Pioneer Investments: Pioneer Bond Fund


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Pioneer Bond Fund

Monthly Portfolio Holdings as of 2/27/2015

Security Name Coupon Maturity Date Par / Shares Market Value($)
JP Morgan Mortgage Trust 2014-2, Floating Rate Note, 6/25/29 (144A) 3.0 06/25/2029 10,055,000 9,351,558
Fannie Mae, 4.5%, 11/1/43 4.5 11/01/2043 800,000 801,661
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2.58 09/15/2021 2,800,000 2,686,094
Federal Home Loan Mortgage Corp., 5.0%, 10/1/38 5.0 10/01/2038 6,600,000 603,661
Entegris, Inc., 6.0%, 4/1/22 (144A) 6.0 04/01/2022 2,500,000 2,661,250
Government National Mortgage Association I, 6.5%, 10/15/31 6.5 10/15/2031 9,167,721 151,365
FREMF Mortgage Trust 2011-K703, Floating Rate Note, 7/25/44 (144A) 4.8839 07/25/2044 1,250,000 1,355,566
STORE Master Funding LLC, 5.77%, 8/20/42 (144A) 5.77 08/20/2042 2,095,000 2,191,665
Enterp 4.5% 15feb45 144a 4.5 02/15/2045 4,600,000 4,663,600
Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34 0.911 11/25/2034 44,417,000 2,789,584
Federal Home Loan Mortgage Corp., 4.0%, 7/1/42 4.0 07/01/2042 255,000 216,017
Catalent 1st Lien Tl-B L + 3.5% 08may21 4.25 05/08/2021 1,645,388 1,651,853
Government National Mortgage Association I, 5.5%, 4/15/19 5.5 04/15/2019 25,000 2,202
TTX Co., 3.6%, 1/15/25 (144A) 3.6 01/15/2025 6,650,000 6,886,036
A10 Term Asset Financing 2013-2 LLC, 2.62%, 11/15/27 (144A) 2.62 11/15/2027 2,794,000 2,637,418
Government National Mortgage Association I, 5.5%, 2/15/37 5.5 02/15/2037 575,000 77,076
Federal Home Loan Mortgage Corp., 6.0%, 2/1/33 6.0 02/01/2033 550,000 7,952
Penske Truck Leasing Co Lp, 3.375%, 2/1/22 (144A) 3.375 02/01/2022 8,850,000 8,841,117
Ormat Funding Corp., 8.25%, 12/30/20 8.25 12/30/2020 555,000 269,660
The Hanover Insurance Group, Inc., 7.625%, 10/15/25 7.625 10/15/2025 1,952,000 2,501,762
Fannie Mae, 3.0%, 7/1/43 3.0 07/01/2043 1,019,821 942,489
Kinder Morgan Energy Partners LP, 4.25%, 9/1/24 4.25 09/01/2024 4,675,000 4,973,846
Government National Mortgage Association I, 4.0%, 10/15/41 4.0 10/15/2041 40,767 8,988
Freeport-McMoRan, Inc., 3.875%, 3/15/23 3.875 03/15/2023 1,850,000 1,729,264
Fannie Mae, 6.5%, 10/1/32 6.5 10/01/2032 2,811,012 87,515
President and Fellows of Harvard College, 2.3%, 10/1/23 2.3 10/01/2023 2,600,000 2,569,499
First Horizon Mortgage Pass-Through Trust 2005-AR1, Floating Rate Note, 4/25/35 2.5726 04/25/2035 1,405 1,412
DAE Aviation Holdings, Inc., Replacement Tranche B-1 Loan, 11/2/18 5.0 11/02/2018 1,318,634 1,330,172
Fannie Mae, 5.0%, 1/1/20 5.0 01/01/2020 4,159,304 317,489
Government National Mortgage Association I, 6.5%, 1/15/35 6.5 01/15/2035 62,679 898
Government National Mortgage Association I, 5.5%, 11/15/18 5.5 11/15/2018 1,443,964 56,113
Progress Residential 2014-SFR1 Trust, Floating Rate Note, 10/17/31 (144A) 2.422 10/17/2031 180,000 180,368
Ball Corp., 4.0%, 11/15/23 4.0 11/15/2023 2,275,000 2,261,224
Government National Mortgage Association I, 4.0%, 8/15/40 4.0 08/15/2040 38,807 18,025
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1.821 03/25/2035 430,000 422,640
Microsemi Corp., Term Loan (2014), 3/14/21 3.25 03/14/2021 395,014 394,109
Government National Mortgage Association I, 4.5%, 7/15/41 4.5 07/15/2041 1,442,000 784,599
Federal Home Loan Mortgage Corp., 7.0%, 8/1/22 7.0 08/01/2022 687,553 94,088
Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40 5.361 02/15/2040 3,500,000 2,502,591
Fannie Mae, 3.5%, 4/10/14 3.5 04/14/2015 33,008,000 34,498,518
FCA US LLC, Term Loan B, 5/24/17 3.5 05/24/2017 3,777,975 3,776,796
Frontier Communications Corp., 7.125%, 1/15/23 7.125 01/15/2023 4,300,000 4,524,720
Hyundai Motor Manufacturing Czech sro, 4.5%, 4/15/15 (144A) 4.5 04/15/2015 655,000 668,566
Federal Home Loan Mortgage Corp., 4.0%, 5/1/44 4.0 05/01/2044 9,000,000 8,440,814
Corporate Office Properties LP, 3.6%, 5/15/23 3.6 05/15/2023 1,085,000 1,065,575
JG Wentworth XXII LLC, 3.82%, 12/15/48 (144A) 3.82 12/15/2048 1,100,000 728,298
Applebee's Funding LLC/ IHOP Funding LLC, 4.277%, 9/5/44 (144A) 4.277 09/05/2044 2,600,000 2,699,089
Government National Mortgage Association I, 6.0%, 11/15/34 6.0 11/15/2034 3,188,149 200,858
Weatherford International, Ltd. Bermuda, 5.95%, 4/15/42 5.95 04/15/2042 675,000 602,876
Federal Home Loan Mortgage Corp., 6.0%, 2/1/33 6.0 02/01/2033 4,851,146 99,984
Fannie Mae, 4.5%, 1/1/44 4.5 01/01/2044 15,989,536 14,612,218
Fannie Mae, 5.0%, 2/1/22 5.0 02/01/2022 450,000 24,078
Federal Home Loan Mortgage Corp., 6.0%, 11/1/33 6.0 11/01/2033 1,151,218 30,525
Cinedigm Digital Funding I LLC, Term Loan, 2/28/18 3.75 02/28/2018 388,048 388,533
Government National Mortgage Association I, 6.5%, 1/15/32 6.5 01/15/2032 7,587,058 125,256
JP Morgan Chase Commercial Mortgage Securities Trust 2014-CBM, Floating Rate Note, 10/15/29 (144A) 2.122 10/15/2029 4,600,000 4,603,524
Kane Ilw Zero% 02feb16 0.0 02/02/2016 1,000,000 927,400
Becton Dickinson and Co., 3.734%, 12/15/24 3.734 12/15/2024 10,525,000 11,114,608
Government National Mortgage Association I, 5.5%, 10/15/17 5.5 10/15/2017 5,636,984 166,622
Asciano Finance, Ltd., 4.625%, 9/23/20 (144A) 4.625 09/23/2020 529,000 576,355
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.121 10/25/2037 1,079,000 250,581
Fannie Mae, 4.0%, 6/1/42 4.0 06/01/2042 3,678,905 1,264,860
Acgl Zero% 01jul16 0.0 07/01/2016 1,000,000 1,007,000
Fannie Mae, 5.0%, 6/1/40 5.0 06/01/2040 3,004,062 1,324,291
Affiliated Managers Group, Inc., 4.25%, 2/15/24 4.25 02/15/2024 2,525,000 2,671,023
Virginia Commonwealth Transportation Board, 4.0%, 5/15/32 4.0 05/15/2032 2,210,000 2,378,213
Fannie Mae, 7.0%, 12/1/30 7.0 12/01/2030 525,099 10,084
Port Freeport Texas, 5.95%, 5/15/33 5.95 05/15/2033 3,965,000 4,496,919
General Electric Capital Corp., 5.3%, 2/11/21 5.3 02/11/2021 4,860,000 5,614,203
Federal National Mortgage Association REMICS, 4.5%, 6/25/29 4.5 06/25/2029 1,000,000 778,395
Crown Castle Towers LLC, 6.113%, 1/15/20 (144A) 6.113 01/15/2020 1,625,000 1,871,884
Fannie Mae, 4.5%, 8/1/40 4.5 08/01/2040 5,950,444 1,578,575
Government National Mortgage Association, 4.973%, 4/16/42 4.973 04/16/2042 375,000 57,252
ConocoPhillips Co., 3.35%, 11/15/24 3.35 11/15/2024 5,350,000 5,577,300
Federal Home Loan Mortgage Corp., 4.5%, 3/1/42 4.5 03/01/2042 22,167,426 9,275,432
Fannie Mae, 4.5%, 2/1/41 4.5 02/01/2041 2,435,128 1,290,109
Fannie Mae, 3.5%, 9/1/44 3.5 09/01/2044 5,275,000 5,456,855
HOA Funding LLC, 4.846%, 8/22/44 (144A) 4.846 08/22/2044 3,050,000 3,011,598
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 3.0 01/23/2021 666,807 667,779
Government National Mortgage Association I, 7.0%, 12/15/30 7.0 12/15/2030 599,940 13,247
JP Morgan Mortgage Trust 2014-IVR3, Floating Rate Note, 9/26/44 (144A) 3.2168 09/26/2044 2,235,000 2,005,985
Avg Technologies Nv 1st Lien Tl-B L + 4.75% 07oct20 5.75 10/07/2020 610,000 606,569
Government National Mortgage Association I, 6.0%, 3/15/32 6.0 03/15/2032 80,300 3,095
Holcim US Finance Sarl & Cie SCS, 6.0%, 12/30/19 (144A) 6.0 12/30/2019 475,000 550,239
NRP Mortgage Trust 2013-1, Floating Rate Note, 7/25/43 (144A) 3.25 07/25/2043 5,825,000 5,379,569
Government National Mortgage Association I, 4.5%, 4/15/35 4.5 04/15/2035 200,000 24,727
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 2.4 11/17/2025 1,750,000 503,404
FREMF Mortgage Trust 2011-K10 , Floating Rate Note, 11/25/49 (144A) 4.6167 11/25/2049 1,500,000 1,627,630
Affinion Group, Inc., Tranche B Term Loan, 4/30/18 6.75 04/30/2018 1,064,931 1,017,675
Federal Home Loan Mortgage Corp., 6.5%, 11/1/33 6.5 11/01/2033 1,109,301 170,717
Government National Mortgage Association I, 7.0%, 6/15/31 7.0 06/15/2031 3,678,509 7,141
Enel Finance International NV, 5.125%, 10/7/19 (144A) 5.125 10/07/2019 3,365,000 3,808,665
Structured Asset Securities Corp., 4.77%, 10/25/34 (Step) 4.77 10/25/2034 2,100,000 138,041
GSR Mortgage Loan Trust 2004-7, Floating Rate Note, 6/25/34 2.6952 06/25/2034 14,810,263 1,774,705
Amphenol Corp., 3.125%, 9/15/21 3.125 09/15/2021 3,675,000 3,788,299
Ras Laffan Liquefied Natural Gas Co, Ltd. III, 5.832%, 9/30/16 (144A) 5.832 09/30/2016 1,605,000 645,823
Federal Home Loan Mortgage Corp., 6.0%, 6/1/35 6.0 06/01/2035 3,600,000 145,610
Empresa Electrica Angamos SA, 4.875%, 5/25/29 (144A) 4.875 05/25/2029 2,825,000 2,852,102
Government National Mortgage Association I, 5.0%, 4/15/35 5.0 04/15/2035 2,500,000 643,844
Government National Mortgage Association I, 6.5%, 3/15/29 6.5 03/15/2029 5,001,628 98,329
Westgate Resorts 2014-1 LLC, 2.15%, 12/20/26 (144A) 2.15 12/20/2026 3,500,000 2,983,443
Allison Transmission, Inc., Term B-3 Loan, 8/23/19 3.5 08/23/2019 1,137,175 1,140,374
Fannie Mae, 3.5%, 2/1/44 3.5 02/01/2044 18,215,601 17,850,661
PPL Capital Funding, Inc., 5.9%, 4/30/73 5.9 04/30/2073 164,000 4,159,040
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 0.7935 09/20/2033 37,500,000 1,659,096
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 3.75 06/30/2019 553,598 514,155
Tufts University, 5.017%, 4/15/12 5.017   3,550,000 4,059,049
Acer 3.24% 10jan22 15-1a-D 3.24 01/10/2022 2,200,000 2,199,851
Viterra, Inc., 5.95%, 8/1/20 (144A) 5.95 08/01/2020 5,175,000 5,831,327
Fannie Mae, 4.5%, 4/1/41 4.5 04/01/2041 6,978,836 3,400,824
Citicorp Residential Mortgage Trust Series 2006-2, 5.775%, 9/25/36 (Step) 5.775 09/25/2036 600,000 296,545
Resolute Forest Products, Inc., 5.875%, 5/15/23 5.875 05/15/2023 3,930,000 3,858,509
EP Energy LLC, 9.375%, 5/1/20 9.375 05/01/2020 1,800,000 1,976,344
Government National Mortgage Association I, 6.5%, 5/15/31 6.5 05/15/2031 1,798,476 28,351
Duke Realty LP, 3.75%, 12/1/24 3.75 12/01/2024 5,300,000 5,485,033
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A) 2.1 05/19/2031 1,800,000 1,770,168
Government National Mortgage Association I, 5.5%, 10/15/35 5.5 10/15/2035 1,001,204 152,947
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 0.343 04/16/2035 5,102,315 2,033,798
Expedia, Inc., 4.5%, 8/15/24 4.5 08/15/2024 5,900,000 5,960,705
Chemtura Corp., New Term Loan, 8/29/16 3.5 08/29/2016 316,286 316,615
Wells Fargo Commercial Mortgage Trust 2014-TISH, Floating Rate Note, 2/16/27 (144A) 1.203 02/16/2027 1,800,000 1,794,381
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 8.5355 05/09/2016 300,000 317,297
FREMF Mortgage Trust 2010-K9 REMICS, Floating Rate Note, 9/25/45 (144A) 5.1935 09/25/2045 890,000 1,000,262
Fannie Mae, 4.0%, 8/1/44 4.0 08/01/2044 20,000,000 20,595,505
Fannie Mae, 6.0%, 10/1/35 6.0 10/01/2035 7,125,770 199,670
Government National Mortgage Association I, 6.5%, 6/15/35 6.5 06/15/2035 190,431 7,884
NextGear Floorplan Master Owner Trust, 1.92%, 10/15/19 (144A) 1.92 10/15/2019 1,050,000 1,051,829
Nationstar Mortgage LLC, 6.5%, 6/1/22 6.5 06/01/2022 5,480,000 5,292,082
JP Morgan Mortgage Trust 2014-1 REMICS, Floating Rate Note, 1/25/44 (144A) 3.5 01/25/2044 1,000,000 957,434
General Motors Financial Co, Inc., 4.0%, 1/15/25 4.0 01/15/2025 6,525,000 6,719,863
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 0.669 06/28/2044 400,000 377,653
Government National Mortgage Association I, 5.5%, 9/15/19 5.5 09/15/2019 3,000,000 188,533
Freeport-McMoRan, Inc., 4.55%, 11/14/24 4.55 11/14/2024 1,650,000 1,579,689
Fannie Mae, 4.0%, 2/1/43 4.0 02/01/2043 2,065,000 1,548,670
FREMF Mortgage Trust 2012-K501, Floating Rate Note, 11/26/46 (144A) 3.4426 11/26/2046 650,000 670,658
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 0.421 02/25/2037 10,766,469 929,560
Fannie Mae, 3.5%, 6/1/28 3.5 06/01/2028 5,531,277 4,700,349
Methanex Corp., 4.25%, 12/1/24 4.25 12/01/2024 2,625,000 2,676,310
Fannie Mae, 4.0%, 4/1/41 4.0 04/01/2041 1,850,000 1,331,073
Fannie Mae, 4.0%, 7/1/44 4.0 07/01/2044 800,000 824,646
First Tennessee Bank NA, 2.95%, 12/1/19 2.95 12/01/2019 5,425,000 5,512,861
RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35 5.25 07/25/2035 1,745,152 894,180
Fannie Mae, 6.0%, 3/1/33 6.0 03/01/2033 3,500,000 139,691
Government National Mortgage Association I, 4.0%, 11/15/41 4.0 11/15/2041 25,000 8,374
Government National Mortgage Association I, 6.0%, 2/15/29 6.0 02/15/2029 2,700,000 157,963
U.S. Treasury Bonds, 4.375%, 5/15/41 4.375 05/15/2041 9,400,000 12,834,252
Monsanto Co., 3.375%, 7/15/24 3.375 07/15/2024 2,675,000 2,799,621
Government National Mortgage Association I, 4.0%, 10/15/41 4.0 10/15/2041 63,254 14,066
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 9.2652 06/06/2017 250,000 269,842
Springleaf Mortgage Loan Trust 2013-1, Floating Rate Note, 6/25/58 (144A) 3.79 06/25/2058 750,000 757,623
Government National Mortgage Association I, 5.5%, 11/15/34 5.5 11/15/2034 4,800,000 739,669
Bayview Commercial Asset Trust 2005-3, Floating Rate Note, 11/25/35 (144A) 0.491 11/25/2035 10,500,000 2,365,769
WF-RBS Commercial Mortgage Trust 2011-C2, Floating Rate Note, 2/15/44 (144A) 5.392 02/15/2044 350,000 389,579
Fannie Mae, 4.0%, 12/1/40 4.0 12/01/2040 1,900,000 1,309,749
Boardwalk Pipelines LP, 4.95%, 12/15/24 4.95 12/15/2024 2,750,000 2,837,654
Verizon Communications, Inc., 6.55%, 9/15/43 6.55 09/15/2043 1,934,000 2,599,106
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 0.971 10/25/2034 9,584,000 485,368
Capital One Financial Corp., 3.75%, 4/24/24 3.75 04/24/2024 6,650,000 6,978,062
Government National Mortgage Association I, 6.5%, 9/15/34 6.5 09/15/2034 121,399 4,879
U.S. Treasury Bonds, 4.375%, 11/15/39 4.375 11/15/2039 6,865,000 9,267,447
WaMu Mortgage Pass-Through Certificates Series 2003-AR6 Trust, Floating Rate Note, 6/25/33 2.4375 06/25/2033 47,783,250 2,165,192
American Homes 4 Rent 2014-SFR3 Trust, 4.596%, 12/18/36 (144A) 4.596 12/18/2036 2,800,000 2,940,400
Fannie Mae, 4.0%, 7/1/44 4.0 07/01/2044 11,110,000 11,244,278
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 2.25 06/25/2043 928,000 773,747
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 2.421 03/25/2032 2,200,000 685,781
La Hipotecaria Panamanian Mortgage Trust 2014-1, Floating Rate Note, 11/24/42 (144A) 3.258 11/24/2042 4,250,000 4,230,668
FREMF Mortgage Trust 2012-K710, Floating Rate Note, 6/25/47 (144A) 3.8187 06/25/2047 2,010,000 2,104,120
California Educational Facilities Authority, 5.0%, 6/1/43 5.0 06/01/2043 1,980,000 2,713,220
Fifth Third Bancorp, Floating Rate Note (Perpetual) 6.625 12/31/2049 17,380 481,947
Fannie Mae, 5.0%, 7/1/40 5.0 07/01/2040 5,000,000 1,719,280
SunTrust Banks, Inc., 3.5%, 1/20/17 3.5 01/20/2017 1,025,000 1,071,866
Omega Healthcare Investors, Inc., 4.95%, 4/1/24 4.95 04/01/2024 3,945,000 4,221,988
Government National Mortgage Association I, 4.0%, 3/15/44 4.0 03/15/2044 454,143 396,078
Agrium, Inc., 5.25%, 1/15/45 5.25 01/15/2045 7,600,000 8,793,849
Government National Mortgage Association I, 6.0%, 5/15/33 6.0 05/15/2033 4,328,221 222,850
Hercules Capital Funding Trust 2012-1, 3.32%, 12/16/17 (144A) 3.32 12/16/2017 650,000 76,230
International Paper Co., 6.0%, 11/15/41 6.0 11/15/2041 2,400,000 2,874,597
Fannie Mae, 5.5%, 7/1/34 5.5 07/01/2034 13,142,000 1,182,375
BBVA Bancomer SA Texas, 6.5%, 3/10/21 (144A) 6.5 03/10/2021 3,815,000 4,390,429
Government National Mortgage Association I, 4.0%, 10/15/41 4.0 10/15/2041 52,992 11,102
Walgreens Boots Alliance, Inc., 3.8%, 11/18/24 3.8 11/18/2024 7,475,000 7,860,423
Sequoia Mortgage Trust 2013-7, Floating Rate Note, 6/25/43 2.5 06/25/2043 14,077,000 12,201,511
Legg Mason, Inc., 3.95%, 7/15/24 3.95 07/15/2024 2,400,000 2,515,035
Capital Auto Receivables Asset Trust 2013-1, 1.74%, 10/22/18 1.74 10/22/2018 2,900,000 2,910,387
Government National Mortgage Association I, 6.5%, 8/15/31 6.5 08/15/2031 913,650 84,833
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 6.5 08/15/2030 2,800,000 253,408
Usrof 3.7213% 29jan35 15-1a 3.7213 01/29/2035 4,000,000 4,006,728
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 7.5051 04/09/2015 500,000 508,783
Fannie Mae, 6.0%, 3/1/33 6.0 03/01/2033 230,257 17,652
Queen Street V Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 8.5051 04/09/2015 250,000 255,114
Prudential Financial, Inc., Floating Rate Note, 6/15/43 5.625 06/15/2043 1,500,000 1,603,359
The George Washington University, 1.827%, 9/15/17 1.827 09/15/2017 1,900,000 1,933,765
Government National Mortgage Association I, 7.0%, 12/15/30 7.0 12/15/2030 500,000 5,117
Countrywide Asset-Backed Certificates, Floating Rate Note, 12/25/35 4.9845 12/25/2035 10,124,000 2,010,917
CNH Equipment Trust 2013-A, 0.69%, 6/15/18 0.69 06/15/2018 1,200,000 735,823
Tronox Pigments BV, New Term Loan, 3/19/20 4.0 03/19/2020 768,766 769,343
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 5.2652 03/07/2016 1,250,000 1,275,380
Government National Mortgage Association I, 3.5%, 7/15/42 3.5 07/15/2042 19,357,527 14,163,344
Fannie Mae, 3.0%, 9/1/28 3.0 09/01/2028 7,125,717 6,505,605
Fannie Mae, 5.0%, 4/1/39 5.0 04/01/2039 2,924,816 334,726
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1.7652 01/07/2019 500,000 502,460
Government National Mortgage Association II, 4.5%, 1/20/35 4.5 01/20/2035 2,500,000 445,099
BM&FBovespa SA, 5.5%, 7/16/20 (144A) 5.5 07/16/2020 3,200,000 3,476,533
CoBank ACB, Floating Rate Note (Perpetual) (144A) 6.25 12/31/2049 28,000 2,886,626
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 1.671 06/25/2028 3,300,000 770,601
Government National Mortgage Association I, 6.5%, 6/15/34 6.5 06/15/2034 1,330,499 199,751
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 3,475,000 189,214
Government National Mortgage Association I, 5.5%, 2/15/18 5.5 02/15/2018 4,000,000 167,650
Davita Healthcare Partners Inc 1st Lien Tl-B L + 2.75% 19jun21 3.5 06/19/2021 252,410 253,334
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 0.612 10/25/2030 5,000,000 413,548
CBS Corp., 4.6%, 1/15/45 4.6 01/15/2045 2,250,000 2,289,231
Government National Mortgage Association I, 6.0%, 9/15/32 6.0 09/15/2032 1,406,079 113,672
TD Ameritrade Holding Corp., 3.625%, 4/1/25 3.625 04/01/2025 6,025,000 6,343,448
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 2.35 10/25/2035 1,049,340 250,727
CSMC Trust 2013-IVR4, Floating Rate Note, 7/27/43 (144A) 3.0 07/27/2043 3,790,000 3,376,915
Fannie Mae, 8.0%, 7/1/30 8.0 07/01/2030 100,000 587
Government National Mortgage Association I, 6.0%, 10/15/36 6.0 10/15/2036 3,000,000 177,100
Fannie Mae, 4.0%, 7/1/42 4.0 07/01/2042 8,163,233 6,451,376
Burger King Corp 1st Lien Tl-B L + 3.5% 25sep21 4.5 09/25/2021 480,000 482,733
Residential Asset Securitization Trust 2004-A8, 5.25%, 11/25/34 5.25 11/25/2034 15,300,000 375,218
Sinopec Group Overseas Development 2014, Ltd., 4.375%, 4/10/24 (144A) 4.375 04/10/2024 4,750,000 5,232,699
Nordea Bank AB, Floating Rate Note (Perpetual) (144A) 6.125 12/31/2049 5,600,000 5,915,681
Fannie Mae, 7.0%, 12/1/30 7.0 12/01/2030 499,950 854
Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 6.03 06/12/2015 3,750,000 3,837,750
Bank of America Corp., 4.2%, 8/26/24 4.2 08/26/2024 1,150,000 1,191,061
Government National Mortgage Association I, 6.0%, 4/15/33 6.0 04/15/2033 2,000,000 54,038
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 2.3788 08/25/2033 18,254,000 1,132,183
Fannie Mae, 3.5%, 12/1/42 3.5 12/01/2042 1,015,373 827,370
Government National Mortgage Association I, 7.0%, 8/15/28 7.0 08/15/2028 200,000 2,300
Banc of America Alternative Loan Trust 2003-2, 5.75%, 4/25/33 5.75 04/25/2033 6,525,000 671,421
WaMu Mortgage Pass-Through Certificates Series 2004-AR14 Trust, Floating Rate Note, 1/25/35 2.3934 01/25/2035 15,238,744 3,074,703
Beacon Container Finance LLC, 3.72%, 9/20/27 (144A) 3.72 09/20/2027 500,000 385,946
Crown Americas Llc 1st Lien Tl-B L + 3.25% 20oct21 4.0 10/20/2021 1,850,000 1,870,668
Remy International, Inc., Term B Loan 2013, 3/5/20 4.25 03/05/2020 1,723,791 1,725,946
Government National Mortgage Association II, 7.0%, 1/20/29 7.0 01/20/2029 8,400,000 118,265
Federal Home Loan Mortgage Corp., 5.5%, 11/1/35 5.5 11/01/2035 1,000,000 59,857
JP Morgan Chase Commercial Mortgage Securities Corp., 2.84%, 12/17/47 2.84 12/17/2047 3,910,234 3,980,708
Federal Home Loan Mortgage Corp., 6.0%, 6/1/35 6.0 06/01/2035 3,778,102 148,182
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 2.7652 01/09/2017 500,000 511,227
Tasc Inc/Va 1st Lien Tl-B L + 5.5% 12may20 6.5 05/12/2020 644,532 652,051
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4 REMICS, Floating Rate Note, 12/16/30 ( 2.373 12/16/2030 2,200,000 2,203,876
BioMed Realty LP, 4.25%, 7/15/22 4.25 07/15/2022 900,000 951,617
Government National Mortgage Association I, 4.0%, 2/15/42 4.0 02/15/2042 854,888 559,301
Government National Mortgage Association I, 6.0%, 9/15/35 6.0 09/15/2035 5,000,000 1,090,799
Kane Zero% 29apr16 0.0 04/29/2016 3,700,000 3,789,170
Residential Asset Securitization Trust 2004-A10, 5.5%, 2/25/35 5.5 02/25/2035 9,400,000 216,373
Government National Mortgage Association I, 6.0%, 9/15/19 6.0 09/15/2019 1,829,714 115,251
Fannie Mae, 5.0%, 2/1/22 5.0 02/01/2022 7,621,650 402,698
Sequoia Mortgage Trust 2013-7, Floating Rate Note, 6/25/43 3.0 06/25/2043 1,841,592 1,640,217
JPMorgan Chase & Co., Floating Rate Note (Perpetual) 5.15 12/31/2049 1,525,000 1,518,195
Government National Mortgage Association I, 4.5%, 9/15/33 4.5 09/15/2033 2,256,215 328,986
LB-UBS Commercial Mortgage Trust 2005-C2 REMICS, Floating Rate Note, 4/15/30 5.205 04/15/2030 2,255,000 727,423
OneBeacon US Holdings, Inc., 4.6%, 11/9/22 4.6 11/09/2022 1,000,000 1,063,223
Government National Mortgage Association, Floating Rate Note, 2/16/53 0.9696 02/16/2053 12,000,000 796,714
Fannie Mae, 4.0%, 11/1/44 4.0 11/01/2044 225,000 240,429
Fannie Mae, 3.0%, 9/1/43 3.0 09/01/2043 6,720,470 6,421,957
Sequoia Mortgage Trust 2004-12 REMICS, Floating Rate Note, 1/20/35 0.6336 01/20/2035 15,500,000 1,059,603
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA Netherlands, 3.95%, 11/9/22 3.95 11/09/2022 6,425,000 6,748,972
Fannie Mae, 6.5%, 9/1/31 6.5 09/01/2031 2,000,200 12,430
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 5.7652 12/06/2016 1,650,000 1,727,875
Port Authority of New York & New Jersey, 4.458%, 10/1/62 4.458 10/01/2062 600,000 665,822
Blackstone Holdings Finance Co LLC, 4.75%, 2/15/23 (144A) 4.75 02/15/2023 4,950,000 5,446,868
Massachusetts Institute of Technology, 5.6%, 7/1/11 5.6   1,100,000 1,520,760
The Bank of New York Mellon Corp., Floating Rate Note (Perpetual) 4.5 12/31/2049 1,250,000 1,188,750
Altice Financing SA, 7.875%, 12/15/19 (144A) 7.875 12/15/2019 1,675,000 1,806,435
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A) 9.0375 03/16/2016 250,000 267,175
Public Service Co of New Mexico, 7.95%, 5/15/18 7.95 05/15/2018 2,690,000 3,219,174
United States Treasury Floating Rate Note, Floating Rate Note, 1/31/16 0.065 01/31/2016 11,325,000 11,325,312
Government National Mortgage Association I, 4.0%, 11/15/44 4.0 11/15/2044 1,537,490 1,645,834
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 15,000,000 14,940,344
Federal National Mortgage Association REMICS, 10.3%, 4/25/19 10.3 04/25/2019 1,000,000 3,837
CWABS Asset-Backed Certificates Trust 2004-7, Floating Rate Note, 12/25/34 1.221 12/25/2034 1,400,000 713,494
Mid-State Capital Trust 2010-1, 5.25%, 12/15/45 (144A) 5.25 12/15/2045 950,000 719,161
Fannie Mae, 5.5%, 2/1/18 5.5 02/01/2018 2,100,000 96,076
Government National Mortgage Association I, 6.0%, 4/15/33 6.0 04/15/2033 3,907,830 86,416
Federal Home Loan Mortgage Corp., 6.0%, 3/1/33 6.0 03/01/2033 2,255,430 45,224
Merrill Lynch Mortgage Trust 2005-LC1, Floating Rate Note, 1/12/44 5.291 01/12/2044 4,000,000 3,596,153
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 0.421 09/25/2030 2,760,310 454,428
California Statewide Communities Development Authority, 6.0%, 8/15/42 6.0 08/15/2042 2,925,000 3,525,522
Delta Air Lines, Inc., Term Loan, 4/20/17 3.25 04/20/2017 1,650,000 1,652,186
Government National Mortgage Association II, 5.5%, 4/20/34 5.5 04/20/2034 2,500,000 310,564
Federal Home Loan Mortgage Corp., 5.5%, 11/1/34 5.5 11/01/2034 1,900,000 202,001
Alternative Loan Trust 2004-J5, Floating Rate Note, 8/25/34 1.071 08/25/2034 9,407,000 8,664,482
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 5.0 07/25/2018 7,610,000 418,404
VOLT XXXI LLC, 3.375%, 2/25/55 (Step) (144A) 3.5 02/25/2055 1,850,000 1,848,879
Government National Mortgage Association I, 4.5%, 8/15/41 4.5 08/15/2041 5,900,000 2,522,862
Banc of America Alternative Loan Trust 2004-6, 5.0%, 7/25/19 5.0 07/25/2019 10,861,500 1,404,226
CHL Mortgage Pass-Through Trust 2003-56, Floating Rate Note, 12/25/33 2.589 12/25/2033 10,000,000 523,474
Consolidated Edison Co of New York, Inc., 4.625%, 12/1/54 4.625 12/01/2054 5,475,000 6,233,093
GTP Cellular Sites LLC, 3.721%, 3/15/17 (144A) 3.721 03/15/2017 800,000 802,048
Steel Dynamics, Inc., 5.125%, 10/1/21 (144A) 5.125 10/01/2021 1,385,000 1,452,947
Structured Asset Securities Corp Mortgage Loan Trust 2006-GEL4, Floating Rate Note, 10/25/36 (144A) 0.391 10/25/2036 5,952,000 2,046,249
Tyco Electronics Group SA, 6.55%, 10/1/17 6.55 10/01/2017 2,950,000 3,391,927
Sprint Corp., 7.25%, 9/15/21 7.25 09/15/2021 1,500,000 1,578,302
Government National Mortgage Association I, 4.0%, 1/15/41 4.0 01/15/2041 281,135 168,885
Fannie Mae, 6.0%, 10/1/34 6.0 10/01/2034 389,152 26,663
Canadian Natural Resources, Ltd., 6.5%, 2/15/37 6.5 02/15/2037 2,230,000 2,675,124
Successor X, Ltd., Floating Rate Note, 11/10/15 (Cat Bond) (144A) 11.2551 11/10/2015 250,000 260,606
Fannie Mae, 6.5%, 11/1/37 6.5 11/01/2037 2,222,350 260,169
Bway Holding Co 1st Lien Tl-B L + 4.5% 08aug20 5.5 08/08/2020 199,000 200,026
STORE Master Funding LLC, 4.16%, 3/20/43 (144A) 4.16 03/20/2043 300,000 299,091
Fannie Mae, 8.0%, 10/1/30 8.0 10/01/2030 155,531 790
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42 4.9964 08/15/2042 2,800,000 2,848,464
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 9,171,532 426,954
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 4.0 07/09/2018 2,700,000 2,722,875
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5, Floating Rate Note, 7/15/31 (144A) 1.522 07/15/2031 1,260,000 1,258,046
TimberStar Trust I, 5.7467%, 10/15/36 (144A) 5.7467 10/15/2036 1,435,000 1,518,188
Fannie Mae, 3.0%, 9/1/42 3.0 09/01/2042 7,819,203 7,143,929
Valeant Pharmaceuticals International, Inc., Series C-2 Tranche B Term Loan, 12/11/19 3.5 12/11/2019 532,996 532,663
Grupo Bimbo SAB de CV, 3.875%, 6/27/24 (144A) 3.875 06/27/2024 4,200,000 4,368,025
Federal Home Loan Mortgage Corp., 5.5%, 8/1/35 5.5 08/01/2035 5,000,000 290,590
Government National Mortgage Association II, 5.5%, 3/20/34 5.5 03/20/2034 3,000,000 339,823
DigitalGlobe, Inc., 5.25%, 2/1/21 (144A) 5.25 02/01/2021 2,600,000 2,532,238
Mohawk Industries, Inc., 3.85%, 2/1/23 3.85 02/01/2023 800,000 812,831
JP Morgan Mortgage Trust 2004-A5, Floating Rate Note, 12/25/34 2.2017 12/25/2034 1,450,000 1,031,317
Government National Mortgage Association I, 7.0%, 11/15/28 7.0 11/15/2028 2,367,683 27,113
Highwoods Realty LP, 3.625%, 1/15/23 3.625 01/15/2023 2,100,000 2,141,086
Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A) 2.38 03/20/2029 4,692,000 1,191,828
Hercules Capital Funding Trust 2014-1, 3.524%, 4/16/21 (144A) 3.524 04/16/2021 2,920,000 2,923,430
JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2, 3.6159%, 11/15/43 (144A) 3.6159 11/15/2043 1,600,000 1,683,568
PFS Financing Corp., Floating Rate Note, 10/15/19 (144A) 1.022 10/15/2019 1,000,000 1,000,386
Permanent University Fund, 5.0%, 7/1/30 5.0 07/01/2030 800,000 980,285
Louisiana Local Government Environmental Facilities & Community Development Authority, 6.5%, 11/1/35 6.5 11/01/2035 2,350,000 2,874,908
Alta Wind Holdings LLC, 7.0%, 6/30/35 (144A) 7.0 06/30/2035 700,000 649,877
Spectra Energy Capital LLC, 6.2%, 4/15/18 6.2 04/15/2018 2,475,000 2,804,105
Wells Fargo & Co., 7.5% (Perpetual) 7.5 12/31/2049 5,610 6,801,901
Crown Castle Towers LLC, 4.883%, 8/15/20 (144A) 4.883 08/15/2020 3,015,000 3,297,702
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 3.1033 07/15/2023 1,250,000 1,193,404
Fannie Mae, 5.0%, 6/1/25 5.0 06/01/2025 6,134,875 6,546,458
Seagate HDD Cayman, 5.75%, 12/1/34 (144A) 5.75 12/01/2034 4,350,000 4,827,704
Wells Fargo Alternative Loan 2005-2 Trust, Floating Rate Note, 10/25/35 0.991 10/25/2035 1,233,457 1,225,951
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 3.4452 01/17/2019 500,000 514,427
Gahr 3.38216% 15dec19 15-Nrf_Cfx 3.3822 12/15/2019 4,630,000 4,619,780
Government National Mortgage Association I, 4.5%, 9/15/40 4.5 09/15/2040 900,000 530,502
Delphi Financial Group, Inc., Floating Rate Note, 5/15/37 7.376 05/15/2037 153,800 3,849,814
Government National Mortgage Association I, 4.0%, 12/15/41 4.0 12/15/2041 28,465 13,368
Silverton RE, Ltd., 0.0%, 9/18/17 (Cat Bond) (144A) 0.0 09/18/2017 1,000,000 1,033,300
CEMEX Espana SA, 9.875%, 4/30/19 (144A) 9.875 04/30/2019 3,328,000 3,810,948
Transunion Llc 1st Lien Tl-B L + 3% 21mar21 4.0 03/21/2021 1,500,000 1,497,188
Nordea Bank AB, 4.25%, 9/21/22 (144A) 4.25 09/21/2022 4,500,000 4,827,887
Federal Home Loan Mortgage Corp., 3.0%, 8/1/29 3.0 08/01/2029 4,875,000 4,908,288
Bayview Commercial Asset Trust 2007-4, 3.49686%, 9/25/37 (Step) (144A) 3.4899 09/25/2037 13,200,000 282,354
Government National Mortgage Association II, 5.5%, 10/20/19 5.5 10/20/2019 4,728,248 455,246
Disca 3.45% 15mar25 3.45 03/15/2025 1,850,000 1,848,156
Federal Home Loan Mortgage Corp., 5.0%, 10/1/20 5.0 10/01/2020 9,000,000 1,193,267
Fannie Mae, 6.0%, 6/1/16 6.0 06/01/2016 4,000,000 10,496
Government National Mortgage Association I, 7.0%, 4/15/29 7.0 04/15/2029 1,014,372 26,407
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2.0152 04/07/2017 1,000,000 1,002,378
Fannie Mae, 4.5%, 10/1/35 4.5 10/01/2035 3,754,694 318,915
Prudential Financial, Inc., 4.5%, 11/16/21 4.5 11/16/2021 1,090,000 1,220,306
Government National Mortgage Association I, 7.0%, 10/15/31 7.0 10/15/2031 2,044,706 7,698
EQT Midstream Partners LP, 4.0%, 8/1/24 4.0 08/01/2024 5,100,000 5,086,801
FREMF Mortgage Trust 2014-K503, Floating Rate Note, 10/25/47 (144A) 3.0087 10/25/2047 2,401,000 2,426,320
Government National Mortgage Association I, 6.5%, 1/15/33 6.5 01/15/2033 263,074 5,996
Fannie Mae, 5.0%, 2/1/41 5.0 02/01/2041 17,669,429 7,179,772
Baylor University, 4.313%, 3/1/42 4.313 03/01/2042 1,025,000 1,128,705
Valero Energy Corp., 6.625%, 6/15/37 6.625 06/15/2037 2,825,000 3,573,312
Government National Mortgage Association I, 7.0%, 9/15/31 7.0 09/15/2031 2,202,152 15,549
Ramp Flt% 25nov35 05-Rz4-A3 0.571 11/25/2035 2,500,000 1,908,147
RALI Series 2004-QS3 Trust, 5.0%, 3/25/19 5.0 03/25/2019 13,042,000 1,057,770
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 8.5574 01/05/2017 1,000,000 1,069,825
Amherst College, 3.794%, 11/1/42 3.794 11/01/2042 525,000 540,467
Valero Energy Corp., 9.375%, 3/15/19 9.375 03/15/2019 2,890,000 3,740,934
U.S. Treasury Bonds, 3.125%, 2/15/43 3.125 02/15/2043 2,000,000 2,210,682
Federal Home Loan Mortgage Corp., 3.5%, 11/1/28 3.5 11/01/2028 2,200,200 2,077,851
Federal Home Loan Mortgage Corp., 6.5%, 8/1/31 6.5 08/01/2031 1,070,805 5,001
Government National Mortgage Association I, 4.0%, 9/15/40 4.0 09/15/2040 25,000 13,714
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA Netherlands, 3.875%, 2/8/22 3.875 02/08/2022 3,435,000 3,713,454
Banc of America Alternative Loan Trust 2004-10, 5.5%, 11/25/19 5.5 11/25/2019 5,500,000 692,860
Alexandria Real Estate Equities, Inc., 2.75%, 1/15/20 2.75 01/15/2020 75,000 75,110
Government National Mortgage Association I, 4.0%, 11/15/43 4.0 11/15/2043 32,084 34,130
Australia & New Zealand Banking Group, Ltd., 4.5%, 3/19/24 (144A) 4.5 03/19/2024 5,215,000 5,566,522
Government National Mortgage Association I, 6.5%, 2/15/34 6.5 02/15/2034 733,600 57,672
Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 6.0 12/01/2033 3,297,768 140,129
Government National Mortgage Association I, 6.5%, 10/15/32 6.5 10/15/2032 6,591,983 127,663
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 0.6135 10/20/2017 1,659,000 1,660,091
Government National Mortgage Association I, 4.0%, 10/15/40 4.0 10/15/2040 27,335 14,200
Fannie Mae, 4.0%, 9/1/44 4.0 09/01/2044 12,553,692 13,177,690
New Residential Mortgage Loan Trust 2014-3, Floating Rate Note, 11/25/54 (144A) 3.75 11/25/2054 3,900,000 3,845,364
Endo Finance LLC, 6.0%, 2/1/25 (144A) 6.0 02/01/2025 520,000 553,237
Interactive Data 1st Lien Tl-B L + 3.75% 24apr21 4.75 04/24/2021 746,794 750,062
Bank of America Corp., Floating Rate Note, 9/29/49 6.25 09/29/2049 2,350,000 2,488,144
FPL Energy American Wind LLC, 6.639%, 6/20/23 (144A) 6.639 06/20/2023 2,520,000 703,365
Fannie Mae, 8.0%, 4/1/30 8.0 04/01/2030 150,000 697
Government National Mortgage Association I, 4.0%, 8/15/43 4.0 08/15/2043 4,891,389 3,823,285
Government National Mortgage Association I, 7.0%, 11/15/28 7.0 11/15/2028 4,530,958 80,578
Sprint Corp., 7.125%, 6/15/24 7.125 06/15/2024 1,500,000 1,514,172
Government National Mortgage Association I, 7.0%, 6/15/31 7.0 06/15/2031 3,800,000 48,621
Spirit Master Funding LLC, 5.74%, 3/20/42 (144A) 5.74 03/20/2042 268,008 307,553
Novelis, Inc., Initial Term Loan, 3/10/17 3.75 03/10/2017 695,000 695,362
Government National Mortgage Association I, 6.5%, 2/15/29 6.5 02/15/2029 301,000 11,938
Platinum Underwriters Finance, Inc., 7.5%, 6/1/17 7.5 06/01/2017 5,048,000 5,703,861
Federal Home Loan Mortgage Corp., 6.5%, 4/1/34 6.5 04/01/2034 299,956 4,461
Dollar Tree Air Inc 1st Lien Tl-B L + 3.5% 06feb22 3.5 02/06/2022 750,000 756,362
FREMF Mortgage Trust 2011-K702, Floating Rate Note, 4/25/44 (144A) 4.7704 04/25/2044 5,380,000 5,803,244
Government National Mortgage Association I, 6.5%, 12/15/32 6.5 12/15/2032 25,822,328 580,720
Digital Realty Trust LP, 5.875%, 2/1/20 5.875 02/01/2020 725,000 819,837
Government National Mortgage Association I, 6.5%, 3/15/29 6.5 03/15/2029 1,120,633 12,522
Federal Home Loan Mortgage Corp., 6.0%, 5/1/34 6.0 05/01/2034 1,440,424 238,155
BXG Receivables Note Trust 2015-A, 2.88%, 5/2/30 (144A) 2.88 05/02/2030 3,000,000 2,988,387
Verizon Communications, Inc., 5.012%, 8/21/54 (144A) 5.012 08/21/2054 1,938,000 2,030,661
Cincinnati Bell, Inc., Tranche B Term Loan, 9/10/20 4.0 09/10/2020 1,930,563 1,929,960
Tiers Trust, Floating Rate Note, 10/15/97 (144A) 0.0   1,250,000 1,138,032
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 3.75 12/12/2019 590,405 590,590
Newfield Exploration Co., 5.625%, 7/1/24 5.625 07/01/2024 1,400,000 1,471,969
Government National Mortgage Association I, 6.0%, 5/15/17 6.0 05/15/2017 1,900,000 38,048
Structured Asset Mortgage Investments Trust 2003-AR2, Floating Rate Note, 12/19/33 0.9135 12/19/2033 20,990,377 1,042,958
NRG Energy, Inc., 8.25%, 9/1/20 8.25 09/01/2020 2,000,000 2,213,625
Government National Mortgage Association I, 5.5%, 2/15/18 5.5 02/15/2018 4,000,000 138,054
CVS Pass-Through Trust, 5.773%, 1/10/33 (144A) 5.773 01/10/2033 1,555,000 1,608,931
Irwin Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/25 0.391 06/25/2025 15,300,000 3,011,094
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 1.6 06/19/2031 2,200,000 2,174,621
SLM Student Loan Trust 2004-10, Floating Rate Note, 4/27/26 (144A) 1.0061 04/27/2026 900,000 894,044
Government National Mortgage Association II, 4.0%, 10/20/44 4.0 10/20/2044 4,890,000 5,087,272
Federal Home Loan Mortgage Corp., 6.0%, 4/1/35 6.0 04/01/2035 2,582,414 68,697
Credit Suisse New York NY, 1.75%, 1/29/18 1.75 01/29/2018 7,000,000 7,015,755
RESI Finance LP 2003-CB1, Floating Rate Note, 7/9/35 1.8215 07/09/2035 12,352,000 3,109,303
Liberty Mutual Insurance Co., 7.697% (Perpetual) (144A) 7.697   5,325,000 7,025,997
Government National Mortgage Association I, 6.5%, 5/15/32 6.5 05/15/2032 1,000,000 14,443
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 4.0101 06/28/2016 1,150,000 1,165,052
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 216,972 215,058
Delphi Financial Group, Inc., 7.875%, 1/31/20 7.875 01/31/2020 1,850,000 2,236,701
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 0.871 03/25/2035 5,700,000 908,579
Fannie Mae, 6.0%, 5/1/35 6.0 05/01/2035 1,799,482 91,081
Government National Mortgage Association I, 6.0%, 6/15/17 6.0 06/15/2017 519,853 5,944
Fannie Mae, 5.0%, 7/1/40 5.0 07/01/2040 3,750,000 1,103,981
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 2.1061 11/19/2026 4,000,000 1,500,277
Fannie Mae, 4.0%, 5/1/44 4.0 05/01/2044 3,800,000 3,607,698
Regency Energy Partners LP, 8.375%, 6/1/19 (144A) 8.375 06/01/2019 1,675,000 1,801,026
Fannie Mae, 4.5%, 11/1/40 4.5 11/01/2040 8,151,476 3,331,646
GS Mortgage Securities Trust 2006-GG8 REMICS, 5.56%, 11/10/39 5.56 11/10/2039 900,000 932,829
Enel S.p.A., Floating Rate Note, 9/24/73 (144A) 8.133 09/24/2073 2,320,000 2,918,459
Cme: (Cdx.Na.Ig.23.V1) Usd 20dec19 Z91mv4jb8 1.0 12/20/2019 50,000,000 987,009
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 0.571 09/25/2035 4,700,000 1,193,739
PVH Corp., Tranche B Term Loan, 2/13/20 3.25 02/13/2020 436,759 439,579
Indianapolis Airport Authority, 5.1%, 1/15/17 5.1 01/15/2017 1,000,000 1,083,802
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 6.0404 04/10/2015 250,000 252,210
Government National Mortgage Association II, 6.5%, 3/20/29 6.5 03/20/2029 100,000 1,506
NSG Holdings LLC, New Term Loan, 12/11/19 3.75 12/11/2019 770,210 765,396
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 0.671 06/25/2035 4,920,000 1,636,675
Fannie Mae, 6.0%, 11/1/34 6.0 11/01/2034 271,485 20,453
DCP Midstream Operating LP, 5.6%, 4/1/44 5.6 04/01/2044 2,125,000 1,886,056
Fannie Mae, 7.0%, 1/1/32 7.0 01/01/2032 1,701,763 30,346
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 5.46 11/15/2035 484,000 389,621
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 2.7576 01/15/2017 1,500,000 1,528,456
FREMF Mortgage Trust 2013-K713, Floating Rate Note, 4/25/46 (144A) 3.1648 04/25/2046 3,000,000 3,046,595
Federal Home Loan Mortgage Corp., 5.5%, 9/1/33 5.5 09/01/2033 5,200,000 415,141
Bear Stearns Commercial Mortgage Securities Trust 2006-TOP22, Floating Rate Note, 4/12/38 5.5714 04/12/2038 2,600,000 2,471,172
Southwest Airlines Co., 2.75%, 11/6/19 2.75 11/06/2019 2,350,000 2,406,068
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 2,165,963
JobsOhio Beverage System, 3.985%, 1/1/29 3.985 01/01/2029 4,075,000 4,389,344
CS Intermediate Holdco 2 LLC, Term Loan, 3/28/21 4.0 03/28/2021 1,745,614 1,739,286
BLCP Hotel Trust, Floating Rate Note, 8/15/29 (144A) 2.122 08/15/2029 2,210,000 2,206,946
MASTR Alternative Loan Trust 2004-6, 6.0%, 7/25/34 6.0 07/25/2034 11,100,000 2,174,350
Progreso Receivables Funding I LLC, 3.625%, 1/30/25 (144A) 3.625 01/30/2025 3,200,000 3,209,022
Fannie Mae, 6.5%, 6/1/31 6.5 06/01/2031 2,750,000 88,897
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/31 5.0 12/15/2031 2,100,000 2,345,152
Government National Mortgage Association, Floating Rate Note, 3/16/53 0.963 03/16/2053 8,300,000 515,014
Citigroup Mortgage Loan Trust 2014-A, Floating Rate Note, 1/1/35 (144A) 4.0 01/01/2035 1,000,000 751,702
Bayview Financial Mortgage Pass-Through Trust 2006-A, 5.865%, 2/28/41 (Step) 5.865 02/28/2041 1,462,628 1,524,160
Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37 0.321 03/25/2037 550,000 307,885
MacDermid, Inc., Tranche B Term Loan (First Lien), 6/7/20 4.5 06/07/2020 916,175 921,099
EnLink Midstream Partners LP, 4.4%, 4/1/24 4.4 04/01/2024 7,040,000 7,615,609
NYU Hospitals Center, 4.428%, 7/1/42 4.428 07/01/2042 2,400,000 2,435,674
Blackstone Holdings Finance Co LLC, 6.25%, 8/15/42 (144A) 6.25 08/15/2042 1,975,000 2,503,358
QBE Insurance Group, Ltd., 2.4%, 5/1/18 (144A) 2.4 05/01/2018 1,100,000 1,113,311
Capital Automotive Real Estate Investment Trust, 3.66%, 10/17/44 (144A) 3.66 10/17/2044 3,000,000 3,019,487
Government National Mortgage Association II, 4.5%, 3/20/35 4.5 03/20/2035 500,000 83,851
WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21 3.0 01/23/2021 239,945 240,295
14112z Zero% 01feb19 0.0 02/01/2019 3,600,000 3,697,560
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 3.75 08/20/2025 2,025,000 1,012,734
Astoria Financial Corp., 5.0%, 6/19/17 5.0 06/19/2017 2,300,000 2,457,093
Grain Spectrum Funding II LLC, 3.29%, 10/10/19 (144A) 3.29 10/10/2019 1,400,000 1,410,723
Government National Mortgage Association I, 6.5%, 2/15/29 6.5 02/15/2029 260,526 2,342
Aircastle, Ltd., 6.75%, 4/15/17 6.75 04/15/2017 2,800,000 3,100,825
Intesa Sanpaolo S.p.A., 3.625%, 8/12/15 (144A) 3.625 08/12/2015 3,476,000 3,520,695
Wells Fargo & Co., Floating Rate Note (Perpetual) 5.875 12/31/2049 3,400,000 3,597,920
Government National Mortgage Association I, 6.5%, 10/15/31 6.5 10/15/2031 3,015,231 54,010
Lincoln National Corp., 8.75%, 7/1/19 8.75 07/01/2019 1,690,000 2,141,746
HLSS Servicer Advance Receivables Trust, 3.96%, 10/15/45 (144A) 3.96 10/15/2045 224,000 227,277
SunGard Data Systems, Inc., Tranche C Term Loan, 2/28/17 3.9235 02/28/2017 953,650 955,033
Citicorp Residential Mortgage Trust Series 2006-3, 5.703%, 11/25/36 (Step) 5.703 11/25/2036 3,850,000 1,999,808
Williams Partners LP, 4.3%, 3/4/24 4.3 03/04/2024 5,155,000 5,424,131
Fannie Mae, 4.0%, 7/1/18 4.0 07/01/2018 675,000 34,967
SpringCastle America Funding LLC, 2.7%, 5/25/23 2.7 05/25/2023 2,600,000 2,228,643
Federal Home Loan Mortgage Corp., 6.5%, 6/1/32 6.5 06/01/2032 39,022 304
Government National Mortgage Association I, 7.5%, 8/15/29 7.5 08/15/2029 2,007,985 20,265
Crockett Cogeneration LP, 5.869%, 3/30/25 (144A) 5.869 03/30/2025 1,010,000 597,628
The Kroger Co., 2.95%, 11/1/21 2.95 11/01/2021 7,472,000 7,641,602
Stanley Black & Decker, Inc., Floating Rate Note, 12/15/53 5.75 12/15/2053 3,600,000 3,952,475
Fannie Mae, 5.5%, 9/1/17 5.5 09/01/2017 3,705,000 64,607
Kane Zero% 22jan16 0.0 01/22/2016 1,300,000 1,311,960
New York State Electric & Gas Corp., 6.15%, 12/15/17 (144A) 6.15 12/15/2017 5,055,000 5,697,505
The Allstate Corp., Floating Rate Note, 1/15/53 5.1 01/15/2053 147,475 3,918,411
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 0.422 06/15/2033 5,786,084 2,505,178
Fannie Mae, 6.0%, 9/1/29 6.0 09/01/2029 124,691 1,762
New Jersey Economic Development Authority, 0.0%, 2/15/18 0.0 02/15/2018 4,500,000 4,198,995
Banc of America Alternative Loan Trust 2003-7, 5.5%, 9/25/33 5.5 09/25/2033 7,600,000 1,452,159
Commercial Mortgage Pass Through Certificates, 2.822%, 10/17/45 2.822 10/17/2045 2,875,000 2,932,806
The Goodyear Tire & Rubber Co., Loan (Second Lien), 4/30/19 4.75 04/30/2019 3,491,667 3,510,218
Sumitomo Mitsui Banking Corp., 1.75%, 1/16/18 1.75 01/16/2018 1,800,000 1,807,291
WP Carey, Inc., 4.6%, 4/1/24 4.6 04/01/2024 1,715,000 1,809,976
CeramTec Acquisition Corp., Initial Dollar Term B-2 Loan, 8/30/20 4.25 08/30/2020 106,162 106,095
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 1.321 05/07/2024 400,000 402,115
CVS Pass-Through Trust, 5.298%, 1/11/27 (144A) 5.298 01/11/2027 1,200,000 730,894
Texas Transportation Commission State Highway Fund, 5.0%, 4/1/33 5.0 04/01/2033 1,000,000 1,198,587
Mystic Re, Ltd., Floating Rate Note, 3/12/15 (Cat Bond) (144A) 9.0152 03/12/2015 650,000 660,043
JP Morgan Mortgage Trust 2013-1, Floating Rate Note, 3/25/43 (144A) 3.0 03/25/2043 9,989,000 6,670,296
Government National Mortgage Association I, 4.0%, 11/15/41 4.0 11/15/2041 55,544 7,684
Electricite de France SA, Floating Rate Note (Perpetual) (144A) 5.25 12/31/2049 2,150,000 2,288,093
Wmb 5.75% 24jun44 5.75 06/24/2044 825,000 795,014
Lorillard Tobacco Co., 3.75%, 5/20/23 3.75 05/20/2023 1,050,000 1,073,219
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 1,082,000 1,157,132
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 0.371 12/25/2036 4,900,000 996,020
CF Industries, Inc., 5.15%, 3/15/34 5.15 03/15/2034 4,845,000 5,537,850
Government National Mortgage Association I, 7.0%, 8/15/31 7.0 08/15/2031 17,500,000 214,861
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 7/25/36 0.471 07/25/2036 1,000,000 983,368
Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 6.0 12/01/2033 635,770 10,865
The Bank of New York Mellon Corp., 4.95%, 3/15/15 4.95 03/15/2015 2,000,000 2,047,237
The PNC Financial Services Group, Inc., Floating Rate Note (Perpetual) 4.4815 02/21/2049 6,273,000 6,294,149
Government National Mortgage Association I, 6.0%, 5/15/17 6.0 05/15/2017 1,413,485 44,096
Fannie Mae, 4.0%, 5/1/41 4.0 05/01/2041 3,008,750 1,365,512
Southern California Edison Co., 1.845%, 2/1/22 1.845 02/01/2022 6,200,000 6,219,422
Government National Mortgage Association I, 5.0%, 4/15/34 5.0 04/15/2034 1,504,329 166,715
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 7,500,000 7,753,159
GRIFOLS WORLDWIDE OPERATIONS USA INC, U.S. Tranche B Term Loam, 4/1/21 3.172 04/01/2021 387,075 386,921
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 4.5152 12/06/2016 2,800,000 2,898,140
Bayview Commercial Asset Trust 2007-2, 0.0%, 7/27/37 (Step) (144A) 0.0 07/27/2037 21,000,000 0
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 1.111 12/25/2034 24,739,000 750,397
New York City Transitional Finance Authority Future Tax Secured Revenue, 5.0%, 11/1/33 5.0 11/01/2033 2,400,000 2,824,920
The Goldman Sachs Group, Inc., 6.75%, 10/1/37 6.75 10/01/2037 6,875,000 9,082,690
United States Treasury Floating Rate Note, Floating Rate Note, 4/30/16 0.089 04/30/2016 11,325,000 11,326,964
JP Morgan Mortgage Trust 2004-A2, Floating Rate Note, 5/25/34 2.6089 05/25/2034 3,200,000 208,651
Structured Asset Investment Loan Trust 2006-1, Floating Rate Note, 1/25/36 0.371 01/25/2036 5,475,000 1,195,758
Viasystems, Inc., 7.875%, 5/1/19 (144A) 7.875 05/01/2019 2,500,000 2,701,484
Brocade Communications Systems, Inc., 4.625%, 1/15/23 4.625 01/15/2023 2,860,000 2,822,175
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 0.771 06/25/2034 34,555,000 2,635,636
Government National Mortgage Association I, 6.5%, 7/15/35 6.5 07/15/2035 3,323,439 105,792
Aquarius + Investments Plc for Swiss Reinsurance Co, Ltd., Floating Rate Note, 9/1/24 6.375 09/01/2024 1,800,000 1,977,082
U.S. Treasury Bonds, 4.5%, 2/15/36 4.5 02/15/2036 30,000,000 40,482,841
Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19 4.0 04/23/2019 666,667 656,111
US Airways 2013-1 Class A Pass Through Trust, 3.95%, 5/15/27 3.95 05/15/2027 1,500,000 1,545,595
University of California, 3.38%, 5/15/28 3.38 05/15/2028 2,600,000 2,719,185
Bowdoin College, 4.693%, 7/1/12 4.693   1,000,000 1,079,177
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 0.8535 05/19/2035 79,912,853 4,068,166
Fannie Mae, 5.5%, 3/1/36 5.5 03/01/2036 5,005,809 539,519
Government National Mortgage Association I, 5.0%, 7/15/19 5.0 07/15/2019 26,391 1,647
Government National Mortgage Association I, 6.0%, 3/15/17 6.0 03/15/2017 2,080,702 34,749
Parish of St John the Baptist Louisiana, 5.125%, 6/1/37 5.125 06/01/2037 2,560,000 2,732,481
Fannie Mae, 6.0%, 11/1/33 6.0 11/01/2033 400,765 44,915
CommScope, Inc., Tranche 4 Term Loan, 1/14/18 3.25 01/14/2018 491,014 491,161
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 0.619 04/28/2039 1,486,142 1,363,463
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 0.421 10/25/2035 4,359,000 351,160
IMS Health, Inc., Term B Dollar Loan, 3/17/21 3.5 03/17/2021 453,811 451,636
Government National Mortgage Association I, 4.0%, 3/15/44 4.0 03/15/2044 1,083,496 1,011,402
GATX Corp., 5.2%, 3/15/44 5.2 03/15/2044 2,260,000 2,564,821
Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A) 3.721 11/16/2044 2,250,000 2,175,183
Unison Ground Lease Funding LLC, 2.981%, 3/16/43 (144A) 2.981 03/16/2043 1,500,000 1,528,529
Motiva Enterprises LLC, 6.85%, 1/15/40 (144A) 6.85 01/15/2040 3,800,000 4,800,794
Federal Home Loan Mortgage Corp., 6.0%, 5/1/17 6.0 05/01/2017 7,876,244 58,815
Government National Mortgage Association I, 6.5%, 5/15/29 6.5 05/15/2029 273,319 5,842
Protective Life Corp., 7.375%, 10/15/19 7.375 10/15/2019 4,250,000 5,226,270
Massachusetts Health & Educational Facilities Authority, 5.5%, 7/1/32 5.5 07/01/2032 1,425,000 1,963,120
Citigroup Mortgage Loan Trust, Inc., 5.5%, 9/25/34 5.5 09/25/2034 4,860,000 1,209,359
CHS, 2021 Term D Loan, 1/27/21 4.25 01/27/2021 3,188,475 3,201,095
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 0.652 06/15/2030 9,460,074 528,977
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 9.0152 06/06/2015 1,125,000 1,166,513
Wells Fargo Commercial Mortgage Trust 2012-LC5 REMICS, 3.539%, 10/17/45 3.539 10/17/2045 1,927,000 2,024,771
Government National Mortgage Association I, 6.0%, 10/15/33 6.0 10/15/2033 2,000,000 76,871
Government National Mortgage Association I, 5.5%, 10/15/17 5.5 10/15/2017 2,400,000 43,976
Fannie Mae, 6.5%, 10/1/31 6.5 10/01/2031 1,000,100 13,329
HCA, Inc., Tranche B-5 Term Loan, 3/31/17 2.922 03/31/2017 1,771,193 1,773,038
Massachusetts Development Finance Agency, 5.375%, 4/1/41 5.375 04/01/2041 550,000 633,500
Government National Mortgage Association I, 7.5%, 2/15/31 7.5 02/15/2031 1,466,543 15,961
NOVA Chemicals Corp., 5.0%, 5/1/25 (144A) 5.0 05/01/2025 40,000 42,917
Federal Home Loan Mortgage Corp., 6.5%, 5/1/31 6.5 05/01/2031 1,043,809 12,332
UBS AG, 7.625%, 8/17/22 7.625 08/17/2022 4,400,000 5,362,253
Embarcadero Reinsurance, Ltd., Floating Rate Note, 2/7/17 (Cat Bond) (144A) 5.0051 02/07/2017 2,650,000 2,672,239
Citigroup, Inc., Floating Rate Note (Perpetual) 5.95 12/31/2049 2,295,000 2,334,308
PNC Bank NA, 6.0%, 12/7/17 6.0 12/07/2017 1,435,000 1,618,537
Labmh 3.01% 15apr40 01-B-A1 3.01 04/15/2040 22,820,000 310,496
Federal Home Loan Mortgage Corp., 6.0%, 1/1/34 6.0 01/01/2034 3,744,314 87,444
CNOOC Nexen Finance 2014 ULC, 4.25%, 4/30/24 4.25 04/30/2024 5,275,000 5,697,789
RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32 6.0 01/25/2032 9,900,000 365,325
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 3.9752 05/18/2016 2,450,000 2,476,975
Fannie Mae, 5.0%, 10/1/20 5.0 10/01/2020 4,036,945 474,783
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 4.2753 04/18/2017 250,000 250,165
Federal Home Loan Mortgage Corp., 6.0%, 4/1/36 6.0 04/01/2036 7,000,000 524,476
Hyundai Capital America, 1.45%, 2/6/17 (144A) 1.45 02/06/2017 2,245,000 2,240,939
Federal Home Loan Mortgage Corp., 3.5%, 11/1/44 3.5 11/01/2044 200,000 209,171
The Travelers Companies, Inc., 6.25%, 6/15/37 6.25 06/15/2037 2,000,000 2,765,395
Government National Mortgage Association I, 5.5%, 7/15/35 5.5 07/15/2035 5,500,000 808,373
Duke Energy Progress, Inc., 4.15%, 12/1/44 4.15 12/01/2044 8,700,000 9,772,251
The University of Texas System, 5.0%, 8/15/43 5.0 08/15/2043 525,000 603,280
Government National Mortgage Association I, 4.0%, 6/15/41 4.0 06/15/2041 167,972 126,149
Sequoia Mortgage Trust 2004-9, Floating Rate Note, 10/20/34 0.8535 10/20/2034 9,485,000 861,779
Sequoia Mortgage Trust 2013-6, Floating Rate Note, 5/26/43 3.0 05/26/2043 2,450,000 2,180,232
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 3,594,840 271,085
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 3.0 05/15/2018 3,048,000 1,165,048
Fannie Mae, 3.5%, 11/1/42 3.5 11/01/2042 380,000 343,909
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 3.7753 04/24/2017 550,000 549,766
Fannie Mae, 4.5%, 5/1/41 4.5 05/01/2041 17,795,568 4,710,446
Sequoia Mortgage Trust 2013-4 REMICS, Floating Rate Note, 4/27/43 2.325 04/27/2043 9,500,000 7,962,224
Fannie Mae, 6.5%, 7/1/34 6.5 07/01/2034 1,095,000 35,449
Piedmont Operating Partnership LP, 3.4%, 6/1/23 3.4 06/01/2023 2,550,000 2,522,913
Wm 3.125% 01mar25 3.125 03/01/2025 1,700,000 1,707,185
Nations Equipment Finance Funding II LLC, 3.276%, 1/22/19 (144A) 3.276 01/22/2019 1,000,000 953,425
LSTAR Securities Investment Trust 2014-2, Floating Rate Note, 11/1/19 (144A) 2.1709 11/01/2019 5,000,000 4,755,644
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 0.4683 09/25/2036 5,715,000 726,441
Government National Mortgage Association I, 6.5%, 1/15/29 6.5 01/15/2029 1,500,000 30,069
Scotiabank Peru SAA, Floating Rate Note, 12/13/27 (144A) 4.5 12/13/2027 2,600,000 2,595,775
Fannie Mae, 4.5%, 7/1/41 4.5 07/01/2041 5,000,000 2,411,024
Government National Mortgage Association I, 6.0%, 9/15/33 6.0 09/15/2033 904,389 88,446
Panoche Energy Center LLC, 6.885%, 7/31/29 (144A) 6.885 07/31/2029 2,610,000 2,675,988
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 6/25/33 5.5 06/25/2033 1,000,000 193,096
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 2.6341 07/25/2033 24,092,878 1,049,662
Fannie Mae, 6.0%, 8/1/32 6.0 08/01/2032 315,000 7,042
U.S. Treasury Bonds, 3.0%, 11/15/44 3.0 11/15/2044 3,000,000 3,274,541
Citigroup, Inc., Floating Rate Note (Perpetual) 5.9 12/31/2049 2,850,000 2,866,760
Federal Home Loan Mortgage Corp., 7.0%, 9/1/22 7.0 09/01/2022 1,775,260 291,295
Bayc Flt% 25jan38 08-1-A2a 1.171 01/25/2038 12,910,000 2,479,752
Government National Mortgage Association I, 4.5%, 4/15/38 4.5 04/15/2038 1,004,042 230,777
Fannie Mae, 7.0%, 9/1/31 7.0 09/01/2031 2,000,000 10,765
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 1.47 05/15/2018 1,250,000 221,601
Government National Mortgage Association I, 6.0%, 8/15/32 6.0 08/15/2032 300,000 12,185
Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43 2.1293 06/25/2043 24,278,000 824,242
Federal Home Loan Mortgage Corp., 6.0%, 1/1/33 6.0 01/01/2033 1,890,000 89,711
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.871 01/25/2035 20,675,000 2,336,384
General Electric Capital Corp., Floating Rate Note (Perpetual) 7.125 12/31/2049 4,400,000 5,244,571
Johnson & Johnson, 4.375%, 12/5/33 4.375 12/05/2033 3,150,000 3,667,548
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 3.25 11/05/2020 2,023,178 2,023,494
Glencore Funding LLC, 4.125%, 5/30/23 (144A) 4.125 05/30/2023 1,175,000 1,214,551
Carlyle Holdings II Finance LLC, 5.625%, 3/30/43 (144A) 5.625 03/30/2043 5,930,000 6,941,311
NextGear Floorplan Master Owner Trust, 2.61%, 10/15/19 (144A) 2.61 10/15/2019 1,000,000 1,001,892
Activision Blizzard, Inc., 6.125%, 9/15/23 (144A) 6.125 09/15/2023 650,000 737,089
Fannie Mae, 7.0%, 4/1/31 7.0 04/01/2031 2,160,818 13,491
Sotheby's, 5.25%, 10/1/22 (144A) 5.25 10/01/2022 1,300,000 1,298,619
Teachers Insurance & Annuity Association of America, 6.85%, 12/16/39 (144A) 6.85 12/16/2039 3,205,000 4,519,050
Fannie Mae, 6.0%, 6/1/38 6.0 06/01/2038 2,250,000 404,425
Banc of America Mortgage Trust 2004-11, 5.75%, 1/25/35 5.75 01/25/2035 11,116,000 953,469
Aviation Capital Group Corp., 6.75%, 4/6/21 (144A) 6.75 04/06/2021 3,725,000 4,340,560
Federal Home Loan Mortgage Corp., 6.5%, 10/1/33 6.5 10/01/2033 2,000,000 58,659
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 7.42 01/09/2019 1,200,000 1,247,493
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 2.0501 10/25/2033 11,509,396 1,322,734
Fannie Mae, 3.5%, 3/18/15 3.5 03/18/2015 3,800,000 4,036,581
Fannie Mae, 6.5%, 3/1/32 6.5 03/01/2032 3,500,000 93,376
Sequoia Mortgage Trust 2013-10, Floating Rate Note, 8/25/43 (144A) 3.5921 08/25/2043 7,372,000 7,040,416
Government National Mortgage Association I, 4.0%, 11/15/40 4.0 11/15/2040 30,717 13,384
Fannie Mae, 3.0%, 8/1/42 3.0 08/01/2042 24,375,000 22,435,699
Kane Zero% 19feb16 0.0 02/19/2016 2,400,000 2,472,720
Government National Mortgage Association I, 5.5%, 10/15/35 5.5 10/15/2035 2,002,398 305,842
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 6/25/34 2.4595 06/25/2034 4,049,418 542,064
Bamll Flt% 15jan17 15-Ashf-B 1.884 01/15/2017 4,200,000 4,193,846
QVC, Inc., 4.45%, 2/15/25 4.45 02/15/2025 6,325,000 6,399,002
Nuance Communications, Inc., Term C Loan, 8/7/19 2.93 08/07/2019 370,741 367,590
OMNOVA Solutions, Inc., Term B-1 Loan, 5/31/18 4.25 05/31/2018 478,750 477,553
Fannie Mae, 7.0%, 9/1/31 7.0 09/01/2031 2,000,000 21,216
Federal Home Loan Mortgage Corp., 6.5%, 2/1/33 6.5 02/01/2033 62,297 4,205
New Residential Mortgage Loan Trust 2014-2, Floating Rate Note, 5/26/54 (144A) 3.75 05/26/2054 3,895,000 3,574,396
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 2.25 08/20/2025 2,000,000 992,128
Ccolt 2.82% 15mar21 15-1-A 2.82 03/15/2021 2,500,000 2,503,582
New Residential Mortgage Loan Trust 2014-1, Floating Rate Note, 1/25/54 (144A) 3.75 01/25/2054 5,200,000 4,628,108
Government National Mortgage Association I, 4.0%, 2/15/41 4.0 02/15/2041 25,888 19,216
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 1.472 03/16/2026 1,895,000 1,895,941
Fannie Mae, 5.5%, 6/1/36 5.5 06/01/2036 6,000,000 404,994
Was 5% 01jul30 Washington St For Issues Dtd P 5.0 07/01/2030 1,600,000 1,918,203
Expedia, Inc., 5.95%, 8/15/20 5.95 08/15/2020 800,000 900,262
COMM 2012-CCRE2 Mortgage Trust REMICS, 3.791%, 8/17/45 3.791 08/17/2045 450,000 480,144
Chesapeake Funding LLC, Floating Rate Note, 3/4/26 1.371 03/04/2026 400,000 398,436
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 2.4925 10/25/2033 11,067,000 815,443
Ally Financial, Inc., 7.0% (Perpetual) (144A) 7.0 12/31/2049 2,500 2,519,141
HSBC Bank Plc, 7.65%, 5/1/25 7.65 05/01/2025 1,305,000 1,741,470
Medtronic, Inc., 4.625%, 3/15/45 (144A) 4.625 03/15/2045 7,300,000 8,349,534
Government National Mortgage Association I, 6.5%, 4/15/35 6.5 04/15/2035 517,486 85,268
Government National Mortgage Association II, 6.5%, 2/20/29 6.5 02/20/2029 210,000 3,517
Morgan Stanley, 4.875%, 11/1/22 4.875 11/01/2022 300,000 330,631
Brown & Brown, Inc., 4.2%, 9/15/24 4.2 09/15/2024 5,000,000 5,226,483
Federal Home Loan Mortgage Corp., 5.5%, 12/1/18 5.5 12/01/2018 2,500,000 268,814
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 0.921 12/25/2034 5,642,356 415,582
DBUBS 2011-LC3 Mortgage Trust, Floating Rate Note, 8/12/44 (144A) 5.4196 08/12/2044 1,900,000 2,183,053
Bed Bath & Beyond, Inc., 3.749%, 8/1/24 3.749 08/01/2024 2,000,000 2,089,508
Federal Home Loan Mortgage Corp., 5.0%, 12/1/21 5.0 12/01/2021 450,000 34,908
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 2.49 02/25/2034 11,243,500 703,601
Fannie Mae, 6.5%, 5/1/31 6.5 05/01/2031 1,960,805 10,352
DIRECTV Holdings LLC, 3.8%, 3/15/22 3.8 03/15/2022 6,200,000 6,510,859
State Street Corp., Floating Rate Note, 12/31/73 5.9 12/31/2073 54,200 1,450,934
Banc of America Funding 2010-R4 Trust REMICS, Floating Rate Note, 8/26/36 (144A) 0.2997 08/26/2036 3,200,000 272,233
Government National Mortgage Association I, 7.0%, 4/15/28 7.0 04/15/2028 266,017 2,799
Washington Suburban Sanitary Commission, 4.0%, 6/1/43 4.0 06/01/2043 1,620,000 1,716,026
Gold Fields Orogen Holdings BVI, Ltd., 4.875%, 10/7/20 (144A) 4.875 10/07/2020 4,300,000 3,952,103
Fannie Mae, 6.0%, 2/1/35 6.0 02/01/2035 180,000 19,030
Fannie Mae, 6.0%, 1/1/29 6.0 01/01/2029 60,204 1,172
Fannie Mae, 6.5%, 1/1/31 6.5 01/01/2031 1,000,000 3,951
CHS, 2017 Term E Loan, 1/25/17 3.422 01/25/2017 594,144 594,933
Banc of America Mortgage Trust 2004-7, 4.5%, 8/25/19 4.5 08/25/2019 1,241,000 82,234
Government National Mortgage Association I, 5.0%, 9/15/33 5.0 09/15/2033 1,254,232 163,973
Kinetic Concepts, Inc., Dollar Term E-1 Loan, 5/4/18 4.0 05/04/2018 1,998,741 1,999,052
Government National Mortgage Association I, 4.5%, 2/15/34 4.5 02/15/2034 181,146 53,952
Enterprise Products Operating LLC, 3.9%, 2/15/24 3.9 02/15/2024 5,310,000 5,605,360
Fannie Mae, 6.0%, 2/1/32 6.0 02/01/2032 2,379,023 38,497
Fannie Mae, 8.0%, 2/1/29 8.0 02/01/2029 240,000 2,914
Bear Stearns ARM Trust 2003-5, Floating Rate Note, 8/25/33 2.325 08/25/2033 10,580,000 791,621
Cardtronics, Inc., 5.125%, 8/1/22 (144A) 5.125 08/01/2022 3,000,000 2,947,781
Government National Mortgage Association I, 6.5%, 8/15/32 6.5 08/15/2032 129,066 4,680
Fidelity National Financial, Inc., 5.5%, 9/1/22 5.5 09/01/2022 1,200,000 1,336,977
Fannie Mae, 4.0%, 4/1/42 4.0 04/01/2042 2,200,000 1,009,373
The Allstate Corp., Floating Rate Note, 5/15/57 6.5 05/15/2057 5,455,000 6,292,873
Irwin Home Equity Loan Trust 2005-1, 5.32%, 6/25/35 (Step) 5.32 06/25/2035 4,350,000 504,844
Fannie Mae, 4.0%, 4/1/39 4.0 04/01/2039 7,360,371 2,062,626
CCOH Safari LLC, 5.75%, 12/1/24 5.75 12/01/2024 800,000 839,117
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 8.0424 05/07/2015 5,500,000 5,574,939
FREMF Mortgage Trust 2010-K7, Floating Rate Note, 5/25/29 (144A) 5.4405 05/25/2029 850,000 961,965
Government National Mortgage Association I, 6.0%, 9/15/34 6.0 09/15/2034 1,315,000 124,835
Fannie Mae, 4.0%, 11/1/44 4.0 11/01/2044 4,035,000 4,258,777
Morgan Stanley Capital I Trust 2005-HQ6 REMICS, Floating Rate Note, 8/13/42 5.073 08/13/2042 2,400,000 2,430,033
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 8/25/24 1.521 08/25/2024 3,570,000 3,445,843
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 8.6325 04/08/2016 1,650,000 1,731,418
Fannie Mae, 5.0%, 2/1/45 5.0 02/01/2045 24,000,000 26,571,670
Government National Mortgage Association II, 7.0%, 12/20/30 7.0 12/20/2030 400,864 3,383
Mellon Funding Corp., 5.5%, 11/15/18 5.5 11/15/2018 2,505,000 2,835,164
Wells Fargo Mortgage Backed Securities 2003-L Trust, Floating Rate Note, 11/25/33 2.5534 11/25/2033 3,100,000 215,446
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 3.0 06/25/2043 916,000 808,978
Cincinnati Bell, Inc., 8.375%, 10/15/20 8.375 10/15/2020 469,000 513,996
Sensata Technologies Bv 1st Lien Tl-B2 L + 2.75% 08oct21 3.5 10/08/2021 1,172,063 1,179,095
Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A) 1.87 08/20/2029 750,000 227,415
Government National Mortgage Association I, 5.0%, 10/15/18 5.0 10/15/2018 3,153,375 142,864
Sequoia Mortgage Trust 2003-2, Floating Rate Note, 6/20/33 0.8335 06/20/2033 53,080,000 2,791,511
Brixmor Operating Partnership LP, 3.85%, 2/1/25 3.85 02/01/2025 4,225,000 4,292,165
Washington Suburban Sanitary Commission, 4.0%, 6/1/44 4.0 06/01/2044 1,565,000 1,656,499
Selma Industrial Development Board, 5.8%, 5/1/34 5.8 05/01/2034 2,310,000 2,654,375
Government National Mortgage Association I, 4.0%, 4/15/44 4.0 04/15/2044 75,647 78,019
Constellation Brands, Inc., 3.75%, 5/1/21 3.75 05/01/2021 630,000 649,491
Government National Mortgage Association I, 5.0%, 7/15/33 5.0 07/15/2033 1,500,150 166,651
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 1.3735 11/20/2036 5,300,000 1,177,101
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 0.342 04/15/2022 1,682,691 231,565
SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A) 2.0 09/20/2029 1,200,000 573,762
Telefonica Emisiones SAU, 6.221%, 7/3/17 6.221 07/03/2017 2,750,000 3,079,124
Adobe Systems, Inc., 3.25%, 2/1/25 3.25 02/01/2025 8,100,000 8,182,522
RPI Finance Trust, Term B-2 Term Loan, 5/9/18 3.25 05/09/2018 1,656,910 1,664,573
Halliburton Co., 7.6%, 8/15/96 (144A) 7.6   2,250,000 3,396,558
Government National Mortgage Association I, 7.75%, 2/15/30 7.75 02/15/2030 500,000 2,496
BAMLL Commercial Mortgage Securities Trust 2014-FL1, Floating Rate Note, 12/15/31 2.3663 12/17/2031 2,580,000 2,591,395
Government National Mortgage Association I, 6.5%, 4/15/31 6.5 04/15/2031 8,257,522 117,222
Government National Mortgage Association I, 5.5%, 8/15/33 5.5 08/15/2033 750,075 55,933
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 5.25 04/25/2032 3,090,877 879,523
Government National Mortgage Association I, 6.0%, 9/15/28 6.0 09/15/2028 12,973,600 332,327
Government National Mortgage Association I, 5.5%, 6/15/33 5.5 06/15/2033 400,000 19,265
Dynegy, Inc., Tranche B-2 Term Loan, 4/23/20 4.0 04/23/2020 1,023,785 1,021,510
Government National Mortgage Association I, 4.5%, 6/15/41 4.5 06/15/2041 3,601,538 2,029,366
Fannie Mae, 6.0%, 9/1/34 6.0 09/01/2034 352,132 19,372
Government National Mortgage Association I, 6.5%, 7/15/35 6.5 07/15/2035 666,356 61,629
Government National Mortgage Association I, 4.0%, 9/15/41 4.0 09/15/2041 2,091,451 1,041,790
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.1512 04/30/2018 350,000 354,988
Univision Communications, Inc., Replacement First-Lien Term Loan, 3/1/20 4.0 03/01/2020 2,265,775 2,263,119
Federal Home Loan Mortgage Corp., 6.0%, 3/1/33 6.0 03/01/2033 5,524,534 276,293
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 978,436 1,046,911
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 7.2652 07/05/2016 1,100,000 1,151,789
Fannie Mae, 6.5%, 8/1/31 6.5 08/01/2031 1,500,000 10,820
Colony Multifamily Mortgage Trust 2014-1, 2.5432%, 4/22/50 (144A) 2.5432 04/22/2050 4,000,000 3,580,416
CIT Equipment Collateral 2014-VT1, 3.14%, 2/20/20 (144A) 3.14 02/20/2020 1,400,000 1,398,352
Fannie Mae, 6.0%, 7/1/38 6.0 07/01/2038 974,925 81,055
Sunoco Logistics Partners Operations LP, 4.25%, 4/1/24 4.25 04/01/2024 5,825,000 6,198,261
Valmont Industries, Inc., 6.625%, 4/20/20 6.625 04/20/2020 604,000 722,183
Fannie Mae, 6.0%, 3/1/32 6.0 03/01/2032 450,000 10,757
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 3.25 12/19/2020 1,245,588 1,246,356
Fannie Mae, 4.0%, 12/1/41 4.0 12/01/2041 5,950,000 2,768,509
Sequoia Mortgage Trust 2013-9, 3.5%, 7/25/43 (144A) 3.5 07/25/2043 2,190,000 1,999,193
Government National Mortgage Association I, 4.0%, 6/15/39 4.0 06/15/2039 28,840 11,064
Pelican Re, Ltd., Floating Rate Note, 4/13/15 (Cat Bond) (144A) 13.9854 04/13/2015 1,500,000 1,566,629
Wells Fargo Mortgage Backed Securities 2006-16 Trust, 5.0%, 11/25/36 5.0 11/25/2036 4,500,000 191,959
Government National Mortgage Association I, 6.5%, 5/15/33 6.5 05/15/2033 1,672,708 53,654
Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A) 1.55 11/15/2017 1,326,000 1,057,726
Barclays Bank Plc, 6.05%, 12/4/17 (144A) 6.05 12/04/2017 3,515,000 3,926,802
Federal Home Loan Mortgage Corp., 6.5%, 5/1/31 6.5 05/01/2031 100,010 184
Government National Mortgage Association I, 5.5%, 10/15/33 5.5 10/15/2033 1,509,492 121,649
La Hipotecaria Panamanian Mortgage Trust 2010-1, Floating Rate Note, 9/8/39 (144A) 2.5 09/08/2039 750,000 504,579
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7, Floating Rate Note, 2/11/41 5.214 02/11/2041 1,000,000 1,004,451
Government National Mortgage Association I, 5.5%, 7/15/33 5.5 07/15/2033 1,500,000 132,508
American Honda Finance Corp., 1.2%, 7/14/17 1.2 07/14/2017 5,985,000 6,006,490
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 3,654,000 3,663,135
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 2.4356 11/25/2034 6,054,578 586,590
Government National Mortgage Association I, 4.5%, 4/15/35 4.5 04/15/2035 1,999,800 313,778
Federal Home Loan Mortgage Corp., 4.0%, 11/1/41 4.0 11/01/2041 21,893,143 16,791,016
Government National Mortgage Association I, 6.0%, 1/15/19 6.0 01/15/2019 548,488 31,382
Cantor Fitzgerald LP, 7.875%, 10/15/19 (144A) 7.875 10/15/2019 2,980,000 3,349,799
JobsOhio Beverage System, 4.532%, 1/1/35 4.532 01/01/2035 1,035,000 1,155,118
International Paper Co., 3.65%, 6/15/24 3.65 06/15/2024 6,975,000 7,171,147
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 2.7 08/15/2018 850,000 863,926
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 1,076,561 1,046,905
Government National Mortgage Association I, 6.0%, 9/15/33 6.0 09/15/2033 500,663 27,826
Fannie Mae, 5.0%, 5/1/23 5.0 05/01/2023 4,380,644 603,088
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 2.646 12/25/2034 3,200,000 427,202
Prudential Financial, Inc., Floating Rate Note, 9/15/42 5.875 09/15/2042 1,800,000 1,987,561
Assurant, Inc., 4.0%, 3/15/23 4.0 03/15/2023 3,900,000 4,115,846
Credit Agricole SA, Floating Rate Note, 12/31/64 (144A) 6.625 12/31/2064 5,075,000 5,097,644
Springleaf Mortgage Loan Trust 2012-2, Floating Rate Note, 10/25/57 (144A) 2.22 10/25/2057 3,200,000 1,366,822
AmeriCredit Automobile Receivables Trust 2011-3, 4.04%, 7/10/17 4.04 07/10/2017 500,000 509,122
Pangaea Zero% 01jul18 0.0 07/01/2018 2,000,000 2,162,000
Fannie Mae, 4.0%, 1/1/44 4.0 01/01/2044 273,906 268,058
Government National Mortgage Association I, 4.5%, 3/15/35 4.5 03/15/2035 1,722,219 155,417
Fannie Mae, 5.5%, 9/1/19 5.5 09/01/2019 7,000,000 352,677
Federal Home Loan Mortgage Corp., 4.0%, 1/1/44 4.0 01/01/2044 4,260,000 3,926,079
Colbun SA, 4.5%, 7/10/24 (144A) 4.5 07/10/2024 4,300,000 4,466,844
Alexandria Real Estate Equities, Inc., 4.6%, 4/1/22 4.6 04/01/2022 2,670,000 2,861,322
American Homes 4 Rent 2014-SFR3 Trust, 5.04%, 12/18/36 (144A) 5.04 12/18/2036 700,000 740,236
Fannie Mae, 6.0%, 4/1/35 6.0 04/01/2035 4,000,000 345,351
Wilton Re Finance LLC, Floating Rate Note, 3/30/33 (144A) 5.875 03/30/2033 1,400,000 1,546,423
Lehman ABS Manufactured Housing Contract Trust 2001-B, 5.873%, 5/15/41 5.873 05/15/2041 2,450,000 330,013
The Valspar Corp., 3.3%, 2/1/25 3.3 02/01/2025 3,025,000 3,036,101
Government National Mortgage Association I, 6.5%, 1/15/33 6.5 01/15/2033 25,065,172 613,916
Federal Home Loan Mortgage Corp., 5.0%, 9/1/38 5.0 09/01/2038 7,240,000 634,876
Fannie Mae, 8.0%, 3/1/31 8.0 03/01/2031 1,495,060 10,425
Bombardier, Inc., 4.75%, 4/15/19 (144A) 4.75 04/15/2019 1,960,000 1,945,395
Fannie Mae, 6.5%, 7/1/29 6.5 07/01/2029 500,000 10,631
Government National Mortgage Association I, 6.0%, 4/15/33 6.0 04/15/2033 1,000,000 28,780
Syniverse Holdings, Inc., Initial Term Loan, 4/23/19 4.0