Pioneer Investments: Pioneer Bond Fund


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Pioneer Bond Fund

Monthly Portfolio Holdings as of 7/31/2015

Security Name Coupon Maturity Date Par / Shares Market Value($)
Government National Mortgage Association I, 6.0%, 6/15/33 6.0 06/15/2033 368,522 16,274
Progreso Receivables Funding LLC, 3.0%, 7/8/20 3.0 07/08/2020 2,000,000 2,004,829
VOLT XXXI LLC, 3.375%, 2/25/55 (Step) (144A) 3.375 02/25/2055 1,850,000 1,711,746
Government National Mortgage Association I, 6.0%, 1/15/33 6.0 01/15/2033 2,500,000 53,647
Government National Mortgage Association II, 6.5%, 2/20/29 6.5 02/20/2029 210,000 3,271
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 4.568 01/15/2031 1,700,000 177,425
Government National Mortgage Association I, 5.5%, 10/15/35 5.5 10/15/2035 2,002,398 267,608
Colony Multifamily Mortgage Trust 2014-1, 2.5432%, 4/22/50 (144A) 2.5432 04/22/2050 4,000,000 3,054,285
Government National Mortgage Association I, 4.5%, 3/15/35 4.5 03/15/2035 784,949 44,573
Aspen Insurance Holdings, Ltd., Floating Rate Note (Perpetual) 5.95 12/31/2049 46,849 1,199,334
First Investors Auto Owner Trust 2015-1, 3.59%, 1/18/22 (144A) 3.59 01/18/2022 510,000 508,945
Fannie Mae, 6.5%, 4/1/31 6.5 04/01/2031 500,000 3,384
Alternative Loan Trust 2003-21T1, 5.75%, 12/25/33 5.75 12/25/2033 4,205,000 1,560,900
Kane Zero% 29apr16 0.0 04/29/2016 3,700,000 3,914,230
Federal Home Loan Mortgage Corp., 5.0%, 11/1/34 5.0 11/01/2034 250,000 22,790
Fannie Mae, 4.0%, 1/1/45 4.0 01/01/2045 194,065 188,327
Government National Mortgage Association REMICS, 2.1%, 2/16/48 2.1 02/16/2048 6,000,000 5,853,734
Sunoco Logistics Partners Operations LP, 6.1%, 2/15/42 6.1 02/15/2042 2,200,000 2,261,875
American Honda Finance Corp., 1.2%, 7/14/17 1.2 07/14/2017 5,985,000 5,983,831
Worthington Industries, Inc., 4.55%, 4/15/26 4.55 04/15/2026 3,135,000 3,256,071
Government National Mortgage Association I, 5.0%, 4/15/35 5.0 04/15/2035 2,500,000 608,071
USAA Capital Corp., 2.45%, 8/1/20 (144A) 2.45 08/01/2020 11,625,000 11,707,628
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.7653 04/30/2018 3,700,000 3,629,294
DCT Industrial Operating Partnership LP, 4.5%, 10/15/23 4.5 10/15/2023 1,475,000 1,530,832
Fortune Brands Home & Security, Inc., 3.0%, 6/15/20 3.0 06/15/2020 7,225,000 7,272,463
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 8.6464 01/05/2017 1,000,000 1,016,986
Becton Dickinson and Co., 3.734%, 12/15/24 3.734 12/15/2024 10,525,000 10,511,625
Government National Mortgage Association I, 6.5%, 1/15/35 6.5 01/15/2035 62,679 840
Toyota Motor Credit Corp., 2.125%, 7/18/19 2.125 07/18/2019 5,000,000 5,024,597
United States Treasury Floating Rate Note, Floating Rate Note, 4/30/16 0.119 04/30/2016 11,325,000 11,329,357
HLSS Servicer Advance Receivables Trust, 1.7436%, 1/16/46 (144A) 1.7436 01/16/2046 1,620,000 1,619,635
Fannie Mae, 6.0%, 6/1/38 6.0 06/01/2038 2,250,000 404,754
Fannie Mae, 4.0%, 12/1/40 4.0 12/01/2040 1,900,000 1,219,563
Welk Resorts 2015-A LLC, 2.79%, 6/16/31 (144A) 2.79 06/16/2031 1,938,000 1,895,291
CeramTec Service GmbH, Initial Dollar Term B-1 Loan, 8/30/20 4.25 08/30/2020 1,043,696 1,047,285
Gold Fields Orogen Holdings BVI, Ltd., 4.875%, 10/7/20 (144A) 4.875 10/07/2020 4,000,000 3,511,750
BP Capital Markets Plc, 3.062%, 3/17/22 3.062 03/17/2022 4,175,000 4,222,004
SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A) 2.0 09/20/2029 1,200,000 510,051
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 1,956,533 2,001,338
Sequoia Mortgage Trust 2013-5 REMICS, Floating Rate Note, 5/25/43 (144A) 3.0 05/25/2043 3,300,000 2,679,695
Government National Mortgage Association I, 7.5%, 8/15/29 7.5 08/15/2029 2,007,985 19,874
The Goldman Sachs Group, Inc., 6.75%, 10/1/37 6.75 10/01/2037 6,875,000 8,381,966
Fannie Mae, 7.0%, 4/1/31 7.0 04/01/2031 2,160,818 12,711
Government National Mortgage Association II, 6.5%, 3/20/29 6.5 03/20/2029 100,000 1,414
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5, 4.1712%, 8/17/46 4.1712 08/17/2046 1,350,000 1,471,269
Government National Mortgage Association I, 6.5%, 1/15/34 6.5 01/15/2034 1,311,303 17,943
Federal Home Loan Mortgage Corp., 5.0%, 6/1/35 5.0 06/01/2035 4,244,107 393,102
Medtronic, Inc., 4.625%, 3/15/45 (144A) 4.625 03/15/2045 7,300,000 7,513,023
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 0.3423 05/15/2047 1,100,000 396,069
Bank of America Corp., 7.75%, 8/15/15 7.75 08/15/2015 1,100,000 1,141,379
Fannie Mae, 3.5%, 11/1/42 3.5 11/01/2042 380,000 327,739
Fannie Mae, 5.0%, 2/1/20 5.0 02/01/2020 700,000 55,874
Bank of America Corp., Floating Rate Note, 10/23/49 6.5 10/23/2049 6,975,000 7,325,106
Federal Home Loan Mortgage Corp., 6.0%, 4/1/35 6.0 04/01/2035 2,582,414 67,253
Fannie Mae, 6.0%, 2/1/35 6.0 02/01/2035 62,166 7,000
Citigroup Commercial Mortgage Trust 2014-GC25 REMICS, 3.371%, 10/11/47 3.371 10/11/2047 5,000,000 5,187,631
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP6, Floating Rate Note, 4/15/43 5.565 04/15/2043 4,800,000 4,886,897
Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A) 1.1866 09/25/2037 5,372,163 259,433
Semt % 25may43 13-6-A1   05/25/2043 9,070,000 7,225,987
Fannie Mae, 6.0%, 7/1/38 6.0 07/01/2038 974,925 80,200
Federal Home Loan Mortgage Corp., 5.0%, 9/1/38 5.0 09/01/2038 7,240,000 544,553
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 5.46 11/15/2035 484,000 359,111
ML-CFC Commercial Mortgage Trust 2006-1, Floating Rate Note, 2/12/39 5.6557 02/12/2039 2,500,000 2,264,348
Grupo Bimbo SAB de CV, 3.875%, 6/27/24 (144A) 3.875 06/27/2024 4,200,000 4,190,213
CommScope, Inc., Tranche 4 Term Loan, 1/14/18 3.25 01/14/2018 342,733 343,481
Fannie Mae, 3.5%, 4/1/45 3.5 04/01/2045 10,310,000 10,631,466
National Financial Partners 1st Lien Tl-B L + 3.5% 01jul20 4.5 07/01/2020 1,161,227 1,162,388
Fannie Mae, 4.0%, 8/1/44 4.0 08/01/2044 3,657,533 2,582,699
Government National Mortgage Association I, 6.5%, 7/15/32 6.5 07/15/2032 14,653,970 200,573
State of Washington, 3.0%, 7/1/28 3.0 07/01/2028 560,000 564,278
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 4.4803 04/18/2017 250,000 243,843
Government National Mortgage Association II, 4.5%, 3/20/35 4.5 03/20/2035 500,000 73,196
Axis Equipment Finance Receivables III LLC, 3.41%, 4/20/20 (144A) 3.41 04/20/2020 700,000 699,380
Electricite de France SA, Floating Rate Note (Perpetual) (144A) 5.25 12/31/2049 2,150,000 2,204,377
Morgan Stanley, 4.1%, 5/22/23 4.1 05/22/2023 5,100,000 5,217,751
Exelon Corp., 2.85%, 6/15/20 2.85 06/15/2020 4,250,000 4,286,309
Fannie Mae, 3.0%, 8/18/15 3.0 08/18/2015 3,900,000 4,052,521
Indianapolis Airport Authority, 5.1%, 1/15/17 5.1 01/15/2017 1,000,000 1,061,687
Bella Vista Mortgage Trust 2004-1, Floating Rate Note, 11/20/34 0.8905 11/20/2034 66,102,000 1,494,149
WF-RBS Commercial Mortgage Trust 2011-C2, Floating Rate Note, 2/15/44 (144A) 5.6441 02/15/2044 1,323,000 1,438,967
Government National Mortgage Association I, 7.0%, 10/15/31 7.0 10/15/2031 2,044,706 7,592
FREMF Mortgage Trust 2014-K503, Floating Rate Note, 10/25/47 (144A) 3.079 10/25/2047 2,401,000 2,551,195
Government National Mortgage Association I, 5.5%, 11/15/34 5.5 11/15/2034 4,800,000 702,389
Government National Mortgage Association I, 6.5%, 3/15/29 6.5 03/15/2029 1,120,633 11,919
GTP Cellular Sites LLC, 3.721%, 3/15/17 (144A) 3.721 03/15/2017 800,000 781,534
Sensata Technologies 1st Lien L + 2.25% 14oct21 2.5318 10/14/2021 1,166,202 1,170,575
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 4.5101 06/28/2016 1,000,000 1,001,000
Citigroup Mortgage Loan Trust, Inc. REMICS, Floating Rate Note, 8/25/34 2.2552 08/25/2034 17,660,000 2,923,282
DCP Midstream Operating LP, 5.6%, 4/1/44 5.6 04/01/2044 2,125,000 1,789,583
CNH Equipment Trust 2013-A, 0.69%, 6/15/18 0.69 06/15/2018 1,200,000 593,561
Government National Mortgage Association I, 5.5%, 6/15/35 5.5 06/15/2035 900,000 178,694
Engility Holdings Inc 1st Lien Tl-B L + 5.5% 12may20 7.0 05/12/2020 641,293 646,504
Omega Healthcare Investors, Inc., 4.95%, 4/1/24 4.95 04/01/2024 3,945,000 4,129,437
Government National Mortgage Association I, 6.0%, 10/15/32 6.0 10/15/2032 2,001,957 49,573
Carefree Portfolio Trust 2014-CARE, Floating Rate Note, 11/15/29 (144A) 2.038 11/15/2029 2,460,000 2,473,449
Government National Mortgage Association I, 7.0%, 5/15/32 7.0 05/15/2032 5,500,000 113,019
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 0.9705 11/25/2034 26,682,000 3,092,889
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 4.25 04/25/2034 8,370,000 116,258
Government National Mortgage Association I, 6.5%, 7/15/35 6.5 07/15/2035 3,323,439 76,812
Federal Home Loan Mortgage Corp., 7.0%, 9/1/22 7.0 09/01/2022 1,775,260 273,660
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 6/25/33 5.5 06/25/2033 1,000,000 183,459
Government National Mortgage Association I, 7.0%, 12/15/30 7.0 12/15/2030 500,000 4,863
Bayview Commercial Asset Trust 2008-1, Floating Rate Note, 1/25/38 (144A) 1.1905 01/25/2038 12,910,000 923,947
LSTAR Securities Investment Trust 2015-1, Floating Rate Note, 1/1/20 (144A) 2.184 01/01/2020 4,970,000 4,777,994
Barclays Bank Plc, 6.05%, 12/4/17 (144A) 6.05 12/04/2017 3,515,000 3,850,159
State of Washington, 5.0%, 7/1/30 5.0 07/01/2030 1,600,000 1,877,467
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42 4.929 08/15/2042 2,800,000 1,869,912
Government National Mortgage Association I, 6.5%, 11/15/31 6.5 11/15/2031 100,000 6,245
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 2.563 10/25/2033 7,000,000 562,477
Wells Fargo Commercial Mortgage Trust 2010-C1, 3.349%, 11/18/43 (144A) 3.349 11/18/2043 3,900,000 2,056,646
Fannie Mae, 6.0%, 5/1/35 6.0 05/01/2035 1,799,482 78,605
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.8105 11/25/2035 2,385,000 2,016,041
U.S. Treasury Notes, 2.0%, 2/15/25 2.0 02/15/2025 4,400,000 4,364,626
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/20 (Cat Bond) (144A) 6.8551 04/07/2020 1,850,000 1,882,724
Stanley Black & Decker, Inc., Floating Rate Note, 12/15/53 5.75 12/15/2053 3,600,000 3,882,950
U.S. Treasury Bonds, 4.5%, 2/15/36 4.5 02/15/2036 30,000,000 39,461,060
Brocade Communications Systems, Inc., 4.625%, 1/15/23 4.625 01/15/2023 2,860,000 2,772,929
DaVita HealthCare Partners, Inc., Tranche B Term Loan, 6/19/21 3.5 06/19/2021 251,141 252,031
CubeSmart LP, 4.8%, 7/15/22 4.8 07/15/2022 730,000 791,033
Fannie Mae, 4.0%, 1/1/45 4.0 01/01/2045 512,424 506,958
DynCorp International, Inc., Term Loan, 7/7/16 6.25 07/07/2016 425,419 419,968
Federal Home Loan Mortgage Corp., 6.5%, 11/1/33 6.5 11/01/2033 1,109,301 57,069
Government National Mortgage Association I, 6.0%, 4/15/18 6.0 04/15/2018 1,038,016 11,148
Aircastle, Ltd., 6.75%, 4/15/17 6.75 04/15/2017 2,800,000 3,044,650
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 1.6 06/19/2031 2,200,000 2,177,733
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 2.02 01/15/2019 1,200,000 1,201,326
Israel Electric Corp, Ltd., 7.25%, 1/15/19 (144A) 7.25 01/15/2019 1,925,000 2,194,928
Citigroup, Inc., Floating Rate Note (Perpetual) 5.95 12/31/2049 2,295,000 2,275,298
Government National Mortgage Association I, 6.0%, 10/15/36 6.0 10/15/2036 3,000,000 175,279
Fannie Mae, 5.0%, 10/1/20 5.0 10/01/2020 4,036,945 423,423
Federal Home Loan Mortgage Corp., 6.5%, 11/1/30 6.5 11/01/2030 53,302 483
Affinion Group, Inc., Tranche B Term Loan, 4/30/18 6.75 04/30/2018 1,059,566 1,007,647
Huntsman International LLC, Extended Term B Loan, 4/19/17 2.7418 04/19/2017 252,086 252,047
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 0.9405 05/25/2035 1,100,000 947,379
Ti Group Automotive Systems Llc 1st Lien Tl-B L + 3.5% 25jun22 4.5 06/25/2022 532,336 535,164
Eaton Vance Corp., 6.5%, 10/2/17 6.5 10/02/2017 733,000 821,019
Scotiabank Peru SAA, Floating Rate Note, 12/13/27 (144A) 4.5 12/13/2027 2,600,000 2,596,368
Springleaf Funding Trust 2014-A, 2.41%, 12/15/22 (144A) 2.41 12/15/2022 1,200,000 1,204,804
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 0.4405 02/25/2037 10,766,469 823,883
Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37 0.3405 03/25/2037 550,000 245,348
Government National Mortgage Association I, 3.5%, 1/15/45 3.5 01/15/2045 20,435,006 20,628,258
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 0.487 09/25/2036 5,715,000 657,516
TD Ameritrade Holding Corp., 3.625%, 4/1/25 3.625 04/01/2025 6,025,000 6,193,003
FREMF Mortgage Trust 2010-K8, Floating Rate Note, 9/25/43 (144A) 5.4054 09/25/2043 600,000 670,574
HSBC Bank USA NA New York NY, 6.0%, 8/9/17 6.0 08/09/2017 3,350,000 3,729,383
NRP Mortgage Trust 2013-1, Floating Rate Note, 7/25/43 3.3185 07/25/2043 6,602,000 6,235,048
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 1.388 11/20/2036 5,300,000 1,009,279
Ascentium Equipment Receivables 2015-1 LLC, 3.24%, 1/10/22 (144A) 3.24 01/10/2022 2,200,000 2,213,935
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 1.2905 01/25/2035 2,340,000 2,280,995
Duke Realty LP, 3.75%, 12/1/24 3.75 12/01/2024 5,300,000 5,237,381
Fannie Mae, 3.5%, 9/1/44 3.5 09/01/2044 5,275,000 4,958,103
HSBC Holdings Plc, 4.25%, 3/14/24 4.25 03/14/2024 3,940,000 4,073,462
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.1405 10/25/2037 1,079,000 210,782
Kane Sac Zero% 15jun16 0.0 06/15/2016 1,200,000 1,160,760
Pinnacle Foods Finance LLC, New Term Loan G, 4/29/20 3.0 04/29/2020 20,755 20,737
Morgan Stanley, 4.875%, 11/1/22 4.875 11/01/2022 300,000 321,846
First Tennessee Bank NA, 2.95%, 12/1/19 2.95 12/01/2019 5,425,000 5,469,467
Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19 4.0 04/23/2019 666,667 635,833
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 2.4405 03/25/2032 2,200,000 278,207
Citigroup, Inc., Floating Rate Note (Perpetual) 5.875 12/31/2049 2,925,000 3,005,813
Fannie Mae, 5.0%, 2/1/22 5.0 02/01/2022 450,000 20,236
STORE Master Funding LLC, 4.16%, 3/20/43 (144A) 4.16 03/20/2043 300,000 297,006
Intel Corp., 4.8%, 10/1/41 4.8 10/01/2041 11,075,000 11,538,168
Credit Suisse New York NY, 1.75%, 1/29/18 1.75 01/29/2018 7,000,000 6,994,283
New Residential Mortgage Loan Trust 2014-1, Floating Rate Note, 1/25/54 (144A) 3.75 01/25/2054 5,200,000 4,074,800
Fannie Mae, 4.5%, 5/1/41 4.5 05/01/2041 454,433 163,096
FREMF Mortgage Trust 2011-K703, Floating Rate Note, 7/25/44 (144A) 4.881 07/25/2044 1,250,000 1,329,587
WPX Energy, Inc., 7.5%, 8/1/20 7.5 08/01/2020 4,150,000 4,220,031
Government National Mortgage Association I, 5.5%, 8/15/19 5.5 08/15/2019 4,380,618 182,740
Fannie Mae, 4.0%, 9/1/44 4.0 09/01/2044 95,762 86,097
Federal National Mortgage Association REMICS, 10.3%, 4/25/19 10.3 04/25/2019 1,000,000 3,209
Sanders Re, Ltd., Floating Rate Note, 5/25/18 (Cat Bond) (144A) 3.0153 05/25/2018 800,000 778,067
Fannie Mae, 3.0%, 9/1/42 3.0 09/01/2042 7,819,203 6,689,958
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 3.75 08/20/2025 2,025,000 828,311
U.S. Treasury Bonds, 4.375%, 11/15/39 4.375 11/15/2039 6,865,000 8,777,919
The Valspar Corp., 3.3%, 2/1/25 3.3 02/01/2025 3,025,000 2,992,613
CS Intermediate Holdco 2 LLC, Term Loan, 3/28/21 4.0 03/28/2021 1,736,842 1,739,013
State Street Corp., Floating Rate Note, 12/31/73 5.9 12/31/2073 54,200 1,407,574
KKR Group Finance Co II LLC, 5.5%, 2/1/43 (144A) 5.5 02/01/2043 5,025,000 5,299,295
Springleaf Mortgage Loan Trust 2013-1, Floating Rate Note, 6/25/58 (144A) 2.036 06/25/2058 2,500,000 1,499,384
Federal Home Loan Mortgage Corp., 5.5%, 9/1/33 5.5 09/01/2033 5,200,000 369,419
Government National Mortgage Association I, 5.5%, 8/15/33 5.5 08/15/2033 400,000 31,945
San Diego Gas & Electric Co., 1.914%, 2/1/22 1.914 02/01/2022 3,150,000 3,169,468
Bank of America Corp., Floating Rate Note (Perpetual) 6.1 12/31/2049 3,950,000 4,021,912
Ardent Medical Services, Inc., Term Loan (First Lien), 7/2/18 7.5 07/02/2018 498,319 499,773
Prudential Financial, Inc., Floating Rate Note, 6/15/43 5.625 06/15/2043 1,500,000 1,568,606
Intesa Sanpaolo S.p.A., 3.625%, 8/12/15 (144A) 3.625 08/12/2015 3,476,000 3,536,911
Federal Home Loan Mortgage Corp., 4.5%, 3/1/42 4.5 03/01/2042 22,167,426 8,328,241
Federal Home Loan Mortgage Corp., 4.5%, 3/1/42 4.5 03/01/2042 4,169,408 3,259,271
Wells Fargo Alternative Loan 2005-2 Trust, Floating Rate Note, 10/25/35 1.0105 10/25/2035 1,233,457 1,228,630
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 0.5405 08/25/2036 1,525,000 259,178
Government National Mortgage Association I, 6.5%, 5/15/32 6.5 05/15/2032 1,000,000 14,104
Fannie Mae, 6.0%, 9/1/29 6.0 09/01/2029 124,691 1,603
SBA Tower Trust, 3.869%, 10/15/49 (144A) 3.869 10/15/2049 6,975,000 7,046,463
CSMC Trust 2013-IVR2, Floating Rate Note, 4/27/43 (144A) 1.55 04/27/2043 8,805,000 6,640,291
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1.8405 03/25/2035 430,000 423,082
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.8905 01/25/2035 20,675,000 2,105,120
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 2.748 07/25/2033 27,814,878 1,087,753
Fannie Mae, 4.0%, 9/1/44 4.0 09/01/2044 105,983 88,085
Fannie Mae, 6.0%, 1/1/32 6.0 01/01/2032 183,200 5,510
Fannie Mae, 4.0%, 7/1/18 4.0 07/01/2018 675,000 27,073
ConocoPhillips Co., 3.35%, 11/15/24 3.35 11/15/2024 5,350,000 5,314,793
Icon Brand Holdings LLC, 4.229%, 1/26/43 (144A) 4.229 01/26/2043 1,801,000 1,488,769
BBVA Bancomer SA Texas, 6.5%, 3/10/21 (144A) 6.5 03/10/2021 3,815,000 4,312,699
The Allstate Corp., 5.95%, 4/1/36 5.95 04/01/2036 1,300,000 1,613,355
Government National Mortgage Association I, 7.0%, 11/15/28 7.0 11/15/2028 2,367,683 25,332
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 2.4925 10/25/2033 11,067,000 421,273
Frisco Independent School District, 4.0%, 8/15/45 4.0 08/15/2045 1,700,000 1,741,318
Fannie Mae, 4.0%, 8/1/42 4.0 08/01/2042 20,000,000 14,295,610
Government National Mortgage Association I, 6.0%, 9/15/19 6.0 09/15/2019 1,829,714 103,771
Government National Mortgage Association I, 4.5%, 1/15/40 4.5 01/15/2040 1,235,000 666,683
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 2.5 03/20/2025 550,000 143,745
New Residential Mortgage Loan Trust 2014-3, Floating Rate Note, 11/25/54 (144A) 3.75 11/25/2054 3,900,000 3,406,760
Motiva Enterprises LLC, 6.85%, 1/15/40 (144A) 6.85 01/15/2040 3,800,000 4,379,239
Protective Life Corp., 7.375%, 10/15/19 7.375 10/15/2019 4,250,000 5,127,643
Fannie Mae, 4.0%, 7/1/42 4.0 07/01/2042 624,000 402,162
New Jersey Educational Facilities Authority, 4.0%, 7/1/45 4.0 07/01/2045 3,100,000 3,257,680
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 3.5 08/17/2020 1,400,063 1,402,979
Activision Blizzard, Inc., 6.125%, 9/15/23 (144A) 6.125 09/15/2023 650,000 715,415
Fannie Mae, 6.0%, 10/1/32 6.0 10/01/2032 4,502,006 87,450
Government National Mortgage Association II, 4.0%, 10/20/44 4.0 10/20/2044 4,890,000 4,091,294
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 9.265 06/06/2017 250,000 259,794
COMM 2013-LC6 Mortgage Trust, 2.941%, 1/12/46 2.941 01/12/2046 1,900,000 1,920,829
CBS Corp., 4.6%, 1/15/45 4.6 01/15/2045 2,250,000 2,033,587
COMM 2012-CCRE2 Mortgage Trust, 3.147%, 8/15/45 3.147 08/15/2045 850,000 875,890
Government National Mortgage Association I, 7.5%, 2/15/26 7.5 02/15/2026 893,000 1,982
Baylor University, 4.313%, 3/1/42 4.313 03/01/2042 1,025,000 1,064,320
Banc of America Alternative Loan Trust 2003-2, 5.75%, 4/25/33 5.75 04/25/2033 6,525,000 619,976
FREMF Mortgage Trust 2012-K501, Floating Rate Note, 11/26/46 (144A) 3.4206 11/26/2046 650,000 664,333
Sotheby's, 5.25%, 10/1/22 (144A) 5.25 10/01/2022 1,300,000 1,293,500
Government National Mortgage Association I, 6.5%, 6/15/35 6.5 06/15/2035 190,431 7,785
Fannie Mae, 6.5%, 2/1/32 6.5 02/01/2032 1,000,100 5,750
Fannie Mae, 6.5%, 1/1/31 6.5 01/01/2031 1,000,000 3,722
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 2.7 08/15/2018 850,000 859,458
Westgate Resorts 2014-1 LLC, 2.15%, 12/20/26 (144A) 2.15 12/20/2026 3,500,000 2,631,474
CWABS Asset-Backed Certificates Trust 2004-7, Floating Rate Note, 12/25/34 1.2405 12/25/2034 1,400,000 569,156
Government National Mortgage Association I, 6.5%, 5/15/31 6.5 05/15/2031 2,567,327 30,801
Virginia Commonwealth Transportation Board, 4.0%, 5/15/32 4.0 05/15/2032 2,210,000 2,337,151
Fannie Mae, 4.0%, 12/1/42 4.0 12/01/2042 142,828 45,308
Acgl Zero% 01jul16 0.0 07/01/2016 1,000,000 1,025,800
Electricite de France SA, 6.0%, 1/22/14 (144A) 6.0   4,250,000 4,760,136
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 978,436 842,081
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5 REMICS, Floating Rate Note, 7/15/31 (1 2.2002 07/15/2031 900,000 898,026
Ally Financial, Inc., 3.6%, 5/21/18 3.6 05/21/2018 1,500,000 1,521,825
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 1.1305 12/25/2034 24,739,000 750,723
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 0.7505 01/25/2030 46,068,000 1,565,128
Government National Mortgage Association I, 4.0%, 1/15/41 4.0 01/15/2041 77,209 40,869
Fannie Mae, 4.5%, 12/1/43 4.5 12/01/2043 20,516,456 13,515,114
Intelsat Jackson Holdings SA, 7.25%, 4/1/19 7.25 04/01/2019 1,900,000 1,929,292
Government National Mortgage Association I, 6.5%, 4/15/35 6.5 04/15/2035 517,486 84,195
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 15,000,000 12,891,752
Home Equity Asset Trust 2005-7, Floating Rate Note, 1/25/36 0.5705 01/25/2036 750,000 337,760
Government National Mortgage Association I, 6.5%, 10/15/32 6.5 10/15/2032 6,591,983 125,437
Consumer Credit Origination Loan Trust 2015-1, 2.82%, 3/15/21 (144A) 2.82 03/15/2021 2,500,000 1,879,258
Federal Home Loan Mortgage Corp., 6.0%, 2/1/33 6.0 02/01/2033 4,851,146 88,985
MASTR Alternative Loan Trust 2004-6, 6.0%, 7/25/34 6.0 07/25/2034 12,000,000 2,216,410
Orcal Geothermal, Inc., 6.21%, 12/30/20 (144A) 6.21 12/30/2020 1,730,000 567,614
Government National Mortgage Association I, 6.0%, 9/15/33 6.0 09/15/2033 500,663 22,595
Federal Home Loan Mortgage Corp., 2.5%, 4/1/30 2.5 04/01/2030 274,552 273,706
JP Morgan Trust 2015-3 REMICS, Floating Rate Note, 5/25/45 (144A) 3.7435 05/25/2045 3,335,000 3,261,205
U.S. Treasury Inflation Indexed Bonds, 0.125%, 7/15/24 0.125 07/15/2024 64,580,000 62,838,051
Pride International, Inc., 6.875%, 8/15/20 6.875 08/15/2020 1,025,000 1,180,947
JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8, Floating Rate Note, 10/17/45 (144A) 3.9767 10/17/2045 1,200,000 1,238,414
US Residential Opportunity Fund III Trust 2015-1, 3.7213%, 1/29/35 (144A) 3.7213 01/29/2035 4,000,000 3,764,318
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.8905 01/25/2035 14,000,000 1,533,231
Fannie Mae, 5.5%, 9/1/17 5.5 09/01/2017 3,705,000 51,791
GAHR Commercial Mortgage Trust 2015-NRF, Floating Rate Note, 12/15/34 (144A) 3.4949 12/15/2034 4,630,000 4,628,673
BLCP Hotel Trust, Floating Rate Note, 8/15/29 (144A) 2.138 08/15/2029 2,210,000 2,219,161
Fifth Third Bancorp, Floating Rate Note (Perpetual) 6.625 12/31/2049 15,636 438,903
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 8.1537 01/07/2016 250,000 250,949
Fannie Mae, 4.0%, 12/1/44 4.0 12/01/2044 507,378 475,507
RPI Finance Trust, Term B-4 Term Loan, 11/9/20 3.5 11/09/2020 1,648,573 1,653,931
Fannie Mae, 4.0%, 2/1/43 4.0 02/01/2043 2,065,000 1,382,532
Federal Home Loan Mortgage Corp., 6.5%, 2/1/33 6.5 02/01/2033 62,297 4,163
Tyco Electronics Group SA, 6.55%, 10/1/17 6.55 10/01/2017 2,950,000 3,319,739
Sector Re V, Ltd., 0.0%, 3/1/20 (Cat Bond) (144A) 0.0 03/01/2020 400,000 407,120
Fannie Mae, 5.0%, 5/1/23 5.0 05/01/2023 4,380,644 533,204
Weatherford International, Ltd. Bermuda, 5.95%, 4/15/42 5.95 04/15/2042 675,000 550,349
Fannie Mae, 3.5%, 9/14/15 3.5 09/14/2015 13,008,000 13,467,345
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 3.4737 01/17/2019 500,000 509,747
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 5.25 04/25/2032 3,090,877 801,747
United Auto Credit Securitization Trust 2015-1, 2.92%, 6/17/19 (144A) 2.92 06/17/2019 2,140,000 2,148,577
CRH America, Inc., 3.875%, 5/18/25 (144A) 3.875 05/18/2025 10,600,000 10,651,533
Alexandria Real Estate Equities, Inc., 2.75%, 1/15/20 2.75 01/15/2020 75,000 74,368
Government National Mortgage Association I, 5.5%, 10/15/17 5.5 10/15/2017 2,400,000 35,513
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 3.25 12/19/2020 1,239,313 1,248,221
Ensco Plc, 4.5%, 10/1/24 4.5 10/01/2024 4,725,000 4,400,700
United States Treasury Floating Rate Note, Floating Rate Note, 1/31/16 0.095 01/31/2016 11,325,000 11,326,820
Government National Mortgage Association I, 5.5%, 12/15/18 5.5 12/15/2018 406,708 31,402
Federal Home Loan Mortgage Corp., 4.0%, 9/1/44 4.0 09/01/2044 11,749,606 11,671,641
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 2.6655 12/25/2034 3,200,000 149,807
Time Warner, Inc., 4.7%, 1/15/21 4.7 01/15/2021 8,300,000 8,992,053
CHS, Incremental 2019 Term G Loan, 12/31/19 3.0318 12/31/2019 1,119,878 1,123,610
Government National Mortgage Association I, 4.5%, 9/15/35 4.5 09/15/2035 393,589 34,861
Prudential Financial, Inc., Floating Rate Note, 9/15/42 5.875 09/15/2042 1,800,000 1,943,450
Syniverse Holdings, Inc., Initial Term Loan, 4/23/19 4.0 04/23/2019 333,333 317,917
Unison Ground Lease Funding LLC, 2.981%, 3/16/43 (144A) 2.981 03/16/2043 1,500,000 1,495,207
CSMC Trust 2015-2, 3.0%, 2/25/45 3.0 02/25/2045 10,218,000 9,174,406
Bayview Commercial Asset Trust 2007-4, 3.485463%, 9/25/37 (Step) (144A) 3.4855 09/25/2037 13,200,000 204,538
Grain Spectrum Funding II LLC, 3.29%, 10/10/19 (144A) 3.29 10/10/2019 1,400,000 1,384,386
Citigroup, Inc., Floating Rate Note (Perpetual) 5.9 12/31/2049 2,850,000 2,910,721
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 1,500,000 1,469,056
Government National Mortgage Association I, 5.5%, 9/15/19 5.5 09/15/2019 3,000,000 171,216
The Priceline Group, Inc., 3.65%, 3/15/25 3.65 03/15/2025 7,375,000 7,326,374
FREMF Mortgage Trust 2011-K702, Floating Rate Note, 4/25/44 (144A) 4.9311 04/25/2044 5,380,000 5,752,449
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 1,009,200 1,044,219
Acorn Re, Ltd., Floating Rate Note, 7/17/18 (Cat Bond) (144A)   07/17/2018 1,500,000 1,506,642
LSTAR Securities Investment Trust 2015-5, Floating Rate Note, 4/1/20 (144A) 2.184 04/01/2020 2,925,000 2,794,123
Government National Mortgage Association I, 7.0%, 11/15/28 7.0 11/15/2028 4,530,958 74,686
Glencore Funding LLC, 4.125%, 5/30/23 (144A) 4.125 05/30/2023 1,175,000 1,119,599
Federal Home Loan Mortgage Corp., 3.5%, 12/1/44 3.5 12/01/2044 10,570,000 10,258,100
Federal Home Loan Mortgage Corp., 6.0%, 6/1/35 6.0 06/01/2035 3,600,000 143,928
Port Freeport Texas, 5.95%, 5/15/33 5.95 05/15/2033 3,965,000 4,478,155
Agilent Technologies, Inc., 6.5%, 11/1/17 6.5 11/01/2017 894,000 998,328
MASTR Adjustable Rate Mortgages Trust 2005-1, Floating Rate Note, 1/25/35 2.8623 01/25/2035 6,959,000 540,567
California Educational Facilities Authority, 5.0%, 6/1/43 5.0 06/01/2043 1,980,000 2,572,066
Government National Mortgage Association I, 4.0%, 11/15/41 4.0 11/15/2041 25,000 8,065
Sprint Corp., 7.125%, 6/15/24 7.125 06/15/2024 1,500,000 1,386,156
Massachusetts Development Finance Agency, 5.375%, 4/1/41 5.375 04/01/2041 550,000 620,321
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 2.238 09/18/2031 3,360,000 3,360,483
Government National Mortgage Association I, 6.5%, 1/15/33 6.5 01/15/2033 25,065,172 577,329
The PNC Financial Services Group, Inc., Floating Rate Note (Perpetual) 6.75 12/31/2049 890,000 1,017,771
Entegris, Inc., 6.0%, 4/1/22 (144A) 6.0 04/01/2022 2,500,000 2,612,500
Ormat Funding Corp., 8.25%, 12/30/20 8.25 12/30/2020 555,000 244,943
Federal Home Loan Mortgage Corp., 6.0%, 4/1/36 6.0 04/01/2036 7,000,000 521,214
COMM 2012-CCRE2 Mortgage Trust REMICS, 3.791%, 8/17/45 3.791 08/17/2045 450,000 475,309
CHS, Incremental 2018 Term F Loans, 12/31/18 3.5335 12/31/2018 592,659 594,696
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 3.0 03/27/2024 1,550,000 695,700
HSBC Bank Plc, 7.65%, 5/1/25 7.65 05/01/2025 1,305,000 1,661,580
CNOOC Nexen Finance 2014 ULC, 4.25%, 4/30/24 4.25 04/30/2024 5,275,000 5,446,053
American International Group, Inc., 3.875%, 1/15/35 3.875 01/15/2035 5,985,000 5,447,201
Government National Mortgage Association I, 6.0%, 3/15/17 6.0 03/15/2017 2,080,702 27,307
Fannie Mae, 3.5%, 12/1/26 3.5 12/01/2026 4,340,805 1,998,386
Rosneft Finance SA, 7.875%, 3/13/18 (144A) 7.875 03/13/2018 1,000,000 1,083,988
U.S. Treasury Bonds, 2.5%, 2/15/45 2.5 02/15/2045 31,575,000 29,151,687
CoBank ACB, 7.875%, 4/16/18 (144A) 7.875 04/16/2018 1,190,000 1,395,291
Delphi Financial Group, Inc., 7.875%, 1/31/20 7.875 01/31/2020 1,850,000 2,267,715
Government National Mortgage Association I, 4.0%, 3/15/44 4.0 03/15/2044 1,083,496 783,634
The Williams Companies, Inc., 5.75%, 6/24/44 5.75 06/24/2044 5,980,000 5,272,845
Federal Home Loan Mortgage Corp., 6.5%, 1/1/33 6.5 01/01/2033 39,165 452
Government National Mortgage Association I, 4.5%, 12/15/39 4.5 12/15/2039 9,079,200 1,919,003
Viterra, Inc., 5.95%, 8/1/20 (144A) 5.95 08/01/2020 5,175,000 5,772,231
Duke Realty LP, 3.625%, 4/15/23 3.625 04/15/2023 2,175,000 2,179,621
Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43 2.1639 06/25/2043 24,278,000 732,043
DigitalGlobe, Inc., Term Loan, 1/31/20 3.75 01/31/2020 2,569,902 2,576,594
Federal Home Loan Mortgage Corp., 5.5%, 11/1/34 5.5 11/01/2034 550,000 33,698
Pangaea Zero% 01jul18 0.0 07/01/2018 2,000,000 36,000
Government National Mortgage Association I, 7.0%, 9/15/31 7.0 09/15/2031 2,202,152 15,134
Government National Mortgage Association I, 5.5%, 2/15/35 5.5 02/15/2035 500,000 49,551
Fannie Mae, 8.0%, 2/1/29 8.0 02/01/2029 240,000 2,478
WideOpenWest Finance LLC, Replacement Term B Loan, 4/1/19 4.5 04/01/2019 147,202 147,583
Sinopec Group Overseas Development 2015, Ltd., 2.5%, 4/28/20 (144A) 2.5 04/28/2020 10,050,000 9,956,991
Government National Mortgage Association I, 4.5%, 9/15/33 4.5 09/15/2033 2,256,215 313,117
Resolute Forest Products, Inc., 5.875%, 5/15/23 5.875 05/15/2023 3,930,000 3,330,293
Expedia, Inc., 5.95%, 8/15/20 5.95 08/15/2020 800,000 912,882
Fannie Mae, 4.0%, 4/1/41 4.0 04/01/2041 1,850,000 1,227,534
Banc of America Alternative Loan Trust 2004-6, 5.0%, 7/25/19 5.0 07/25/2019 10,861,500 1,177,213
Fannie Mae, 4.5%, 10/1/35 4.5 10/01/2035 3,754,694 313,130
Government National Mortgage Association I, 6.0%, 5/15/17 6.0 05/15/2017 1,900,000 30,444
Masco Corp., 5.95%, 3/15/22 5.95 03/15/2022 825,000 930,169
Fannie Mae, 6.0%, 3/1/32 6.0 03/01/2032 450,000 9,749
Government National Mortgage Association I, 4.5%, 6/15/41 4.5 06/15/2041 3,601,538 1,556,449
IMS Health, Inc., Term B Dollar Loan, 3/17/21 3.5 03/17/2021 451,525 451,081
CSMC Trust 2014-WIN1, Floating Rate Note, 9/25/44 (144A) 3.0 09/25/2044 11,130,000 6,199,746
GSR Mortgage Loan Trust 2004-7, Floating Rate Note, 6/25/34 2.8181 06/25/2034 0 0
Fannie Mae, 7.0%, 9/1/31 7.0 09/01/2031 2,000,000 18,959
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA Netherlands, 3.875%, 2/8/22 3.875 02/08/2022 3,435,000 3,658,208
CeramTec GmbH, Dollar Term B-3 Loan, 8/30/20 4.25 08/30/2020 314,222 315,302
Progress Residential 2015-SFR1 Trust, Floating Rate Note, 2/20/32 (144A) 2.588 02/20/2032 2,700,000 2,720,254
Progreso Receivables Funding III LLC, 3.625%, 1/30/25 (144A) 3.625 01/30/2025 3,200,000 3,215,222
Government National Mortgage Association I, 6.0%, 4/15/33 6.0 04/15/2033 1,000,000 28,217
Fannie Mae, 6.0%, 1/1/29 6.0 01/01/2029 60,204 1,047
Velocity Commercial Capital Loan Trust 2015-1, Floating Rate Note, 6/25/45 (144A) 2.6185 06/25/2045 5,775,000 5,667,504
Fannie Mae, 3.0%, 12/1/42 3.0 12/01/2042 2,352,529 1,909,712
Newfield Exploration Co., 5.625%, 7/1/24 5.625 07/01/2024 1,400,000 1,378,563
Government National Mortgage Association I, 5.0%, 4/15/34 5.0 04/15/2034 1,504,329 151,844
Federal Home Loan Mortgage Corp., 4.5%, 11/1/40 4.5 11/01/2040 12,403,700 5,363,012
Pinnacle Entertainment, Inc., Tranche B-2 Term Loan, 8/13/20 3.75 08/13/2020 666,034 667,352
Federal Home Loan Mortgage Corp., 6.5%, 8/1/31 6.5 08/01/2031 1,070,805 4,941
Government National Mortgage Association I, 4.0%, 8/20/15 4.0 08/20/2015 45,040,000 48,048,632
JP Morgan Chase Commercial Mortgage Securities Corp., 2.84%, 12/17/47 2.84 12/17/2047 3,910,234 3,927,778
LSTAR Securities Investment Trust 2015-3, Floating Rate Note, 3/1/20 (144A) 2.1866 03/01/2020 2,500,000 2,414,510
DuPont Fabros Technology LP, 5.875%, 9/15/21 5.875 09/15/2021 1,250,000 1,312,118
JP Morgan Mortgage Trust 2014-5, Floating Rate Note, 10/25/29 (144A) 3.0 10/25/2029 6,000,000 5,392,506
Crockett Cogeneration LP, 5.869%, 3/30/25 (144A) 5.869 03/30/2025 1,010,000 568,773
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 0.6673 06/15/2030 9,460,074 485,446
Origen Manufactured Housing Contract Trust 2004-A, Floating Rate Note, 1/15/35 5.91 01/15/2035 1,400,000 527,659
Government National Mortgage Association I, 6.0%, 3/15/32 6.0 03/15/2032 80,300 2,941
Hercules Capital Funding Trust 2014-1, 3.524%, 4/16/21 (144A) 3.524 04/16/2021 2,920,000 2,929,763
Massachusetts Institute of Technology, 5.6%, 7/1/11 5.6   1,100,000 1,386,143
FREMF Mortgage Trust 2010-K9 REMICS, Floating Rate Note, 9/25/45 (144A) 5.1937 09/25/2045 890,000 984,912
Enterprise Products Operating LLC, 3.7%, 2/15/26 3.7 02/15/2026 3,825,000 3,736,747
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 8.9051 06/06/2017 1,000,000 990,750
Government National Mortgage Association I, 6.5%, 10/15/31 6.5 10/15/2031 3,015,231 44,414
Kiowa Power Partners LLC, 5.737%, 3/30/21 (144A) 5.737 03/30/2021 2,105,000 1,743,799
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 0.3905 12/25/2036 4,900,000 972,642
Igloo Holdings Corp., 8.25%, 12/15/17 (144A) (PIK) 8.25 12/15/2017 2,875,000 2,952,026
Government National Mortgage Association I, 5.5%, 10/15/33 5.5 10/15/2033 1,509,492 111,925
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 1,500,000 1,504,325
U.S. Treasury Bonds, 4.375%, 5/15/41 4.375 05/15/2041 1,150,000 1,478,352
The Kroger Co., 2.95%, 11/1/21 2.95 11/01/2021 7,472,000 7,460,060
Fannie Mae, 8.0%, 4/1/30 8.0 04/01/2030 150,000 660
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 2.4598 11/25/2034 6,054,578 508,512
Constellation Brands, Inc., 3.75%, 5/1/21 3.75 05/01/2021 630,000 635,742
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 1/25/35 2.4014 01/25/2035 3,080,000 648,328
Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40 5.361 02/15/2040 3,500,000 2,468,650
Westgate Resorts 2015-1 LLC, 2.75%, 5/20/27 (144A) 2.75 05/20/2027 3,000,000 2,604,948
Federal Home Loan Mortgage Corp., 6.0%, 6/1/35 6.0 06/01/2035 3,778,102 135,918
Fannie Mae, 7.0%, 12/1/30 7.0 12/01/2030 499,950 832
Fannie Mae, 4.0%, 6/1/44 4.0 06/01/2044 250,448 195,714
Sequoia Mortgage Trust 2013-7, Floating Rate Note, 6/25/43 2.5 06/25/2043 14,077,000 11,317,908
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A) 2.1 05/19/2031 1,800,000 1,793,182
Fannie Mae, 6.5%, 10/1/32 6.5 10/01/2032 2,811,012 86,700
City Center Trust 2011-CCHP, Floating Rate Note, 7/17/28 (144A) 4.65 07/17/2028 1,000,000 1,012,932
Texas Transportation Commission State Highway Fund, 5.0%, 4/1/33 5.0 04/01/2033 1,000,000 1,172,397
Fannie Mae, 6.0%, 8/1/32 6.0 08/01/2032 315,000 6,205
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 6.5 08/15/2030 2,800,000 136,783
Government National Mortgage Association I, 4.0%, 11/15/41 4.0 11/15/2041 55,544 7,534
Federal Home Loan Mortgage Corp., 3.5%, 11/1/44 3.5 11/01/2044 200,000 200,220
GS Mortgage Securities Trust 2012-GCJ7, 3.377%, 5/12/45 3.377 05/12/2045 1,250,000 1,306,815
Glenn Pool Oil & Gas Trust, Term Loan, 5/2/16 4.5 05/02/2016 542,736 541,379
Merrill Lynch Mortgage Investors Trust Series 2005-A3, Floating Rate Note, 4/25/35 0.4605 04/25/2035 27,604,109 2,811,327
Aquarius + Investments Plc for Swiss Reinsurance Co, Ltd., Floating Rate Note, 9/1/24 6.375 09/01/2024 1,800,000 1,982,397
Sequoia Mortgage Trust 2015-2, Floating Rate Note, 5/25/45 (144A) 3.5 05/25/2045 8,762,000 8,693,565
NRP Mortgage Trust 2013-1, Floating Rate Note, 7/25/43 (144A) 3.25 07/25/2043 5,440,000 4,818,990
Bayview Financial Mortgage Pass-Through Trust 2006-A, 5.865%, 2/28/41 (Step) 5.865 02/28/2041 1,462,628 1,532,155
Federal Mogul 1st Lien Tl-C L + 3.75% 15apr21 4.75 04/15/2021 1,418,747 1,405,741
Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A) 2.38 03/20/2029 4,692,000 986,261
Brown & Brown, Inc., 4.2%, 9/15/24 4.2 09/15/2024 5,000,000 5,047,978
Silverton RE, Ltd., 0.0%, 9/16/16 (Cat Bond) (144A) 0.0 09/16/2016 250,000 9,750
Energy Transfer Partners LP, Floating Rate Note, 11/1/66 3.2957 11/01/2066 1,200,000 1,006,107
Federal Home Loan Mortgage Corp., 5.5%, 11/1/34 5.5 11/01/2034 1,900,000 178,402
US Airways 2013-1 Class A Pass Through Trust, 3.95%, 5/15/27 3.95 05/15/2027 1,500,000 1,420,814
New Residential Mortgage Loan Trust 2015-1, Floating Rate Note, 4/28/52 (144A) 3.75 04/28/2052 11,783,000 11,675,889
Eden Re II, Ltd., 0.0%, 4/19/18 (Cat Bond) (144A) 0.0 04/19/2018 2,500,000 2,560,000
CIT Equipment Collateral 2014-VT1, 2.65%, 2/20/20 (144A) 2.65 02/20/2020 1,400,000 1,410,427
Government National Mortgage Association I, 6.5%, 6/15/32 6.5 06/15/2032 1,561,662 18,220
Sabine Pass LNG LP, 6.5%, 11/1/20 6.5 11/01/2020 3,500,000 3,644,375
Tiers Trust, Floating Rate Note, 10/15/97 (144A) 0.0   1,250,000 1,137,622
The George Washington University, 1.827%, 9/15/17 1.827 09/15/2017 1,900,000 1,937,618
Fannie Mae, 4.5%, 2/1/41 4.5 02/01/2041 2,435,128 1,255,298
Valero Energy Corp., 9.375%, 3/15/19 9.375 03/15/2019 2,890,000 3,658,713
Government National Mortgage Association I, 5.0%, 7/15/19 5.0 07/15/2019 1,587,453 131,678
Fannie Mae, 4.0%, 12/1/41 4.0 12/01/2041 5,950,000 2,158,691
Mid-State Capital Trust 2010-1, 5.25%, 12/15/45 (144A) 5.25 12/15/2045 950,000 696,128
Univision Communications, Inc., Replacement First-Lien Term Loan, 3/1/20 4.0 03/01/2020 2,253,902 2,255,466
Federal Home Loan Mortgage Corp., 4.5%, 11/1/43 4.5 11/01/2043 637,703 376,703
A10 Term Asset Financing 2013-2 LLC, 2.62%, 11/15/27 (144A) 2.62 11/15/2027 2,794,000 2,017,309
Government National Mortgage Association I, 6.5%, 3/15/31 6.5 03/15/2031 1,000,000 14,225
Fannie Mae, 5.5%, 2/1/18 5.5 02/01/2018 2,100,000 77,445
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 5.0 07/25/2018 7,610,000 340,173
Government National Mortgage Association I, 4.0%, 11/15/40 4.0 11/15/2040 245,475 65,456
EverBank Mortgage Loan Trust REMICS, Floating Rate Note, 4/25/43 (144A) 3.5032 04/25/2043 4,393,000 4,073,394
Government National Mortgage Association I, 4.5%, 3/15/35 4.5 03/15/2035 1,722,219 151,512
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 0.9405 12/25/2034 5,642,356 417,281
Legg Mason, Inc., 3.95%, 7/15/24 3.95 07/15/2024 2,400,000 2,454,453
Macquarie Bank, Ltd., 4.875%, 6/10/25 (144A) 4.875 06/10/2025 5,125,000 5,136,574
Government National Mortgage Association I, 4.0%, 6/15/39 4.0 06/15/2039 28,840 9,499
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2.58 09/15/2021 2,800,000 1,414,326
Aflac, Inc., 3.625%, 11/15/24 3.625 11/15/2024 7,000,000 7,127,916
Government National Mortgage Association I, 4.5%, 10/15/35 4.5 10/15/2035 2,106,954 181,962
Sequoia Mortgage Trust 2013-3, Floating Rate Note, 3/25/43 3.5363 03/25/2043 7,915,000 7,584,765
Government National Mortgage Association I, 4.0%, 3/15/44 4.0 03/15/2044 33,576 27,526
B2R Mortgage Trust 2015-1, 2.524%, 5/15/48 (144A) 2.524 05/15/2048 1,100,000 1,086,729
Flextronics International, Ltd., 4.75%, 6/15/25 (144A) 4.75 06/15/2025 2,750,000 2,703,918
Hyatt Hotel Portfolio Trust 2015-HYT, Floating Rate Note, 11/15/29 (144A) 1.888 11/15/2029 2,100,000 2,106,757
NextGear Floorplan Master Owner Trust, 2.61%, 10/15/19 (144A) 2.61 10/15/2019 1,000,000 997,062
Fannie Mae, 5.0%, 2/1/22 5.0 02/01/2022 7,621,650 366,687
Kinder Morgan, Inc. Delaware, 5.55%, 6/1/45 5.55 06/01/2045 7,335,000 6,741,400
Fannie Mae, 4.0%, 12/1/44 4.0 12/01/2044 101,566 89,861
Fannie Mae, 4.0%, 6/1/42 4.0 06/01/2042 3,678,905 1,016,528
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 4.0153 05/05/2017 1,250,000 1,233,931
Fannie Mae, 4.0%, 9/1/44 4.0 09/01/2044 327,471 297,021
Fannie Mae, 3.5%, 2/1/29 3.5 02/01/2029 4,606,320 3,731,575
Fannie Mae, 6.5%, 7/1/29 6.5 07/01/2029 500,000 10,386
GSR Mortgage Loan Trust 2005-AR1, Floating Rate Note, 1/25/35 2.6373 01/25/2035 5,115,000 931,950
Government National Mortgage Association I, 4.0%, 4/15/44 4.0 04/15/2044 58,312 16,309
Government National Mortgage Association I, 4.5%, 5/15/41 4.5 05/15/2041 5,733,621 2,005,682
Israel Electric Corp, Ltd., 9.375%, 1/28/20 (144A) 9.375 01/28/2020 610,000 760,689
Fannie Mae, 3.0%, 9/1/28 3.0 09/01/2028 7,125,717 6,063,314
Fannie Mae, 4.0%, 7/1/42 4.0 07/01/2042 8,163,233 5,987,833
Government National Mortgage Association I, 6.0%, 5/15/17 6.0 05/15/2017 1,413,485 11,808
Fannie Mae, 6.0%, 9/1/34 6.0 09/01/2034 352,132 16,570
Government National Mortgage Association I, 5.5%, 11/15/19 5.5 11/15/2019 2,683,028 297,528
AmeriCredit Automobile Receivables Trust 2013-1, 1.57%, 1/8/19 1.57 01/08/2019 800,000 802,034
Government National Mortgage Association I, 5.5%, 11/15/18 5.5 11/15/2018 1,443,964 47,368
Fannie Mae, 3.0%, 8/1/42 3.0 08/01/2042 24,375,000 21,564,282
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 2.503 08/25/2033 18,254,000 924,966
Fannie Mae, 5.0%, 7/1/40 5.0 07/01/2040 5,000,000 1,504,087
Fannie Mae, 4.0%, 11/1/44 4.0 11/01/2044 10,988,459 10,445,822
Federal Home Loan Mortgage Corp., 5.0%, 12/1/21 5.0 12/01/2021 450,000 30,576
East Lane Re VI, Ltd., Floating Rate Note, 3/13/20 (Cat Bond) (144A) 3.7551 03/13/2020 700,000 697,148
HLSS Servicer Advance Receivables Trust, 3.96%, 10/15/45 (144A) 3.96 10/15/2045 224,000 224,193
Federal Home Loan Mortgage Corp., 5.5%, 12/1/18 5.5 12/01/2018 2,500,000 229,324
Citigroup Capital XIII, Floating Rate Note, 10/30/40 7.875 10/30/2040 69,644 1,773,833
CSMC 2015-TWNI Trust, Floating Rate Note, 3/15/28 (144A) 2.438 03/15/2028 2,700,000 2,696,471
Wells Fargo & Co., Floating Rate Note (Perpetual) 5.875 12/31/2049 3,400,000 3,506,828
CEMEX Espana SA, 9.875%, 4/30/19 (144A) 9.875 04/30/2019 3,328,000 3,727,233
Fannie Mae, 6.0%, 2/1/35 6.0 02/01/2035 180,000 17,040
Alexandria Real Estate Equities, Inc., 4.6%, 4/1/22 4.6 04/01/2022 2,670,000 2,871,898
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 3.75 06/30/2019 417,005 342,770
Asciano Finance, Ltd., 4.625%, 9/23/20 (144A) 4.625 09/23/2020 529,000 572,437
Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 6.0 12/01/2033 2,000,000 144,463
Federal Home Loan Mortgage Corp., 6.5%, 7/1/32 6.5 07/01/2032 1,000,000 17,864
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 8.508 05/09/2016 300,000 306,943
Fannie Mae, 3.5%, 12/1/42 3.5 12/01/2042 1,015,373 788,952
Win % 20mar45 15-3-A3   03/20/2045 8,149,000 7,792,322
RREF 2015-LT7 LLC, 3.0%, 12/25/32 (144A) 3.0 12/25/2032 4,000,000 3,651,812
Government National Mortgage Association II, 7.0%, 1/20/29 7.0 01/20/2029 8,400,000 106,437
Southern California Edison Co., Floating Rate Note (Perpetual) 6.25 12/31/2049 2,200,000 2,497,000
Morgan Stanley Capital I Trust 2007-HQ13, 5.569%, 12/15/44 5.569 12/15/2044 1,000,000 1,063,480
Expedia, Inc., 4.5%, 8/15/24 4.5 08/15/2024 5,900,000 6,078,735
Sequoia Mortgage Trust 2013-7, Floating Rate Note, 6/25/43 3.0 06/25/2043 1,841,592 1,525,672
United States Treasury Floating Rate Note, Floating Rate Note, 1/31/17 0.134 01/31/2017 16,435,000 16,446,216
JP Morgan Mortgage Trust 2014-1 REMICS, Floating Rate Note, 1/25/44 (144A) 3.5 01/25/2044 1,000,000 872,437
Government National Mortgage Association I, 6.5%, 2/15/34 6.5 02/15/2034 733,600 56,312
COMM 2012-LC4 Mortgage Trust, 4.063%, 12/12/44 4.063 12/12/2044 4,000,000 4,294,359
International Paper Co., 3.65%, 6/15/24 3.65 06/15/2024 6,975,000 6,952,240
Government National Mortgage Association I, 6.5%, 8/15/32 6.5 08/15/2032 129,066 4,610
ERAC USA Finance LLC, 4.5%, 2/15/45 (144A) 4.5 02/15/2045 4,600,000 4,319,570
PHH Mortgage Capital LLC, 6.600001%, 12/25/27 (Step) (144A) 6.6 12/25/2027 4,250,000 92,091
Fannie Mae, 3.0%, 7/1/43 3.0 07/01/2043 1,019,821 902,593
TimberStar Trust I, 5.7467%, 10/15/36 (144A) 5.7467 10/15/2036 1,435,000 1,497,933
Fannie Mae, 5.0%, 2/1/41 5.0 02/01/2041 17,669,429 6,148,519
DB Master Finance LLC 2015-1, 3.98%, 2/21/45 (144A) 3.98 02/21/2045 5,000,000 5,024,614
Commercial Mortgage Pass Through Certificates, 2.822%, 10/17/45 2.822 10/17/2045 3,850,000 3,876,356
Structured Asset Securities Corp Trust 2005-14, Floating Rate Note, 7/25/35 0.4905 07/25/2035 6,935,000 560,317
Government National Mortgage Association I, 6.5%, 10/15/33 6.5 10/15/2033 32,450 2,454
Fannie Mae, 6.0%, 7/1/33 6.0 07/01/2033 10,874,932 231,624
Government National Mortgage Association, 3.0%, 4/20/41 3.0 04/20/2041 2,000,000 1,518,183
Federal Home Loan Mortgage Corp., 5.5%, 6/1/41 5.5 06/01/2041 2,145,000 2,223,781
Fannie Mae, 5.0%, 7/1/40 5.0 07/01/2040 3,750,000 941,612
Government National Mortgage Association I, 4.0%, 10/15/44 4.0 10/15/2044 449,138 375,151
Zero% 31aug16 0.0 08/31/2016 900,000 912,780
Fannie Mae, 6.0%, 3/1/33 6.0 03/01/2033 3,500,000 123,886
Federal Home Loan Mortgage Corp., 5.5%, 8/1/35 5.5 08/01/2035 5,000,000 256,251
Government National Mortgage Association I, 4.0%, 8/15/40 4.0 08/15/2040 38,807 14,463
Fannie Mae, 6.5%, 7/1/34 6.5 07/01/2034 1,095,000 35,190
JP Morgan Mortgage Trust 2014-5, Floating Rate Note, 10/25/29 (144A) 3.0431 10/25/2029 2,609,000 2,395,279
Government National Mortgage Association I, 6.5%, 8/15/32 6.5 08/15/2032 2,400,000 33,737
KeyCorp, 5.1%, 3/24/21 5.1 03/24/2021 7,378,000 8,321,592
Government National Mortgage Association I, 6.0%, 8/15/36 6.0 08/15/2036 4,350,000 427,069
Cincinnati Bell, Inc., Tranche B Term Loan, 9/10/20 4.0 09/10/2020 1,920,788 1,921,988
Air Canada 2013-1 Class A Pass Through Trust, 4.125%, 11/15/26 (144A) 4.125 11/15/2026 5,000,000 4,729,142
Fannie Mae, 2.5%, 7/1/30 2.5 07/01/2030 3,160,000 3,204,554
Nordea Bank AB, Floating Rate Note (Perpetual) (144A) 6.125 12/31/2049 5,600,000 5,693,956
Fannie Mae, 8.0%, 3/1/31 8.0 03/01/2031 1,495,060 9,838
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2.0051 04/07/2017 1,000,000 996,578
NRP Mortgage Trust 2013-1, Floating Rate Note, 7/25/43 (144A) 3.3186 07/25/2043 3,927,800 3,670,910
Sequoia Mortgage Trust 2012-6, Floating Rate Note, 12/26/42 1.808 12/26/2042 8,060,000 4,986,555
Government National Mortgage Association I, 4.0%, 3/15/44 4.0 03/15/2044 454,143 273,625
Kane Ilw Zero% 02feb16 0.0 02/02/2016 1,000,000 963,300
NRP Mortgage Trust 2013-1, Floating Rate Note, 7/25/43 (144A) 3.25 07/25/2043 5,945,000 5,089,890
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 7/25/36 0.487 07/25/2036 1,000,000 988,410
California Statewide Communities Development Authority, 6.0%, 8/15/42 6.0 08/15/2042 2,925,000 3,548,630
Ball Corp., 5.25%, 7/1/25 5.25 07/01/2025 4,000,000 4,043,200
Methanex Corp., 4.25%, 12/1/24 4.25 12/01/2024 2,625,000 2,624,836
Government National Mortgage Association I, 4.0%, 9/15/41 4.0 09/15/2041 25,471 9,723
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 1.289 12/05/2031 1,100,000 191,547
Bway Holding Co 1st Lien Tl-B L + 4.5% 08aug20 5.5 08/08/2020 198,000 199,392
Seagate HDD Cayman, 4.75%, 6/1/23 4.75 06/01/2023 3,450,000 3,519,575
Government National Mortgage Association I, 6.5%, 5/15/33 6.5 05/15/2033 1,672,708 37,623
Federal Home Loan Mortgage Corp., 6.0%, 1/1/34 6.0 01/01/2034 500,000 47,810
Federal Home Loan Mortgage Corp., 6.5%, 5/1/31 6.5 05/01/2031 1,043,809 6,397
BAMLL Commercial Mortgage Securities Trust 2015-ASHF, Floating Rate Note, 1/18/28 (144A) 1.898 01/18/2028 4,200,000 4,196,494
UnitedHealth Group, Inc., 3.35%, 7/15/22 3.35 07/15/2022 9,640,000 9,843,678
JP Morgan Mortgage Trust 2013-1, Floating Rate Note, 3/25/43 (144A) 3.5383 03/25/2043 2,000,000 1,804,325
CBS Corp., 3.7%, 8/15/24 3.7 08/15/2024 6,125,000 6,089,794
Federal Home Loan Mortgage Corp., 6.0%, 5/1/34 6.0 05/01/2034 7,192,224 752,202
Altice Financing SA, 7.875%, 12/15/19 (144A) 7.875 12/15/2019 1,675,000 1,779,792
COMM 2012-CCRE4 Mortgage Trust, 2.436%, 10/17/45 2.436 10/17/2045 915,000 922,216
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 9,171,532 396,366
Brixmor Operating Partnership LP, 3.85%, 2/1/25 3.85 02/01/2025 4,225,000 4,162,899
Volt 3.625% 25jul45 15-Np10-A1 3.625 07/25/2045 2,900,000 2,900,475
Fannie Mae, 4.0%, 8/1/44 4.0 08/01/2044 597,740 524,497
Delphi Financial Group, Inc., Floating Rate Note, 5/15/37 7.376 05/15/2037 153,800 3,811,364
Prudential Financial, Inc., 4.5%, 11/16/21 4.5 11/16/2021 1,090,000 1,199,703
Southwest Airlines Co., 2.75%, 11/6/19 2.75 11/06/2019 2,350,000 2,398,901
Government National Mortgage Association I, 6.5%, 6/15/34 6.5 06/15/2034 1,330,499 193,637
DIRECTV Holdings LLC, 3.95%, 1/15/25 3.95 01/15/2025 4,900,000 4,831,966
Consolidated Edison Co of New York, Inc., 4.625%, 12/1/54 4.625 12/01/2054 5,475,000 5,481,900
CF Industries, Inc., 5.15%, 3/15/34 5.15 03/15/2034 4,845,000 4,797,967
Teachers Insurance & Annuity Association of America, 6.85%, 12/16/39 (144A) 6.85 12/16/2039 3,205,000 4,020,402
Enel Finance International NV, 5.125%, 10/7/19 (144A) 5.125 10/07/2019 3,365,000 3,766,132
Fannie Mae, 5.5%, 6/1/36 5.5 06/01/2036 6,000,000 350,740
Government National Mortgage Association I, 6.0%, 3/15/17 6.0 03/15/2017 2,000,000 19,190
Fannie Mae, 6.5%, 10/1/31 6.5 10/01/2031 1,000,100 13,170
Fannie Mae, 4.0%, 8/1/44 4.0 08/01/2044 20,000,000 19,345,987
SpringCastle America Funding LLC, 2.7%, 5/25/23 2.7 05/25/2023 2,600,000 1,878,635
Spectra Energy Capital LLC, 6.2%, 4/15/18 6.2 04/15/2018 2,475,000 2,762,319
Fannie Mae, 6.0%, 11/1/34 6.0 11/01/2034 271,485 19,089
Government National Mortgage Association I, 6.5%, 3/15/29 6.5 03/15/2029 2,000,000 22,284
Mohawk Industries, Inc., 3.85%, 2/1/23 3.85 02/01/2023 800,000 822,814
Banc of America Funding 2003-3 Trust, 5.5%, 10/25/33 5.5 10/25/2033 3,903,805 635,369
Ford Motor Credit Co LLC, 2.24%, 6/15/18 2.24 06/15/2018 4,975,000 4,983,562
CCO Safari II LLC, 6.384%, 10/23/35 (144A) 6.384 10/23/2035 7,645,000 7,826,192
Barclays Plc, 3.65%, 3/16/25 3.65 03/16/2025 5,250,000 5,105,685
PNC Bank NA, 6.0%, 12/7/17 6.0 12/07/2017 1,435,000 1,579,091
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 1.18 08/15/2017 2,126,000 206,973
Morgan Stanley, Floating Rate Note (Perpetual) 5.55 12/31/2049 2,900,000 2,892,653
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 0.7905 06/25/2034 34,555,000 2,480,382
Alexandria Real Estate Equities, Inc., 3.9%, 6/15/23 3.9 06/15/2023 1,093,000 1,094,498
GS Mortgage Securities Trust 2006-GG8 REMICS, 5.56%, 11/10/39 5.56 11/10/2039 900,000 837,026
COMM 2015-CCRE23 Mortgage Trust, Floating Rate Note, 5/12/48 (144A) 3.6845 05/12/2048 1,750,000 1,776,542
DCP Midstream LLC, 9.75%, 3/15/19 (144A) 9.75 03/15/2019 2,900,000 3,384,652
Fannie Mae, 4.5%, 4/1/41 4.5 04/01/2041 6,978,836 2,998,358
Affiliated Managers Group, Inc., 4.25%, 2/15/24 4.25 02/15/2024 2,525,000 2,674,604
Government National Mortgage Association I, 6.5%, 7/15/35 6.5 07/15/2035 666,356 60,877
Fannie Mae, 6.5%, 6/1/31 6.5 06/01/2031 2,750,000 87,694
Fannie Mae, 6.5%, 12/1/31 6.5 12/01/2031 3,300,000 157,533
Masco Corp., 7.125%, 3/15/20 7.125 03/15/2020 4,260,000 5,077,565
GTP Acquisition Partners I LLC, 2.35%, 6/15/20 (144A) 2.35 06/15/2020 4,800,000 4,778,853
Government National Mortgage Association I, 6.5%, 2/15/32 6.5 02/15/2032 3,127,662 39,681
Fannie Mae, 4.5%, 12/1/43 4.5 12/01/2043 20,000,000 15,882,577
Astoria Financial Corp., 5.0%, 6/19/17 5.0 06/19/2017 2,300,000 2,427,844
VFC 2015-3 LLC, 2.75%, 12/20/31 (144A) 2.75 12/20/2031 2,000,000 1,460,144
Government National Mortgage Association I, 7.0%, 8/15/31 7.0 08/15/2031 17,500,000 215,137
Federal Home Loan Mortgage Corp., 6.5%, 8/1/31 6.5 08/01/2031 192,020 1,148
Federal Home Loan Mortgage Corp., Floating Rate Note, 9/26/44 (144A) 4.3034 09/26/2044 1,250,000 1,302,452
GS Mortgage Securities Corp II, 3.682%, 2/12/46 (144A) 3.682 02/12/2046 1,000,000 1,014,459
Fannie Mae, 4.0%, 7/1/44 4.0 07/01/2044 11,110,000 9,884,732
Government National Mortgage Association I, 4.5%, 4/15/35 4.5 04/15/2035 1,999,800 285,590
Export-Import Bank of Korea, 2.25%, 1/21/20 2.25 01/21/2020 7,475,000 7,443,224
FPL Energy Wind Funding LLC, 6.876%, 6/27/17 (144A) 6.876 06/27/2017 1,050,000 68,977
Altrl Zero% 30jun17 0.0 06/30/2017 1,400,000 1,449,280
Hyundai Capital America, 1.45%, 2/6/17 (144A) 1.45 02/06/2017 2,245,000 2,255,521
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 3.0 06/25/2043 916,000 741,377
Kane Zero% 19feb16 0.0 02/19/2016 3,000,000 3,211,200
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 3.1388 07/15/2023 1,250,000 1,099,598
Boardwalk Pipelines LP, 4.95%, 12/15/24 4.95 12/15/2024 5,550,000 5,421,595
Permanent University Fund, 5.0%, 7/1/30 5.0 07/01/2030 800,000 951,749
AutoZone, Inc., 2.5%, 4/15/21 2.5 04/15/2021 2,575,000 2,552,049
Government National Mortgage Association I, 7.5%, 12/15/31 7.5 12/15/2031 7,728,804 49,844
Washington Suburban Sanitary Commission, 4.0%, 6/1/43 4.0 06/01/2043 1,620,000 1,680,631
Irwin Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/25 0.6305 06/25/2025 15,300,000 2,868,573
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 7.4102 01/09/2019 1,200,000 1,208,313
Louisiana Local Government Environmental Facilities & Community Development Authority, 6.5%, 11/1/35 6.5 11/01/2035 2,350,000 2,835,134
Government National Mortgage Association I, 6.5%, 5/15/31 6.5 05/15/2031 1,798,476 26,620
Fannie Mae, 6.0%, 2/1/33 6.0 02/01/2033 2,200,000 20,259
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 3.0 05/15/2018 3,048,000 763,595
Kane Zero% 22jan16 0.0 01/22/2016 1,300,000 1,332,630
Trafigura Securitisation Finance Plc. 2014-1, Floating Rate Note, 4/16/18 (144A) 2.436 04/16/2018 800,000 802,355
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 1.5405 06/25/2033 2,336,716 1,221,805
Fannie Mae, 5.0%, 6/1/40 5.0 06/01/2040 3,004,062 1,193,394
Bank of America Corp., Floating Rate Note, 9/29/49 6.25 09/29/2049 2,200,000 2,257,810
Frontier Communications Corp., 7.125%, 1/15/23 7.125 01/15/2023 4,300,000 3,894,367
Banc of America Funding 2010-R4 Trust REMICS, Floating Rate Note, 8/26/36 (144A) 0.3114 08/26/2036 3,200,000 5,533
Fannie Mae, 6.0%, 12/1/35 6.0 12/01/2035 8,000,000 525,596
Government National Mortgage Association I, 6.5%, 5/15/29 6.5 05/15/2029 273,319 5,582
Charter Communications Operating LLC, Term F Loan, 12/31/20 3.0 12/31/2020 1,690,500 1,687,800
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 1,076,561 969,554
NOVA Chemicals Corp., 5.0%, 5/1/25 (144A) 5.0 05/01/2025 40,000 40,100
Federal Home Loan Mortgage Corp., 4.0%, 4/1/45 4.0 04/01/2045 2,507,831 2,630,877
SBP DPR Finance Co., Floating Rate Note, 3/15/17 (144A) 3.0359 03/15/2017 2,000,000 739,547
UBS AG, 7.625%, 8/17/22 7.625 08/17/2022 4,400,000 5,321,105
Fannie Mae, 4.0%, 4/1/42 4.0 04/01/2042 1,100,000 663,775
Compass Re II, Ltd., Floating Rate Note, 12/8/15 (Cat Bond) 0.0 12/08/2015 1,100,000 1,053,580
Marathon Oil Corp., 5.9%, 3/15/18 5.9 03/15/2018 901,000 1,008,442
SunTrust Banks, Inc., 3.5%, 1/20/17 3.5 01/20/2017 1,025,000 1,054,701
Federal Home Loan Mortgage Corp., 6.0%, 4/1/33 6.0 04/01/2033 379,183 16,149
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 3.25 11/05/2020 2,012,986 2,024,780
American Homes 4 Rent 2014-SFR3 Trust, 5.04%, 12/18/36 (144A) 5.04 12/18/2036 700,000 710,657
University of Virginia, 5.0%, 4/1/45 5.0 04/01/2045 3,100,000 3,631,664
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 3.5537 06/25/2043 6,700,000 6,423,605
Government National Mortgage Association I, 5.5%, 8/15/33 5.5 08/15/2033 750,075 51,389
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 2.1271 11/19/2026 4,000,000 1,274,617
Valeant Pharmaceuticals International, Inc., Series C-2 Tranche B Term Loan, 12/11/19 3.5 12/11/2019 532,996 534,376
Zero% 30nov19 0.0 11/30/2019 4,000,000 4,063,200
Public Service Co of New Mexico, 7.95%, 5/15/18 7.95 05/15/2018 2,690,000 3,166,443
EnLink Midstream Partners LP, 4.4%, 4/1/24 4.4 04/01/2024 6,596,000 6,551,435
Federal Home Loan Mortgage Corp., 6.5%, 1/1/31 6.5 01/01/2031 66,916 196
Staples Inc 1st Lien Tl-B L + 2.75% 24apr21 3.5 04/24/2021 1,925,000 1,927,936
Government National Mortgage Association I, 6.5%, 2/15/29 6.5 02/15/2029 260,526 1,728
Standard Chartered Plc, 3.95%, 1/11/23 (144A) 3.95 01/11/2023 4,800,000 4,739,455
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 6/25/34 2.7772 06/25/2034 4,049,418 513,019
Capital One Bank USA NA, 8.8%, 7/15/19 8.8 07/15/2019 1,465,000 1,778,060
Fannie Mae, 4.5%, 8/1/40 4.5 08/01/2040 5,950,444 1,415,993
Government National Mortgage Association I, 4.5%, 4/15/41 4.5 04/15/2041 2,223,928 1,355,019
Fannie Mae, 4.0%, 6/1/44 4.0 06/01/2044 325,000 263,086
Fannie Mae, 6.5%, 11/1/37 6.5 11/01/2037 2,222,350 228,532
Fannie Mae, 4.5%, 10/1/35 4.5 10/01/2035 3,754,911 297,743
Government National Mortgage Association I, 6.5%, 8/15/31 6.5 08/15/2031 913,650 73,897
Healthcare Realty Trust, Inc., 3.875%, 5/1/25 3.875 05/01/2025 3,750,000 3,694,290
Alternative Loan Trust 2004-J5, Floating Rate Note, 8/25/34 1.0905 08/25/2034 9,407,000 8,682,195
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 3.75 12/12/2019 590,405 591,143
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 5.7551 12/06/2016 1,650,000 1,683,371
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 0.5405 06/25/2034 24,782,615 1,722,261
Alkermes, Inc., 2019 Term Loan, 9/25/19 3.5 09/25/2019 746,164 747,408
Fannie Mae, 4.0%, 8/1/44 4.0 08/01/2044 434,083 437,952
QVC, Inc., 4.45%, 2/15/25 4.45 02/15/2025 7,300,000 7,208,264
Fannie Mae, 4.5%, 5/1/41 4.5 05/01/2041 17,795,568 4,188,400
Cme: (Cdx.Na.Ig.23.V1) Usd 20dec19 Z91mv4jb8 1.0 12/20/2019 25,000,000 365,295
Government National Mortgage Association I, 6.0%, 12/15/32 6.0 12/15/2032 1,500,000 191,794
Adobe Systems, Inc., 3.25%, 2/1/25 3.25 02/01/2025 8,100,000 7,968,929
LSTAR Securities Investment Trust 2014-2, Floating Rate Note, 11/1/19 (144A) 2.1866 11/01/2019 10,700,000 9,691,444
JobsOhio Beverage System, 4.532%, 1/1/35 4.532 01/01/2035 1,035,000 1,100,284
Wells Fargo Commercial Mortgage Trust 2014-TISH REMICS, Floating Rate Note, 2/16/27 (144A) 1.745 02/16/2027 5,300,000 5,270,681
Government National Mortgage Association I, 4.0%, 4/15/44 4.0 04/15/2044 75,647 69,951
Government National Mortgage Association I, 6.0%, 11/15/34 6.0 11/15/2034 3,188,149 197,456
Crown Castle 1st Lien Term-B2 L + 2.5% 31jan21 3.0 01/31/2021 1,492,424 1,490,186
Ball Corp., 4.0%, 11/15/23 4.0 11/15/2023 2,275,000 2,186,149
Government National Mortgage Association I, 5.5%, 2/15/18 5.5 02/15/2018 4,000,000 101,990
Fannie Mae, 5.5%, 7/1/33 5.5 07/01/2033 3,800,000 148,345
The Allstate Corp., Floating Rate Note, 1/15/53 5.1 01/15/2053 145,871 3,792,646
Nakilat, Inc., 6.267%, 12/31/33 (144A) 6.267 12/31/2033 2,450,000 2,541,202
Federal Home Loan Mortgage Corp., 6.0%, 8/1/34 6.0 08/01/2034 3,000,000 193,747
Structured Asset Securities Corp., 4.77%, 10/25/34 (Step) 4.77 10/25/2034 2,100,000 66,335
Government National Mortgage Association I, 4.0%, 2/15/42 4.0 02/15/2042 854,888 549,826
Parish of St John the Baptist Louisiana, 5.125%, 6/1/37 5.125 06/01/2037 2,560,000 2,685,035
Government National Mortgage Association I, 5.5%, 1/15/35 5.5 01/15/2035 2,222,000 188,237
Sinopec Group Overseas Development 2014, Ltd., 4.375%, 4/10/24 (144A) 4.375 04/10/2024 4,750,000 5,041,658
Australia & New Zealand Banking Group, Ltd., 4.5%, 3/19/24 (144A) 4.5 03/19/2024 5,215,000 5,376,472
Weatherford International, Ltd. Bermuda, 9.625%, 3/1/19 9.625 03/01/2019 2,815,000 3,326,196
Wells Fargo Commercial Mortgage Trust 2012-LC5 REMICS, 3.539%, 10/17/45 3.539 10/17/2045 1,927,000 2,003,676
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 0.8905 03/25/2035 5,700,000 900,650
SunGard Data Systems, Inc., Tranche C Term Loan, 2/28/17 3.9382 02/28/2017 953,650 955,581
Dollar Tree Inc 1st Lien Tl-B1 L + 2.75% 09mar22 3.5 03/09/2022 666,667 669,305
Government National Mortgage Association I, 4.0%, 9/15/41 4.0 09/15/2041 2,091,451 888,987
Government National Mortgage Association I, 4.5%, 7/15/33 4.5 07/15/2033 633,571 114,728
Reynolds American, Inc., 3.75%, 5/20/23 (144A) 3.75 05/20/2023 1,050,000 1,040,063
Government National Mortgage Association I, 6.0%, 9/15/34 6.0 09/15/2034 1,374,301 239,747
Government National Mortgage Association II, 4.5%, 12/20/34 4.5 12/20/2034 1,007,144 155,197
Government National Mortgage Association I, 5.5%, 10/15/35 5.5 10/15/2035 1,001,204 143,405
Catholic Health Initiatives, 4.35%, 11/1/42 4.35 11/01/2042 2,600,000 2,456,111
CHL Mortgage Pass-Through Trust 2003-56, Floating Rate Note, 12/25/33 2.6063 12/25/2033 10,000,000 469,078
Fannie Mae, 4.5%, 8/1/40 4.5 08/01/2040 3,540,000 970,795
Government National Mortgage Association I, 5.0%, 7/15/19 5.0 07/15/2019 26,391 1,345
Fannie Mae, 7.0%, 9/1/31 7.0 09/01/2031 2,000,000 10,594
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 1,082,000 1,115,627
Spectra Energy Capital LLC, 6.75%, 7/15/18 6.75 07/15/2018 1,500,000 1,678,625
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5, Floating Rate Note, 7/15/31 (144A) 1.538 07/15/2031 1,260,000 1,264,573
Approach Resources, Inc., 7.0%, 6/15/21 7.0 06/15/2021 1,500,000 1,284,667
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 3,750,000 499,400
Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A) 3.763 11/25/2019 1,700,000 1,678,290
Fannie Mae, 5.0%, 12/1/17 5.0 12/01/2017 499,951 10,808
Agrium, Inc., 5.25%, 1/15/45 5.25 01/15/2045 7,600,000 7,797,207
Fannie Mae, 4.5%, 11/1/40 4.5 11/01/2040 8,151,476 2,906,689
Fannie Mae, 6.0%, 4/1/35 6.0 04/01/2035 4,000,000 311,880
Fannie Mae, 4.0%, 1/1/44 4.0 01/01/2044 273,906 220,119
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 8.0051 06/06/2016 800,000 839,760
Scientific Games International Inc 1st Lien Tl-B2 L + 5% 17sep21 6.0 09/17/2021 4,328,250 4,352,055
Merna Reinsurance, Ltd., Floating Rate Note, 4/9/18 (Cat Bond) (144A) 2.0051 04/09/2018 750,000 745,033
Fannie Mae, 6.0%, 2/1/32 6.0 02/01/2032 2,379,023 34,339
Golden State RE II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A) 2.2102 01/08/2019 2,800,000 2,787,307
Fannie Mae, 4.0%, 2/1/45 4.0 02/01/2045 875,790 833,216
Fannie Mae, 4.5%, 1/1/42 4.5 01/01/2042 11,834,581 7,953,217
Government National Mortgage Association I, 7.0%, 8/15/28 7.0 08/15/2028 200,000 2,209
GRIFOLS WORLDWIDE OPERATIONS USA INC, U.S. Tranche B Term Loam, 4/1/21 3.1896 04/01/2021 385,125 386,810
FREMF Mortgage Trust 2012-K710, Floating Rate Note, 6/25/47 (144A) 3.9495 06/25/2047 2,010,000 2,094,316
Thornburg Mortgage Securities Trust 2004-3, Floating Rate Note, 9/25/34 0.9305 09/25/2034 78,599,000 5,504,795
Verisk Analytics, Inc., 5.5%, 6/15/45 5.5 06/15/2045 5,275,000 5,333,110
Fannie Mae, 4.0%, 11/1/44 4.0 11/01/2044 4,035,000 3,901,400
Alta Wind Holdings LLC, 7.0%, 6/30/35 (144A) 7.0 06/30/2035 700,000 645,016
WASH Multifamily Laundry Systems LLC, 2/21/19 4.5 02/21/2019 0 0
Eastman Chemical Co., 4.8%, 9/1/42 4.8 09/01/2042 980,000 990,059
New York City Transitional Finance Authority Future Tax Secured Revenue, 5.0%, 11/1/33 5.0 11/01/2033 2,400,000 2,772,216
Successor X, Ltd., Floating Rate Note, 11/10/15 (Cat Bond) (144A) 11.2601 11/10/2015 250,000 255,131
Cinedigm Digital Funding 1 LLC, Term Loan, 2/28/18 3.75 02/28/2018 305,884 306,267
Government National Mortgage Association I, 6.0%, 9/15/35 6.0 09/15/2035 5,000,000 1,043,506
Government National Mortgage Association I, 7.0%, 3/15/31 7.0 03/15/2031 1,750,000 20,334
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 216,972 164,497
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 4.5051 12/06/2016 2,800,000 2,825,900
Federal Home Loan Mortgage Corp., 3.0%, 8/1/29 3.0 08/01/2029 4,875,000 4,625,390
Credit Agricole SA, Floating Rate Note (Perpetual) (144A) 6.625 12/31/2049 5,075,000 5,091,459
Amherst College, 3.794%, 11/1/42 3.794 11/01/2042 525,000 511,589
Arbor Realty Collateralized Loan Obligation 2015-FL1, Ltd., Floating Rate Note, 3/15/25 (144A) 1.9355 03/15/2025 4,200,000 4,203,836
Government National Mortgage Association I, 5.5%, 2/15/18 5.5 02/15/2018 4,000,000 140,031
Selma Industrial Development Board, 5.8%, 5/1/34 5.8 05/01/2034 2,310,000 2,665,047
Fannie Mae, 7.0%, 12/1/31 7.0 12/01/2031 1,198,074 28,139
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 1.938 06/15/2034 4,150,000 4,148,395
Government National Mortgage Association I, 4.0%, 1/15/41 4.0 01/15/2041 281,135 148,755
The University of Texas System, 5.0%, 8/15/43 5.0 08/15/2043 525,000 606,126
Federal Home Loan Mortgage Corp., 4.0%, 2/1/44 4.0 02/01/2044 700,000 639,611
Government National Mortgage Association II, 7.0%, 12/20/30 7.0 12/20/2030 400,864 3,110
Discovery Communications LLC, 3.45%, 3/15/25 3.45 03/15/2025 1,850,000 1,766,943
HOA Funding LLC, 4.846%, 8/22/44 (144A) 4.846 08/22/2044 3,050,000 2,992,925
Progress Residential 2014-SFR1 Trust, Floating Rate Note, 10/17/31 (144A) 2.438 10/17/2031 180,000 180,614
Fannie Mae, 5.0%, 2/1/45 5.0 02/01/2045 24,000,000 23,962,600
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 3.513 05/05/2017 1,200,000 1,180,577
GS Mortgage Securities Corp Trust 2012-SHOP, 2.933%, 6/6/31 (144A) 2.933 06/06/2031 2,800,000 2,891,544
Federal Home Loan Mortgage Corp., 6.0%, 3/1/33 6.0 03/01/2033 5,524,534 259,418
Government National Mortgage Association I, 4.0%, 2/15/42 4.0 02/15/2042 128,311 65,093
CSMC Trust 2013-IVR4, Floating Rate Note, 7/27/43 (144A) 3.0 07/27/2043 3,790,000 3,110,606
Fannie Mae, 5.0%, 6/1/40 5.0 06/01/2040 3,850,000 1,219,426
Federal Home Loan Mortgage Corp., 4.0%, 1/1/44 4.0 01/01/2044 4,260,000 3,295,891
Fannie Mae, 4.5%, 7/1/41 4.5 07/01/2041 750,000 371,434
Fannie Mae, 4.5%, 11/1/43 4.5 11/01/2043 800,000 793,758
Fannie Mae, 2.5%, 7/1/30 2.5 07/01/2030 1,905,000 1,920,450
FCA US LLC, Term Loan B, 5/24/17 3.5 05/24/2017 3,758,400 3,762,158
Domino's Pizza Master Issuer LLC, 5.216%, 1/27/42 (144A) 5.216 01/27/2042 4,051,000 4,049,565
UBS Commercial Mortgage Trust 2012-C1, 3.4%, 5/12/45 3.4 05/12/2045 5,100,000 5,320,230
Verizon Communications, Inc., 5.15%, 9/15/23 5.15 09/15/2023 5,100,000 5,712,380
Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 6.0 12/01/2033 3,297,768 138,353
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.5153 04/30/2018 350,000 339,246
Icon Brand Holdings LLC, 4.352%, 1/25/43 (144A) 4.352 01/25/2043 395,000 339,171
JP Morgan Chase Commercial Mortgage Securities Trust 2014-CBM, Floating Rate Note, 10/15/29 (144A) 2.138 10/15/2029 4,600,000 4,584,742
RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35 5.25 07/25/2035 1,745,152 763,575
Iberdrola International BV, 6.75%, 7/15/36 6.75 07/15/2036 4,475,000 5,587,915
Tufts University, 5.017%, 4/15/12 5.017   3,550,000 3,743,994
BCC Funding X LLC, 3.622%, 11/20/20 (144A) 3.622 11/20/2020 1,650,000 1,662,452
CDGJ Commercial Mortgage Trust 2014-BXCH, Floating Rate Note, 12/15/27 (144A) 2.6873 12/15/2027 3,990,000 4,005,733
NextGear Floorplan Master Owner Trust, 1.92%, 10/15/19 (144A) 1.92 10/15/2019 1,050,000 1,051,136
NYU Hospitals Center, 4.428%, 7/1/42 4.428 07/01/2042 2,400,000 2,349,055
Fannie Mae, 4.0%, 9/1/44 4.0 09/01/2044 983,213 872,046
JP Morgan Mortgage Trust 2013-1, Floating Rate Note, 3/25/43 (144A) 3.0 03/25/2043 9,989,000 5,878,350
Fannie Mae, 3.5%, 6/1/28 3.5 06/01/2028 5,531,277 4,353,006
Government National Mortgage Association I, 6.5%, 12/15/32 6.5 12/15/2032 25,822,328 554,815
Fannie Mae, 4.0%, 2/1/42 4.0 02/01/2042 24,300,000 11,026,873
Government National Mortgage Association I, 5.5%, 7/15/33 5.5 07/15/2033 1,500,000 123,194
Government National Mortgage Association I, 5.5%, 7/15/35 5.5 07/15/2035 5,500,000 785,485
Government National Mortgage Association I, 6.0%, 6/15/17 6.0 06/15/2017 519,853 4,658
Government National Mortgage Association I, 5.0%, 10/15/18 5.0 10/15/2018 3,153,375 119,835
Penske Truck Leasing Co Lp, 3.375%, 2/1/22 (144A) 3.375 02/01/2022 8,850,000 8,789,247
Chemtura Corp., New Term Loan, 8/29/16 3.5 08/29/2016 154,286 154,479
Valmont Industries, Inc., 6.625%, 4/20/20 6.625 04/20/2020 604,000 704,175
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 0.6905 06/25/2035 4,920,000 1,385,636
BAMLL Commercial Mortgage Securities Trust 2014-INLD, Floating Rate Note, 12/17/29