Pioneer Investments: Pioneer Bond Fund


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Pioneer Bond Fund

Monthly Portfolio Holdings as of 5/29/2015

Security Name Coupon Maturity Date Par / Shares Market Value($)
Fannie Mae, 4.0%, 1/1/45 4.0 01/01/2045 194,065 200,660
Brixmor Operating Partnership LP, 3.85%, 2/1/25 3.85 02/01/2025 4,225,000 4,255,542
Government National Mortgage Association I, 5.5%, 9/15/19 5.5 09/15/2019 3,000,000 178,591
RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32 6.0 01/25/2032 9,900,000 346,065
Bank of America Corp., 4.2%, 8/26/24 4.2 08/26/2024 1,150,000 1,180,892
PPL Capital Funding, Inc., 5.9%, 4/30/73 5.9 04/30/2073 164,000 4,219,720
Owens Corning, 4.2%, 12/1/24 4.2 12/01/2024 5,150,000 5,344,876
Federal Home Loan Mortgage Corp., 6.0%, 3/1/33 6.0 03/01/2033 2,255,430 45,104
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 1.1248 12/25/2034 24,739,000 750,581
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/31 5.0 12/15/2031 2,100,000 2,337,923
First Investors Auto Owner Trust 2015-1, 3.59%, 1/18/22 (144A) 3.59 01/18/2022 510,000 508,696
Cummins, Inc., 6.75%, 2/15/27 6.75 02/15/2027 910,000 1,179,903
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 3.9669 08/25/2053 1,450,000 924,190
Expedia, Inc., 4.5%, 8/15/24 4.5 08/15/2024 5,900,000 6,114,123
Fannie Mae, 4.0%, 9/1/44 4.0 09/01/2044 12,553,692 12,749,654
AXIS Equipment Finance Receivables II LLC, 4.94%, 7/20/18 (144A) 4.94 07/20/2018 500,000 513,994
Government National Mortgage Association I, 6.5%, 1/15/35 6.5 01/15/2035 62,679 863
JPMorgan Chase & Co., Floating Rate Note, 8/29/49 6.75 08/29/2049 4,815,000 5,355,785
Sequoia Mortgage Trust 2013-6, Floating Rate Note, 5/26/43 3.0 05/26/2043 2,450,000 2,106,988
New York State Electric & Gas Corp., 6.15%, 12/15/17 (144A) 6.15 12/15/2017 5,055,000 5,738,595
Capella Healthcare Inc 1st Lien Tl-B L + 4.25% 31dec21 5.25 12/31/2021 339,150 341,694
SCE Trust III, Floating Rate Note (Perpetual) 5.75 12/31/2049 167,900 4,587,028
Government National Mortgage Association I, 4.5%, 4/15/38 4.5 04/15/2038 1,004,042 199,713
CHS, Incremental 2021 Term H Loan, 1/27/21 4.0 01/27/2021 2,060,545 2,069,191
Government National Mortgage Association I, 6.5%, 3/15/31 6.5 03/15/2031 1,000,000 14,347
AmeriCredit Automobile Receivables Trust 2013-1, 1.57%, 1/8/19 1.57 01/08/2019 800,000 801,777
Government National Mortgage Association I, 7.5%, 2/15/26 7.5 02/15/2026 893,000 2,005
Government National Mortgage Association I, 4.0%, 8/15/43 4.0 08/15/2043 4,891,389 3,598,252
FREMF Mortgage Trust 2013-K502, Floating Rate Note, 3/27/45 (144A) 3.1911 03/27/2045 900,000 918,155
Alamo Re, Ltd., Floating Rate Note, 6/7/18 (Cat Bond) (144A)   06/07/2018 1,000,000 1,000,100
First Tennessee Bank NA, 2.95%, 12/1/19 2.95 12/01/2019 5,425,000 5,555,170
Government National Mortgage Association I, 4.5%, 2/15/34 4.5 02/15/2034 181,146 52,921
Fannie Mae, 4.0%, 12/1/44 4.0 12/01/2044 877,680 934,720
Fannie Mae, 7.0%, 1/1/32 7.0 01/01/2032 1,701,763 29,717
International Paper Co., 6.0%, 11/15/41 6.0 11/15/2041 2,400,000 2,704,937
Fannie Mae, 4.0%, 6/1/44 4.0 06/01/2044 250,448 210,419
Fannie Mae, 4.0%, 8/1/44 4.0 08/01/2044 597,740 547,704
University of Virginia, 5.0%, 4/1/45 5.0 04/01/2045 3,100,000 3,601,370
Burlington Northern Santa Fe LLC, 4.15%, 4/1/45 4.15 04/01/2045 13,825,000 13,334,468
Crockett Cogeneration LP, 5.869%, 3/30/25 (144A) 5.869 03/30/2025 1,010,000 584,434
KeyCorp, 5.1%, 3/24/21 5.1 03/24/2021 7,378,000 8,380,360
Government National Mortgage Association I, 5.0%, 4/15/34 5.0 04/15/2034 1,504,329 162,407
Fannie Mae, 6.5%, 7/1/29 6.5 07/01/2029 500,000 10,531
FREMF Mortgage Trust 2013-K713, Floating Rate Note, 4/25/46 (144A) 3.1652 04/25/2046 3,000,000 3,046,099
Pride International, Inc., 6.875%, 8/15/20 6.875 08/15/2020 1,025,000 1,204,475
Crown Castle Towers LLC, 4.883%, 8/15/20 (144A) 4.883 08/15/2020 3,015,000 3,302,093
American Homes 4 Rent 2014-SFR3 Trust, 4.596%, 12/18/36 (144A) 4.596 12/18/2036 2,800,000 2,960,613
Government National Mortgage Association I, 6.5%, 11/15/31 6.5 11/15/2031 100,000 6,296
Government National Mortgage Association I, 4.5%, 8/15/41 4.5 08/15/2041 5,900,000 2,349,540
SpringCastle America Funding LLC, 2.7%, 5/25/23 2.7 05/25/2023 2,600,000 2,087,773
Massachusetts Institute of Technology, 5.6%, 7/1/11 5.6   1,100,000 1,415,813
STORE Master Funding LLC, 4.16%, 3/20/43 (144A) 4.16 03/20/2043 300,000 298,464
Fannie Mae, 4.5%, 2/1/41 4.5 02/01/2041 2,435,128 1,263,544
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 3.5593 06/25/2043 6,700,000 6,447,247
Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A) 2.38 03/20/2029 4,692,000 1,065,415
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 3,594,840 262,867
CommScope, Inc., Tranche 4 Term Loan, 1/14/18 3.25 01/14/2018 489,771 489,924
JP Morgan Mortgage Trust 2004-S1, 6.0%, 9/25/34 6.0 09/25/2034 9,800,000 1,752,430
Fannie Mae, 6.0%, 6/1/38 6.0 06/01/2038 2,250,000 408,959
Government National Mortgage Association I, 6.0%, 3/15/32 6.0 03/15/2032 80,300 2,987
Federal Home Loan Mortgage Corp., 6.0%, 3/1/33 6.0 03/01/2033 5,524,534 272,044
Flt% 15jun16 0.0 06/15/2016 500,000 482,450
Government National Mortgage Association I, 5.5%, 10/15/33 5.5 10/15/2033 1,509,492 115,757
Government National Mortgage Association I, 5.5%, 8/15/19 5.5 08/15/2019 4,380,618 188,260
Fannie Mae, 7.0%, 12/1/30 7.0 12/01/2030 525,099 9,992
Fannie Mae, 6.0%, 1/1/29 6.0 01/01/2029 60,204 1,105
Electricite de France SA, Floating Rate Note (Perpetual) (144A) 5.25 12/31/2049 2,150,000 2,272,004
Morgan Stanley Capital I Trust 2005-HQ6 REMICS, Floating Rate Note, 8/13/42 5.073 08/13/2042 2,400,000 263,741
Fannie Mae, 4.0%, 2/1/43 4.0 02/01/2043 2,065,000 1,444,749
Government National Mortgage Association II, 5.5%, 4/20/34 5.5 04/20/2034 2,500,000 299,404
Fannie Mae, 8.0%, 2/1/29 8.0 02/01/2029 240,000 2,706
Government National Mortgage Association, 3.0%, 4/20/41 3.0 04/20/2041 2,000,000 1,569,319
Amherst College, 3.794%, 11/1/42 3.794 11/01/2042 525,000 514,608
Nordea Bank AB, Floating Rate Note (Perpetual) (144A) 6.125 12/31/2049 5,600,000 5,800,364
Federal Home Loan Mortgage Corp., 4.5%, 3/1/20 4.5 03/01/2020 4,000,000 226,205
Citigroup, Inc., Floating Rate Note (Perpetual) 5.875 12/31/2049 2,925,000 2,980,352
Federal Home Loan Mortgage Corp., 5.5%, 12/1/18 5.5 12/01/2018 2,500,000 243,086
State of Texas, 4.0%, 10/1/44 4.0 10/01/2044 3,000,000 3,111,617
Fannie Mae, 3.5%, 7/1/43 3.5 07/01/2043 3,767,763 3,398,930
Fifth Third Bancorp, Floating Rate Note (Perpetual) 6.625 12/31/2049 17,380 494,635
HCA, Inc., Tranche B-5 Term Loan, 3/31/17 2.9354 03/31/2017 1,766,709 1,768,917
Tyco Electronics Group SA, 6.55%, 10/1/17 6.55 10/01/2017 2,950,000 3,319,829
Verizon Communications, Inc., 5.15%, 9/15/23 5.15 09/15/2023 5,100,000 5,750,450
Government National Mortgage Association I, 6.0%, 4/15/18 6.0 04/15/2018 1,038,016 22,622
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 0.5348 06/25/2034 24,782,615 1,865,872
Credit Suisse New York NY, 1.75%, 1/29/18 1.75 01/29/2018 7,000,000 7,037,618
Prudential Financial, Inc., Floating Rate Note, 6/15/68 8.875 06/15/2068 2,140,000 2,597,269
Government National Mortgage Association I, 6.5%, 9/15/34 6.5 09/15/2034 121,399 4,844
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42 4.966 08/15/2042 2,800,000 2,817,834
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 2.7 08/15/2018 850,000 861,738
Government National Mortgage Association I, 6.0%, 4/15/33 6.0 04/15/2033 1,000,000 28,664
Mid-State Capital Trust 2010-1, 5.25%, 12/15/45 (144A) 5.25 12/15/2045 950,000 708,211
Government National Mortgage Association II, 5.5%, 3/20/34 5.5 03/20/2034 3,000,000 331,039
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 1,500,000 1,506,987
GS Mortgage Securities Trust 2012-GCJ7, 3.377%, 5/12/45 3.377 05/12/2045 1,250,000 1,321,748
Fannie Mae, 6.0%, 2/1/35 6.0 02/01/2035 62,166 7,111
Government National Mortgage Association I, 5.5%, 2/15/35 5.5 02/15/2035 500,000 59,776
Fannie Mae, 3.5%, 12/1/42 3.5 12/01/2042 1,015,373 798,528
RALI Series 2004-QS3 Trust, 5.0%, 3/25/19 5.0 03/25/2019 13,042,000 934,606
Federal Home Loan Mortgage Corp., 4.0%, 1/1/44 4.0 01/01/2044 4,260,000 3,496,533
Federal Home Loan Mortgage Corp., 4.0%, 9/1/44 4.0 09/01/2044 11,749,606 11,902,135
Federal Home Loan Mortgage Corp., 6.0%, 9/1/33 6.0 09/01/2033 3,396,240 202,662
Government National Mortgage Association I, 5.5%, 6/15/35 5.5 06/15/2035 900,000 180,845
Cinedigm Digital Funding I LLC, Term Loan, 2/28/18 3.75 02/28/2018 338,608 339,031
Aspen Insurance Holdings, Ltd., Floating Rate Note (Perpetual) 5.95 12/31/2049 50,000 1,285,500
Alterra Finance LLC, 6.25%, 9/30/20 6.25 09/30/2020 3,000,000 3,531,686
AutoZone, Inc., 2.5%, 4/15/21 2.5 04/15/2021 2,575,000 2,565,320
Progreso Receivables Funding III LLC, 3.625%, 1/30/25 (144A) 3.625 01/30/2025 3,200,000 3,207,089
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 1.6 06/19/2031 2,200,000 2,188,705
Fannie Mae, 4.5%, 7/1/41 4.5 07/01/2041 5,000,000 2,279,299
Australia & New Zealand Banking Group, Ltd., 4.5%, 3/19/24 (144A) 4.5 03/19/2024 5,215,000 5,439,965
Fannie Mae, 4.0%, 2/1/42 4.0 02/01/2042 24,300,000 11,695,934
Federal Home Loan Mortgage Corp., 6.5%, 5/1/31 6.5 05/01/2031 100,010 183
Fannie Mae, 6.5%, 7/1/34 6.5 07/01/2034 1,095,000 35,451
Fannie Mae, 4.5%, 1/1/42 4.5 01/01/2042 11,834,581 8,372,970
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 9.26 06/06/2017 250,000 264,960
Bayview Commercial Asset Trust 2007-2, 0.0%, 7/27/37 (Step) (144A) 0.0 07/27/2037 21,000,000 0
La Hipotecaria Panamanian Mortgage Trust 2010-1, Floating Rate Note, 9/8/39 (144A) 2.5 09/08/2039 750,000 493,225
Fannie Mae, 4.0%, 1/1/45 4.0 01/01/2045 868,181 918,189
Sequoia Mortgage Trust 2003-2, Floating Rate Note, 6/20/33 0.844 06/20/2033 53,935,000 2,776,921
Standard Chartered Bank, 6.4%, 9/26/17 (144A) 6.4 09/26/2017 2,200,000 2,437,894
Government National Mortgage Association I, 6.5%, 10/15/31 6.5 10/15/2031 9,167,721 149,545
Commercial Mortgage Pass Through Certificates, 2.822%, 10/17/45 2.822 10/17/2045 2,875,000 2,934,643
CSMC Trust 2013-IVR4, Floating Rate Note, 7/27/43 (144A) 3.0 07/27/2043 3,790,000 3,256,412
Alternative Loan Trust 2003-14T1, Floating Rate Note, 8/25/18 0.6348 08/25/2018 11,900,000 412,194
GS Mortgage Securities Trust 2006-GG8 REMICS, 5.56%, 11/10/39 5.56 11/10/2039 900,000 851,266
Government National Mortgage Association I, 4.0%, 4/15/44 4.0 04/15/2044 58,312 16,492
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 0.6813 06/25/2035 4,920,000 1,467,165
Freeport-McMoRan, Inc., 3.875%, 3/15/23 3.875 03/15/2023 1,850,000 1,755,722
Government National Mortgage Association I, 4.5%, 9/15/35 4.5 09/15/2035 393,589 53,372
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 2.4925 10/25/2033 11,067,000 424,297
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 0.3556 04/16/2035 5,102,315 1,928,908
Government National Mortgage Association I, 4.0%, 11/15/43 4.0 11/15/2043 32,084 33,834
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/20 (Cat Bond) (144A) 6.8551 04/07/2020 1,350,000 1,381,883
The Goodyear Tire & Rubber Co., Loan (Second Lien), 4/30/19 4.75 04/30/2019 3,491,667 3,520,036
Viterra, Inc., 5.95%, 8/1/20 (144A) 5.95 08/01/2020 5,175,000 5,899,164
Motiva Enterprises LLC, 6.85%, 1/15/40 (144A) 6.85 01/15/2040 3,800,000 4,570,969
Standard Chartered Plc, 3.95%, 1/11/23 (144A) 3.95 01/11/2023 4,800,000 4,877,056
Government National Mortgage Association I, 4.0%, 3/15/44 4.0 03/15/2044 1,083,496 845,740
Federal Home Loan Mortgage Corp., 5.5%, 11/1/35 5.5 11/01/2035 1,000,000 60,094
Government National Mortgage Association I, 6.5%, 6/15/34 6.5 06/15/2034 1,330,499 197,170
Government National Mortgage Association I, 6.5%, 5/15/32 6.5 05/15/2032 1,000,000 14,248
Government National Mortgage Association I, 6.5%, 2/15/34 6.5 02/15/2034 733,600 56,883
Government National Mortgage Association I, 7.0%, 8/15/31 7.0 08/15/2031 17,500,000 206,789
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.1348 10/25/2037 1,079,000 227,970
Fannie Mae, 3.0%, 8/1/42 3.0 08/01/2042 24,375,000 21,909,817
DaVita HealthCare Partners, Inc., Tranche B Term Loan, 6/19/21 3.5 06/19/2021 251,775 252,877
LSTAR Securities Investment Trust 2015-4, Floating Rate Note, 4/1/20 (144A) 2.1785 04/01/2020 5,651,000 5,534,872
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 1,956,533 1,965,729
Hyundai Capital America, 1.45%, 2/6/17 (144A) 1.45 02/06/2017 2,245,000 2,253,144
Eaton Vance Corp., 6.5%, 10/2/17 6.5 10/02/2017 733,000 819,682
Government National Mortgage Association I, 3.5%, 1/15/45 3.5 01/15/2045 20,435,006 21,011,506
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2.0203 04/07/2017 1,000,000 998,433
FCA US LLC, Term Loan B, 5/24/17 3.5 05/24/2017 3,768,188 3,778,942
Duke Realty LP, 3.75%, 12/1/24 3.75 12/01/2024 5,300,000 5,497,256
Affiliated Managers Group, Inc., 4.25%, 2/15/24 4.25 02/15/2024 2,525,000 2,689,082
Wells Fargo Commercial Mortgage Trust 2012-LC5 REMICS, 3.539%, 10/17/45 3.539 10/17/2045 1,927,000 2,030,580
Fannie Mae, 4.0%, 2/1/45 4.0 02/01/2045 875,790 882,152
Fannie Mae, 6.0%, 11/1/34 6.0 11/01/2034 271,485 19,661
Fannie Mae, 5.0%, 2/1/20 5.0 02/01/2020 700,000 58,705
Fannie Mae, 4.5%, 10/1/35 4.5 10/01/2035 3,754,694 315,884
Fannie Mae, 4.0%, 11/1/44 4.0 11/01/2044 225,000 229,898
Government National Mortgage Association I, 5.5%, 11/15/34 5.5 11/15/2034 4,800,000 739,332
Government National Mortgage Association I, 6.5%, 5/15/31 6.5 05/15/2031 1,798,476 27,508
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 1/25/35 2.3979 01/25/2035 3,080,000 664,686
Dollar Tree Air Inc 1st Lien Tl-B L + 3.5% 06feb22 4.25 02/06/2022 750,000 758,198
Texas Transportation Commission State Highway Fund, 5.0%, 4/1/33 5.0 04/01/2033 1,000,000 1,163,264
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 2.2356 09/18/2031 3,360,000 3,388,374
EP Energy LLC, 9.375%, 5/1/20 9.375 05/01/2020 1,800,000 1,968,844
Government National Mortgage Association I, 4.0%, 12/15/41 4.0 12/15/2041 28,465 12,257
Government National Mortgage Association I, 6.5%, 10/15/31 6.5 10/15/2031 3,015,231 44,821
Government National Mortgage Association I, 7.0%, 6/15/31 7.0 06/15/2031 3,800,000 47,366
QVC, Inc., 4.45%, 2/15/25 4.45 02/15/2025 7,300,000 7,342,232
Fannie Mae, 6.0%, 5/1/35 6.0 05/01/2035 1,799,482 79,138
MacDermid, Inc., Tranche B Term Loan (First Lien), 6/7/20 4.5 06/07/2020 913,849 919,561
Spirit Master Funding LLC, 4.6291%, 1/20/45 (144A) 4.6291 01/20/2045 3,300,000 3,397,843
Government National Mortgage Association I, 7.0%, 8/15/28 7.0 08/15/2028 200,000 2,252
Fannie Mae, 4.0%, 12/1/42 4.0 12/01/2042 142,828 45,688
WP Carey, Inc., 4.6%, 4/1/24 4.6 04/01/2024 1,715,000 1,774,186
Fannie Mae, 5.0%, 10/1/20 5.0 10/01/2020 4,036,945 448,216
CDGJ Commercial Mortgage Trust 2014-BXCH, Floating Rate Note, 12/15/27 (144A) 2.6856 12/15/2027 3,990,000 4,002,781
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 2.6598 12/25/2034 3,200,000 255,519
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 15,000,000 13,469,761
Government National Mortgage Association I, 4.0%, 3/15/44 4.0 03/15/2044 12,909,682 9,101,974
Fannie Mae, 4.5%, 11/1/43 4.5 11/01/2043 430,000 424,049
Cisco Systems, Inc., 3.625%, 3/4/24 3.625 03/04/2024 3,485,000 3,683,902
Government National Mortgage Association I, 7.0%, 3/15/31 7.0 03/15/2031 1,750,000 20,514
First Investors Auto Owner Trust 2014-3, 2.97%, 11/16/20 (144A) 2.97 11/16/2020 2,100,000 2,110,506
B2R Mortgage Trust 2015-1, 2.524%, 5/15/48 (144A) 2.524 05/15/2048 1,100,000 1,099,967
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 2.75 01/23/2021 665,128 666,553
Ardent Medical Services, Inc., Term Loan (First Lien), 7/2/18 6.75 07/02/2018 499,694 501,984
The George Washington University, 1.827%, 9/15/17 1.827 09/15/2017 1,900,000 1,934,484
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 1.384 11/20/2036 5,300,000 1,078,499
Dominion Resources, Inc. Virginia, 3.625%, 12/1/24 3.625 12/01/2024 8,700,000 8,987,617
CF Industries, Inc., 5.15%, 3/15/34 5.15 03/15/2034 4,845,000 5,136,321
Fannie Mae, 4.0%, 11/1/44 4.0 11/01/2044 183,097 183,329
Seagate HDD Cayman, 4.875%, 6/1/27 (144A) 4.875 06/01/2027 3,700,000 3,745,324
Government National Mortgage Association I, 7.5%, 8/15/29 7.5 08/15/2029 2,007,985 20,037
CSMC Trust 2014-WIN1, Floating Rate Note, 9/25/44 (144A) 3.0 09/25/2044 11,130,000 6,939,600
Standard Aero, Ltd., Replacement Tranche B-2 Loan, 11/2/18 5.0 11/02/2018 544,335 546,714
DuPont Fabros Technology LP, 5.875%, 9/15/21 5.875 09/15/2021 1,250,000 1,315,299
JP Morgan Mortgage Trust 2004-S1, 5.0%, 9/25/34 5.0 09/25/2034 17,960,288 808,641
Weatherford International, Ltd. Bermuda, 9.625%, 3/1/19 9.625 03/01/2019 2,815,000 3,379,613
Barclays Plc, 3.65%, 3/16/25 3.65 03/16/2025 5,250,000 5,193,614
Valero Energy Corp., 9.375%, 3/15/19 9.375 03/15/2019 2,890,000 3,656,966
Wilton Re Finance LLC, Floating Rate Note, 3/30/33 (144A) 5.875 03/30/2033 1,400,000 1,516,314
Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A) 1.87 08/20/2029 750,000 205,389
New Residential Mortgage Loan Trust 2014-2, Floating Rate Note, 5/26/54 (144A) 3.75 05/26/2054 4,978,000 4,307,504
Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 6.0 12/01/2033 2,000,000 180,931
Fannie Mae, 4.5%, 11/1/40 4.5 11/01/2040 8,151,476 3,073,778
Fannie Mae, 3.0%, 12/1/42 3.0 12/01/2042 2,352,529 1,942,376
Government National Mortgage Association I, 4.0%, 3/15/44 4.0 03/15/2044 454,143 299,748
Entegris, Inc., 6.0%, 4/1/22 (144A) 6.0 04/01/2022 2,500,000 2,637,083
Government National Mortgage Association I, 4.5%, 10/15/33 4.5 10/15/2033 2,103,237 413,573
Becton Dickinson and Co., 3.734%, 12/15/24 3.734 12/15/2024 10,525,000 10,922,773
Merrill Lynch Mortgage Investors Trust Series 2005-A3, Floating Rate Note, 4/25/35 0.4548 04/25/2035 27,604,109 2,967,870
Government National Mortgage Association II, 4.5%, 3/20/35 4.5 03/20/2035 500,000 74,975
Morgan Stanley, 4.875%, 11/1/22 4.875 11/01/2022 300,000 324,909
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 216,972 186,647
Federal Home Loan Mortgage Corp., 4.0%, 4/1/45 4.0 04/01/2045 2,507,831 2,680,014
Trafigura Securitisation Finance Plc. 2014-1, Floating Rate Note, 4/16/18 (144A) 2.4356 04/16/2018 800,000 802,416
Government National Mortgage Association I, 6.0%, 1/15/17 6.0 01/15/2017 705,441 6,515
SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A) 2.0 09/20/2029 1,200,000 535,960
Leaf Receivables Funding 10 LLC, 3.16%, 3/15/21 (144A) 3.16 03/15/2021 550,000 549,116
CNH Equipment Trust 2013-A, 0.69%, 6/15/18 0.69 06/15/2018 1,200,000 635,677
Federal Home Loan Mortgage Corp., 6.0%, 1/1/34 6.0 01/01/2034 500,000 49,858
Government National Mortgage Association I, 4.0%, 11/15/40 4.0 11/15/2040 245,475 73,075
Fannie Mae, 6.0%, 2/1/33 6.0 02/01/2033 2,200,000 20,626
Federal Home Loan Mortgage Corp., 6.5%, 5/1/31 6.5 05/01/2031 1,043,809 8,112
Telefonica Emisiones SAU, 6.221%, 7/3/17 6.221 07/03/2017 2,750,000 3,085,834
Government National Mortgage Association I, 5.5%, 2/15/18 5.5 02/15/2018 4,000,000 109,113
Federal Home Loan Mortgage Corp., 5.0%, 9/1/38 5.0 09/01/2038 7,240,000 583,286
Siemens Financieringsmaatschappij NV, 4.4%, 5/27/45 (144A) 4.4 05/27/2045 5,000,000 5,139,933
Electricite de France SA, 6.0%, 1/22/14 (144A) 6.0   4,250,000 4,857,029
Fannie Mae, 4.0%, 7/1/42 4.0 07/01/2042 624,000 404,449
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5 REMICS, Floating Rate Note, 7/15/31 (1 2.1982 07/15/2031 900,000 897,269
Corporate Office Properties LP, 3.6%, 5/15/23 3.6 05/15/2023 1,085,000 1,041,097
Teachers Insurance & Annuity Association of America, 6.85%, 12/16/39 (144A) 6.85 12/16/2039 3,205,000 4,353,869
Federal Home Loan Mortgage Corp., 6.5%, 8/1/31 6.5 08/01/2031 1,070,805 4,998
Fannie Mae, 6.5%, 10/1/32 6.5 10/01/2032 2,811,012 87,413
Kane Zero% 22jan16 0.0 01/22/2016 800,000 816,560
Lincoln National Corp., 8.75%, 7/1/19 8.75 07/01/2019 1,690,000 2,170,569
WideOpenWest Finance LLC, Replacement Term B Loan, 4/1/19 4.5 04/01/2019 147,571 147,802
Government National Mortgage Association I, 5.5%, 2/15/18 5.5 02/15/2018 4,000,000 150,390
Government National Mortgage Association I, 6.0%, 1/15/33 6.0 01/15/2033 2,500,000 54,299
Fannie Mae, 5.0%, 2/1/22 5.0 02/01/2022 7,621,650 382,880
Fannie Mae, 4.5%, 7/1/41 4.5 07/01/2041 750,000 400,154
Federal Home Loan Mortgage Corp., 6.0%, 6/1/35 6.0 06/01/2035 3,600,000 145,757
Panoche Energy Center LLC, 6.885%, 7/31/29 (144A) 6.885 07/31/2029 2,610,000 2,619,336
Valero Energy Corp., 6.625%, 6/15/37 6.625 06/15/2037 2,825,000 3,428,252
Government National Mortgage Association I, 5.5%, 12/15/18 5.5 12/15/2018 406,708 33,314
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 1.5348 06/25/2033 2,336,716 1,236,136
Federal Home Loan Mortgage Corp., 5.0%, 12/1/21 5.0 12/01/2021 450,000 31,685
Fannie Mae, 4.5%, 5/1/41 4.5 05/01/2041 454,433 170,604
United States Treasury Floating Rate Note, Floating Rate Note, 1/31/17 0.099 01/31/2017 16,435,000 16,441,679
Government National Mortgage Association I, 4.5%, 3/15/35 4.5 03/15/2035 1,722,219 154,338
Government National Mortgage Association I, 4.0%, 11/15/41 4.0 11/15/2041 25,000 8,157
Fannie Mae, 5.0%, 12/1/17 5.0 12/01/2017 499,951 12,003
Essex Portfolio LP, 3.5%, 4/1/25 3.5 04/01/2025 9,125,000 9,120,485
Fannie Mae, 5.0%, 2/1/41 5.0 02/01/2041 17,669,429 6,694,000
Government National Mortgage Association I, 6.5%, 4/15/35 6.5 04/15/2035 517,486 84,815
Fannie Mae, 6.0%, 6/1/16 6.0 06/01/2016 4,000,000 7,882
Federal Home Loan Mortgage Corp., 4.0%, 11/1/42 4.0 11/01/2042 255,000 199,162
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 1,500,000 1,541,816
SunTrust Banks, Inc., 3.5%, 1/20/17 3.5 01/20/2017 1,025,000 1,073,053
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 812,515 779,106
NRP Mortgage Trust 2013-1, Floating Rate Note, 7/25/43 (144A) 3.25 07/25/2043 5,825,000 5,240,237
Viasystems, Inc., 7.875%, 5/1/19 (144A) 7.875 05/01/2019 2,500,000 2,665,859
Valeant Pharmaceuticals Internatio 1st Lien Tl-Bf1 L + 3.25% 13mar22 4.0 03/13/2022 1,000,000 1,004,091
Fannie Mae, 6.5%, 9/1/31 6.5 09/01/2031 2,000,000 8,988
Gilead Sciences, Inc., 4.5%, 2/1/45 4.5 02/01/2045 7,550,000 7,884,374
Government National Mortgage Association I, 7.0%, 4/15/28 7.0 04/15/2028 266,017 2,787
EnLink Midstream Partners LP, 4.4%, 4/1/24 4.4 04/01/2024 7,040,000 7,271,983
Bed Bath & Beyond, Inc., 3.749%, 8/1/24 3.749 08/01/2024 2,000,000 2,062,347
Government National Mortgage Association I, 6.5%, 7/15/32 6.5 07/15/2032 5,169,128 53,521
Tufts University, 5.017%, 4/15/12 5.017   3,550,000 3,778,078
Masco Corp., 4.45%, 4/1/25 4.45 04/01/2025 1,050,000 1,086,129
Government National Mortgage Association I, 6.0%, 5/15/33 6.0 05/15/2033 4,328,221 222,353
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 8/25/24 1.5348 08/25/2024 3,570,000 1,704,631
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7, Floating Rate Note, 2/11/41 5.214 02/11/2041 1,000,000 1,004,229
Springleaf Mortgage Loan Trust 2013-1, Floating Rate Note, 6/25/58 (144A) 3.79 06/25/2058 750,000 757,457
Kane Zero% 15jan16 0.0 01/15/2016 1,012,000 1,019,691
Fannie Mae, 8.0%, 7/1/30 8.0 07/01/2030 100,000 567
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 2.35 10/25/2035 1,049,340 239,487
Newfield Exploration Co., 5.375%, 1/1/26 5.375 01/01/2026 2,360,000 2,470,789
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 3.9651 05/18/2016 1,800,000 1,807,050
US Airways 2013-1 Class A Pass Through Trust, 3.95%, 5/15/27 3.95 05/15/2027 1,500,000 1,450,060
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 1.486 03/16/2026 1,895,000 1,894,083
COMM 2013-LC6 Mortgage Trust, 2.941%, 1/12/46 2.941 01/12/2046 1,900,000 1,944,441
Federal Home Loan Mortgage Corp., 6.0%, 1/1/33 6.0 01/01/2033 1,890,000 72,321
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.5203 04/30/2018 350,000 351,881
Government National Mortgage Association I, 4.0%, 6/15/39 4.0 06/15/2039 28,840 10,181
Fannie Mae, 4.5%, 7/1/41 4.5 07/01/2041 5,000,000 2,674,277
Government National Mortgage Association I, 4.0%, 10/15/41 4.0 10/15/2041 52,992 10,534
BAMLL Commercial Mortgage Securities Trust 2015-ASHF, Floating Rate Note, 1/18/28 (144A) 1.896 01/18/2028 4,200,000 4,200,493
Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37 0.3348 03/25/2037 550,000 268,728
Federal Home Loan Mortgage Corp., 4.5%, 11/1/43 4.5 11/01/2043 637,703 427,267
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 1.47 05/15/2018 1,250,000 151,045
BCMSC Trust 1998-A, 6.65%, 4/15/28 6.65 04/15/2028 10,000,000 5,180
OneMain Financial Issuance Trust 2015-1, 3.19%, 3/18/26 (144A) 3.19 03/18/2026 1,500,000 1,518,488
Fannie Mae, 3.5%, 2/1/29 3.5 02/01/2029 4,606,320 3,948,758
Progress Residential 2015-SFR1 Trust, Floating Rate Note, 2/20/32 (144A) 2.5856 02/20/2032 2,700,000 2,734,804
Ally Financial, Inc., 3.6%, 5/21/18 3.6 05/21/2018 1,500,000 1,509,150
VOLT XXXIII LLC, 3.5%, 3/25/55 (Step) (144A) 3.5 03/25/2055 4,000,000 3,969,209
NextGear Floorplan Master Owner Trust, 1.92%, 10/15/19 (144A) 1.92 10/15/2019 1,050,000 1,054,816
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 2.4 11/17/2025 1,750,000 392,342
Fannie Mae, 4.0%, 1/1/42 4.0 01/01/2042 2,000,000 793,560
Wells Fargo Commercial Mortgage Trust 2014-TISH REMICS, Floating Rate Note, 2/16/27 (144A) 2.036 02/16/2027 5,300,000 5,310,474
COMM 2012-CCRE2 Mortgage Trust REMICS, 3.791%, 8/17/45 3.791 08/17/2045 450,000 480,998
Fannie Mae, 6.0%, 9/1/34 6.0 09/01/2034 2,000,000 87,022
NBTY, Inc., Term B-2 Loan, 10/1/17 3.5 10/01/2017 861,429 857,660
MASTR Adjustable Rate Mortgages Trust 2005-1, Floating Rate Note, 1/25/35 3.157 01/25/2035 6,959,000 529,782
Holcim US Finance Sarl & Cie SCS, 6.0%, 12/30/19 (144A) 6.0 12/30/2019 475,000 554,576
JobsOhio Beverage System, 4.532%, 1/1/35 4.532 01/01/2035 1,035,000 1,133,374
Federal Home Loan Mortgage Corp., 4.5%, 11/1/40 4.5 11/01/2040 12,403,700 5,627,270
JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2, 3.6159%, 11/15/43 (144A) 3.6159 11/15/2043 1,600,000 1,682,542
Verisk Analytics, Inc., 5.5%, 6/15/45 5.5 06/15/2045 4,125,000 4,246,232
Enel S.p.A., Floating Rate Note, 9/24/73 (144A) 8.133 09/24/2073 2,320,000 2,798,017
AT&T, Inc., 4.75%, 5/15/46 4.75 05/15/2046 2,250,000 2,150,306
QBE Insurance Group, Ltd., 2.4%, 5/1/18 (144A) 2.4 05/01/2018 1,100,000 1,112,879
CeramTec Service GmbH, Initial Dollar Term B-1 Loan, 8/30/20 4.25 08/30/2020 1,043,696 1,048,263
Southwest Airlines Co., 2.75%, 11/6/19 2.75 11/06/2019 2,350,000 2,409,745
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 1.2848 01/25/2035 2,340,000 2,280,802
Federal Home Loan Mortgage Corp., 5.5%, 11/1/34 5.5 11/01/2034 1,900,000 189,207
Wells Fargo Bank NA, 6.0%, 11/15/17 6.0 11/15/2017 3,540,000 3,933,496
Government National Mortgage Association I, 7.5%, 10/15/29 7.5 10/15/2029 514,502 6,900
HLSS Servicer Advance Receivables Trust, 3.96%, 10/15/45 (144A) 3.96 10/15/2045 224,000 224,437
Federal Home Loan Mortgage Corp., 6.0%, 6/1/35 6.0 06/01/2035 3,778,102 141,986
Massachusetts Health & Educational Facilities Authority, 5.5%, 7/1/32 5.5 07/01/2032 1,425,000 1,924,197
Irwin Home Equity Loan Trust 2005-1, 5.32%, 6/25/35 (Step) 5.32 06/25/2035 4,350,000 391,981
Silverton RE, Ltd., 0.0%, 9/18/17 (Cat Bond) (144A) 0.0 09/18/2017 1,000,000 1,089,700
The Bank of New York Mellon Corp., Floating Rate Note (Perpetual) 4.5 12/31/2049 1,250,000 1,215,625
Wells Fargo Commercial Mortgage Trust 2010-C1, 3.349%, 11/18/43 (144A) 3.349 11/18/2043 3,900,000 2,628,085
FPL Energy American Wind LLC, 6.639%, 6/20/23 (144A) 6.639 06/20/2023 2,520,000 714,458
CSMC Trust 2013-IVR4, Floating Rate Note, 7/27/43 (144A) 3.0 07/27/2043 2,860,000 2,429,576
Fannie Mae, 5.0%, 5/1/23 5.0 05/01/2023 4,380,644 545,037
Time Warner, Inc., 4.7%, 1/15/21 4.7 01/15/2021 8,300,000 9,260,767
Merna Reinsurance, Ltd., Floating Rate Note, 4/9/18 (Cat Bond) (144A)   04/09/2018 750,000 747,450
Government National Mortgage Association I, 5.5%, 2/15/35 5.5 02/15/2035 2,043,628 117,403
Macquarie Group, Ltd., 6.0%, 1/14/20 (144A) 6.0 01/14/2020 2,730,000 3,163,111
Capital One Financial Corp., 3.75%, 4/24/24 3.75 04/24/2024 6,650,000 6,781,391
Sabine Pass LNG LP, 6.5%, 11/1/20 6.5 11/01/2020 3,500,000 3,702,076
Tronox Pigments Holland BV, New Term Loan, 3/19/20 4.25 03/19/2020 766,815 770,602
Federal Home Loan Mortgage Corp., 4.0%, 5/1/44 4.0 05/01/2044 12,595,000 10,395,273
Restaurant Brands 1st Lien Tl-B L + 2.75% 12dec21 3.75 12/12/2021 365,511 366,882
Brown & Brown, Inc., 4.2%, 9/15/24 4.2 09/15/2024 5,000,000 5,103,060
Fannie Mae, 4.0%, 4/1/39 4.0 04/01/2039 7,360,371 1,906,681
Enel Finance International NV, 5.125%, 10/7/19 (144A) 5.125 10/07/2019 3,365,000 3,761,266
Sequoia Mortgage Trust 2015-2, Floating Rate Note, 5/25/45 (144A) 3.5 05/25/2045 8,762,000 8,930,453
CHL Mortgage Pass-Through Trust 2003-56, Floating Rate Note, 12/25/33 2.5891 12/25/2033 10,000,000 479,700
Federal National Mortgage Association, 4.0%, 11/1/34 4.0 11/01/2034 507,128 500,704
Prudential Financial, Inc., 4.5%, 11/16/21 4.5 11/16/2021 1,090,000 1,202,580
Government National Mortgage Association I, 6.0%, 8/15/36 6.0 08/15/2036 4,350,000 446,385
Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A) 1.55 11/15/2017 1,326,000 669,996
Garda World Security Corp., Term B Loan, 11/1/20 4.0 11/01/2020 792,577 792,577
Spirit Master Funding LLC, 5.74%, 3/20/42 (144A) 5.74 03/20/2042 268,008 295,488
Federal Home Loan Mortgage Corp., 5.0%, 11/1/34 5.0 11/01/2034 250,000 24,371
Government National Mortgage Association I, 7.75%, 2/15/30 7.75 02/15/2030 500,000 2,472
American Homes 4 Rent 2015-SFR1, 4.11%, 4/17/45 (144A) 4.11 04/17/2045 900,000 915,348
Federal Home Loan Mortgage Corp., 6.0%, 4/1/36 6.0 04/01/2036 7,000,000 527,816
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 4,256,655 191,538
Asciano Finance, Ltd., 4.625%, 9/23/20 (144A) 4.625 09/23/2020 529,000 572,186
TransCanada PipeLines, Ltd., 1.875%, 1/12/18 1.875 01/12/2018 4,425,000 4,503,497
Duke Realty LP, 3.625%, 4/15/23 3.625 04/15/2023 2,175,000 2,212,123
Selma Industrial Development Board, 5.8%, 5/1/34 5.8 05/01/2034 2,310,000 2,661,356
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 6/25/34 2.7447 06/25/2034 4,049,418 520,852
Fannie Mae, 4.5%, 4/1/41 4.5 04/01/2041 6,978,836 3,193,075
Government National Mortgage Association I, 6.5%, 4/15/31 6.5 04/15/2031 8,257,522 114,524
Fannie Mae, 6.0%, 2/1/35 6.0 02/01/2035 180,000 17,363
Countrywide Asset-Backed Certificates, Floating Rate Note, 12/25/35 4.9244 12/25/2035 10,124,000 2,007,450
Pinnacle Foods Finance LLC, New Term Loan G, 4/29/20 3.0 04/29/2020 20,755 20,728
Helmerich & Payne International Drilling Co., 4.65%, 3/15/25 (144A) 4.65 03/15/2025 6,050,000 6,401,492
Fannie Mae, 4.0%, 6/1/42 4.0 06/01/2042 3,678,905 1,060,913
Ally Financial, Inc., 5.125%, 9/30/24 5.125 09/30/2024 5,050,000 5,206,760
Government National Mortgage Association I, 4.5%, 6/15/41 4.5 06/15/2041 3,601,538 1,695,862
Government National Mortgage Association I, 6.0%, 9/15/32 6.0 09/15/2032 1,406,079 112,487
Government National Mortgage Association I, 5.5%, 11/15/18 5.5 11/15/2018 1,443,964 50,072
JPMorgan Chase & Co., Floating Rate Note, 12/29/49 6.125 12/29/2049 1,890,000 1,956,347
Cantor Fitzgerald LP, 7.875%, 10/15/19 (144A) 7.875 10/15/2019 2,980,000 3,208,032
Grain Spectrum Funding II LLC, 3.29%, 10/10/19 (144A) 3.29 10/10/2019 1,400,000 1,387,051
BioMed Realty LP, 4.25%, 7/15/22 4.25 07/15/2022 900,000 948,449
Government National Mortgage Association I, 6.0%, 1/15/19 6.0 01/15/2019 548,488 27,501
Fannie Mae, 3.5%, 9/1/44 3.5 09/01/2044 5,275,000 5,124,921
FPL Energy Wind Funding LLC, 6.876%, 6/27/17 (144A) 6.876 06/27/2017 1,050,000 102,251
American Honda Finance Corp., 1.2%, 7/14/17 1.2 07/14/2017 5,985,000 6,024,198
Federal Home Loan Mortgage Corp., 4.0%, 12/1/44 4.0 12/01/2044 2,975,000 2,988,320
Thornburg Mortgage Securities Trust 2004-3, Floating Rate Note, 9/25/34 0.9248 09/25/2034 72,667,000 5,366,536
Federal Home Loan Mortgage Corp., 6.5%, 10/1/33 6.5 10/01/2033 2,000,000 51,688
Government National Mortgage Association I, 5.5%, 8/15/33 5.5 08/15/2033 750,075 54,475
GS Mortgage Securities Corp II, 3.682%, 2/12/46 (144A) 3.682 02/12/2046 1,000,000 1,030,886
GSR Mortgage Loan Trust 2004-7, Floating Rate Note, 6/25/34 2.818 06/25/2034 14,810,263 1,637,249
Seagate HDD Cayman, 4.75%, 6/1/23 4.75 06/01/2023 3,450,000 3,668,289
Federal Home Loan Mortgage Corp., 6.5%, 6/1/32 6.5 06/01/2032 39,022 299
Federal Home Loan Mortgage Corp., 4.5%, 3/1/42 4.5 03/01/2042 4,169,408 3,417,739
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 9.0051 06/06/2015 1,125,000 1,148,456
Government National Mortgage Association I, 4.5%, 4/15/35 4.5 04/15/2035 200,000 24,523
Fannie Mae, 5.0%, 7/1/40 5.0 07/01/2040 3,750,000 1,004,878
Government National Mortgage Association I, 5.5%, 11/15/19 5.5 11/15/2019 2,683,028 319,187
Sequoia Mortgage Trust 2013-9, 3.5%, 7/27/43 (144A) 3.5 07/27/2043 2,190,000 1,910,348
RESI Finance LP 2003-CB1, Floating Rate Note, 7/9/35 1.8315 07/09/2035 12,829,000 3,087,046
BLCP Hotel Trust, Floating Rate Note, 8/15/29 (144A) 2.136 08/15/2029 2,210,000 2,211,965
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 0.7848 06/25/2034 34,555,000 2,550,417
International Paper Co., 3.65%, 6/15/24 3.65 06/15/2024 6,975,000 7,137,895
California Educational Facilities Authority, 5.0%, 6/1/43 5.0 06/01/2043 1,980,000 2,581,665
Fannie Mae, 4.0%, 12/1/44 4.0 12/01/2044 101,566 94,057
PVH Corp., Tranche B Term Loan, 2/13/20 3.25 02/13/2020 410,685 413,316
Allison Transmission, Inc., Term B-3 Loan, 8/23/19 3.5 08/23/2019 1,134,303 1,141,534
Skopos Auto Receivables Trust 2015-1, 3.1%, 12/15/23 (144A) 3.1 12/15/2023 1,200,000 1,147,235
Fannie Mae, 4.0%, 8/1/42 4.0 08/01/2042 20,000,000 14,933,660
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 3.5 08/17/2020 1,403,625 1,406,829
Sector Re V, Ltd., 3/1/20 (Cat Bond) (144A) 0.0 03/01/2020 3,000,000 3,008,100
Government National Mortgage Association I, 6.0%, 10/15/32 6.0 10/15/2032 2,001,957 50,180
Federal National Mortgage Association REMICS, 5.0%, 7/25/33 5.0 07/25/2033 5,000,000 388,420
Government National Mortgage Association I, 4.0%, 10/15/41 4.0 10/15/2041 63,254 9,669
Federal Home Loan Mortgage Corp., 3.5%, 12/1/44 3.5 12/01/2044 10,570,000 10,645,113
Fannie Mae, 4.0%, 7/1/44 4.0 07/01/2044 11,110,000 10,255,945
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 3,750,000 524,415
Approach Resources, Inc., 7.0%, 6/15/21 7.0 06/15/2021 1,500,000 1,435,625
Fannie Mae, 4.5%, 12/1/41 4.5 12/01/2041 2,500,000 1,306,946
Fannie Mae, 6.0%, 9/1/34 6.0 09/01/2034 352,132 17,551
Government National Mortgage Association I, 5.0%, 7/15/19 5.0 07/15/2019 26,391 1,424
Alkermes, Inc., 2019 Term Loan, 9/25/19 3.5 09/25/2019 748,082 749,484
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 2.6245 07/25/2033 27,814,878 1,116,408
Aflac, Inc., 3.625%, 11/15/24 3.625 11/15/2024 7,000,000 7,204,347
Iberdrola International BV, 6.75%, 7/15/36 6.75 07/15/2036 4,475,000 5,725,165
CHS, Incremental 2019 Term G Loan, 12/31/19   12/31/2019 1,119,878 1,121,677
Fannie Mae, 6.5%, 12/1/31 6.5 12/01/2031 3,300,000 158,975
Home Equity Asset Trust 2005-7, Floating Rate Note, 1/25/36 0.5648 01/25/2036 750,000 354,463
FREMF Mortgage Trust 2012-K710, Floating Rate Note, 6/25/47 (144A) 3.8191 06/25/2047 2,010,000 2,099,184
U.S. Treasury Notes, 2.0%, 2/15/25 2.0 02/15/2025 4,400,000 4,388,155
Federal Home Loan Mortgage Corp., 6.0%, 5/1/17 6.0 05/01/2017 7,876,244 50,353
Government National Mortgage Association I, 6.0%, 2/15/33 6.0 02/15/2033 1,254,640 51,506
Medtronic, Inc., 4.625%, 3/15/45 (144A) 4.625 03/15/2045 7,300,000 7,682,779
Virginia Commonwealth Transportation Board, 4.0%, 5/15/32 4.0 05/15/2032 2,210,000 2,324,073
DIRECTV Holdings LLC, 3.95%, 1/15/25 3.95 01/15/2025 4,900,000 5,039,866
Fannie Mae, 6.0%, 3/1/32 6.0 03/01/2032 450,000 10,169
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 7.2703 07/05/2016 1,100,000 1,135,840
Terwin Mortgage Trust Series TMTS 2005-12ALT, 5.01925%, 7/25/36 (Step) 5.0193 07/25/2036 835,000 433,592
Government National Mortgage Association II, 4.5%, 9/20/41 4.5 09/20/2041 5,800,000 2,635,670
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4 REMICS, Floating Rate Note, 12/16/30 ( 2.386 12/16/2030 2,200,000 2,203,452
Blackstone Holdings Finance Co LLC, 6.25%, 8/15/42 (144A) 6.25 08/15/2042 1,975,000 2,427,317
Government National Mortgage Association I, 4.0%, 10/15/41 4.0 10/15/2041 40,767 8,942
SBP DPR Finance Co., Floating Rate Note, 3/15/17 (144A) 3.0206 03/15/2017 2,000,000 847,088
Government National Mortgage Association I, 6.0%, 9/15/35 6.0 09/15/2035 5,000,000 1,056,541
Energy Transfer Partners LP, Floating Rate Note, 11/1/66 3.2957 11/01/2066 1,200,000 1,041,186
Commonwealth Edison Co., 6.15%, 9/15/17 6.15 09/15/2017 980,000 1,098,933
Federal Home Loan Mortgage Corp., 3.5%, 3/1/45 3.5 03/01/2045 5,000,000 5,201,661
Government National Mortgage Association I, 4.0%, 11/15/44 4.0 11/15/2044 1,537,490 1,637,125
FREMF Mortgage Trust 2011-K702, Floating Rate Note, 4/25/44 (144A) 4.7711 04/25/2044 5,380,000 5,778,550
Crown Castle 1st Lien Term-B2 L + 2.5% 31jan21 3.0 01/31/2021 1,496,212 1,495,708
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 2.4289 11/25/2034 6,054,578 531,038
Government National Mortgage Association I, 5.5%, 8/15/19 5.5 08/15/2019 2,543,276 186,144
GATX Corp., 6.0%, 2/15/18 6.0 02/15/2018 5,660,000 6,333,427
Government National Mortgage Association I, 6.0%, 6/15/33 6.0 06/15/2033 368,522 16,501
Sinopec Group Overseas Development 2014, Ltd., 4.375%, 4/10/24 (144A) 4.375 04/10/2024 4,750,000 5,118,250
Government National Mortgage Association I, 6.5%, 1/15/34 6.5 01/15/2034 1,311,303 18,050
MASTR Alternative Loan Trust 2004-6, 6.0%, 7/25/34 6.0 07/25/2034 12,000,000 2,295,381
JP Morgan Mortgage Trust 2014-2, Floating Rate Note, 6/25/29 (144A) 3.439 06/25/2029 9,276,000 8,093,220
United Auto Credit Securitization Trust 2015-1, 2.92%, 6/17/19 (144A) 2.92 06/17/2019 2,140,000 2,145,962
Federal Home Loan Mortgage Corp., 3.5%, 8/1/43 3.5 08/01/2043 4,521,618 4,289,529
BBVA Bancomer SA Texas, 6.5%, 3/10/21 (144A) 6.5 03/10/2021 3,815,000 4,280,218
Fannie Mae, 5.0%, 7/1/40 5.0 07/01/2040 5,000,000 1,936,934
Government National Mortgage Association I, 5.5%, 8/15/33 5.5 08/15/2033 299,970 31,145
Government National Mortgage Association I, 7.0%, 5/15/32 7.0 05/15/2032 5,500,000 114,193
RALI Series 2004-QS13 Trust, 5.0%, 9/25/19 5.0 09/25/2019 18,375,000 1,704,513
Endo Finance LLC, 6.0%, 2/1/25 (144A) 6.0 02/01/2025 520,000 537,160
Government National Mortgage Association I, 4.5%, 4/15/41 4.5 04/15/2041 2,223,928 1,373,767
DCP Midstream LLC, 9.75%, 3/15/19 (144A) 9.75 03/15/2019 2,900,000 3,439,755
Federal Home Loan Mortgage Corp., 5.0%, 10/1/38 5.0 10/01/2038 6,600,000 555,045
Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 6.0 12/01/2033 3,297,768 140,186
Icon Brand Holdings LLC, 4.352%, 1/25/43 (144A) 4.352 01/25/2043 395,000 344,657
TimberStar Trust I, 5.7467%, 10/15/36 (144A) 5.7467 10/15/2036 1,435,000 1,508,884
University of California, 3.38%, 5/15/28 3.38 05/15/2028 2,600,000 2,615,804
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 0.8848 03/25/2035 5,700,000 900,678
GS Mortgage Securities Corp Trust 2012-SHOP, 2.933%, 6/6/31 (144A) 2.933 06/06/2031 2,800,000 2,904,389
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 8.6049 01/05/2017 1,000,000 1,051,662
Sotheby's, 5.25%, 10/1/22 (144A) 5.25 10/01/2022 1,300,000 1,307,935
Federal Home Loan Mortgage Corp., 7.0%, 8/1/22 7.0 08/01/2022 687,553 90,967
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5, 4.1712%, 8/17/46 4.1712 08/17/2046 1,350,000 1,489,789
DBUBS 2011-LC3 Mortgage Trust, Floating Rate Note, 8/12/44 (144A) 5.5857 08/12/2044 1,900,000 2,183,055
Springleaf Funding Trust 2014-A, 2.41%, 12/15/22 (144A) 2.41 12/15/2022 1,200,000 1,202,867
Cummins, Inc., 5.65%, 3/1/98 5.65   3,727,000 4,163,465
GSR Mortgage Loan Trust 2005-AR1, Floating Rate Note, 1/25/35 2.6212 01/25/2035 5,115,000 940,019
Government National Mortgage Association I, 6.5%, 7/15/35 6.5 07/15/2035 3,323,439 77,288
Resolute Forest Products, Inc., 5.875%, 5/15/23 5.875 05/15/2023 3,930,000 3,635,045
Government National Mortgage Association I, 5.0%, 4/15/35 5.0 04/15/2035 2,500,000 616,217
Government National Mortgage Association I, 5.0%, 10/15/18 5.0 10/15/2018 3,153,375 127,316
Orcal Geothermal, Inc., 6.21%, 12/30/20 (144A) 6.21 12/30/2020 1,730,000 615,216
Louisiana Local Government Environmental Facilities & Community Development Authority, 6.5%, 11/1/35 6.5 11/01/2035 2,350,000 2,832,187
Fannie Mae, 4.5%, 11/1/20 4.5 11/01/2020 6,500,000 446,177
Fannie Mae, 6.0%, 7/1/33 6.0 07/01/2033 10,874,932 234,779
Bear Stearns ALT-A Trust 2005-1, Floating Rate Note, 1/25/35 0.7448 01/25/2035 13,520,000 945,286
CubeSmart LP, 4.8%, 7/15/22 4.8 07/15/2022 730,000 810,118
HLSS Servicer Advance Receivables Trust, 1.7436%, 1/16/46 (144A) 1.7436 01/16/2046 1,620,000 1,621,501
Domino's Pizza Master Issuer LLC, 5.216%, 1/27/42 (144A) 5.216 01/27/2042 4,051,000 4,096,923
Fannie Mae, 4.0%, 12/1/44 4.0 12/01/2044 507,378 540,446
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 3.75 06/30/2019 418,066 379,337
Leaf Receivables Funding 8 LLC, 1.92%, 9/15/20 (144A) 1.92 09/15/2020 2,203,000 2,210,446
Fannie Mae, 5.0%, 6/1/25 5.0 06/01/2025 6,134,875 6,141,943
Omega Healthcare Investors, Inc., 4.95%, 4/1/24 4.95 04/01/2024 3,945,000 4,152,339
PNC Bank NA, 6.0%, 12/7/17 6.0 12/07/2017 1,435,000 1,631,621
Federal Home Loan Mortgage Corp., 7.0%, 9/1/22 7.0 09/01/2022 1,775,260 280,017
Government National Mortgage Association I, 5.5%, 4/15/19 5.5 04/15/2019 25,000 2,058
Huntsman International LLC, Extended Term B Loan, 4/19/17 2.7307 04/19/2017 252,086 252,244
Glenn Pool Oil & Gas Trust, Term Loan, 5/2/16 4.5 05/02/2016 653,564 651,930
Government National Mortgage Association II, 6.5%, 3/20/29 6.5 03/20/2029 100,000 1,456
Commercial Metals Co., 4.875%, 5/15/23 4.875 05/15/2023 3,550,000 3,379,711
Fannie Mae, 4.0%, 9/1/44 4.0 09/01/2044 105,983 104,182
Activision Blizzard, Inc., 6.125%, 9/15/23 (144A) 6.125 09/15/2023 650,000 724,919
Fannie Mae, 6.0%, 8/1/32 6.0 08/01/2032 315,000 6,696
TTX Co., 3.6%, 1/15/25 (144A) 3.6 01/15/2025 6,650,000 6,930,876
Government National Mortgage Association I, 6.0%, 3/15/17 6.0 03/15/2017 2,080,702 30,234
Southwestern Electric Power Co., 3.9%, 4/1/45 3.9 04/01/2045 10,800,000 10,055,668
State of Washington, 5.0%, 7/1/30 5.0 07/01/2030 1,600,000 1,903,831
Fannie Mae, 6.5%, 8/1/31 6.5 08/01/2031 1,500,000 10,803
Government National Mortgage Association I, 4.5%, 9/15/40 4.5 09/15/2040 900,000 503,974
VOLT XXX LLC, 3.625%, 10/25/57 (Step) 3.625 10/25/2057 2,150,000 2,094,090
Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43 2.1197 06/25/2043 24,278,000 737,708
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 2,018,867 2,025,731
Newfield Exploration Co., 5.625%, 7/1/24 5.625 07/01/2024 1,400,000 1,506,094
Hanesbrands Inc Us 1st Lien Tl-B L + 2.5% 15apr22 3.25 04/15/2022 500,000 503,125
Fannie Mae, 4.0%, 12/1/43 4.0 12/01/2043 7,600,000 7,326,898
Federal Home Loan Mortgage Corp., 5.5%, 6/1/41 5.5 06/01/2041 2,145,000 2,362,954
Government National Mortgage Association I, 4.0%, 10/15/40 4.0 10/15/2040 27,335 13,178
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 4.568 01/15/2031 1,700,000 181,535
DAE Aviation Holdings, Inc., Replacement Tranche B-1 Loan, 11/2/18 5.0 11/02/2018 1,204,479 1,210,128
Morgan Stanley, 4.1%, 5/22/23 4.1 05/22/2023 5,100,000 5,243,662
Structured Asset Securities Corp Mortgage Loan Trust 2006-GEL4, Floating Rate Note, 10/25/36 (144A) 0.4048 10/25/2036 5,952,000 1,681,446
The Williams Companies, Inc., 5.75%, 6/24/44 5.75 06/24/2044 5,980,000 6,241,743
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 9,171,532 410,213
Fannie Mae, 3.5%, 6/1/28 3.5 06/01/2028 5,531,277 4,631,452
The Kroger Co., 2.95%, 11/1/21 2.95 11/01/2021 7,472,000 7,546,013
MRFC Mortgage Pass-Through Trust Series 2000-TBC3, Floating Rate Note, 12/15/30 0.6256 12/15/2030 15,930,000 716,752
Residential Asset Securitization Trust 2004-A8, 5.25%, 11/25/34 5.25 11/25/2034 21,888,000 500,410
New Residential Mortgage Loan Trust 2014-3, Floating Rate Note, 11/25/54 (144A) 3.75 11/25/2054 3,900,000 3,676,016
Ally Financial, Inc., 7.0% (Perpetual) (144A) 7.0 12/31/2049 1,250 1,268,750
The Allstate Corp., Floating Rate Note, 5/15/57 6.5 05/15/2057 5,455,000 6,315,299
Banc of America Mortgage Trust 2004-9, 5.5%, 11/25/34 5.5 11/25/2034 2,350,000 967,239
Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A) 3.721 11/16/2044 2,250,000 1,894,719
Fannie Mae, 5.0%, 2/1/45 5.0 02/01/2045 24,000,000 24,809,777
American International Group, Inc., 3.875%, 1/15/35 3.875 01/15/2035 5,985,000 5,747,295
Fannie Mae, 4.0%, 2/1/44 4.0 02/01/2044 14,000,000 11,985,253
Federal Home Loan Mortgage Corp., 6.5%, 4/1/34 6.5 04/01/2034 299,956 4,437
Agrium, Inc., 4.125%, 3/15/35 4.125 03/15/2035 2,800,000 2,671,638
CeramTec GmbH, Dollar Term B-3 Loan, 8/30/20 4.25 08/30/2020 314,222 315,597
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 5.23 12/17/2040 5,025,000 3,031,333
Cme: (Cdx.Na.Ig.23.V1) Usd 20dec19 Z91mv4jb8 1.0 12/20/2019 25,000,000 449,374
Sequoia Mortgage Trust 2015-1, Floating Rate Note, 1/25/45 (144A) 3.0 01/25/2045 7,710,000 7,353,712
Cincinnati Bell, Inc., Tranche B Term Loan, 9/10/20 4.0 09/10/2020 1,925,675 1,930,689
Government National Mortgage Association I, 4.0%, 9/15/41 4.0 09/15/2041 2,091,451 958,680
Government National Mortgage Association I, 5.5%, 10/15/17 5.5 10/15/2017 2,400,000 38,853
Government National Mortgage Association I, 7.0%, 10/15/31 7.0 10/15/2031 2,044,706 7,631
Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19 4.0 04/23/2019 666,667 637,500
Chesapeake Funding LLC, Floating Rate Note, 3/4/26 1.3776 03/04/2026 400,000 399,327
Government National Mortgage Association I, 5.0%, 7/15/33 5.0 07/15/2033 1,500,150 165,623
Government National Mortgage Association I, 6.0%, 10/15/36 6.0 10/15/2036 3,000,000 177,302
Catalent 1st Lien Tl-B L + 3.5% 08may21 4.25 05/08/2021 1,641,254 1,650,373
Ensco Plc, 4.5%, 10/1/24 4.5 10/01/2024 4,725,000 4,716,377
Indianapolis Airport Authority, 5.1%, 1/15/17 5.1 01/15/2017 1,000,000 1,084,655
Agate Bay Mortgage Trust 2015-1, Floating Rate Note, 1/25/45 (144A) 3.5 01/25/2045 10,000,000 8,998,499
Government National Mortgage Association I, 6.5%, 3/15/32 6.5 03/15/2032 975,284 19,594
Carlyle Holdings II Finance LLC, 5.625%, 3/30/43 (144A) 5.625 03/30/2043 5,930,000 6,596,888
Gci Holdings Inc 1st Lien Tl-B L + 3.75% 22dec21 4.75 12/22/2021 1,215,000 1,227,150
U.S. Treasury Inflation Indexed Bonds, 0.125%, 7/15/24 0.125 07/15/2024 78,100,000 76,970,874
US Bancorp, Floating Rate Note (Perpetual) 6.0 12/31/2049 96,798 2,607,738
DCT Industrial Operating Partnership LP, 4.5%, 10/15/23 4.5 10/15/2023 1,475,000 1,544,738
Progress Residential 2014-SFR1 Trust, Floating Rate Note, 10/17/31 (144A) 2.436 10/17/2031 180,000 181,277
Kinder Morgan Energy Partners LP, 5.95%, 2/15/18 5.95 02/15/2018 3,250,000 3,634,222
Lehman ABS Manufactured Housing Contract Trust 2001-B, 5.873%, 5/15/41 5.873 05/15/2041 2,450,000 302,708
Assurant, Inc., 4.0%, 3/15/23 4.0 03/15/2023 3,900,000 4,026,283
Lehman ABS Manufactured Housing Contract Trust 2001-B, 3.01%, 5/15/41 3.01 05/15/2041 22,820,000 285,353
Fannie Mae, 6.5%, 3/1/32 6.5 03/01/2032 3,500,000 92,989
Astoria Financial Corp., 5.0%, 6/19/17 5.0 06/19/2017 2,300,000 2,479,483
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 2.3%, 3/5/20 (144A) 2.3 03/05/2020 11,675,000 11,793,706
Enterprise Products Operating LLC, 3.7%, 2/15/26 3.7 02/15/2026 3,825,000 3,853,450
Fannie Mae, 5.0%, 1/1/20 5.0 01/01/2020 4,159,304 278,074
Government National Mortgage Association I, 4.0%, 9/15/41 4.0 09/15/2041 25,471 10,638
Ally Financial, Inc., 4.625%, 3/30/25 4.625 03/30/2025 800,000 790,167
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 8.1442 01/07/2016 250,000 254,580
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 6/25/33 5.5 06/25/2033 1,000,000 188,510
Air Canada 2013-1 Class A Pass Through Trust, 4.125%, 11/15/26 (144A) 4.125 11/15/2026 5,000,000 4,847,569
Fannie Mae, 5.0%, 6/1/40 5.0 06/01/2040 3,850,000 1,293,212
Agilent Technologies, Inc., 6.5%, 11/1/17 6.5 11/01/2017 894,000 996,184
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 7/25/36 0.4813 07/25/2036 1,000,000 986,488
Government National Mortgage Association I, 6.0%, 9/15/34 6.0 09/15/2034 1,315,000 125,569
Aquarius + Investments Plc for Swiss Reinsurance Co, Ltd., Floating Rate Note, 9/1/24 6.375 09/01/2024 1,800,000 1,988,941
NCR Corp., 6.375%, 12/15/23 6.375 12/15/2023 1,425,000 1,509,387
TD Ameritrade Holding Corp., 3.625%, 4/1/25 3.625 04/01/2025 6,025,000 6,284,798
Legg Mason, Inc., 3.95%, 7/15/24 3.95 07/15/2024 2,400,000 2,507,521
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5, Floating Rate Note, 7/15/31 (144A) 1.536 07/15/2031 1,260,000 1,257,312
Citigroup Mortgage Loan Trust, Inc. REMICS, Floating Rate Note, 8/25/34 2.1962 08/25/2034 17,660,000 2,970,524
Kane Flt% 12jun15   06/12/2015 1,600,000 1,598,880
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 4.2601 04/18/2017 250,000 245,044
Sprint Corp., 7.25%, 9/15/21 7.25 09/15/2021 1,500,000 1,532,031
LSTAR Securities Investment Trust 2014-2, Floating Rate Note, 11/1/19 (144A) 2.1803 11/01/2019 5,000,000 4,649,458
JP Morgan Chase Commercial Mortgage Securities Trust 2015-COSMO, Floating Rate Note, 1/15/32 (144A) 2.436 01/15/2032 4,600,000 4,616,067
Fannie Mae, 4.5%, 12/1/43 4.5 12/01/2043 20,000,000 16,617,355
Adobe Systems, Inc., 3.25%, 2/1/25 3.25 02/01/2025 8,100,000 8,228,713
Golden State RE II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A) 2.22 01/08/2019 2,800,000 2,799,098
United States Treasury Floating Rate Note, Floating Rate Note, 1/31/16 0.06 01/31/2016 11,325,000 11,324,907
Government National Mortgage Association I, 6.5%, 1/15/29 6.5 01/15/2029 1,500,000 29,687
Government National Mortgage Association I, 6.5%, 10/15/31 6.5 10/15/2031 477,508 9,369
JP Morgan Mortgage Trust 2013-2, Floating Rate Note, 5/25/43 (144A) 3.5 05/25/2043 2,101,900 1,541,948
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 0.6363 04/28/2039 1,486,142 1,141,983
General Electric Capital Corp., 5.3%, 2/11/21 5.3 02/11/2021 4,860,000 5,669,381
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 2.25 08/20/2025 2,000,000 882,141
The Hanover Insurance Group, Inc., 7.625%, 10/15/25 7.625 10/15/2025 0 18,605
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 3.75 12/12/2019 590,405 592,619
Duke Energy Progress, Inc., 4.15%, 12/1/44 4.15 12/01/2044 8,700,000 9,058,499
Israel Electric Corp, Ltd., 7.25%, 1/15/19 (144A) 7.25 01/15/2019 1,925,000 2,239,617
Fannie Mae, 7.0%, 12/1/30 7.0 12/01/2030 499,950 841
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 0.5348 08/25/2036 1,525,000 281,496
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 2.7576 01/15/2017 1,500,000 1,527,971
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 0.9648 11/25/2034 26,682,000 3,201,079
TI Group Automotive Systems LLC, Term Loan Facility, 7/1/21 4.25 07/01/2021 821,968 824,537
KKR Group Finance Co II LLC, 5.5%, 2/1/43 (144A) 5.5 02/01/2043 5,025,000 5,464,489
Government National Mortgage Association I, 5.5%, 7/15/33 5.5 07/15/2033 1,500,000 129,148
North American Development Bank, 2.3%, 10/10/18 2.3 10/10/2018 643,000 657,141
Fannie Mae, 6.0%, 7/1/38 6.0 07/01/2038 974,925 81,029
RPI Finance Trust, Term B-4 Term Loan, 11/9/20 3.5 11/09/2020 1,652,715 1,658,086
Fannie Mae, 6.0%, 3/1/33 6.0 03/01/2033 3,500,000 128,459
Legg Mason, Inc., 5.625%, 1/15/44 5.625 01/15/2044 4,290,000 4,894,357
Federal Home Loan Mortgage Corp., 6.5%, 1/1/33 6.5 01/01/2033 39,165 476
Intesa Sanpaolo S.p.A., 3.625%, 8/12/15 (144A) 3.625 08/12/2015 3,476,000 3,531,164
Alexandria Real Estate Equities, Inc., 3.9%, 6/15/23 3.9 06/15/2023 1,093,000 1,129,318
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 1.281 12/05/2031 1,100,000 1,098,599
Federal Home Loan Mortgage Corp., 6.5%, 3/1/31 6.5 03/01/2031 217,521 598
Capital Auto Receivables Asset Trust 2013-1, 1.74%, 10/22/18 1.74 10/22/2018 2,900,000 2,912,938
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 2.5 03/20/2025 550,000 164,624
Highwoods Realty LP, 3.625%, 1/15/23 3.625 01/15/2023 2,100,000 2,139,122
Fannie Mae, 4.0%, 5/1/44 4.0 05/01/2044 3,800,000 3,197,009
NRG Energy, Inc., Term Loan (2013), 7/1/18 2.75 07/01/2018 1,319,105 1,313,975
Colbun SA, 4.5%, 7/10/24 (144A) 4.5 07/10/2024 4,300,000 4,464,737
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 3.7601 04/24/2017 550,000 538,989
Fannie Mae, 6.0%, 1/1/32 6.0 01/01/2032 183,200 5,615
Fannie Mae, 4.0%, 7/1/44 4.0 07/01/2044 800,000 694,583
Massachusetts Development Finance Agency, 5.375%, 4/1/41 5.375 04/01/2041 550,000 616,676
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 2.4348 03/25/2032 2,200,000 409,200
CNOOC Nexen Finance 2014 ULC, 4.25%, 4/30/24 4.25 04/30/2024 5,275,000 5,568,589
Ormat Funding Corp., 8.25%, 12/30/20 8.25 12/30/2020 555,000 275,830
JP Morgan Mortgage Trust 2014-2, Floating Rate Note, 6/25/29 (144A) 3.0 06/25/2029 10,055,000 8,789,967
Alternative Loan Trust 2004-J5, Floating Rate Note, 8/25/34 1.0848 08/25/2034 9,407,000 8,677,539
Agrium, Inc., 5.25%, 1/15/45 5.25 01/15/2045 7,600,000 8,226,635
Government National Mortgage Association I, 6.5%, 5/15/33 6.5 05/15/2033 1,672,708 53,294
Fannie Mae, 5.5%, 9/1/17 5.5 09/01/2017 3,705,000 57,137
Kane Zero% 29apr16 0.0 04/29/2016 3,700,000 3,858,360
Fannie Mae, 4.0%, 9/1/44 4.0 09/01/2044 983,213 920,252
LSTAR Securities Investment Trust 2015-3, Floating Rate Note, 3/1/20 (144A) 2.1803 03/01/2020 2,500,000 2,464,043
Healthcare Realty Trust, Inc., 3.875%, 5/1/25 3.875 05/01/2025 3,750,000 3,716,741
Government National Mortgage Association I, 6.5%, 10/15/33 6.5 10/15/2033 32,450 2,470
Fannie Mae, 6.0%, 10/1/32 6.0 10/01/2032 4,502,006 91,279
Africa Finance Corp., 4.375%, 4/29/20 (144A) 4.375 04/29/2020 4,550,000 4,641,079
Sequoia Mortgage Trust 2013-7, Floating Rate Note, 6/25/43 3.0 06/25/2043 1,841,592 1,563,904
DigitalGlobe, Inc., Term Loan, 1/31/20 3.75 01/31/2020 2,576,474 2,584,516
Engility Holdings Inc 1st Lien Tl-B L + 5.5% 12may20 7.0 05/12/2020 642,913 650,681
Fannie Mae, 6.5%, 4/1/31 6.5 04/01/2031 500,000 3,429
Ascentium Equipment Receivables 2015-1 LLC, 3.24%, 1/10/22 (144A) 3.24 01/10/2022 2,200,000 2,214,984
President and Fellows of Harvard College, 2.3%, 10/1/23 2.3 10/01/2023 2,600,000 2,495,676
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A) 9.0101 03/16/2016 250,000 261,263
Government National Mortgage Association I, 6.5%, 1/15/33 6.5 01/15/2033 25,065,172 591,043
Banc of America Funding 2010-R4 Trust REMICS, Floating Rate Note, 8/26/36 (144A) 0.0367 08/26/2036 3,200,000 54,604
Piedmont Operating Partnership LP, 3.4%, 6/1/23 3.4 06/01/2023 2,550,000 2,506,810
Government National Mortgage Association I, 4.0%, 2/15/42 4.0 02/15/2042 854,888 556,287
Fannie Mae, 6.0%, 9/1/29 6.0 09/01/2029 124,691 1,667
Government National Mortgage Association I, 4.0%, 11/15/41 4.0 11/15/2041 55,544 7,632
Federal Home Loan Mortgage Corp., 3.0%, 8/1/29 3.0 08/01/2029 4,875,000 4,766,139
Weatherford International, Ltd. Bermuda, 5.95%, 4/15/42 5.95 04/15/2042 675,000 615,987
Fannie Mae, 4.0%, 12/1/44 4.0 12/01/2044 100,000 102,870
Nuance Communications, Inc., Term C Loan, 8/7/19 2.94 08/07/2019 369,800 368,413
Government National Mortgage Association I, 4.5%, 5/15/41 4.5 05/15/2041 5,733,621 2,092,581
Loma Reinsurance, Ltd. Bermuda, Floating Rate Note, 1/8/18 (Cat Bond) (144A) 8.28 01/08/2018 250,000 262,083
Navios Maritime Partners LP, Term Loan, 6/27/18 5.25 06/27/2018 653,165 656,159
Government National Mortgage Association I, 5.5%, 6/15/33 5.5 06/15/2033 400,000 19,437
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA Netherlands, 3.95%, 11/9/22 3.95 11/09/2022 6,425,000 6,592,886
National Rural Utilities Cooperative Finance Corp., 5.45%, 2/1/18 5.45 02/01/2018 2,000,000 2,249,785
LeasePlan Corp NV, 2.5%, 5/16/18 (144A) 2.5 05/16/2018 1,475,000 1,485,713
La Hipotecaria Panamanian Mortgage Trust 2014-1, Floating Rate Note, 11/24/42 (144A) 3.258 11/24/2042 4,250,000 4,126,735
Government National Mortgage Association, 4.973%, 4/16/42 4.973 04/16/2042 375,000 18,032
Federal Home Loan Mortgage Corp., 4.5%, 3/1/42 4.5 03/01/2042 22,167,426 8,535,412
Bayview Commercial Asset Trust 2007-4, 3.491129%, 9/25/37 (Step) (144A) 3.4911 09/25/2037 13,200,000 218,935
SBA Tower Trust, 3.869%, 10/15/49 (144A) 3.869 10/15/2049 6,975,000 7,169,931
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 0.624 10/20/2017 1,659,000 1,659,379
Chesapeake Funding LLC, Floating Rate Note, 2/7/27 (144A) 1.9305 02/07/2027 1,600,000 1,601,820
17079z Zero% 31mar18 0.0 03/31/2018 1,300,000 1,314,690
Fannie Mae, 7.0%, 9/1/31 7.0 09/01/2031 2,000,000 10,664
FREMF Mortgage Trust 2012-K501, Floating Rate Note, 11/26/46 (144A) 3.5624 11/26/2046 650,000 668,444
Texas Competitive Electric Holdings Co LLC, DIP Delayed Draw Term Loan (2014), 5/5/16 3.75 05/05/2016 1,285,660 1,294,232
Sanders Re, Ltd., Floating Rate Note, 5/25/18 (Cat Bond) (144A) 3.0203 05/25/2018 800,000 781,533
FREMF Mortgage Trust 2011-K703, Floating Rate Note, 7/25/44 (144A) 5.0484 07/25/2044 1,250,000 1,354,867
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 2.02 01/15/2019 1,200,000 1,201,542
Government National Mortgage Association I, 4.5%, 4/15/35 4.5 04/15/2035 1,999,800 291,242
Applebee's Funding LLC/ IHOP Funding LLC, 4.277%, 9/5/44 (144A) 4.277 09/05/2044 2,600,000 2,707,275
Remy International, Inc., Term B Loan 2013, 3/5/20 4.25 03/05/2020 1,719,394 1,725,842
HSBC Bank Plc, 7.65%, 5/1/25 7.65 05/01/2025 1,305,000 1,701,846
Government National Mortgage Association I, 4.5%, 3/15/35 4.5 03/15/2035 784,949 45,464
Banc of America Alternative Loan Trust 2004-6, 5.0%, 7/25/19 5.0 07/25/2019 10,861,500 1,276,063
GTP Acquisition Partners I LLC, 2.35%, 6/15/20 (144A) 2.35 06/15/2020 4,800,000 4,814,857
HOA Funding LLC, 4.846%, 8/22/44 (144A) 4.846 08/22/2044 3,050,000 2,996,896
PFS Financing Corp., Floating Rate Note, 10/15/19 (144A) 1.0356 10/15/2019 1,000,000 999,638
Government National Mortgage Association I, 4.0%, 1/15/41 4.0 01/15/2041 77,209 44,139
Halliburton Co., 7.6%, 8/15/96 (144A) 7.6   2,250,000 3,234,935
The Goldman Sachs Group, Inc., 6.75%, 10/1/37 6.75 10/01/2037 6,875,000 8,519,118
Government National Mortgage Association I, 4.5%, 7/15/41 4.5 07/15/2041 1,442,000 701,149
LSTAR Commercial Mortgage Trust, Floating Rate Note, 6/25/43 (144A) 5.4227 06/25/2043 1,395,000 17,916
Amphenol Corp., 3.125%, 9/15/21 3.125 09/15/2021 3,675,000 3,756,105
Wells Fargo & Co., 7.5% (Perpetual) 7.5 12/31/2049 5,610 6,781,536
Government National Mortgage Association II, 7.0%, 12/20/30 7.0 12/20/2030 400,864 3,189
Rowan Companies, Inc., 4.75%, 1/15/24 4.75 01/15/2024 6,185,000 6,094,430
Wells Fargo Alternative Loan 2005-2 Trust, Floating Rate Note, 10/25/35 1.0048 10/25/2035 1,233,457 1,227,267
CSMC Trust 2015-2, 3.0%, 2/25/45 3.0 02/25/2045 10,218,000 10,204,821
Spectra Energy Capital LLC, 6.2%, 4/15/18 6.2 04/15/2018 2,475,000 2,766,738
Senior Housing Properties Trust, 6.75%, 4/15/20 6.75 04/15/2020 2,865,000 3,265,563
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 5.7551 12/06/2016 1,650,000 1,706,391
AXA SA, 8.6%, 12/15/30 8.6 12/15/2030 2,335,000 3,331,850
Arlington Flt% 01aug15 0.0 08/01/2015 700,000 796,950
Fannie Mae, 6.5%, 6/1/31 6.5 06/01/2031 2,750,000 88,569
Axis Equipment Finance Receivables III LLC, 3.41%, 4/20/20 (144A) 3.41 04/20/2020 700,000 699,330
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 7,500,000 6,141,041
Hercules Capital Funding Trust 2014-1, 3.524%, 4/16/21 (144A) 3.524 04/16/2021 2,920,000 2,925,827
Unison Ground Lease Funding LLC, 2.981%, 3/16/43 (144A) 2.981 03/16/2043 1,500,000 1,532,859
Government National Mortgage Association REMICS, 2.1%, 2/16/48 2.1 02/16/2048 6,000,000 5,886,578
Fannie Mae, 6.5%, 11/1/37 6.5 11/01/2037 2,222,350 240,247
Fannie Mae, 5.0%, 2/1/22 5.0 02/01/2022 450,000 20,815
Springleaf Mortgage Loan Trust 2012-2, Floating Rate Note, 10/25/57 (144A) 2.22 10/25/2057 3,200,000 1,160,180
Fannie Mae, 3.5%, 2/1/44 3.5 02/01/2044 18,215,601 16,155,591
Citigroup Mortgage Loan Trust, Inc., 5.5%, 9/25/34 5.5 09/25/2034 4,860,000 1,143,655
Embarcadero Reinsurance, Ltd., Floating Rate Note, 2/7/17 (Cat Bond) (144A) 5.0101 02/07/2017 2,650,000 2,663,929
Government National Mortgage Association I, 6.0%, 4/15/33 6.0 04/15/2033 3,907,830 87,122
Fannie Mae, 4.5%, 8/1/40 4.5 08/01/2040 5,950,444 1,423,193
Fannie Mae, 4.0%, 8/1/44 4.0 08/01/2044 20,000,000 19,668,275
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 0.3848 12/25/2036 4,900,000 969,929
Plains All American Pipeline LP, 4.9%, 2/15/45 4.9 02/15/2045 5,300,000 5,343,847
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 4.25 04/25/2034 8,370,000 156,362
Parish of St John the Baptist Louisiana, 5.125%, 6/1/37 5.125 06/01/2037 2,560,000 2,762,272
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 4.5051 12/06/2016 2,800,000 2,865,590
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 5.25 04/25/2032 3,090,877 833,151
DCP Midstream Operating LP, 5.6%, 4/1/44 5.6 04/01/2044 2,125,000 2,018,335
Transunion Llc 1st Lien Tl-B L + 3% 21mar21 4.0 03/21/2021 1,496,222 1,496,846
Government National Mortgage Association I, 6.5%, 6/15/32 6.5 06/15/2032 1,561,662 18,319
Frisco Independent School District, 4.0%, 8/15/40 4.0 08/15/2040 2,700,000 2,759,577
United States Treasury Floating Rate Note, Floating Rate Note, 4/30/16 0.084 04/30/2016 11,325,000 11,327,150
SunGard Data Systems, Inc., Tranche C Term Loan, 2/28/17 3.9323 02/28/2017 953,650 956,779
KKR Group Finance Co III LLC, 5.125%, 6/1/44 (144A) 5.125 06/01/2044 1,650,000 1,714,028
Avago Technologies Ltd 1st Lien Tl-B L + 3% 16apr21 3.75 04/16/2021 325,446 326,500
Fannie Mae, 6.0%, 9/1/34 6.0 09/01/2034 408,807 44,394
New Jersey Economic Development Authority, 0.0%, 2/15/18 0.0 02/15/2018 4,500,000 4,102,740
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 8.03 07/09/2015 2,100,000 2,127,790
Bank of America Corp., Floating Rate Note, 10/23/49 6.5 10/23/2049 6,975,000 7,422,659
IMS Health, Inc., Term B Dollar Loan, 3/17/21 3.5 03/17/2021 452,668 452,611
Government National Mortgage Association I, 6.0%, 9/15/34 6.0 09/15/2034 1,374,301 242,790
U.S. Treasury Bonds, 2.5%, 2/15/45 2.5 02/15/2045 31,375,000 29,310,943
New Residential Mortgage Loan Trust 2014-1, Floating Rate Note, 1/25/54 (144A) 3.75 01/25/2054 5,200,000 4,309,023
Interactive Data 1st Lien Tl-B L + 3.75% 24apr21 4.75 04/24/2021 744,918 748,736
Government National Mortgage Association I, 4.5%, 9/15/33 4.5 09/15/2033 2,256,215 325,555
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 5.2703 03/07/2016 1,250,000 1,244,688
Regency Energy Partners LP, 8.375%, 6/1/19 (144A) 8.375 06/01/2019 1,675,000 1,814,900
Federal Home Loan Mortgage Corp., 6.0%, 2/1/33 6.0 02/01/2033 550,000 7,929
Fannie Mae, 6.5%, 10/1/31 6.5 10/01/2031 1,000,100 13,299
CoBank ACB, 7.875%, 4/16/18 (144A) 7.875 04/16/2018 1,190,000 1,392,229
Government National Mortgage Association I, 4.0%, 1/15/41 4.0 01/15/2041 281,135 154,746
Bank of America Corp., 7.75%, 8/15/15 7.75 08/15/2015 1,100,000 1,139,445
Westgate Resorts 2015-1 LLC, 2.75%, 5/20/27 (144A) 2.75 05/20/2027 3,000,000 2,755,437
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 0.4348 02/25/2030 16,378,656 2,073,857
GLP Capital LP, 4.375%, 11/1/18 4.375 11/01/2018 1,010,000 1,048,910
NSG Holdings LLC, New Term Loan, 12/11/19 3.75 12/11/2019 768,260 769,221
Store Master Funding I LLC, 3.75%, 4/20/45 (144A) 3.75 04/20/2045 1,400,000 1,399,869
Government National Mortgage Association I, 5.5%, 7/15/34 5.5 07/15/2034 6,580,000 591,940
Government National Mortgage Association I, 6.5%, 3/15/29 6.5 03/15/2029 2,000,000 22,573
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 4.0 07/09/2018 2,700,000 2,709,975
Waste Management, Inc., 3.125%, 3/1/25 3.125 03/01/2025 1,700,000 1,694,537
Federal Home Loan Mortgage Corp., 6.0%, 11/1/33 6.0 11/01/2033 1,151,218 27,811
Fannie Mae, 6.5%, 1/1/31 6.5 01/01/2031 1,000,000 3,832
Grupo Bimbo SAB de CV, 3.875%, 6/27/24 (144A) 3.875 06/27/2024 4,200,000 4,347,247
Banc of America Alternative Loan Trust 2003-2, 5.75%, 4/25/33 5.75 04/25/2033 6,525,000 641,760
Federal Home Loan Mortgage Corp., 6.5%, 11/1/30 6.5 11/01/2030 53,302 490
Federal Home Loan Mortgage Corp., 6.5%, 2/1/33 6.5 02/01/2033 62,297 4,207
Fannie Mae, 6.0%, 11/1/33 6.0 11/01/2033 400,765 44,781
BP Capital Markets Plc, 3.062%, 3/17/22 3.062 03/17/2022 4,175,000 4,243,320
Fannie Mae, 6.5%, 2/1/32 6.5 02/01/2032 1,000,100 5,800
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A) 2.1 05/19/2031 1,800,000 1,805,069
Pangaea Zero% 01jul18 0.0 07/01/2018 2,000,000 2,214,400
Merrill Lynch Mortgage Trust 2005-LC1, Floating Rate Note, 1/12/44 5.291 01/12/2044 4,000,000 3,455,286
Federal Home Loan Mortgage Corp., 7.0%, 11/1/30 7.0 11/01/2030 1,000,100 4,389
Fannie Mae, 5.5%, 6/1/33 5.5 06/01/2033 1,148,000 48,537
JPMorgan Chase & Co., Floating Rate Note (Perpetual) 5.15 12/31/2049 1,525,000 1,496,061
Aircastle, Ltd., 6.75%, 4/15/17 6.75 04/15/2017 2,800,000 3,033,625
Fannie Mae, 4.5%, 5/1/41 4.5 05/01/2041 17,795,568 4,528,691
Nakilat, Inc., 6.267%, 12/31/33 (144A) 6.267 12/31/2033 2,450,000 2,634,301
Prudential Financial, Inc., Floating Rate Note, 6/15/43 5.625 06/15/2043 1,500,000 1,630,547
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 2.25 06/25/2043 928,000 718,987
Fannie Mae, 6.0%, 2/1/32 6.0 02/01/2032 2,379,023 36,529
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 6.5 08/15/2030 2,800,000 191,459
Government National Mortgage Association I, 6.5%, 7/15/35 6.5 07/15/2035 666,356 61,203
Fannie Mae, 4.0%, 8/1/44 4.0 08/01/2044 434,083 441,397
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 0.4348 02/25/2037 10,766,469 874,963
Ball Corp., 4.0%, 11/15/23 4.0 11/15/2023 2,275,000 2,196,323
Government National Mortgage Association I, 4.0%, 6/15/41 4.0 06/15/2041 167,972 110,750
Carrington Mortgage Loan Trust Series 2005-NC4, Floating Rate Note, 9/25/35 0.5848 09/25/2035 725,000 67,639
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 8.6125 04/08/2016 1,650,000 1,707,191
ConocoPhillips Co., 3.35%, 11/15/24 3.35 11/15/2024 5,350,000 5,424,573
Government National Mortgage Association I, 6.5%, 7/15/32 6.5 07/15/2032 14,653,970 203,866
Government National Mortgage Association I, 6.0%, 3/15/17 6.0 03/15/2017 2,000,000 22,368
Fannie Mae, 5.5%, 3/1/36 5.5 03/01/2036 5,005,809 511,190
The Priceline Group, Inc., 3.65%, 3/15/25 3.65 03/15/2025 7,375,000 7,466,899
Air Canada 2015-1 Class A Pass Through Trust, 3.6%, 9/15/28 (144A) 3.6 09/15/2028 4,025,000 4,081,350
EverBank Mortgage Loan Trust REMICS, Floating Rate Note, 4/25/43 (144A) 3.5028 04/25/2043 4,393,000 4,097,645
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/30 5.0 12/15/2030 1,050,000 1,172,584
JP Morgan Mortgage Trust 2013-1, Floating Rate Note, 3/25/43 (144A) 3.5408 03/25/2043 2,000,000 1,818,329
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 0.9348 12/25/2034 5,642,356 416,693
Blackstone Holdings Finance Co LLC, 4.75%, 2/15/23 (144A) 4.75 02/15/2023 4,950,000 5,509,331
Sequoia Mortgage Trust 2013-7, Floating Rate Note, 6/25/43 2.5 06/25/2043 14,077,000 11,603,979
Federal Mogul 1st Lien Tl-C L + 3.75% 15apr21 4.75 04/15/2021 1,422,330 1,419,663
San Diego Gas & Electric Co., 1.914%, 2/1/22 1.914 02/01/2022 3,150,000 3,180,854
Fannie Mae, 7.0%, 1