpetual) 5.625 12/31/2049 85,000 2,165,800
Government National Mortgage Association I, 4.0%, 9/15/40 4.0 09/15/2040 25,000 13,943
Federal Home Loan Mortgage Corp., 7.0%, 9/1/22 7.0 09/01/2022 1,775,260 295,745
Davita Healthcare Partners Inc 1st Lien Tl-B L + 2.75% 19jun21 3.5 06/19/2021 252,410 251,621
Federal Home Loan Mortgage Corp., 5.0%, 10/1/38 5.0 10/01/2038 6,600,000 615,496
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 2.2165 09/18/2031 2,900,000 2,861,092
CWABS Asset-Backed Certificates Trust 2004-7, Floating Rate Note, 12/25/34 1.2183 12/25/2034 1,400,000 726,607
Fannie Mae, 4.5%, 11/1/43 4.5 11/01/2043 430,000 449,337
Government National Mortgage Association I, 6.5%, 10/15/31 6.5 10/15/2031 477,508 9,620
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/31 5.0 12/15/2031 2,100,000 2,371,528
Fannie Mae, 4.5%, 7/1/41 4.5 07/01/2041 5,000,000 2,407,855
Fannie Mae, 4.5%, 4/1/41 4.5 04/01/2041 6,978,836 3,438,833
Viterra, Inc., 5.95%, 8/1/20 (144A) 5.95 08/01/2020 5,175,000 5,948,807
Government National Mortgage Association I, 5.5%, 6/15/35 5.5 06/15/2035 900,000 179,591
Macquarie Group, Ltd., 6.0%, 1/14/20 (144A) 6.0 01/14/2020 2,730,000 3,132,837
HCA, Inc., Tranche B-5 Term Loan, 3/31/17 2.9205 03/31/2017 1,771,193 1,771,331
Fannie Mae, 4.5%, 7/1/41 4.5 07/01/2041 5,000,000 2,824,266
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 3,750,000 554,922
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.7652 04/30/2018 3,700,000 3,781,986
Sensata Technologies Bv 1st Lien Tl-B2 L + 2.75% 08oct21 3.5 10/08/2021 1,172,063 1,176,385
Electricite de France SA, Floating Rate Note (Perpetual) (144A) 5.25 12/31/2049 2,150,000 2,258,127
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 2.7652 01/09/2017 500,000 507,408
BAMLL Commercial Mortgage Securities Trust 2014-FL1, Floating Rate Note, 12/15/31 2.3663 12/15/2031 2,580,000 2,580,526
Federal Home Loan Mortgage Corp., 3.5%, 12/1/44 3.5 12/01/2044 10,570,000 11,160,954
Cme: (Cdx.Na.Ig.23.V1) Usd 20dec19 Z91mv4jb8 100.0 12/20/2019 50,000,000 771,121
Bombardier, Inc., 4.75%, 4/15/19 (144A) 4.75 04/15/2019 1,960,000 1,869,813
Williams Partners LP, 4.3%, 3/4/24 4.3 03/04/2024 5,980,000 6,102,885
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 0.669 06/28/2044 400,000 377,483
Valero Energy Corp., 6.625%, 6/15/37 6.625 06/15/2037 2,825,000 3,438,540
Delphi Financial Group, Inc., 7.875%, 1/31/20 7.875 01/31/2020 1,850,000 2,332,846
Government National Mortgage Association II, 5.5%, 10/20/19 5.5 10/20/2019 4,728,248 466,292
RESI Finance LP 2003-CB1, Floating Rate Note, 7/9/35 1.8163 07/09/2035 12,352,000 3,106,498
Spirit AeroSystems, Inc., Term Loan B, 9/30/20 3.25 09/30/2020 632,125 627,384
Springleaf Funding Trust 2014-A, 2.41%, 12/15/22 (144A) 2.41 12/15/2022 1,200,000 1,201,905
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 0.6465 06/15/2030 9,460,074 532,360
U.S. Treasury Bonds, 4.375%, 5/15/40 4.375 05/15/2040 4,500,000 6,446,290
Government National Mortgage Association I, 4.0%, 3/15/44 4.0 03/15/2044 33,576 32,472
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 1,500,000 1,588,362
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 15,000,000 15,344,669
BLCP Hotel Trust, Floating Rate Note, 8/15/29 (144A) 2.117 08/15/2029 2,210,000 2,192,844
Government National Mortgage Association I, 4.0%, 6/15/41 4.0 06/15/2041 167,972 126,221
Federal Home Loan Mortgage Corp., 4.5%, 10/1/20 4.5 10/01/2020 6,000,000 481,291
Successor X, Ltd., Floating Rate Note, 11/10/15 (Cat Bond) (144A) 11.2652 11/10/2015 250,000 266,228
Government National Mortgage Association II, 4.5%, 1/20/35 4.5 01/20/2035 2,500,000 454,930
Fannie Mae, 8.0%, 7/1/30 8.0 07/01/2030 100,000 596
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 0.6683 06/25/2035 4,920,000 1,684,320
Federal Home Loan Mortgage Corp., 6.0%, 1/1/34 6.0 01/01/2034 500,000 52,525
MASTR Alternative Loan Trust 2004-6, 6.0%, 7/25/34 6.0 07/25/2034 11,100,000 2,214,615
Federal Home Loan Mortgage Corp., 4.5%, 11/1/40 4.5 11/01/2040 12,403,700 5,980,863
VOLT XXX LLC, 3.625%, 10/25/57 (Step) 3.625 10/25/2057 2,150,000 2,168,066
Catalent 1st Lien Tl-B L + 3.5% 08may21 4.5 05/08/2021 1,645,388 1,642,920
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4 REMICS, Floating Rate Note, 12/16/30 ( 2.367 12/16/2030 2,200,000 2,202,312
SLM Student Loan Trust 2004-10, Floating Rate Note, 4/27/26 (144A) 1.0061 04/27/2026 900,000 901,071
Fannie Mae, 6.0%, 10/1/35 6.0 10/01/2035 7,125,770 199,451
JP Morgan Mortgage Trust 2014-5, Floating Rate Note, 10/1/29 (144A) 3.0 10/01/2029 6,000,000 5,884,050
Government National Mortgage Association I, 5.5%, 9/15/33 5.5 09/15/2033 3,636,072 244,251
Fannie Mae, 5.5%, 9/1/19 5.5 09/01/2019 7,000,000 361,007
EQT Midstream Partners LP, 4.0%, 8/1/24 4.0 08/01/2024 5,100,000 5,210,165
Digital Realty Trust LP, 5.875%, 2/1/20 5.875 02/01/2020 725,000 848,704
Banc of America Funding 2003-3 Trust, 5.5%, 10/25/33 5.5 10/25/2033 3,903,805 721,989
CS Intermediate Holdco 2 LLC, Term Loan, 3/28/21 4.0 03/28/2021 1,745,614 1,727,722
Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A) 2.38 03/20/2029 4,692,000 1,235,892
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 2.5 03/20/2025 550,000 206,879
COMM 2014-FL5 Mortgage Trust, Floating Rate Note, 10/15/31 (144A) 2.3165 10/15/2031 3,800,000 3,791,112
Cisco Systems, Inc., 3.625%, 3/4/24 3.625 03/04/2024 3,485,000 3,865,360
FREMF Mortgage Trust 2010-K8, Floating Rate Note, 9/25/43 (144A)