Pioneer Investments: Pioneer Strategic Income Fund


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Pioneer Strategic Income Fund

Monthly Portfolio Holdings as of 1/30/2015

Security Name Coupon Maturity Date Par / Shares Market Value($)
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 2.2165 09/18/2031 3,300,000 3,255,726
Nevada Power Co., 6.5%, 8/1/18 6.5 08/01/2018 85,000 101,904
Sector Re V, Ltd., 0.0%, 12/1/19 (Cat Bond) (144A) 0.0 12/01/2019 2,900,000 2,936,250
Hologic, Inc., 2.0%, 3/1/42 (Step) 2.0 03/01/2042 9,435,000 11,264,997
Inversiones CMPC SA, 4.5%, 4/25/22 (144A) 4.5 04/25/2022 8,625,000 8,879,101
Alternative Loan Trust 2003-J1, 4.75%, 10/25/33 4.75 10/25/2033 20,470,000 860,482
Government National Mortgage Association II, 4.5%, 3/20/35 4.5 03/20/2035 4,250,000 733,205
American Energy - Utica LLC, 3.5%, 3/1/21 (144A) (PIK) 3.5 03/01/2021 4,620,000 3,070,375
Fannie Mae, 5.0%, 5/1/41 5.0 05/01/2041 2,252,877 928,200
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 8.02 07/09/2015 6,250,000 6,441,806
Carrington Mortgage Loan Trust Series 2006-FRE1, Floating Rate Note, 7/25/35 0.2783 07/25/2035 5,500,000 876,591
Amherst College, 3.794%, 11/1/42 3.794 11/01/2042 2,300,000 2,496,259
Senior Housing Properties Trust, 6.75%, 4/15/20 6.75 04/15/2020 11,518,000 13,468,228
Federal Home Loan Mortgage Corp., Floating Rate Note, 9/26/44 (144A) 4.1618 09/26/2044 5,065,000 5,298,968
Accudyne Industries Borrower SCA, Refinancing Term Loan, 12/13/19 4.0 12/13/2019 2,294,168 2,149,826
Government National Mortgage Association I, 6.5%, 11/15/32 6.5 11/15/2032 2,258,707 85,042
FREMF Mortgage Trust 2013-K502, Floating Rate Note, 3/27/45 (144A) 3.198 03/27/2045 1,000,000 1,008,853
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 2.7652 01/09/2017 2,200,000 2,232,594
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 11,510,100 11,521,610
Fannie Mae, 3.5%, 11/1/42 3.5 11/01/2042 1,050,000 963,147
The Hanover Insurance Group, Inc., 6.375%, 6/15/21 6.375 06/15/2021 12,600,000 14,732,309
Bayview Opportunity Master Fund Trust IIIa 2014-12RPL, 3.6225%, 7/28/19 (Step) (144A) 3.6225 07/28/2019 4,000,000 2,252,396
Federal Home Loan Mortgage Corp., 5.0%, 5/1/34 5.0 05/01/2034 1,278,937 72,331
FREMF Mortgage Trust 2011-K14, Floating Rate Note, 2/25/47 (144A) 5.1592 02/25/2047 2,200,000 2,505,829
Rain CII Carbon LLC, 8.0%, 12/1/18 (144A) 8.0 12/01/2018 3,875,000 3,868,542
Evergreen Skills Lux Sarl, Initial Term Loan (First Lien), 4/23/21 4.5 04/23/2021 10,633,350 10,336,499
The PNC Financial Services Group, Inc., Floating Rate Note (Perpetual) 6.75 12/31/2049 23,442,000 26,770,821
Federal Home Loan Mortgage Corp., 4.0%, 1/1/44 4.0 01/01/2044 6,491,414 6,115,023
Government National Mortgage Association I, 4.0%, 7/15/41 4.0 07/15/2041 67,258 38,812
Mystic Re, Ltd., Floating Rate Note, 3/12/15 (Cat Bond) (144A) 9.0152 03/12/2015 1,850,000 1,874,698
RAIT 2014-FL2 Trust, Floating Rate Note, 5/15/31 (144A) 2.3213 05/15/2031 4,000,000 3,954,226
Valmont Industries, Inc., 6.625%, 4/20/20 6.625 04/20/2020 1,291,000 1,568,743
Indianapolis Airport Authority, 5.1%, 1/15/17 5.1 01/15/2017 3,450,000 3,737,270
Sequoia Mortgage Trust 2013-5, Floating Rate Note, 5/25/43 (144A) 3.536 05/25/2043 5,370,000 5,083,518
Sequoia Mortgage Trust 2012-6, Floating Rate Note, 12/26/42 2.5 12/26/2042 14,400,000 10,738,169
Alfa Bank OJSC Via Alfa Bond Issuance Plc, 8.625%, 4/26/16 (144A) 8.625 04/26/2016 246,800,000 3,244,442
Sotheby's, 5.25%, 10/1/22 (144A) 5.25 10/01/2022 525,000 507,938
Vericrest Opportunity Loan Transferee 2014-NPL4 LLC, 3.125%, 4/27/54 (Step) (144A) 3.125 04/27/2054 4,220,000 3,444,830
Fannie Mae, 5.5%, 6/1/33 5.5 06/01/2033 852,000 37,902
Government National Mortgage Association I, 6.0%, 6/15/17 6.0 06/15/2017 2,359,004 38,561
Inter-American Development Bank, 4.5%, 2/4/16 4.5 02/04/2016 92,300,000,000 7,421,436
EuroChem Mineral & Chemical Co OJSC via EuroChem Global Investments, Ltd., 5.125%, 12/12/17 (144A) 5.125 12/12/2017 3,650,000 3,264,690
Fannie Mae, 4.0%, 11/1/43 4.0 11/01/2043 8,931,305 9,314,280
COMM 2012-LC4 Mortgage Trust, Floating Rate Note, 12/12/44 4.934 12/12/2044 1,550,000 1,756,638
Fannie Mae, 6.0%, 3/1/33 6.0 03/01/2033 350,000 8,900
Berkeley-Kane Flt% 12jun15   06/12/2015 2,646,751 2,747,063
Province of Salta Argentina, 9.5%, 3/16/22 (144A) 9.5 03/16/2022 4,900,000 4,019,246
DynCorp International, Inc., Term Loan, 7/7/16 6.25 07/07/2016 2,143,781 2,133,956
Government National Mortgage Association I, 6.0%, 2/15/33 6.0 02/15/2033 1,085,291 149,363
CHS, 2021 Term D Loan, 1/27/21 4.25 01/27/2021 6,113,845 6,118,620
Government National Mortgage Association I, 5.5%, 12/15/18 5.5 12/15/2018 76,282 853
Dubai Electricity & Water Authority, 7.375%, 10/21/20 (144A) 7.375 10/21/2020 5,720,000 7,117,518
Wynn Macau, Ltd., 5.25%, 10/15/21 (144A) 5.25 10/15/2021 5,420,000 5,358,122
DBUBS 2011-LC1 Mortgage Trust, Floating Rate Note, 11/13/46 (144A) 5.5574 11/13/2046 2,950,000 3,395,807
Government National Mortgage Association I, 4.0%, 5/15/43 4.0 05/15/2043 25,254 25,580
Banc of America Alternative Loan Trust 2004-10, 6.0%, 11/25/34 6.0 11/25/2034 8,860,000 1,814,388
Norway Government Bond, 4.5%, 5/22/19 4.5 05/22/2019 118,980,000 18,394,263
Indonesia Treasury Bond, 7.0%, 5/15/22 7.0 05/15/2022 34,113,000,000 2,747,285
Government National Mortgage Association I, 4.0%, 11/15/44 4.0 11/15/2044 27,967 30,085
DIRECTV Holdings LLC, 3.95%, 1/15/25 3.95 01/15/2025 4,000,000 4,219,980
Henniges Automotive Holdings Inc 1st Lien Tl-B L + 5% 11jun21 6.0 06/11/2021 1,611,900 1,619,960
Continental Airlines 1999-1 Class B Pass Through Trust, 6.795%, 8/2/18 6.795 08/02/2018 3,500,000 255,831
FREMF Mortgage Trust 2010-K7, Floating Rate Note, 5/25/29 (144A) 5.4347 05/25/2029 3,900,000 4,442,244
Fannie Mae, 7.0%, 5/1/28 7.0 05/01/2028 200,000 1,634
Par Pharmaceutical Companies, Inc., Term B-2 Loan, 9/28/19 4.0 09/28/2019 9,660,672 9,494,025
Instituto Costarricense de Electricidad, 6.95%, 11/10/21 (144A) 6.95 11/10/2021 8,380,000 8,892,642
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 1.867 06/15/2029 6,750,000 6,731,065
Euronet Worldwide, Inc., 1.5%, 10/1/44 (144A) 1.5 10/01/2044 3,050,000 2,910,335
EP Energy LLC, Tranche B-3 Loan, 5/24/18 3.5 05/24/2018 3,656,667 3,418,983
New Residential Mortgage Loan Trust 2014-1, Floating Rate Note, 1/25/54 (144A) 3.75 01/25/2054 8,000,000 7,222,128
Magnesita Finance, Ltd., 8.625% (Perpetual) (144A) 8.625 12/31/2049 4,200,000 3,722,163
Fannie Mae, 4.5%, 11/1/43 4.5 11/01/2043 14,886,677 10,513,048
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/26/46 (144A) 3.4426 11/26/2046 3,600,000 3,672,295
Residential Reinsurance 2013, Ltd., Floating Rate Note, 12/6/17 (Cat Bond) (144A) 5.2956 12/06/2017 250,000 254,667
Government National Mortgage Association I, 6.0%, 7/15/17 6.0 07/15/2017 2,966,457 141,074
First Horizon Mortgage Pass-Through Trust 2005-AR1, Floating Rate Note, 4/25/35 2.5726 04/25/2035 10,872,000 2,175,404
Ironshore Holdings US, Inc., 8.5%, 5/15/20 (144A) 8.5 05/15/2020 6,850,000 8,357,222
Government National Mortgage Association I, 6.0%, 7/15/33 6.0 07/15/2033 3,367,971 91,929
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A) 9.0375 03/16/2016 850,000 908,225
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.5265 11/15/2018 9,525,000 3,076,640
BBVA Bancomer SA Texas, Floating Rate Note, 11/12/29 (144A) 5.35 11/12/2029 2,270,000 2,304,769
Revlon Consumer Products Corp., Acquisition Term Loan, 8/19/19 4.0 08/19/2019 1,875,000 1,853,321
Government National Mortgage Association I, 5.0%, 6/15/21 5.0 06/15/2021 1,048,281 181,496
Sirius International Group, Ltd., Floating Rate Note (Perpetual) (144A) 7.506 12/31/2049 12,390,000 13,009,562
Corporate Office Properties LP, 3.6%, 5/15/23 3.6 05/15/2023 4,655,000 4,650,843
OneBeacon US Holdings, Inc., 4.6%, 11/9/22 4.6 11/09/2022 12,255,000 13,266,917
Alexandria Real Estate Equities, Inc., 3.9%, 6/15/23 3.9 06/15/2023 4,802,000 5,005,453
Stanley Black & Decker, Inc., Floating Rate Note, 12/15/53 5.75 12/15/2053 8,525,000 9,307,998
TimberStar Trust I REMICS, 5.668%, 10/15/36 (144A) 5.668 10/15/2036 750,000 800,693
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 379,505 361,133
Ausdrill Finance Pty, Ltd., 6.875%, 11/1/19 (144A) 6.875 11/01/2019 6,230,000 5,028,778
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.1183 10/25/2037 4,690,000 1,102,952
Alternative Loan Trust 2005-J4, Floating Rate Note, 7/25/35 1.1283 07/25/2035 6,900,000 6,183,922
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 2.3165 06/15/2016 4,950,000 4,960,458
CenturyLink, Inc., 6.45%, 6/15/21 6.45 06/15/2021 4,100,000 4,472,041
Gci Holdings Inc 1st Lien Tl-B L + 3.75% 22dec21   12/22/2021 3,285,000 3,292,523
Government National Mortgage Association I, 6.5%, 6/15/32 6.5 06/15/2032 124,988 4,577
Government National Mortgage Association I, 5.5%, 1/15/35 5.5 01/15/2035 2,028,000 223,543
Wells Fargo Home Equity Asset-Backed Securities 2005-2 Trust, Floating Rate Note, 11/25/35 0.5783 11/25/2035 1,483,000 438,788
Sensata Technologies Bv 1st Lien Tl-B2 L + 2.75% 08oct21 3.5 10/08/2021 1,995,000 2,002,358
Government National Mortgage Association I, 4.0%, 2/15/41 4.0 02/15/2041 63,917 40,801
Southern California Edison Co., Floating Rate Note (Perpetual) 6.25 12/31/2049 8,675,000 9,932,875
JobsOhio Beverage System, 3.985%, 1/1/29 3.985 01/01/2029 17,600,000 18,876,719
Noranda Aluminum Acquisition Corp., Term B Loan, 2/28/19 5.75 02/28/2019 1,050,300 1,001,724
Allied Security Holdings LLC, Closing Date Term Loan (First Lien), 2/12/21 4.25 02/12/2021 1,307,436 1,291,638
Government National Mortgage Association I, 7.0%, 8/15/29 7.0 08/15/2029 712,236 10,131
COMM 2012-CCRE4 Mortgage Trust, 3.251%, 10/17/45 3.251 10/17/2045 2,365,416 2,465,731
Sunoco Logistics Partners Operations LP, 6.1%, 2/15/42 6.1 02/15/2042 10,390,000 12,221,256
Cengage Learning Holdings II LP     90,687 2,044,992
WireCo WorldGroup, Inc., Term Loan, 2/15/17 6.0 02/15/2017 2,781,866 2,787,082
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 3.0 01/23/2021 771,638 770,553
Fannie Mae, 3.5%, 11/1/40 3.5 11/01/2040 10,200,000 5,591,547
BM&FBovespa SA, 5.5%, 7/16/20 (144A) 5.5 07/16/2020 7,180,000 7,694,367
Commercial Mortgage Pass Through Certificates, 2.822%, 10/17/45 2.822 10/17/2045 3,875,000 4,003,819
PSPC Escrow Corp., 6.0%, 2/1/23 (144A) 6.0 02/01/2023 1,045,000 1,193,342
MortgageIT Trust 2005-1, Floating Rate Note, 2/25/35 1.6683 02/25/2035 10,000,000 1,631,329
Federal Home Loan Mortgage Corp., 4.5%, 10/1/43 4.5 10/01/2043 1,083,224 989,370
Outerwall, Inc., 6.0%, 3/15/19 6.0 03/15/2019 5,420,000 5,434,453
Alterra Finance LLC, 6.25%, 9/30/20 6.25 09/30/2020 9,380,000 11,299,132
Carrizo Oil & Gas, Inc., 8.625%, 10/15/18 8.625 10/15/2018 5,698,000 5,851,252
Exeter Automobile Receivables Trust 2012-2, 3.06%, 7/16/18 (144A) 3.06 07/16/2018 3,000,000 3,028,443
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 4.0253 05/05/2017 7,650,000 7,673,120
Cobalt International Energy, Inc., 2.625%, 12/1/19 2.625 12/01/2019 11,835,000 7,966,434
Fannie Mae, 3.5%, 7/1/26 3.5 07/01/2026 23,914,523 8,969,555
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2.8581 03/25/2034 16,200,000 890,618
Government National Mortgage Association I, 4.0%, 8/15/44 4.0 08/15/2044 368,090 393,770
Sector Re V, Ltd., 0.0%, 12/1/18 (Cat Bond) (144A) 0.0 12/01/2018 20,917 882,930
Ardagh Packaging Finance Plc, 9.125%, 10/15/20 (144A) 9.125 10/15/2020 7,250,000 7,879,793
Fannie Mae, 5.0%, 7/1/39 5.0 07/01/2039 17,025,069 1,828,462
US Airways, Inc., Tranche B-2 Term Loan (Consenting), 11/23/16 3.0 11/23/2016 357,991 356,201
General Cable Corp., 4.5%, 11/15/29 (Step) 4.5 11/15/2029 13,776,000 8,835,582
Mashantucket Western Pequot Tribe, 6.5%, 7/1/36 (PIK) 6.5 07/01/2036 26,147 697
Morgan Stanley, 4.875%, 11/1/22 4.875 11/01/2022 4,400,000 4,835,840
Fannie Mae, 6.0%, 12/1/37 6.0 12/01/2037 7,118,373 324,656
Government National Mortgage Association I, 6.5%, 10/15/31 6.5 10/15/2031 316,324 6,878
Eldorado Gold Corp., 6.125%, 12/15/20 (144A) 6.125 12/15/2020 2,400,000 2,385,783
Citicorp Residential Mortgage Trust Series 2007-2, 5.63784%, 6/25/37 (Step) 5.6378 06/25/2037 4,155,000 4,256,973
Fannie Mae, 7.0%, 2/1/29 7.0 02/01/2029 43,569 635
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 11/25/34 0.9683 11/25/2034 2,126,623 51,450
RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35 5.25 07/25/2035 3,999,380 2,080,336
AmeriCredit Automobile Receivables Trust 2011-3, 4.04%, 7/10/17 4.04 07/10/2017 1,600,000 1,630,346
CWABS Asset-Backed Certificates Trust 2005-4, Floating Rate Note, 9/27/32 4.456 09/27/2032 17,887,563 531,652
GATX Corp., 6.0%, 2/15/18 6.0 02/15/2018 6,865,000 7,877,819
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 (144A) 0.4383 04/25/2032 84,170,000 7,338,816
14112z Zero% 01feb19 0.0 02/01/2019 14,100,000 14,294,580
CCO Holdings LLC, 6.625%, 1/31/22 6.625 01/31/2022 10,705,000 11,675,141
Kane Zero% 22jan17 0.0 01/22/2017 16,776,500 17,078,477
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/27/29 (144A) 4.4115 08/27/2029 1,301,000 1,306,159
Unifrax I LLC, New Euro Term Loan, 11/28/18 5.25 11/28/2018 3,895,444 4,413,592
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 3.5 10/18/2018 5,276,904 5,229,908
Kane Ilw Zero% 02feb16 0.0 02/02/2016 2,550,000 2,348,040
Crowne Group Llc 1st Lien Tl-B L + 5% 29sep20 6.0 09/29/2020 1,795,500 1,768,568
Kiowa Power Partners LLC, 5.737%, 3/30/21 (144A) 5.737 03/30/2021 3,775,000 3,499,864
T-Mobile USA, Inc., 6.625%, 11/15/20 6.625 11/15/2020 4,915,000 5,179,113
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 5.25 04/25/2032 14,941,131 4,347,134
Virginia Commonwealth Transportation Board, 4.0%, 5/15/31 4.0 05/15/2031 7,500,000 8,318,658
Government National Mortgage Association II, 4.0%, 10/20/44 4.0 10/20/2044 15,115,000 15,989,716
Banc of America Alternative Loan Trust 2003-7, 5.5%, 9/25/33 5.5 09/25/2033 17,910,000 3,462,445
LEAF Receivables Funding 9 LLC, 5.11%, 9/15/21 (144A) 5.11 09/15/2021 3,010,000 3,084,561
Banco Continental SA via Continental Trustees Cayman, Ltd., Floating Rate Note, 10/7/40 (144A) 7.375 10/07/2040 6,400,000 7,188,471
Government National Mortgage Association I, 6.0%, 2/15/33 6.0 02/15/2033 3,907,246 128,968
Fannie Mae, 3.5%, 8/1/42 3.5 08/01/2042 25,765,072 22,392,284
Morgan Stanley, Floating Rate Note (Perpetual) 7.125 12/31/2049 324,400 9,066,980
MPT Operating Partnership LP, 5.5%, 5/1/24 5.5 05/01/2024 530,000 566,438
Fannie Mae, 6.5%, 10/1/32 6.5 10/01/2032 511,093 15,913
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/30 5.0 12/15/2030 4,585,000 5,201,632
Remy International, Inc., Term B Loan 2013, 3/5/20 4.25 03/05/2020 7,986,042 7,956,094
CCO Holdings LLC, 7.375%, 6/1/20 7.375 06/01/2020 3,775,000 4,085,651
Federal Home Loan Mortgage Corp., 6.0%, 8/1/34 6.0 08/01/2034 3,000,000 225,200
Samarco Mineracao SA, 5.75%, 10/24/23 (144A) 5.75 10/24/2023 3,000,000 2,944,000
Fannie Mae, 5.0%, 11/1/44 5.0 11/01/2044 57,000,000 63,304,882
Inversiones CMPC SA, 4.375%, 5/15/23 (144A) 4.375 05/15/2023 2,500,000 2,526,764
FREMF Mortgage Trust 2012-K20, Floating Rate Note, 5/25/45 (144A) 3.8689 05/25/2045 6,500,000 6,874,947
Fannie Mae, 6.5%, 3/1/32 6.5 03/01/2032 124,988 5,092
JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16, 3.07%, 12/17/46 3.07 12/17/2046 10,620,000 11,162,686
Carlyle Holdings II Finance LLC, 5.625%, 3/30/43 (144A) 5.625 03/30/2043 20,360,000 25,023,560
Government National Mortgage Association I, 4.0%, 1/15/41 4.0 01/15/2041 33,556 17,948
Massachusetts Health & Educational Facilities Authority, 5.5%, 7/1/32 5.5 07/01/2032 4,550,000 6,536,909
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 3.0 06/25/2043 4,155,000 3,751,222
CHL Mortgage Pass-Through Trust 2003-42, Floating Rate Note, 9/25/33 2.9056 09/25/2033 2,550,000 14,003
Davita Healthcare Partners Inc 1st Lien Tl-B L + 2.75% 19jun21 3.5 06/19/2021 5,905,639 5,887,184
Kindred Healthcare 1st Lien Tl-B L + 3% 10apr21 4.0 04/10/2021 8,639,021 8,531,033
TimberStar Trust I, 7.5296%, 10/15/36 (144A) 7.5296 10/15/2036 6,646,000 6,987,875
Fannie Mae, 4.0%, 11/1/41 4.0 11/01/2041 7,857,077 3,134,303
WP Carey, Inc., 4.6%, 4/1/24 4.6 04/01/2024 6,680,000 7,198,858
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 4.0203 06/28/2016 3,350,000 3,429,358
Legg Mason, Inc., 5.625%, 1/15/44 5.625 01/15/2044 6,310,000 7,756,031
DCP Midstream LLC, 9.75%, 3/15/19 (144A) 9.75 03/15/2019 4,290,000 4,997,813
Rovi Solutions Corp 1st Lien Tl-B L + 3% 02jul21 3.75 07/02/2021 3,260,993 3,199,849
Comstock Resources, Inc., 7.75%, 4/1/19 7.75 04/01/2019 9,120,000 4,886,800
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 1,027,097 78,045
Massachusetts Development Finance Agency, 5.375%, 4/1/41 5.375 04/01/2041 2,075,000 2,431,333
Language Line LLC, Tranche B Term Loan, 6/20/16 6.2534 06/20/2016 2,317,198 2,297,889
Fannie Mae, 4.5%, 7/1/41 4.5 07/01/2041 39,417,029 22,860,560
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 3.0 03/27/2024 6,435,000 3,902,041
COMM 2013-LC6 Mortgage Trust, 2.941%, 1/12/46 2.941 01/12/2046 8,000,000 8,301,439
Sunoco, Inc., 9.625%, 4/15/15 9.625 04/15/2015 25,000 26,119
MetLife Capital Trust IV, 7.875%, 12/15/67 (144A) 7.875 12/15/2067 3,758,000 4,810,475
CBS Corp., 4.6%, 1/15/45 4.6 01/15/2045 9,400,000 9,865,862
Fannie Mae, 4.0%, 5/1/42 4.0 05/01/2042 530,000 466,663
Government National Mortgage Association I, 4.0%, 3/15/44 4.0 03/15/2044 936,492 996,347
U.S. Treasury Bonds, 3.75%, 8/15/41 3.75 08/15/2041 10,750,000 14,325,584
Fannie Mae, 6.0%, 5/1/33 6.0 05/01/2033 1,200,000 158,344
Grupo Bimbo SAB de CV, 3.875%, 6/27/24 (144A) 3.875 06/27/2024 9,641,000 9,974,406
Sappi Papier Holding GmbH, 6.625%, 4/15/21 (144A) 6.625 04/15/2021 1,100,000 1,148,958
Government National Mortgage Association I, 7.5%, 8/15/29 7.5 08/15/2029 100,063 123
Federal Home Loan Mortgage Corp., 6.0%, 3/1/33 6.0 03/01/2033 563,857 11,319
Brazos Harbor Industrial Development Corp., Floating Rate Note, 5/1/38 5.9 05/01/2038 7,050,000 7,764,447
C&S Group Enterprises LLC, 5.375%, 7/15/22 (144A) 5.375 07/15/2022 391,000 389,002
WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21 1.2551 01/23/2021 277,667 277,277
Sequoia Mortgage Trust 2004-8, Floating Rate Note, 9/20/34 0.868 09/20/2034 11,000,000 956,995
Prudential Financial, Inc., Floating Rate Note, 6/15/43 5.625 06/15/2043 11,240,000 11,770,388
US Silica Co., Term Loan, 7/23/20 4.0 07/23/2020 1,896,815 1,754,553
WFRBS Commercial Mortgage Trust 2014-LC14, 2.862%, 3/15/47 2.862 03/15/2047 3,450,000 3,603,242
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 8.0059 05/07/2015 10,950,000 11,319,046
Immucor, Inc., Term B-2 Loan, 8/19/18 5.0 08/19/2018 8,047,147 8,000,208
Micro Focus Us Inc 1st Lien Tl-B L + 4.25% 07oct21 5.25 10/07/2021 2,735,000 2,658,934
Fannie Mae, 4.0%, 12/1/41 4.0 12/01/2041 45,515,613 26,701,168
Dynegy, Inc., Tranche B-2 Term Loan, 4/23/20 4.0 04/23/2020 2,846,468 2,822,006
EverBank Mortgage Loan Trust REMICS, Floating Rate Note, 4/25/43 (144A) 3.5071 04/25/2043 6,762,000 6,360,906
RegionalCare Hospital Partners, Inc., Term Loan (First Lien), 4/21/19 6.0 04/21/2019 3,193,409 3,177,442
Fannie Mae, 5.0%, 9/1/43 5.0 09/01/2043 35,004,024 26,604,159
Essar Steel Algoma Inc 1st Lien Tl-B L + 6.5% 07aug19   08/07/2019 3,765,563 3,671,423
Government National Mortgage Association I, 4.0%, 12/15/44 4.0 12/15/2044 1,826,616 1,968,009
Linn Energy LLC, 8.625%, 4/15/20 8.625 04/15/2020 3,374,000 2,751,146
Federal Home Loan Mortgage Corp., 4.5%, 3/1/44 4.5 03/01/2044 87,965 71,461
ACCELLENT INC, Initial Term Loan (First Lien), 2/21/21 4.5 02/21/2021 500,000 487,500
Government National Mortgage Association I, 5.5%, 12/15/35 5.5 12/15/2035 2,360,900 268,067
JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8, Floating Rate Note, 10/17/45 (144A) 3.9767 10/17/2045 4,000,000 4,289,412
Holcim US Finance Sarl & Cie SCS, 6.0%, 12/30/19 (144A) 6.0 12/30/2019 1,900,000 2,225,996
Electricite de France SA, 6.0%, 1/22/14 (144A) 6.0   23,175,000 29,035,818
PQ Corp., 2014 Term Loan, 8/7/17 4.0 08/07/2017 6,223,000 6,135,878
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 3.75 12/12/2019 4,599,670 4,593,920
NuStar Logistics LP, Floating Rate Note, 1/15/43 7.625 01/15/2043 246,048 6,409,550
Government National Mortgage Association I, 4.5%, 10/15/33 4.5 10/15/2033 2,387,368 236,096
Frontier Communications Corp., 8.5%, 4/15/20 8.5 04/15/2020 11,090,000 12,753,808
Vedanta Resources Plc, 6.0%, 1/31/19 (144A) 6.0 01/31/2019 5,850,000 5,292,300
SolarCity Corp., 1.625%, 11/1/19 (144A) 1.625 11/01/2019 1,984,000 1,729,476
Buckeye Partners LP, 6.05%, 1/15/18 6.05 01/15/2018 1,770,000 1,968,473
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 3.4576 01/15/2017 5,500,000 5,605,802
Fannie Mae, 3.5%, 7/1/43 3.5 07/01/2043 17,883,284 17,683,619
MMC Norilsk Nickel OJSC via MMC Finance, Ltd., 5.55%, 10/28/20 (144A) 5.55 10/28/2020 8,500,000 7,539,819
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 5.73 11/15/2035 1,500,000 637,950
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 1.318 05/07/2024 1,700,000 1,708,724
Sirius International Group, Ltd., 6.375%, 3/20/17 (144A) 6.375 03/20/2017 6,200,000 6,963,982
Fannie Mae, 4.0%, 2/1/43 4.0 02/01/2043 2,425,000 1,843,443
Federal National Mortgage Association REMICS, 5.0%, 9/25/39 5.0 09/25/2039 3,078,000 518,732
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 3.75 06/30/2019 3,691,824 3,269,243
RPI Finance Trust, Term B-3 Term Loan, 11/9/18 3.25 11/09/2018 7,839,210 7,865,667
Parish of St John the Baptist Louisiana, 5.125%, 6/1/37 5.125 06/01/2037 8,470,000 9,027,340
Lehman Brothers Small Balance Commercial Mortgage Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 0.3683 09/25/2036 8,954,321 1,875,320
Kinetic Concepts, Inc., Dollar Term E-1 Loan, 5/4/18 4.0 05/04/2018 7,327,926 7,259,879
Verizon Communications, Inc., 6.55%, 9/15/43 6.55 09/15/2043 9,186,000 12,636,119
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 3.4452 01/17/2019 500,000 511,438
JP Morgan Mortgage Trust 2013-2, Floating Rate Note, 5/25/43 (144A) 3.5 05/25/2043 8,923,000 7,216,400
New Hampshire Health and Education Facilities Authority Act, 6.5%, 1/1/41 6.5 01/01/2041 4,250,000 5,026,248
Government National Mortgage Association I, 4.0%, 6/15/41 4.0 06/15/2041 133,093 23,814
Alliance HealthCare Services, Inc., Initial Term Loan, 6/3/19 4.25 06/03/2019 3,358,865 3,325,277
Gibson Energy, Inc., 6.75%, 7/15/21 (144A) 6.75 07/15/2021 15,875,000 16,061,531
New Jersey Economic Development Authority, 0.0%, 2/15/18 0.0 02/15/2018 19,893,000 18,589,213
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 0.9683 10/25/2034 51,794,000 2,664,750
Federal Home Loan Mortgage Corp., 5.0%, 12/1/21 5.0 12/01/2021 6,525,000 519,000
Standard Chartered Plc, 3.95%, 1/11/23 (144A) 3.95 01/11/2023 18,802,000 18,805,393
Transunion Llc 1st Lien Tl-B L + 3% 21mar21 4.0 03/21/2021 5,776,469 5,705,164
The Hertz Corp., Tranche B-1 Term Loan, 3/11/18 4.0 03/11/2018 1,225,000 1,220,790
EQTY 2014-INNS Mortgage Trust, Floating Rate Note, 5/8/31 (144A) 3.618 05/08/2031 5,200,000 5,224,489
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 6,010,717 6,012,520
Government National Mortgage Association I, 6.0%, 9/15/19 6.0 09/15/2019 1,044,422 27,334
HCA, Inc., 6.5%, 2/15/20 6.5 02/15/2020 3,800,000 4,388,894
The Goldman Sachs Group, Inc., 5.2%, 12/17/19 5.2 12/17/2019 13,855,000 10,354,924
Israel Electric Corp, Ltd., 7.25%, 1/15/19 (144A) 7.25 01/15/2019 2,725,000 3,053,696
TerraForm Power Operating LLC, 5.875%, 2/1/23 (144A) 5.875 02/01/2023 4,130,000 4,219,784
Parsley Energy LLC, 7.5%, 2/15/22 (144A) 7.5 02/15/2022 1,200,000 1,229,500
CenturyLink, Inc., 7.6%, 9/15/39 7.6 09/15/2039 3,510,000 3,645,876
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 871,367 934,558
Government National Mortgage Association I, 4.0%, 9/15/41 4.0 09/15/2041 4,247,615 2,144,017
GSR Mortgage Loan Trust 2005-AR1, Floating Rate Note, 1/25/35 2.6209 01/25/2035 19,862,000 3,812,869
Alternative Loan Trust 2003-16T1, 5.25%, 9/25/33 5.25 09/25/2033 7,855,000 3,303,176
Croatia Government International Bond, 5.5%, 4/4/23 (144A) 5.5 04/04/2023 7,900,000 8,484,381
Fannie Mae, 4.0%, 12/1/43 4.0 12/01/2043 1,800,000 1,804,858
CeramTec Acquisition Corp., Initial Dollar Term B-2 Loan, 8/30/20 4.25 08/30/2020 535,570 532,222
Telenet Finance III Luxembourg SCA, 6.625%, 2/15/21 (144A) 6.625 02/15/2021 2,625,000 3,249,284
Fannie Mae, 6.0%, 6/1/37 6.0 06/01/2037 4,500,000 358,266
Pacific Rubiales Energy Corp., 5.375%, 1/26/19 (144A) 5.375 01/26/2019 3,760,000 2,475,007
Newfield Exploration Co., 5.625%, 7/1/24 5.625 07/01/2024 6,125,000 6,077,148
Fannie Mae, 6.5%, 8/1/32 6.5 08/01/2032 340,598 4,028
Government National Mortgage Association I, 4.0%, 5/15/43 4.0 05/15/2043 358,526 323,475
Blue Danube II, Ltd., Floating Rate Note, 5/23/18 (Cat Bond) (144A) 4.2787 05/23/2018 5,400,000 5,482,523
Spirit Master Funding LLC, 4.6291%, 1/20/45 (144A) 4.6291 01/20/2045 11,000,000 11,193,683
CWGS Group LLC, Term Loan, 2/20/20 5.75 02/20/2020 7,618,041 7,589,474
Government National Mortgage Association I, 7.0%, 5/15/31 7.0 05/15/2031 138,853 1,710
Federal Home Loan Mortgage Corp., 4.0%, 2/1/44 4.0 02/01/2044 1,000,000 1,036,252
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 667,424 715,895
Dycom Investments, Inc., 7.125%, 1/15/21 7.125 01/15/2021 3,500,000 3,651,083
State Street Corp., Floating Rate Note, 12/31/73 5.9 12/31/2073 236,600 6,253,338
Ursa Re, Ltd., Floating Rate Note, 12/7/17 (Cat Bond) (144A)   12/07/2017 1,750,000 1,750,700
Bank of America Corp., Floating Rate Note, 10/23/49 6.5 10/23/2049 1,075,000 1,144,748
Interactive Data 1st Lien Tl-B L + 3.75% 24apr21 4.75 04/24/2021 4,241,002 4,234,378
Revlon Consumer Products Corp., Replacement Term Loan, 11/19/17 3.25 11/19/2017 2,738,789 2,718,248
Government National Mortgage Association I, 4.0%, 10/15/40 4.0 10/15/2040 90,862 24,008
Bumi Resources Tbk PT, Loan, 11/7/15 18.153 11/07/2015 1,135,833 386,183
Altrl Zero% 30jun17 0.0 06/30/2017 7,600,000 7,636,480
Getty Images, Inc., Initial Term Loan, 10/18/19 4.75 10/18/2019 4,773,698 4,337,105
Federal Home Loan Mortgage Corp., 4.5%, 7/1/40 4.5 07/01/2040 10,363,430 2,688,965
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2.58 09/15/2021 10,000,000 10,046,847
Federal Home Loan Mortgage Corp., 6.0%, 1/1/34 6.0 01/01/2034 1,000,000 105,050
Government National Mortgage Association I, 7.0%, 6/15/31 7.0 06/15/2031 245,234 477
AXA SA, 8.6%, 12/15/30 8.6 12/15/2030 10,060,000 13,814,895
MASTR Alternative Loan Trust 2004-13, Floating Rate Note, 1/25/35 6.028 01/25/2035 6,500,000 1,205,468
Federal National Mortgage Association REMICS, 4.5%, 6/25/29 4.5 06/25/2029 4,635,000 3,749,200
Prestige Brands, Inc., Term B-2 Loan, 8/18/21 4.5 08/18/2021 4,708,293 4,716,533
Banc of America Alternative Loan Trust 2004-4, 5.25%, 5/25/19 5.25 05/25/2019 17,500,000 1,875,394
Government National Mortgage Association I, 4.0%, 9/15/41 4.0 09/15/2041 40,375 21,148
Ziggo Bv 1st Lien Tl-B2 L + 2.75% 15jan22 3.5 01/15/2022 1,668,085 1,628,320
Univision Communications, Inc., 2013 Incremental Term Loan, 3/1/20 4.0 03/01/2020 2,210,414 2,181,599
Structured Asset Investment Loan Trust 2006-1, Floating Rate Note, 1/25/36 0.3683 01/25/2036 8,100,000 1,798,344
Queen Street V Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 8.5051 04/09/2015 3,400,000 3,455,231
Fly Leasing, Ltd., 6.375%, 10/15/21 6.375 10/15/2021 1,750,000 1,751,258
Government National Mortgage Association I, 4.5%, 8/15/41 4.5 08/15/2041 17,565,000 7,578,199
Bayview Commercial Asset Trust 2007-4, 3.49686%, 9/25/37 (Step) (144A) 3.4969 09/25/2037 77,809,000 1,748,159
Seagate HDD Cayman, 4.75%, 1/1/25 (144A) 4.75 01/01/2025 3,900,000 4,141,349
Permanent University Fund, 5.0%, 7/1/30 5.0 07/01/2030 2,550,000 3,214,088
Masco Corp., 7.125%, 3/15/20 7.125 03/15/2020 14,465,000 17,096,425
American Homes 4 Rent 2014-SFR3 Trust, 5.04%, 12/18/36 (144A) 5.04 12/18/2036 6,100,000 6,471,307
Spectra Energy Capital LLC, 6.75%, 7/15/18 6.75 07/15/2018 2,140,000 2,445,138
Beacon Container Finance LLC, 3.72%, 9/20/27 (144A) 3.72 09/20/2027 1,550,000 1,221,416
USI, Inc. New York, Initial Term Loan 2013, 12/30/19 4.25 12/30/2019 26,340,020 25,977,844
BBVA Banco Continental SA, 5.0%, 8/26/22 (144A) 5.0 08/26/2022 0 546
Marfrig Overseas, Ltd., 9.5%, 5/4/20 (144A) 9.5 05/04/2020 3,750,000 3,586,667
Garda World Security Corp., Term B Loan, 11/1/20 4.0 11/01/2020 4,099,038 4,004,248
CeramTec Service GmbH, Initial Dollar Term B-1 Loan, 8/30/20 4.25 08/30/2020 5,398,781 5,365,038
Avg Technologies Nv 1st Lien Tl-B L + 4.75% 07oct20 5.75 10/07/2020 1,765,000 1,742,938
Fannie Mae, 4.5%, 3/1/41 4.5 03/01/2041 3,179,532 1,657,471
Hilcorp Energy I LP, 7.625%, 4/15/21 (144A) 7.625 04/15/2021 5,768,000 5,984,020
Arcos Dorados Holdings, Inc., 6.625%, 9/27/23 (144A) 6.625 09/27/2023 1,012,000 960,458
Scotiabank Peru SAA, Floating Rate Note, 12/13/27 (144A) 4.5 12/13/2027 11,145,000 10,931,852
Prudential Financial, Inc., Floating Rate Note, 9/15/42 5.875 09/15/2042 7,575,000 8,216,560
Kleopatra Acquisition Corp., Term B-1 Loan, 12/21/16 4.75 12/21/2016 1,266,889 1,266,889
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.1512 04/30/2018 1,300,000 1,317,095
Oxford Finance Funding Trust 2014-1, 3.475%, 12/15/22 (144A) 3.475 12/15/2022 5,400,000 5,431,506
Appvion, Inc., Term Commitment, 6/28/19 5.75 06/28/2019 14,948,547 14,640,233
Audatex North America, Inc., 6.0%, 6/15/21 (144A) 6.0 06/15/2021 13,230,000 13,860,630
Forethought Financial Group, Inc., 8.625%, 4/15/21 (144A) 8.625 04/15/2021 3,200,000 3,886,643
Fannie Mae, 5.5%, 4/1/36 5.5 04/01/2036 2,000,200 251,263
Transnet SOC, Ltd., 4.0%, 7/26/22 (144A) 4.0 07/26/2022 2,050,000 1,989,616
Waste Industries USA, Inc., Term B Loan, 3/17/17 4.0 03/17/2017 3,489,218 3,470,317
GRIFOLS WORLDWIDE OPERATIONS USA INC, U.S. Tranche B Term Loam, 4/1/21 3.2552 04/01/2021 4,367,000 4,322,339
Selma Industrial Development Board, 6.25%, 11/1/33 6.25 11/01/2033 3,700,000 4,408,458
Government National Mortgage Association I, 6.0%, 9/15/33 6.0 09/15/2033 1,501,891 83,012
Tempur Sealy International, Inc., New Term B Loan, 3/18/20 3.5 03/18/2020 2,355,337 2,325,895
Hercules Capital Funding Trust 2012-1, 3.32%, 12/16/17 (144A) 3.32 12/16/2017 2,700,000 324,521
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 2.5152 01/07/2019 800,000 800,467
CoBank ACB, Floating Rate Note (Perpetual) (144A) 6.25 12/31/2049 87,500 9,023,438
Inter-American Development Bank, 7.2%, 1/22/18 7.2 01/22/2018 114,720,000,000 9,011,725
Cpi International Inc 1st Lien Tl-B L + 3.25% 31mar21 4.25 03/31/2021 1,488,750 1,458,975
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 3.5152 01/06/2019 1,000,000 998,336
Inversiones Alsacia SA, 8.0%, 12/31/18 (144A) 8.0 12/31/2018 6,782,041 4,955,499
Carnow Auto Receivables Trust 2013-1, 2.98%, 11/15/17 (144A) 2.98 11/15/2017 2,797,000 2,802,400
Novatek OAO via Novatek Finance, Ltd., 4.422%, 12/13/22 (144A) 4.422 12/13/2022 15,700,000 11,553,567
Banco do Estado do Rio Grande do Sul SA, 7.375%, 2/2/22 (144A) 7.375 02/02/2022 2,400,000 2,508,517
Glencore Funding LLC, 4.125%, 5/30/23 (144A) 4.125 05/30/2023 5,175,000 5,031,663
Structured Asset Securities Corp Mortgage Loan Trust 2007-BC2, Floating Rate Note, 3/25/37 0.2983 03/25/2037 1,300,000 682,963
Government National Mortgage Association I, 6.0%, 1/15/33 6.0 01/15/2033 4,325,436 173,652
California Republic Auto Receivables Trust 2012-1, 3.0%, 1/15/20 (144A) 3.0 01/15/2020 3,026,000 3,117,889
FREMF Mortgage Trust 2011-K703, Floating Rate Note, 7/25/44 (144A) 4.8839 07/25/2044 5,450,000 5,896,213
Government National Mortgage Association I, 4.0%, 8/15/44 4.0 08/15/2044 503,572 539,178
Bayview Commercial Asset Trust 2004-3, Floating Rate Note, 1/25/35 (144A) 1.1683 01/25/2035 10,450,000 1,562,973
Wells Fargo & Co., 7.5% (Perpetual) 7.5 12/31/2049 31,527 39,188,061
Banc of America Alternative Loan Trust 2004-3, 6.0%, 4/25/34 6.0 04/25/2034 5,500,000 1,135,365
Federal National Mortgage Association, 4.0%, 8/1/44 4.0 08/01/2044 1,200,000 1,261,822
Trust F, 5.25%, 12/15/24 (144A) 5.25 12/15/2024 5,270,000 5,586,529
Cemex SAB de CV, 7.25%, 1/15/21 (144A) 7.25 01/15/2021 3,400,000 3,520,771
Fannie Mae, 3.5%, 4/1/29 3.5 04/01/2029 7,000,000 6,667,415
Wyle 1st Lien Tl-B L + 4% 22may21 5.0 05/22/2021 607,503 607,314
Government National Mortgage Association, Floating Rate Note, 2/16/53 0.9696 02/16/2053 50,450,000 3,521,165
Electricite de France SA, Floating Rate Note (Perpetual) (144A) 5.25 12/31/2049 5,285,000 5,550,791
Bank of America Corp., 7.25% (Perpetual) 7.25 12/31/2049 5,330 6,284,070
Pangaea Zero% 01jul18 0.0 07/01/2018 11,730,000 12,586,290
Securus Technologies Holdings, Inc., Initial Term Loan (First Lien), 4/30/20 4.75 04/30/2020 1,736,811 1,718,358
Fannie Mae, 3.5%, 12/1/42 3.5 12/01/2042 2,047,400 1,713,624
VOLT XIX LLC, 3.875%, 4/26/55 (Step) 3.875 04/26/2055 5,300,000 5,178,071
Government National Mortgage Association I, 4.0%, 4/15/43 4.0 04/15/2043 30,219 26,344
Axalta Coating Systems US Holdings, Inc., Refinanced Term B Loan, 2/1/20 4.0 02/01/2020 5,495,451 5,390,263
Marfrig Holding Europe BV, 6.875%, 6/24/19 (144A) 6.875 06/24/2019 15,910,000 13,914,345
KazMunayGas National Co JSC, 4.4%, 4/30/23 (144A) 4.4 04/30/2023 3,500,000 3,101,210
Banc of America Funding 2010-R4 Trust REMICS, Floating Rate Note, 8/26/36 (144A) 0.2997 08/26/2036 6,900,000 586,609
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2003-A3, 5.5%, 8/25/33 (Step) 5.5 08/25/2033 43,853,000 2,869,629
Ibis Re II, Ltd., Floating Rate Note, 2/5/15 (Cat Bond) (144A) 13.5203 02/05/2015 900,000 916,043
Government National Mortgage Association I, 3.5%, 10/15/44 3.5 10/15/2044 16,072,517 16,995,667
Darling Ingredients, Inc., 5.375%, 1/15/22 5.375 01/15/2022 282,000 281,969
MortgageIT Trust 2005-1, Floating Rate Note, 2/25/35 1.0533 02/25/2035 15,003,000 2,575,325
Tasc Inc/Va 1st Lien Tl-B L + 5.5% 12may20 6.5 05/12/2020 4,045,600 3,968,058
Bear Stearns ALT-A Trust 2005-1, Floating Rate Note, 1/25/35 0.9183 01/25/2035 8,350,000 7,071,469
Government National Mortgage Association I, 4.0%, 11/15/41 4.0 11/15/2041 135,000 92,646
Government National Mortgage Association I, 4.0%, 4/15/39 4.0 04/15/2039 90,132 24,663
Government National Mortgage Association I, 5.5%, 1/15/34 5.5 01/15/2034 3,238,092 293,135
PHH Mortgage Capital LLC, 6.6%, 12/25/27 (Step) (144A) 6.6 12/25/2027 14,800,000 888,914
Government National Mortgage Association I, 4.0%, 12/15/44 4.0 12/15/2044 747,832 805,650
Government National Mortgage Association I, 6.0%, 9/15/33 6.0 09/15/2033 2,000,000 159,867
Montpelier Re Holdings, Ltd., 4.7%, 10/15/22 4.7 10/15/2022 11,560,000 12,470,493
Government National Mortgage Association I, 4.0%, 4/15/41 4.0 04/15/2041 78,634 45,546
Fannie Mae, 6.0%, 1/1/33 6.0 01/01/2033 502,267 17,925
JP Morgan Mortgage Trust 2013-1, Floating Rate Note, 3/25/43 (144A) 2.5 03/25/2043 23,395,000 16,104,499
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 2.117 03/16/2026 2,842,000 2,842,841
Fannie Mae, 3.5%, 11/1/42 3.5 11/01/2042 500,000 445,002
NOVA Chemicals Corp., 5.0%, 5/1/25 (144A) 5.0 05/01/2025 3,605,000 3,786,752
U.S. Treasury Inflation Indexed Bonds, 0.125%, 7/15/24 0.125 07/15/2024 143,525,000 144,609,218
KB Home, 1.375%, 2/1/19 1.375 02/01/2019 7,875,000 7,377,891
Advanced Micro Devices, Inc., 7.0%, 7/1/24 7.0 07/01/2024 15,160,000 13,315,533
Capital Automotive Real Estate Investment Trust, 3.66%, 10/17/44 (144A) 3.66 10/17/2044 11,000,000 10,963,718
Sequoia Mortgage Trust 2013-9, 3.5%, 7/25/43 (144A) 3.5 07/25/2043 4,196,000 3,901,598
Romania Government Bond, 5.85%, 4/26/23 5.85 04/26/2023 83,320,000 27,203,822
Government National Mortgage Association I, 4.5%, 1/15/40 4.5 01/15/2040 1,883,000 1,123,512
American Homes 4 Rent 2014-SFR2 Trust, 5.149%, 10/17/36 (144A) 5.149 10/17/2036 2,200,000 2,357,432
COMM 2012-CCRE4 Mortgage Trust, 2.436%, 10/17/45 2.436 10/17/2045 4,047,000 4,124,933
Bear Stearns ARM Trust 2004-6, Floating Rate Note, 9/25/34 2.6611 09/25/2034 27,589,800 3,129,633
Lehman ABS Manufactured Housing Contract Trust 2001-B, 5.873%, 5/15/41 5.873 05/15/2041 5,950,000 818,571
Fannie Mae, 6.0%, 7/1/17 6.0 07/01/2017 4,000,000 34,045
Vedanta Resources Plc, 9.5%, 7/18/18 (144A) 9.5 07/18/2018 4,040,000 4,013,459
WASH Multifamily Laundry Systems LLC, U.S. Term Loan, 2/21/19 4.5 02/21/2019 1,158,902 1,145,864
Molina Healthcare, Inc., 1.625%, 8/15/44 1.625 08/15/2044 6,470,000 7,139,420
Carrington Mortgage Loan Trust Series 2005-NC4, Floating Rate Note, 9/25/35 0.5683 09/25/2035 1,025,000 115,256
The Goldman Sachs Group, Inc., 6.45%, 5/1/36 6.45 05/01/2036 7,400,000 9,425,646
Worthington Industries, Inc., 4.55%, 4/15/26 4.55 04/15/2026 3,875,000 4,335,223
Fannie Mae, 6.5%, 7/1/31 6.5 07/01/2031 125,419 985
FREMF Mortgage Trust 2012-K501, Floating Rate Note, 11/26/46 (144A) 3.4426 11/26/2046 2,750,000 2,828,080
County of Sweetwater Wyoming, 5.6%, 12/1/35 5.6 12/01/2035 3,285,000 3,386,550
Antero Resources Corp., 5.125%, 12/1/22 (144A) 5.125 12/01/2022 8,000,000 7,728,333
Fannie Mae, 4.5%, 10/1/43 4.5 10/01/2043 6,481,868 5,189,868
Indonesia Treasury Bond, 8.25%, 6/15/32 8.25 06/15/2032 222,011,000,000 19,090,332
Government National Mortgage Association I, 4.0%, 10/15/44 4.0 10/15/2044 3,000,000 2,761,565
Government National Mortgage Association I, 4.5%, 3/15/38 4.5 03/15/2038 15,595,138 3,541,344
Gentiva Health Services, Inc., Initial Term B Loan, 10/10/19 6.5 10/10/2019 8,829,336 8,838,995
Novelis, Inc., Initial Term Loan, 3/10/17 3.75 03/10/2017 3,571,725 3,546,055
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 0.3365 04/16/2035 11,600,000 4,674,422
Sequoia Mortgage Trust 2013-7, Floating Rate Note, 6/25/43 3.0 06/25/2043 7,399,368 6,711,131
Calpine Construction Finance Co LP, Term B-1 Loan, 5/3/20 3.0 05/03/2020 1,405,976 1,365,203
Government National Mortgage Association I, 4.0%, 7/15/39 4.0 07/15/2039 76,956 39,438
Morgan Stanley, Floating Rate Note (Perpetual) 6.375 12/31/2049 180,020 4,664,318
Si Organization Inc 1st Lien Dd L + 0% 19nov19 5.75 11/19/2019 304,926 304,545
Federal National Mortgage Association REMICS, 3.5%, 1/25/29 3.5 01/25/2029 6,000,000 88,677
Government National Mortgage Association I, 4.0%, 10/15/40 4.0 10/15/2040 125,647 59,450
Sensus USA, Inc., Term Loan (First Lien), 5/9/17 4.5 05/09/2017 1,431,647 1,403,014
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 3.9669 08/25/2053 8,507,000 6,478,109
Origen Manufactured Housing Contract Trust 2004-A, Floating Rate Note, 1/15/35 5.91 01/15/2035 4,650,000 1,935,472
Government National Mortgage Association I, 6.0%, 7/15/33 6.0 07/15/2033 2,789,309 275,455
Liberty Mutual Insurance Co., 7.697% (Perpetual) (144A) 7.697   11,050,000 15,384,510
VimpelCom Holdings BV, 9.0%, 2/13/18 (144A) 9.0 02/13/2018 193,400,000 2,352,773
Fannie Mae, 4.0%, 4/1/42 4.0 04/01/2042 9,200,000 4,445,701
Kinder Morgan Energy Partners LP, 5.95%, 2/15/18 5.95 02/15/2018 5,225,000 5,920,657
Fannie Mae, 7.5%, 1/1/28 7.5 01/01/2028 115,000 1,220
MCC Iowa LLC, Tranche H Term Loan, 1/29/21 3.25 01/29/2021 3,782,400 3,735,120
Virtual Radiologic Corp., Term Loan B, 12/22/16 7.2502 12/22/2016 2,412,500 1,857,625
Israel Electric Corp, Ltd., 5.625%, 6/21/18 (144A) 5.625 06/21/2018 5,000,000 5,330,469
International Game Technology, 7.5%, 6/15/19 7.5 06/15/2019 120,000 129,492
TAM Capital 3, Inc., 8.375%, 6/3/21 (144A) 8.375 06/03/2021 4,965,000 5,221,990
Weatherford International, Ltd. Bermuda, 5.95%, 4/15/42 5.95 04/15/2042 3,825,000 2,884,483
RALI Series 2004-QS4 Trust, Floating Rate Note, 3/25/34 0.6683 03/25/2034 19,206,500 1,540,136
Fannie Mae, 4.0%, 8/1/43 4.0 08/01/2043 6,883,801 5,932,333
Government National Mortgage Association I, 6.0%, 8/15/16 6.0 08/15/2016 43,573 310
Government National Mortgage Association I, 3.5%, 7/15/42 3.5 07/15/2042 22,710,107 16,994,976
Government National Mortgage Association I, 4.5%, 11/15/40 4.5 11/15/2040 8,091,166 3,573,621
Government National Mortgage Association I, 6.0%, 11/15/33 6.0 11/15/2033 3,200,000 400,779
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 8.7652 12/06/2016 7,100,000 7,325,958
Confie seguros Holding II Co., Term B Loan (First Lien), 11/9/18 5.75 11/09/2018 3,140,779 3,136,200
Bayview Opportunity Master Fund IIa Trust 2014-20NPL, Floating Rate Note, 8/28/44 (144A) 3.721 08/28/2044 4,150,000 3,575,219
Norway Government Bond, 2.0%, 5/24/23 2.0 05/24/2023 63,500,000 8,885,267
Platinum Underwriters Finance, Inc., 7.5%, 6/1/17 7.5 06/01/2017 12,025,000 13,585,376
Owens Corning, 4.2%, 12/1/24 4.2 12/01/2024 1,075,000 1,118,075
Fannie Mae, 4.0%, 11/1/44 4.0 11/01/2044 725,000 777,340
Lion I Re, Ltd., Floating Rate Note, 4/28/17 (Cat Bond) 2.36 04/28/2017 1,300,000 1,484,565
Minerva Luxembourg SA, 12.25%, 2/10/22 (144A) 12.25 02/10/2022 5,000,000 5,835,938
OneMain Financial Issuance Trust 2015-1, 3.19%, 3/18/26 (144A) 3.19 03/18/2026 3,700,000 3,698,824
JG Wentworth XXII LLC, 3.82%, 12/15/48 (144A) 3.82 12/15/2048 3,250,000 2,200,522
Irvine Core Office Trust 2013-IRV, Floating Rate Note, 5/15/48 (144A) 3.1731 05/15/2048 6,944,736 7,258,867
Public Service Co of New Mexico, 7.95%, 5/15/18 7.95 05/15/2018 3,725,000 4,493,275
Sequoia Mortgage Trust 2013-4, Floating Rate Note, 4/27/43 2.5 04/27/2043 9,720,000 8,598,821
Digicel, Ltd., 8.25%, 9/1/17 (144A) 8.25 09/01/2017 6,600,000 6,925,875
The Medicines Co., 2.5%, 1/15/22 (144A) 2.5 01/15/2022 6,350,000 6,869,430
Fannie Mae, 4.5%, 8/1/41 4.5 08/01/2041 71,193,582 28,763,761
ATKORE INTERNATIONAL INC, Term Loan (First Lien), 3/27/21 4.5 03/27/2021 1,691,500 1,667,185
Glenn Pool Oil & Gas Trust, Term Loan, 5/2/16 4.5 05/02/2016 3,285,608 3,269,180
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 2,104,379 2,053,060
New York City Transitional Finance Authority Future Tax Secured Revenue, 5.0%, 11/1/33 5.0 11/01/2033 1,400,000 1,659,966
Spectrum Brands, Inc., Tranche C Term Loan, 8/13/19 3.5 08/13/2019 197,147 196,121
Government National Mortgage Association I, 4.0%, 1/15/40 4.0 01/15/2040 44,880 24,473
Port Freeport Texas, 5.95%, 5/15/33 5.95 05/15/2033 15,970,000 18,151,360
Energy XXI Gulf Coast, Inc., 7.5%, 12/15/21 7.5 12/15/2021 17,200,000 7,990,833
Reynolds Group Holdings, Inc., Incremental U.S. Term Loan, 12/31/18 4.0 12/31/2018 3,774,613 3,739,751
Government National Mortgage Association I, 4.0%, 2/15/42 4.0 02/15/2042 158,615 24,961
Constellation Brands, Inc., 4.75%, 11/15/24 4.75 11/15/2024 2,560,000 2,711,324
Health Care Real Estate Investment Trust, Inc., 5.25%, 1/15/22 5.25 01/15/2022 3,150,000 3,606,761
MarkWest Energy Partners LP, 4.875%, 12/1/24 4.875 12/01/2024 15,495,000 15,719,355
Commercial Vehicle Group, Inc., 7.875%, 4/15/19 7.875 04/15/2019 1,125,000 1,182,023
MetLife, Inc., 6.4%, 12/15/66 6.4 12/15/2066 5,875,000 6,716,169
Sequoia Mortgage Trust 2004-9, Floating Rate Note, 10/20/34 0.848 10/20/2034 25,450,610 2,351,680
The Ryland Group, Inc., 5.375%, 10/1/22 5.375 10/01/2022 6,230,000 6,154,721
STORE Master Funding LLC, 4.21%, 4/20/44 (144A) 4.21 04/20/2044 165,000 173,702
Government National Mortgage Association I, 5.5%, 7/15/34 5.5 07/15/2034 4,540,000 433,341
Oak Hill Advisors Residential Loan Trust 2014-NPL1, 2.8828%, 5/25/54 (Step) (144A) 2.8828 05/25/2054 5,870,000 3,973,436
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 300,000 16,248
FCA US LLC, Term Loan B, 5/24/17 3.5 05/24/2017 18,225,234 18,169,538
Allegheny Technologies, Inc., 9.375%, 6/1/19 9.375 06/01/2019 3,645,000 4,354,991
BRF SA, 3.95%, 5/22/23 (144A) 3.95 05/22/2023 3,500,000 3,376,314
Government National Mortgage Association I, 4.0%, 10/15/43 4.0 10/15/2043 76,551 30,278
United Airlines, Inc., Class B Term Loan, 4/1/19 3.5 04/01/2019 982,500 975,541
Scientific Games International Inc 1st Lien Tl-B2 L + 5% 17sep21 6.0 09/17/2021 10,450,000 10,338,969
Nuance Communications, Inc., 2.75%, 11/1/31 2.75 11/01/2031 9,565,000 9,505,219
Mystic Re, Ltd., Floating Rate Note, 3/12/15 (Cat Bond) (144A) 12.0152 03/12/2015 3,100,000 3,255,827
JP Morgan Mortgage Trust 2013-2, Floating Rate Note, 5/25/43 3.5 05/25/2043 5,615,000 4,334,406
Union Andina de Cementos SAA, 5.875%, 10/30/21 (144A) 5.875 10/30/2021 4,250,000 4,269,922
Government National Mortgage Association I, 4.0%, 11/15/41 4.0 11/15/2041 91,759 28,082
Fannie Mae, 6.0%, 7/1/38 6.0 07/01/2038 2,040,000 169,456
SandRidge Energy, Inc., 7.5%, 3/15/21 7.5 03/15/2021 1,960,000 1,417,733
GrupoSura Finance SA, 5.7%, 5/18/21 (144A) 5.7 05/18/2021 4,710,000 5,064,467
MGM Resorts International, 6.0%, 3/15/23 6.0 03/15/2023 11,815,000 12,063,115
Star Energy Geothermal Wayang Windu, Ltd., 6.125%, 3/27/20 (144A) 6.125 03/27/2020 7,850,000 8,033,903
Microsemi Corp., Term Loan (2014), 3/14/21 3.25 03/14/2021 1,852,642 1,836,894
Wilton Re Finance LLC, Floating Rate Note, 3/30/33 (144A) 5.875 03/30/2033 6,215,000 6,857,117
Flextronics International, Ltd., 4.625%, 2/15/20 4.625 02/15/2020 4,615,000 4,886,484
Exterran Holdings, Inc., 7.25%, 12/1/18 7.25 12/01/2018 4,870,000 4,807,096
Government National Mortgage Association I, 5.5%, 8/15/19 5.5 08/15/2019 711,545 89,253
Fannie Mae, 6.5%, 11/1/32 6.5 11/01/2032 400,000 9,481
Virgin Media Investment Holdings, Ltd., B Facility, 6/8/20 3.5 06/08/2020 25,310,000 24,971,884
Government National Mortgage Association II, 7.0%, 1/20/29 7.0 01/20/2029 500,000 7,175
Wells Fargo Commercial Mortgage Trust 2010-C1, Floating Rate Note, 11/18/43 (144A) 5.5828 11/18/2043 4,800,000 5,486,095
Nationstar Mortgage LLC, 6.5%, 6/1/22 6.5 06/01/2022 4,695,000 4,088,563
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 REMICS, 2.979%, 4/17/47 2.979 04/17/2047 5,025,000 5,259,052
IASIS Healthcare LLC, Term B-2 Loan, 5/3/18 4.5 05/03/2018 6,213,166 6,210,575
Federal Home Loan Mortgage Corp., 4.5%, 11/1/43 4.5 11/01/2043 4,841,006 3,923,687
Federal Home Loan Mortgage Corp., 4.5%, 10/1/35 4.5 10/01/2035 8,240,814 790,456
Univar, Inc., Term B Loan, 6/30/17 5.0 06/30/2017 6,412,029 6,208,447
Government National Mortgage Association I, 6.5%, 8/15/32 6.5 08/15/2032 344,471 4,401
Virginia Commonwealth Transportation Board, 4.0%, 5/15/32 4.0 05/15/2032 7,500,000 8,279,958
Big Heart Pet Brands, Initial Term Loan, 2/24/20 3.5 02/24/2020 4,365,408 4,217,115
Fannie Mae, 5.0%, 7/1/35 5.0 07/01/2035 17,501,965 1,883,326
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 8.0152 06/06/2016 4,500,000 4,853,000
Domino's Pizza Master Issuer LLC, 5.216%, 1/27/42 (144A) 5.216 01/27/2042 14,228,000 14,486,699
Crown Castle Towers LLC, 4.883%, 8/15/20 (144A) 4.883 08/15/2020 6,850,000 7,603,988
Alpha Natural Resources, Inc., 6.25%, 6/1/21 6.25 06/01/2021 1,860,000 475,075
Equinix, Inc., 5.75%, 1/1/25 5.75 01/01/2025 6,275,000 6,597,160
New Residential Mortgage Loan Trust 2014-3, Floating Rate Note, 11/25/54 (144A) 3.75 11/25/2054 7,093,312 7,365,553
Fannie Mae, 4.5%, 3/1/35 4.5 03/01/2035 2,520,000 328,393
Samarco Mineracao SA, 4.125%, 11/1/22 (144A) 4.125 11/01/2022 7,600,000 6,803,504
Navistar, Inc., Tranche B Term Loan, 8/17/17 5.75 08/17/2017 400,000 400,250
Energy Transfer Partners LP, Floating Rate Note, 11/1/66 3.2499 11/01/2066 4,234,000 3,760,702
Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33 2.7059 09/25/2033 34,229,000 2,690,911
Government National Mortgage Association I, 4.0%, 8/15/41 4.0 08/15/2041 62,481 24,803
JP Morgan Mortgage Trust 2014-IVR3, Floating Rate Note, 9/26/44 (144A) 3.2233 09/26/2044 8,399,600 7,782,554
Government National Mortgage Association I, 4.0%, 12/18/14 4.0 12/18/2014 5,000,000 5,377,859
Russian Federal Bond - OFZ, 7.6%, 7/20/22 7.6 07/20/2022 25,000 279
Government National Mortgage Association I, 6.5%, 6/15/32 6.5 06/15/2032 150,000 7,828
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/34 5.0 06/15/2034 8,360,000 1,099
Government National Mortgage Association II, 5.5%, 10/20/37 5.5 10/20/2037 50,000 13,364
Carrizo Oil & Gas, Inc., 7.5%, 9/15/20 (144A) 7.5 09/15/2020 7,710,000 7,735,700
Fannie Mae, 4.0%, 2/1/44 4.0 02/01/2044 30,000,000 29,055,857
New Albertsons Inc 1st Lien Tl L + 3.75% 24jun21 4.75 06/24/2021 1,845,375 1,825,537
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 25,078 26,552
Calumet Specialty Products Partners LP, 6.5%, 4/15/21 (144A) 6.5 04/15/2021 7,330,000 6,480,755
US Bancorp, Floating Rate Note (Perpetual) 6.5 12/31/2049 67,832 2,006,471
Kane-Pi1 Flt% 07jul16 0.0 07/07/2016 7,017,560 6,985,279
Banc of America Commercial Mortgage Trust 2007-3, Floating Rate Note, 6/10/49 5.5765 06/10/2049 1,400,000 1,467,855
COMM 2012-CCRE2 Mortgage Trust, 4.393%, 8/17/45 4.393 08/17/2045 1,275,000 1,403,394
CEMEX Espana SA, 9.875%, 4/30/19 (144A) 9.875 04/30/2019 5,098,000 5,682,677
Fannie Mae, 6.0%, 4/1/38 6.0 04/01/2038 5,765,562 448,391
The PNC Financial Services Group, Inc., Floating Rate Note (Perpetual) 4.4511 02/21/2049 17,930,000 18,087,975
Louisiana Local Government Environmental Facilities & Community Development Authority, 6.75%, 11/1/3 6.75 11/01/2032 7,370,000 8,596,331
Government National Mortgage Association, Floating Rate Note, 8/16/52 0.9748 08/16/2052 55,500,000 2,892,110
LSTAR Commercial Mortgage Trust, Floating Rate Note, 6/25/43 (144A) 5.3328 06/25/2043 4,920,000 3,097,934
RALI Series 2003-QS13 Trust, Floating Rate Note, 7/25/33 0.7183 07/25/2033 29,527,860 3,037,537
Fannie Mae, 4.0%, 9/1/37 4.0 09/01/2037 1,307,922 948,519
Windstream Corp., 7.75%, 10/15/20 7.75 10/15/2020 8,680,000 9,203,573
Digital Realty Trust LP, 5.875%, 2/1/20 5.875 02/01/2020 1,445,000 1,691,555
Lorillard Tobacco Co., 3.75%, 5/20/23 3.75 05/20/2023 4,700,000 4,856,476
Fannie Mae, 3.5%, 6/1/42 3.5 06/01/2042 2,314,862 1,995,416
William Marsh Rice University, 4.626%, 5/15/63 4.626 05/15/2063 5,100,000 6,074,182
Norway Government Bond, 5.0%, 5/15/15 5.0 05/15/2015 467,360,000 63,682,477
Morgan Stanley, 4.1%, 5/22/23 4.1 05/22/2023 13,200,000 13,763,935
Agrium, Inc., 5.25%, 1/15/45 5.25 01/15/2045 25,250,000 29,933,846
Nn Inc 1st Lien Tl-B L + 5% 18jul21 6.0 07/18/2021 3,326,786 3,322,627
Oi SA, 5.75%, 2/10/22 (144A) 5.75 02/10/2022 3,825,000 3,426,828
Fannie Mae, 5.5%, 3/1/21 5.5 03/01/2021 5,000,000 595,058
Phosagro OAO via Phosagro Bond Funding, Ltd., 4.204%, 2/13/18 (144A) 4.204 02/13/2018 5,550,000 4,937,384
Ziggo Bv 1st Lien Tl-B1 L + 2.75% 15jan22 3.5 01/15/2022 2,588,511 2,526,803
The Allstate Corp., Floating Rate Note, 1/15/53 5.1 01/15/2053 631,450 16,297,725
Building Materials Corp of America, 5.375%, 11/15/24 (144A) 5.375 11/15/2024 9,250,000 9,500,617
Fannie Mae, 4.0%, 12/1/41 4.0 12/01/2041 17,790,000 8,411,954
Frontier Communications Corp., 8.75%, 4/15/22 8.75 04/15/2022 10,355,000 12,019,710
PSPC Escrow Corp., 6.5%, 2/1/22 (144A) 6.5 02/01/2022 3,395,000 3,462,900
Government National Mortgage Association I, 4.0%, 7/15/43 4.0 07/15/2043 497,034 384,341
GTP Acquisition Partners I LLC, 7.628%, 6/15/41 (144A) 7.628 06/15/2041 10,580,000 11,103,342
Massachusetts Institute of Technology, 5.6%, 7/1/11 5.6   4,025,000 6,119,428
Six Flags Theme Parks, Inc., Tranche B Term Loan, 12/20/18 3.5003 12/20/2018 1,062,928 1,064,478
Protection One, Inc., Term Loan (2012), 3/21/19 4.25 03/21/2019 2,288,177 2,271,016
MedAssets, Inc., Term B Loan, 12/13/19 4.0 12/13/2019 1,718,400 1,712,472
Windstream Corp., 8.125%, 9/1/18 8.125 09/01/2018 1,740,000 1,872,856
Audio Visual Services Corp., Initial Term Loan (First Lien), 1/24/21 4.5 01/24/2021 1,255,513 1,250,804
Fannie Mae, 4.0%, 11/1/44 4.0 11/01/2044 12,695,000 13,502,888
Provincia de Neuquen Argentina, 7.875%, 4/26/21 (144A) 7.875 04/26/2021 2,300,000 1,750,342
Impac CMB Trust Series 2004-9, Floating Rate Note, 1/25/35 0.9283 01/25/2035 43,500,000 2,790,575
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 0.3183 05/25/2036 2,125,362 536,935
Enel S.p.A., Floating Rate Note, 9/24/73 (144A) 8.133 09/24/2073 10,830,000 13,165,144
Leaf Receivables Funding 8 LLC, 5.5%, 9/15/20 (144A) 5.5 09/15/2020 2,141,566 2,177,830
Banco de Credito del Peru Panama, Floating Rate Note, 9/16/26 (144A) 6.875 09/16/2026 10,210,000 11,530,564
Ormat Funding Corp., 8.25%, 12/30/20 8.25 12/30/2020 6,405,000 3,070,012
Reynolds Group Issuer, Inc., 9.875%, 8/15/19 9.875 08/15/2019 5,795,000 6,421,061
Rural, Term Loan, 6/30/18 8.0 06/30/2018 1,552,722 1,471,204
Alta Wind Holdings LLC, 7.0%, 6/30/35 (144A) 7.0 06/30/2035 1,600,000 1,476,209
Government National Mortgage Association I, 4.0%, 10/15/41 4.0 10/15/2041 543,395 269,589
Conseco Financial Corp., Floating Rate Note, 12/1/28 6.24 12/01/2028 4,121,000 200,050
Government National Mortgage Association I, 5.5%, 7/15/33 5.5 07/15/2033 1,500,000 147,517
Cemex SAB de CV, Floating Rate Note, 9/30/15 (144A) 5.2566 09/30/2015 4,700,000 4,747,576
Government National Mortgage Association I, 6.5%, 11/15/31 6.5 11/15/2031 1,537,088 53,905
Equinix, Inc., 5.375%, 1/1/22 5.375 01/01/2022 5,075,000 5,306,424
Alexandria Real Estate Equities, Inc., 2.75%, 1/15/20 2.75 01/15/2020 100,000 101,026
Metalloinvest Finance, Ltd., 5.625%, 4/17/20 (144A) 5.625 04/17/2020 6,200,000 4,794,894
Government National Mortgage Association I, 4.0%, 5/15/41 4.0 05/15/2041 29,985 20,644
Federal Home Loan Mortgage Corp., 6.5%, 9/1/32 6.5 09/01/2032 100,000 2,729
Government National Mortgage Association I, 4.0%, 7/15/41 4.0 07/15/2041 42,737 22,696
Tank Holding Corp., Initial Term Loan, 7/9/19 4.25 07/09/2019 1,575,211 1,548,957
JP Morgan Mortgage Trust 2013-2, Floating Rate Note, 5/25/43 (144A) 3.7082 05/25/2043 3,983,000 4,019,181
Ardagh Packaging Finance Plc, 9.25%, 10/15/20 (144A) 9.25 10/15/2020 11,058,000 13,667,253
Eaton Vance Corp., 6.5%, 10/2/17 6.5 10/02/2017 19,000 21,792
Building Materials Corp of America, 6.75%, 5/1/21 (144A) 6.75 05/01/2021 3,665,000 3,983,397
Government National Mortgage Association I, 5.5%, 2/15/35 5.5 02/15/2035 5,109,070 291,855
Schaeffler (Aka Ina Beteiligungsge 1st Lien Tl-B L + 3.5% 15may20 4.25 05/15/2020 1,100,000 1,105,500
Rosetta Resources, Inc., 5.875%, 6/1/24 5.875 06/01/2024 2,100,000 1,936,813
Government National Mortgage Association I, 5.5%, 10/15/19 5.5 10/15/2019 300,000 40,277
DR Horton, Inc., 5.75%, 8/15/23 5.75 08/15/2023 7,780,000 8,569,778
Wells Fargo Mortgage Backed Securities 2005-AR6 Trust, Floating Rate Note, 4/25/35 4.2143 04/25/2035 4,996,000 345,299
CVS Pass-Through Trust, 5.773%, 1/10/33 (144A) 5.773 01/10/2033 6,090,000 6,491,782
Red de Carreteras de Occidente SAPIB de CV, 9.0%, 6/10/28 (144A) 9.0 06/10/2028 87,500,000 5,760,974
Cummins, Inc., 6.75%, 2/15/27 6.75 02/15/2027 1,385,000 1,884,784
Fannie Mae, 4.0%, 4/1/42 4.0 04/01/2042 4,500,000 3,050,732
Government National Mortgage Association I, 5.0%, 11/15/16 5.0 11/15/2016 1,229,667 38,835
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 1.0683 05/26/2037 6,250,000 5,451,527
Endo Finance LLC, 6.0%, 2/1/25 (144A) 6.0 02/01/2025 1,975,000 2,019,520
Credit Acceptance Auto Loan Trust 2012-2, 2.21%, 9/15/20 (144A) 2.21 09/15/2020 2,500,000 2,518,463
The Priceline Group, Inc., 0.9%, 9/15/21 (144A) 0.9 09/15/2021 7,740,000 7,239,029
Government National Mortgage Association I, 6.0%, 11/15/16 6.0 11/15/2016 1,500,000 13,697
Digital Realty Trust, Inc., 5.875% (Perpetual) 5.875 12/31/2049 100,000 2,427,000
Fannie Mae, 5.0%, 6/1/22 5.0 06/01/2022 2,077,680 187,914
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 5.46 11/15/2035 2,000,000 1,632,114
Fannie Mae, 5.0%, 7/1/39 5.0 07/01/2039 10,309,150 1,803,157
U.S. Treasury Bonds, 3.625%, 8/15/43 3.625 08/15/2043 25,000,000 32,754,085
Government National Mortgage Association I, 5.5%, 6/15/35 5.5 06/15/2035 2,028,692 204,479
Tiers Trust, Floating Rate Note, 10/15/97 (144A) 0.0   5,351,000 5,155,698
Government National Mortgage Association I, 4.0%, 10/15/41 4.0 10/15/2041 48,381 29,403
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 1,912,482 2,051,077
Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A) 3.7753 11/25/2019 6,190,000 6,200,652
Calpine Corp., Term Loan (3/11), 4/1/18 4.0 04/01/2018 5,385,188 5,363,496
Pelican Products, Inc., Term Loan (First Lien), 4/8/20 5.25 04/08/2020 2,703,849 2,688,640
Fannie Mae, 3.5%, 12/1/25 3.5 12/01/2025 19,734,423 6,260,099
CEVA GROUP Plc     1,069 774,808
National Financial Partners 1st Lien Tl-B L + 3.5% 01jul20 3.7552 07/01/2020 2,723,175 2,695,094
Gazprom OAO Via Gaz Capital SA, 8.146%, 4/11/18 (144A) 8.146 04/11/2018 765,000 757,266
Washington Suburban Sanitary Commission, 4.0%, 6/1/43 4.0 06/01/2043 5,440,000 5,943,285
SBA Tower Trust, 3.869%, 10/15/49 (144A) 3.869 10/15/2049 9,950,000 10,454,441
Akbank TAS, 7.5%, 2/5/18 (144A) 7.5 02/05/2018 11,000,000 4,482,732
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 8.5059 05/07/2015 2,250,000 2,331,413
RCMC LLC, 5.62346%, 12/17/18 (144A) 5.6235 12/17/2018 2,512,000 1,259,285
Fannie Mae, 4.0%, 2/1/44 4.0 02/01/2044 3,344,903 3,348,724
Qwest Corp., 7.375%, 6/1/51 7.375 06/01/2051 572,600 15,294,146
Government National Mortgage Association I, 6.5%, 8/15/32 6.5 08/15/2032 703,797 44,802
BioMed Realty LP, 4.25%, 7/15/22 4.25 07/15/2022 3,865,000 4,123,862
Fannie Mae, 4.5%, 9/1/41 4.5 09/01/2041 2,700,000 1,429,248
FREMF Mortgage Trust 2011-K701, Floating Rate Note, 7/25/48 (144A) 4.286 07/25/2048 4,100,000 4,348,062
CeramTec GmbH, Dollar Term B-3 Loan, 8/30/20 4.25 08/30/2020 1,613,818 1,603,731
Federal Home Loan Mortgage Corp., 6.0%, 12/1/36 6.0 12/01/2036 1,820,000 132,411
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 11/10/16 (Cat Bond) (144A) 11.7874 11/10/2016 250,000 267,088
Lamar Media Corp., 5.375%, 1/15/24 5.375 01/15/2024 1,045,000 1,084,071
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 2,000,000 2,144,270
Viterra, Inc., 5.95%, 8/1/20 (144A) 5.95 08/01/2020 12,880,000 14,805,921
Government National Mortgage Association I, 4.0%, 8/15/41 4.0 08/15/2041 25,000 3,961
Denbury Resources, Inc., 4.625%, 7/15/23 4.625 07/15/2023 11,796,000 10,080,337
IndyMac INDX Mortgage Loan Trust 2005-AR3, Floating Rate Note, 4/25/35 2.7176 04/25/2035 12,532,000 2,387,681
RJS Power Holdings LLC, 5.125%, 7/15/19 (144A) 5.125 07/15/2019 6,320,000 6,144,796
Government National Mortgage Association I, 4.0%, 4/15/39 4.0 04/15/2039 80,758 28,980
Micron Technology, Inc., 5.25%, 8/1/23 (144A) 5.25 08/01/2023 25,910,000 25,926,194
Fannie Mae, 4.5%, 5/1/41 4.5 05/01/2041 24,220,767 7,181,409
Oversea-Chinese Banking Corp, Ltd., Floating Rate Note, 10/15/24 (144A) 4.0 10/15/2024 4,000,000 4,192,635
JP Morgan Mortgage Trust 2014-5, Floating Rate Note, 10/1/29 (144A) 3.0 10/01/2029 2,200,000 2,157,485
On Assignment, Inc., Initial Term B Loan, 5/15/20 3.5 05/15/2020 1,994,750 1,976,049
SESI LLC, 7.125%, 12/15/21 7.125 12/15/2021 90,000 91,044
WCA Waste Corp., Term Loan, 3/23/18 4.0 03/23/2018 3,666,325 3,620,496
MASTR Adjustable Rate Mortgages Trust 2003-3, Floating Rate Note, 9/25/33 2.0414 09/25/2033 2,950,000 844,089
Fannie Mae, 6.0%, 10/1/32 6.0 10/01/2032 200,552 4,183
Sabre GLBL, Inc., Term B Loan, 2/19/19 4.0 02/19/2019 3,000,000 2,960,625
Government National Mortgage Association I, 7.0%, 5/15/29 7.0 05/15/2029 55,127 546
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 8.5355 05/09/2016 2,000,000 2,114,889
Government National Mortgage Association I, 4.0%, 5/15/43 4.0 05/15/2043 514,545 414,804
Boardwalk Pipelines LP, 4.95%, 12/15/24 4.95 12/15/2024 9,375,000 9,660,089
Government National Mortgage Association, Floating Rate Note, 9/16/52 1.0021 09/16/2052 55,000,000 3,807,207
Bosphorus Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 2.5608 05/03/2016 1,400,000 1,404,278
Fannie Mae, 5.5%, 12/1/35 5.5 12/01/2035 2,799,824 300,954
Intesa Sanpaolo S.p.A., 3.625%, 8/12/15 (144A) 3.625 08/12/2015 5,643,000 5,808,822
Fly Leasing, Ltd., 6.75%, 12/15/20 6.75 12/15/2020 4,183,000 4,249,667
Gold Fields Orogen Holdings BVI, Ltd., 4.875%, 10/7/20 (144A) 4.875 10/07/2020 20,840,000 18,762,295
QVC, Inc., 4.45%, 2/15/25 4.45 02/15/2025 18,100,000 18,862,784
North East Independent School District Texas, 5.25%, 2/1/31 5.25 02/01/2031 11,120,000 15,301,787
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 3.9752 05/18/2016 50,000 51,053
Vertafore, Inc., Term Loan (2013), 10/3/19 4.25 10/03/2019 5,768,666 5,739,823
Westgate Resorts 2014-1 LLC, 3.25%, 12/20/26 (144A) 3.25 12/20/2026 9,400,000 8,312,788
Brookfield Residential Properties, Inc., 6.5%, 12/15/20 (144A) 6.5 12/15/2020 3,460,000 3,575,237
JPMorgan Chase & Co., Floating Rate Note (Perpetual) 5.15 12/31/2049 11,735,000 11,475,363
Fannie Mae, 3.5%, 2/18/15 3.5 02/18/2015 15,900,000 16,907,296
Government National Mortgage Association I, 4.0%, 3/15/44 4.0 03/15/2044 10,452,106 9,530,238
AEP Industries, Inc., 8.25%, 4/15/19 8.25 04/15/2019 1,824,000 1,886,548
Valero Energy Corp., 9.375%, 3/15/19 9.375 03/15/2019 4,414,000 5,696,032
Government National Mortgage Association I, 4.0%, 9/15/41 4.0 09/15/2041 651,893 418,655
GLC Trust 2013-1, 3.0%, 7/15/21 (144A) 3.0 07/15/2021 7,000,000 5,493,267
Government National Mortgage Association I, 5.75%, 10/15/38 5.75 10/15/2038 711,536 116,867
Inter-American Development Bank, 6.0%, 9/5/17 6.0 09/05/2017 208,750,000 3,523,271
Weatherford International, Ltd. Bermuda, 9.625%, 3/1/19 9.625 03/01/2019 4,070,000 4,501,102
InterGen NV, 7.0%, 6/30/23 (144A) 7.0 06/30/2023 4,750,000 4,468,958
Norway Government Bond, 4.25%, 5/19/17 4.25 05/19/2017 234,080,000 33,821,352
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 20,000,000 20,459,558
Bear Stearns ARM Trust 2004-12, Floating Rate Note, 2/25/35 3.1533 02/25/2035 7,000,000 1,012,045
Scds: (Do) Usd 20dec19 Buy Bnr1c3dt1 100.0 12/20/2019 10,480,000 -1,351,132
Equity One Mortgage Pass-Through Trust 2004-1, 4.205%, 4/25/34 (Step) 4.205 04/25/2034 1,250,000 86,382
Silverton RE, Ltd., 0.0%, 9/18/17 (Cat Bond) (144A) 0.0 09/18/2017 4,500,000 4,577,400
Bear Stearns ARM Trust 2003-6, Floating Rate Note, 8/25/33 2.5827 08/25/2033 44,701,000 2,232,239
Empresa Electrica Angamos SA, 4.875%, 5/25/29 (144A) 4.875 05/25/2029 9,485,000 9,632,986
Government National Mortgage Association I, 4.5%, 6/15/41 4.5 06/15/2041 9,828,676 2,570,470
Fannie Mae, 5.0%, 7/1/41 5.0 07/01/2041 1,681,264 888,946
Government National Mortgage Association II, 4.5%, 12/20/34 4.5 12/20/2034 8,150,000 1,483,942
Kinder Morgan Energy Partners LP, 4.15%, 3/1/22 4.15 03/01/2022 11,960,000 12,578,304
Government National Mortgage Association II, 4.5%, 9/20/41 4.5 09/20/2041 17,265,000 8,472,654
Federal Home Loan Mortgage Corp., 5.0%, 7/1/35 5.0 07/01/2035 2,600,000 329,737
Panoche Energy Center LLC, 6.885%, 7/31/29 (144A) 6.885 07/31/2029 3,015,000 3,132,372
FREMF Mortgage Trust 2010-K8, Floating Rate Note, 9/25/43 (144A) 5.2384 09/25/2043 1,980,000 2,240,907
Citicorp Residential Mortgage Trust Series 2006-2, 5.775%, 9/25/36 (Step) 5.775 09/25/2036 8,100,000 4,068,309
Apex Tool Group LLC, Term Loan, 1/31/20 4.5 01/31/2020 1,339,773 1,297,905
BBVA Bancomer SA Texas, 6.5%, 3/10/21 (144A) 6.5 03/10/2021 23,300,000 26,417,022
Fannie Mae, 6.0%, 3/1/32 6.0 03/01/2032 100,000 2,423
DAE Aviation Holdings, Inc., Replacement Tranche B-1 Loan, 11/2/18 5.0 11/02/2018 6,889,694 6,891,829
Federal Home Loan Mortgage Corp., 6.0%, 6/1/17 6.0 06/01/2017 14,424,315 139,444
Citigroup Capital XIII, Floating Rate Note, 10/30/40 7.875 10/30/2040 590,710 15,624,280
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 1.368 11/20/2036 1,000,000 228,018
Pinnacle Entertainment, Inc., Tranche B-2 Term Loan, 8/13/20 3.75 08/13/2020 3,502,344 3,468,417
Fannie Mae, 3.5%, 11/1/42 3.5 11/01/2042 1,335,000 1,284,705
Desarrolladora Homex SAB de CV, 9.75%, 3/25/20 (144A) 9.75 03/25/2020 5,065,000 1,266,778
Xerium Technologies, Inc., New Term Loan, 5/17/19 6.25 05/17/2019 788,003 788,003
TD Ameritrade Holding Corp., 3.625%, 4/1/25 3.625 04/01/2025 13,475,000 14,374,628
Golden State RE II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A) 2.2152 01/08/2019 3,900,000 3,903,532
Cantor Fitzgerald LP, 7.875%, 10/15/19 (144A) 7.875 10/15/2019 12,855,000 14,460,429
GS Mortgage Securities Corp II Series 2005-GG4 REMICS, 4.782%, 7/10/39 4.782 07/10/2039 5,609,335 5,650,777
Vedanta Resources Jersey, Ltd., 5.5%, 7/13/16 5.5 07/13/2016 11,800,000 10,857,147
Fannie Mae, 5.0%, 4/1/22 5.0 04/01/2022 327,117 14,134
Government National Mortgage Association I, 4.0%, 12/15/40 4.0 12/15/2040 45,640 24,719
Government National Mortgage Association I, 4.0%, 2/15/41 4.0 02/15/2041 3,373,529 2,020,571
Sanders Re, Ltd., Floating Rate Note, 5/25/18 (Cat Bond) (144A) 3.0152 05/25/2018 3,500,000 3,473,808
The Bank of New York Mellon Corp., Floating Rate Note (Perpetual) 4.5 12/31/2049 5,450,000 5,093,025
Methanex Corp., 4.25%, 12/1/24 4.25 12/01/2024 6,750,000 6,829,488
Federal Home Loan Mortgage Corp., 4.0%, 5/1/44 4.0 05/01/2044 13,500,000 14,089,392
Federal Home Loan Mortgage Corp., 5.0%, 9/1/38 5.0 09/01/2038 6,942,604 629,869
Government National Mortgage Association I, 4.0%, 1/15/41 4.0 01/15/2041 150,255 94,992
Government National Mortgage Association I, 4.0%, 11/15/42 4.0 11/15/2042 51,024 24,017
Ibis Re II, Ltd., Floating Rate Note, 2/5/15 (Cat Bond) (144A) 8.3703 02/05/2015 3,700,000 3,740,705
The Hanover Insurance Group, Inc., 7.5%, 3/1/20 7.5 03/01/2020 6,267,000 7,714,320
MTL Publishing LLC, Term B-2 Loan, 6/29/18 3.75 06/29/2018 1,119,502 1,106,880
Desarrolladora Homex SAB de CV, 0.0%, 12/11/19 (144A) 0.0 12/11/2019 3,140,000 857,002
Federal Home Loan Mortgage Corp., 5.0%, 11/1/39 5.0 11/01/2039 39,051,129 11,506,928
Bank of America Corp., Floating Rate Note, 9/29/49 6.25 09/29/2049 22,475,000 23,552,839
Zebra Technologies Corporation 1st Lien Tl-B L + 4% 30sep21 4.75 09/30/2021 1,625,000 1,636,752
CenturyLink, Inc., 7.65%, 3/15/42 7.65 03/15/2042 3,100,000 3,220,590
Fannie Mae, 4.5%, 4/1/41 4.5 04/01/2041 25,000 10,922
CSM Bakery Solutions LLC, Term Loan (First Lien), 7/3/20 5.0 07/03/2020 3,225,905 3,165,420
Alexandria Real Estate Equities, Inc., 4.6%, 4/1/22 4.6 04/01/2022 11,010,000 12,221,599
Mentor Graphics Corp., 4.0%, 4/1/31 4.0 04/01/2031 12,418,000 15,199,115
BioScrip, Inc., Initial Term B Loan, 7/31/20 6.5 07/31/2020 4,315,919 4,312,324
VTB Bank OJSC Via VTB Capital SA, 6.0%, 4/12/17 (144A) 6.0 04/12/2017 7,800,000 6,966,700
GMAC Capital Trust I, Floating Rate Note, 2/15/40 8.125 02/15/2040 465,150 12,233,445
Kane Zero% 19feb16 0.0 02/19/2016 8,064,000 8,188,186
Mexican Udibonos, 2.0%, 6/9/22 2.0 06/09/2022 61,080,000 21,393,338
Calpine Corp., Term Loan (10/12), 10/9/19 4.0 10/09/2019 1,075,250 1,065,074
Scds: (Do) Usd 20dec19 Buy Bnr1c0954 100.0 12/20/2019 2,795,000 -360,345
Cme: (Cdx.Na.Hy.23.V1) Usd 20dec19 Z91mw60e6 500.0 12/20/2019 153,675,785 9,498,893
Kane Zero% 22jan16 0.0 01/22/2016 7,246,500 7,284,906
Government National Mortgage Association I, 5.125%, 10/15/38 5.125 10/15/2038 1,865,279 968,845
Fannie Mae, 3.5%, 8/1/42 3.5 08/01/2042 48,680,354 42,401,242
Lightstream Resources, Ltd., 8.625%, 2/1/20 (144A) 8.625 02/01/2020 2,760,000 1,685,325
Brazil Minas SPE via State of Minas Gerais, 5.333%, 2/16/28 (144A) 5.333 02/16/2028 17,900,000 18,069,028
OXEA Sarl, Tranche B-2 Term Loan (First Lien), 1/15/20 4.25 01/15/2020 1,037,374 990,692
Fannie Mae, 5.0%, 1/1/39 5.0 01/01/2039 27,744,910 2,658,943
Crown Castle Towers LLC, 6.113%, 1/15/20 (144A) 6.113 01/15/2020 3,135,000 3,634,349
Bear Stearns ALT-A Trust 2005-2, Floating Rate Note, 3/25/35 0.9183 03/25/2035 7,373,000 6,286,419
Fieldwood Energy LLC, Closing Date Loan (Second Lien), 9/30/20 8.375 09/30/2020 5,710,000 3,500,230
Syniverse Holdings, Inc., Initial Term Loan, 4/23/19 4.0 04/23/2019 2,821,064 2,734,082
Rosneft Finance SA, 7.25%, 2/2/20 (144A) 7.25 02/02/2020 1,770,000 1,595,458
Ardagh Glass Finance Plc, 8.75%, 2/1/20 (144A) 8.75 02/01/2020 100,000 123,275
Cardtronics, Inc., 1.0%, 12/1/20 1.0 12/01/2020 2,585,000 2,429,361
Government National Mortgage Association I, 5.5%, 9/15/19 5.5 09/15/2019 2,338,171 120,998
AdvancePierre Foods, Inc., Term Loan (First Lien), 7/10/17 5.75 07/10/2017 1,356,742 1,349,535
Mid-State Capital Trust 2010-1, 7.0%, 12/15/45 (144A) 7.0 12/15/2045 3,050,000 2,418,228
JPMorgan Chase & Co., Floating Rate Note, 8/29/49 6.75 08/29/2049 20,051,000 22,125,015
Wells Fargo & Co., Floating Rate Note (Perpetual) 7.98 12/31/2049 2,450,000 2,762,734
Government National Mortgage Association I, 4.0%, 8/15/41 4.0 08/15/2041 375,064 242,791
NCR Corp., 6.375%, 12/15/23 6.375 12/15/2023 5,595,000 5,892,351
American Homes 4 Rent 2014-SFR3 Trust, 4.596%, 12/18/36 (144A) 4.596 12/18/2036 5,000,000 5,255,062
Federal Home Loan Mortgage Corp., 3.5%, 8/1/43 3.5 08/01/2043 6,782,428 6,698,633
Service Corp International United States, 8.0%, 11/15/21 8.0 11/15/2021 3,322,000 3,984,370
Kenya Government International Bond, 5.875%, 6/24/19 (144A) 5.875 06/24/2019 4,385,000 4,410,762
Fannie Mae, 4.0%, 7/1/18 4.0 07/01/2018 75,000 4,037
Government National Mortgage Association I, 4.0%, 4/15/44 4.0 04/15/2044 36,178 37,413
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 0.8083 09/25/2034 73,742,000 3,026,559
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 2.7 08/15/2018 3,700,000 3,762,156
Kodiak Oil & Gas Corp., 5.5%, 1/15/21 5.5 01/15/2021 1,900,000 1,923,644
Numericable-SFR, 6.0%, 5/15/22 (144A) 6.0 05/15/2022 5,350,000 5,620,532
Blackstone Holdings Finance Co LLC, 5.0%, 6/15/44 (144A) 5.0 06/15/2044 7,925,000 8,930,285
Fannie Mae, 4.0%, 12/1/40 4.0 12/01/2040 9,810,000 6,887,958
Ascentium Equipment Receivables 2014-1 LLC, 3.1%, 6/10/21 (144A) 3.1 06/10/2021 800,000 809,927