Pioneer Investments: Pioneer Strategic Income Fund


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Pioneer Strategic Income Fund

Monthly Portfolio Holdings as of 7/31/2014

Security Name Coupon Maturity Date Par / Shares Market Value($)
JobsOhio Beverage System, 3.985%, 1/1/29 3.985 01/01/2029 17,600,000 17,716,703
Fannie Mae, 6.0%, 3/1/33 6.0 03/01/2033 250,000 11,382
Federal Home Loan Mortgage Corp., 4.5%, 7/1/40 4.5 07/01/2040 10,363,430 2,985,414
Fannie Mae, 5.0%, 7/1/39 5.0 07/01/2039 17,025,069 2,125,688
Government National Mortgage Association I, 6.5%, 2/15/32 6.5 02/15/2032 417,022 6,256
Silverton RE, Ltd., 0.0%, 9/16/16 (Cat Bond) (144A) 0.0 09/16/2016 3,500,000 4,080,300
Fannie Mae, 5.0%, 7/1/39 5.0 07/01/2039 10,309,150 2,102,748
Continental Airlines 2012-3 Class C Pass Thru Certificates, 6.125%, 4/29/18 (144A) 6.125 04/29/2018 100,000 108,565
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/34 5.0 06/15/2034 8,360,000 934,334
UCI International, Inc., Term Loan, 7/26/17 5.5 07/04/2017 2,016,850 2,023,572
Fannie Mae, 6.5%, 5/1/31 6.5 05/01/2031 392,161 3,691
Ventas Realty LP, 4.75%, 6/1/21 4.75 06/01/2021 8,130,000 8,958,087
Mirror BidCo Corp., New Incremental Term Loan, 12/18/19 4.25 12/18/2019 7,077,584 7,089,383
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 250,000 5,391
Remy International, Inc., Term B Loan 2013, 3/5/20 4.25 02/28/2020 4,762,763 4,768,716
Kinetic Concepts, Inc., Dollar Term E-1 Loan, 5/4/18 4.0 05/04/2018 4,715,160 4,720,195
Israel Electric Corp, Ltd., 9.375%, 1/28/20 (144A) 9.375 01/28/2020 1,330,000 1,655,227
FREMF Mortgage Trust 2011-K14, 5.159%, 2/25/47 (144A) 5.1591 02/25/2047 2,200,000 2,430,239
Government National Mortgage Association I, 7.0%, 5/15/29 7.0 05/15/2029 55,127 585
Phosagro OAO via Phosagro Bond Funding, Ltd., 4.204%, 2/13/18 (144A) 4.204 02/13/2018 5,550,000 5,381,384
Delphi Financial Group, Inc., 7.875%, 1/31/20 7.875 01/31/2020 10,110,000 12,557,194
Banco Continental SA via Continental Trustees Cayman, Ltd., Floating Rate Note, 10/7/40 (144A) 7.375 10/07/2040 6,400,000 7,187,664
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 8.6152 04/08/2016 4,800,000 4,981,120
Crown Castle Operating Co., 1/31/19 3.25 01/31/2019 0 0
JG Wentworth XXII LLC, 3.82%, 12/15/48 (144A) 3.82 12/15/2048 3,250,000 2,305,340
Vedanta Resources Plc, 8.25%, 6/7/21 (144A) 8.25 06/07/2021 3,635,000 4,161,621
Berkeley-Kane Flt% 12jun15   06/12/2015 2,646,751 2,668,984
Houston Higher Education Finance Corp., 5.0%, 5/15/40 5.0 05/15/2040 4,700,000 5,306,232
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 0.795 09/25/2034 73,742,000 3,179,944
Lincoln National Corp., 8.75%, 7/1/19 8.75 07/01/2019 2,600,000 3,361,001
Federal National Mortgage Association, 4.0%, 8/1/44 4.0 08/01/2044 1,200,000 1,263,810
Panoche Energy Center LLC, 6.885%, 7/31/29 (144A) 6.885 07/31/2029 3,015,000 3,026,684
Xerium Technologies, Inc., New Term Loan, 5/17/19 5.75 05/02/2019 792,000 798,683
Prudential Financial, Inc., Floating Rate Note, 6/15/43 5.625 06/15/2043 11,240,000 12,107,588
Fannie Mae, 3.5%, 8/1/42 3.5 08/01/2042 25,765,072 23,814,525
Successor X, Ltd., Floating Rate Note, 11/10/15 (Cat Bond) (144A) 16.25 11/10/2015 1,750,000 1,835,859
Fannie Mae, 4.0%, 10/1/43 4.0 10/01/2043 6,376,304 6,177,622
Morgan Stanley, 4.875%, 11/1/22 4.875 11/01/2022 4,400,000 4,738,494
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 0.405 09/25/2030 11,903,557 2,094,337
Gulf Coast Waste Disposal Authority, Floating Rate Note, 5/1/28 5.2 05/01/2028 4,450,000 4,717,534
Fannie Mae, 4.0%, 12/1/43 4.0 12/01/2043 1,800,000 1,819,367
Wells Fargo & Co., 7.5% (Perpetual) 7.5   31,527 38,147,670
Federal Home Loan Mortgage Corp., 6.0%, 6/1/17 6.0 06/01/2017 14,424,315 187,968
CCO Holdings LLC, 6.625%, 1/31/22 6.625 01/31/2022 10,705,000 11,596,823
Poland Government Bond, 5.5%, 4/25/15 5.5 04/25/2015 13,000,000 4,320,194
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 8.5152 05/09/2016 2,000,000 2,080,633
BCAP LLC 2010-RR10 Trust REMICS, Floating Rate Note, 12/27/34 (144A) 2.5353 12/27/2034 0 0
Commercial Vehicle Group, Inc., 7.875%, 4/15/19 7.875 04/15/2019 1,125,000 1,184,836
Cemex SAB de CV, 7.25%, 1/15/21 (144A) 7.25 01/15/2021 3,400,000 3,614,956
SandRidge Energy, Inc., 8.125%, 10/15/22 8.125 10/15/2022 1,840,000 2,003,619
WFRBS Commercial Mortgage Trust 2011-C3, 3.998%, 3/15/44 (144A) 3.998 03/15/2044 2,885,000 3,087,079
Sappi Papier Holding GmbH, 6.625%, 4/15/21 (144A) 6.625 04/15/2021 1,100,000 1,184,708
Government National Mortgage Association I, 5.5%, 1/15/35 5.5 01/15/2035 2,028,000 225,009
JP Morgan Mortgage Trust 2004-S1, 6.0%, 9/25/34 6.0 09/25/2034 15,700,000 3,016,765
Ibis Re II, Ltd., Floating Rate Note, 2/5/15 (Cat Bond) (144A) 8.3804 02/05/2015 3,200,000 3,235,960
Fannie Mae, 7.0%, 5/1/28 7.0 05/01/2028 200,000 1,831
Arysta Lifescience SPC LLC, Initial Term Loan (First Lien), 5/29/20 4.5 05/22/2020 5,345,995 5,348,225
Cubist Pharmaceuticals, Inc., 1.125%, 9/1/18 (144A) 1.125 09/01/2018 6,690,000 7,214,747
Hyundai Capital Services, Inc., 4.375%, 7/27/16 (144A) 4.375 07/27/2016 2,550,000 2,699,616
Government National Mortgage Association I, 6.0%, 1/15/33 6.0 01/15/2033 1,500,000 33,013
Fannie Mae, 5.5%, 5/1/33 5.5 05/01/2033 750,000 77,003
Firstar Realty LLC, 8.875% (Perpetual) (144A) 8.875   3,250 4,069,609
Government National Mortgage Association I, 6.5%, 8/15/32 6.5 08/15/2032 300,000 4,998
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 0.325 08/25/2036 7,062,778 2,168,496
Indonesia Treasury Bond, 8.25%, 6/15/32 8.25 06/15/2032 222,011,000,000 18,685,742
Cantor Fitzgerald LP, 7.875%, 10/15/19 (144A) 7.875 10/15/2019 12,855,000 14,502,850
Government National Mortgage Association I, 6.0%, 1/15/33 6.0 01/15/2033 4,325,436 195,066
Fannie Mae, 5.5%, 12/1/35 5.5 12/01/2035 2,799,824 359,389
Government National Mortgage Association I, 6.5%, 9/15/32 6.5 09/15/2032 500,414 49,054
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 1.3562 11/20/2036 1,000,000 266,476
Raymond James Financial, Inc., 4.25%, 4/15/16 4.25 04/15/2016 9,000,000 9,585,395
WINDSOR QUALITY FOOD CO, Ltd., Term B Loan, 12/23/20 5.0 12/23/2020 866,250 864,084
COMM 2013-LC6 Mortgage Trust, 2.941%, 1/10/46 2.941 01/10/2046 8,000,000 7,883,799
Federal Home Loan Mortgage Corp., 3.5%, 8/1/43 3.5 08/01/2043 6,782,428 6,774,027
Government National Mortgage Association II, 6.0%, 10/20/33 6.0 10/20/2033 3,655,000 325,424
Calpine Construction Finance Co LP, Term B-1 Loan, 5/3/20 3.0 05/01/2020 1,413,113 1,387,500
Fannie Mae, 5.0%, 6/1/40 5.0 06/01/2040 11,550,000 4,588,240
Kinder Morgan Energy Partners LP, 4.15%, 3/1/22 4.15 03/01/2022 11,960,000 12,486,487
DR Horton, Inc., 5.75%, 8/15/23 5.75 08/15/2023 7,780,000 8,414,178
Eldorado Gold Corp., 6.125%, 12/15/20 (144A) 6.125 12/15/2020 2,400,000 2,472,783
The Hertz Corp., Tranche B-1 Term Loan, 3/11/18 3.75 03/11/2018 1,231,250 1,232,212
Ice: (Cdx.Na.Hy.22.V2) Usd 20jun19 Z91jjbdd5 500.0 06/20/2019 0 -2,617,237
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/36 0.335 06/25/2036 12,298,000 2,844,392
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 2.7 08/15/2018 3,700,000 3,797,739
Fannie Mae, 4.5%, 12/1/40 4.5 12/01/2040 54,806,862 26,316,659
Fannie Mae, 6.5%, 3/1/32 6.5 03/01/2032 124,988 5,172
Government National Mortgage Association II, 7.0%, 1/20/29 7.0 01/20/2029 500,000 7,324
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 9.0325 01/08/2015 900,000 909,630
Protective Life Corp., 7.375%, 10/15/19 7.375 10/15/2019 7,805,000 9,803,269
Audatex North America, Inc., 6.0%, 6/15/21 (144A) 6.0 06/15/2021 11,000,000 11,606,833
International Finance Corp., 7.75%, 12/3/16 7.75 12/03/2016 1,036,140,000 17,486,722
SandRidge Energy, Inc., 7.5%, 3/15/21 7.5 03/15/2021 1,860,000 1,987,100
Calpine Corp., Term Loan (10/12), 10/9/19 4.0 09/27/2019 1,080,750 1,083,587
Mondelez International, Inc., 6.5%, 2/9/40 6.5 02/09/2040 2,290,000 3,001,525
Fannie Mae, 4.5%, 4/1/41 4.5 04/01/2041 25,000 11,923
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 7.4325 01/09/2017 6,150,000 6,302,076
Mashantucket Western Pequot Tribe, 6.5%, 7/1/36 (PIK) 6.5 07/01/2036 804,533 118,143
Fannie Mae, 4.0%, 2/1/42 4.0 02/01/2042 5,800,000 3,257,114
AdvancePierre Foods, Inc., Term Loan (First Lien), 7/10/17 5.75 06/17/2017 1,363,664 1,368,209
Standard Chartered Plc, 3.95%, 1/11/23 (144A) 3.95 01/11/2023 5,400,000 5,342,681
La Hipotecaria Panamanian Mortgage Trust 2010-1, Floating Rate Note, 9/8/39 (144A) 2.75 09/08/2039 2,150,000 1,582,598
JP Morgan Mortgage Trust 2013-2, Floating Rate Note, 5/25/43 (144A) 3.5 05/25/2043 8,923,000 7,868,416
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 5.7804 12/06/2016 7,100,000 7,412,716
Domino's Pizza Master Issuer LLC, 5.216%, 1/25/42 (144A) 5.216 01/25/2042 14,228,000 14,662,204
Flextronics International, Ltd., 4.625%, 2/15/20 4.625 02/15/2020 4,615,000 4,771,109
CCO Holdings LLC, 7.375%, 6/1/20 7.375 06/01/2020 3,775,000 4,076,214
Federal Home Loan Mortgage Corp., 5.0%, 12/1/34 5.0 12/01/2034 4,668,054 460,868
NuStar Logistics LP, Floating Rate Note, 1/15/43 7.625 01/15/2043 280,950 7,563,174
Aquarius + Investments Plc for Swiss Reinsurance Co, Ltd., Floating Rate Note, 9/1/24 6.375 09/01/2024 7,500,000 8,397,656
BioScrip, Inc., Delayed Draw Term Loan, 7/31/20 6.5 07/22/2020 2,589,552 2,625,158
Bank of Tokyo-Mitsubishi UFJ, Ltd. New York NY, 0.1%, 8/5/14 0.1 08/05/2014 18,005,000 18,004,975
Nara Cable Funding, Ltd., 8.875%, 12/1/18 (144A) 8.875 12/01/2018 3,000,000 3,224,375
AXA SA, 8.6%, 12/15/30 8.6 12/15/2030 10,060,000 13,641,248
Fifth Third Bancorp, Floating Rate Note (Perpetual) 6.625 12/31/2049 161,400 4,343,274
Truman Capital Mortgage Loan Trust, Floating Rate Note, 1/25/34 1.855 01/25/2034 3,275,000 3,229,208
GSR Mortgage Loan Trust 2005-AR1, Floating Rate Note, 1/25/35 2.6678 01/25/2035 12,727,000 2,892,635
Fannie Mae, 4.5%, 11/1/43 4.5 11/01/2043 14,886,677 13,044,928
Citicorp Residential Mortgage Trust Series 2007-1, 5.892%, 3/25/37 (Step) 5.892 03/25/2037 7,000,000 5,809,826
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 0.905 05/25/2035 2,150,000 2,078,497
Fannie Mae, 4.5%, 8/12/14 4.5 08/12/2014 110,000,000 118,584,301
Government National Mortgage Association I, 6.0%, 7/15/38 6.0 07/15/2038 8,868,732 1,060,944
Sanders Re, Ltd., Floating Rate Note, 5/25/18 (Cat Bond)   05/25/2018 3,500,000 3,462,900
Fannie Mae, 4.5%, 12/1/43 4.5 12/01/2043 4,403,175 4,370,153
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 2.3207 04/19/2034 4,875,000 218,636
Nara Cable Funding, Ltd., 8.875%, 12/1/18 (144A) 8.875 12/01/2018 2,160,000 3,125,729
Lion I Re, Ltd., Floating Rate Note, 4/28/17 (Cat Bond) 2.459 04/28/2017 1,600,000 2,153,829
Norway Government Bond, 4.25%, 5/19/17 4.25 05/19/2017 234,080,000 40,409,984
Federal Home Loan Mortgage Corp., 4.5%, 5/1/44 4.5 05/01/2044 204,050 218,677
Walter Energy, Inc., B Term Loan, 4/2/18 7.25 02/03/2018 3,035,847 2,882,537
VTB Bank OJSC Via VTB Capital SA, 6.0%, 4/12/17 (144A) 6.0 04/12/2017 7,800,000 7,863,700
JP Morgan Mortgage Trust 2004-A2, Floating Rate Note, 5/25/34 2.6089 05/25/2034 8,822,000 637,834
Government National Mortgage Association I, 6.0%, 2/15/33 6.0 02/15/2033 3,907,246 144,357
Goldcorp, Inc., 3.7%, 3/15/23 3.7 03/15/2023 7,300,000 7,276,996
USI, Inc. New York, 7.75%, 1/15/21 (144A) 7.75 01/15/2021 100,000 99,594
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 8.0304 06/06/2016 4,500,000 4,919,150
Controladora Mabe SA de CV, 7.875%, 10/28/19 (144A) 7.875 10/28/2019 9,539,000 10,925,434
Banc of America Alternative Loan Trust 2004-3, 6.0%, 4/25/34 6.0 04/25/2034 5,500,000 1,240,204
Credit-Based Asset Servicing and Securitization LLC, 5.57315%, 10/25/36 (Step) (144A) 5.4997 10/25/2036 1,600,000 1,572,522
Fannie Mae, 6.0%, 12/1/37 6.0 12/01/2037 7,118,373 439,393
Government National Mortgage Association I, 6.0%, 5/15/33 6.0 05/15/2033 10,057,421 536,592
Banc of America Mortgage 2003-I Trust, Floating Rate Note, 10/25/33 2.8185 10/25/2033 24,096,000 5,284,522
Seagate HDD Cayman, 4.75%, 6/1/23 (144A) 4.75 06/01/2023 13,870,000 14,118,504
Tiers Trust, Floating Rate Note, 10/15/97 (144A) 0.0   5,351,000 4,044,799
Health Care Real Estate Investment Trust, Inc., 5.25%, 1/15/22 5.25 01/15/2022 3,150,000 3,507,954
TimberStar Trust 1 REMICS, 5.668%, 10/15/36 (144A) 5.668 10/15/2036 750,000 815,710
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 2.02 01/15/2019 500,000 500,003
Turkiye Is Bankasi, 6.0%, 10/24/22 (144A) 6.0 10/24/2022 5,100,000 5,246,200
JBS USA LLC, 8.25%, 2/1/20 (144A) 8.25 02/01/2020 4,650,000 5,213,813
Fannie Mae, 4.5%, 9/1/43 4.5 09/01/2043 17,709,372 16,486,362
Fannie Mae, 5.0%, 5/1/41 5.0 05/01/2041 2,252,877 1,046,816
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/15/26 (144A) 2.102 03/15/2026 2,842,000 2,835,019
Qwest Corp., 7.375%, 6/1/51 7.375 06/01/2051 572,600 15,007,846
RALI Series 2003-QS1 Trust, 5.0%, 1/25/33 5.0 01/25/2033 20,000,000 210,350
Citigtoup Mortgage Loan Trust 2014-J1, Floating Rate Note, 6/25/44 3.5 06/25/2044 4,555,000 4,528,292
Federal Home Loan Mortgage Corp., 5.0%, 7/1/35 5.0 07/01/2035 2,600,000 377,578
Pro Mach, Inc., Term Loan, 7/6/17 4.5 07/16/2017 2,743,769 2,764,347
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A) 9.03 03/16/2016 850,000 910,308
FREMF Mortgage Trust 2012-K708, 3.759%, 2/27/45 (144A) 3.8906 02/25/2045 25,000 25,473
Agrokor dd, 8.875%, 2/1/20 (144A) 8.875 02/01/2020 50,000 57,531
Metinvest BV, 8.75%, 2/14/18 (144A) 8.75 02/14/2018 5,675,000 4,984,297
Dubai Electricity & Water Authority, 7.375%, 10/21/20 (144A) 7.375 10/21/2020 5,720,000 7,095,581
Adjustable Rate Mortgage Trust 2004-5, Floating Rate Note, 4/25/35 2.5289 04/25/2035 1,070,000 4,284
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 3.75 06/30/2019 2,412,246 2,408,177
COMM 2012-CCRE2 Mortgage Trust, 3.147%, 8/15/45 3.147 08/15/2045 3,650,000 3,682,655
Massachusetts Health & Educational Facilities Authority, 5.5%, 7/1/32 5.5 07/01/2032 4,550,000 6,063,300
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 1,500,000 1,581,744
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/17/31 (144A) 2.205 09/17/2031 2,400,000 2,400,000
Sabine Pass Liquefaction LLC, 5.625%, 2/1/21 5.625 02/01/2021 12,650,000 13,448,531
Successor X, Ltd., Floating Rate Note, 11/10/15 (Cat Bond) (144A) 11.2652 11/10/2015 725,000 768,292
Vedanta Resources Jersey, Ltd., 5.5%, 7/13/16 5.5 07/13/2016 11,800,000 12,097,950
Santander Bank NA, 8.75%, 5/30/18 8.75 05/30/2018 16,567,000 20,220,610
Kane Flt% 12jun15   06/12/2015 7,100,000 6,343,850
Kodiak Oil & Gas Corp., 5.5%, 1/15/21 5.5 01/15/2021 1,900,000 1,999,644
City Center Trust 2011-CCHP, Floating Rate Note, 7/15/28 (144A) 4.65 07/15/2028 4,500,000 4,508,302
Prudential Financial, Inc., Floating Rate Note, 9/15/42 5.875 09/15/2042 7,575,000 8,368,060
Banco Nacional de Costa Rica, 4.875%, 11/1/18 (144A) 4.875 11/01/2018 5,000,000 5,148,438
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 2.25 08/20/2025 3,750,000 2,403,227
Government National Mortgage Association I, 7.0%, 6/15/31 7.0 06/15/2031 245,234 485
Government National Mortgage Association I, 4.5%, 1/15/40 4.5 01/15/2040 1,883,000 1,208,770
Government National Mortgage Association I, 5.5%, 4/15/33 5.5 04/15/2033 184,273 8,103
Irvine Core Office Trust 2013-IRV, Floating Rate Note, 5/15/48 (144A) 3.2789 05/15/2048 6,944,736 6,908,068
Endo Finance LLC & Endo Finco, Inc., 5.375%, 1/15/23 (144A) 5.375 01/15/2023 7,620,000 7,388,569
Pacific Rubiales Energy Corp., 5.375%, 1/26/19 (144A) 5.375 01/26/2019 3,375,000 3,445,020
Structured Asset Securities Corp Trust 2005-15, 6.0%, 8/25/35 6.0 08/25/2035 5,600,000 1,737,874
Golar LNG Partners LP, Floating Rate Note, 10/12/17 6.94 10/12/2017 32,000,000 5,372,740
American Energy - Utica LLC, 3.5%, 3/1/21 (144A) (PIK) 3.5 03/01/2021 4,620,000 5,474,572
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2003-A3, 5.5%, 8/25/33 (Step) 5.5 08/25/2033 43,853,000 3,067,057
Building Materials Corp of America, 6.75%, 5/1/21 (144A) 6.75 05/01/2021 3,665,000 3,969,653
Government National Mortgage Association I, 5.5%, 10/15/19 5.5 10/15/2019 300,000 52,165
RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35 5.25 07/25/2035 7,648,459 4,471,437
Government National Mortgage Association, Floating Rate Note, 2/16/53 1.0154 02/16/2053 50,450,000 3,748,009
DigitalGlobe, Inc., Term Loan, 1/31/20 3.75 01/25/2020 6,011,900 6,017,912
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 1.3055 05/07/2024 1,700,000 1,714,553
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 1.6357 03/25/2044 22,479,999 3,759,151
Expedia, Inc., 5.95%, 8/15/20 5.95 08/15/2020 9,760,000 11,262,485
CNO Financial Group, Inc., Tranche B-2 Term Loan, 9/28/18 3.75 09/04/2018 4,808,432 4,809,875
Concho Resources, Inc., 6.5%, 1/15/22 6.5 01/15/2022 5,125,000 5,472,931
Mid-State Capital Trust 2010-1, 5.25%, 12/15/45 (144A) 5.25 12/15/2045 3,000,000 2,418,386
Crown Castle Towers LLC, 4.883%, 8/15/20 (144A) 4.883 08/15/2020 6,850,000 7,592,624
Fannie Mae, 6.5%, 6/1/31 6.5 06/01/2031 25,095 404
AMG Capital Trust II, 5.15%, 10/15/37 5.15 10/15/2037 101,000 6,388,250
Fitness International Llc 1st Lien Tl-B L + 4.5% 25jun20 5.5 06/25/2020 4,043,158 4,030,523
JBS Investments GmbH, 7.75%, 10/28/20 (144A) 7.75 10/28/2020 5,100,000 5,571,856
Government National Mortgage Association I, 6.5%, 6/15/32 6.5 06/15/2032 150,000 7,837
MASTR Alternative Loan Trust 2003-5, 6.5%, 6/25/33 6.5 06/25/2033 34,701,000 1,099,755
Structured Asset Securities Corp Mortgage Loan Trust 2007-BC2, Floating Rate Note, 3/25/37 0.285 03/25/2037 1,300,000 864,967
Fannie Mae, 5.5%, 2/1/33 5.5 02/01/2033 500,000 7,260
Kane-Pi1 Zero% 18jul16 0.0 07/18/2016 4,712,000 4,911,318
Fannie Mae, 4.0%, 12/1/41 4.0 12/01/2041 45,515,613 28,775,582
Transportadora de Gas del Sur SA, 9.625%, 5/14/20 9.625 05/14/2020 6,450,467 5,046,321
The PNC Financial Services Group, Inc., Floating Rate Note (Perpetual) 6.75 07/29/2049 25,567,000 29,360,504
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 1.851 06/15/2029 6,750,000 6,757,151
JPMorgan Chase & Co., 1.0%, 9/20/17 500.0 12/20/2017 7,000,000 841,477
International Equipment Solutions LLC, Initial Loan, 8/16/19 6.75 07/25/2019 5,429,176 5,463,109
Spectrum Brands Canada, Inc., Initial Canadian Term Loan, 12/17/19 5.019 11/06/2019 191,479 175,850
Piedmont Operating Partnership LP, 3.4%, 6/1/23 3.4 06/01/2023 11,130,000 10,576,435
CEVA GROUP Plc, 0.0%, 12/31/14 0.0 12/31/2014 2,313 2,544,795
JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2, 3.6159%, 11/15/43 (144A) 3.6159 11/15/2043 4,400,000 4,671,138
Alfa Bank OJSC Via Alfa Bond Issuance Plc, 7.875%, 9/25/17 (144A) 7.875 09/25/2017 843,000 899,955
RCMC LLC, 5.62346%, 11/15/44 (144A) 5.6235 11/15/2044 2,512,000 2,183,351
Fannie Mae, 5.0%, 8/12/14 5.0 08/12/2014 190,000,000 209,824,653
Government National Mortgage Association I, 6.0%, 5/15/33 6.0 05/15/2033 1,292,064 63,837
Novelis, Inc. Georgia, Initial Term Loan, 3/10/17 3.75 03/10/2017 1,725,650 1,728,446
VTB Bank OJSC Via VTB Capital SA, 6.95%, 10/17/22 (144A) 6.95 10/17/2022 15,600,000 15,027,913
International Finance Corp., 8.25%, 6/10/21 8.25 06/10/2021 1,040,880,000 18,465,953
Fannie Mae, 6.5%, 4/1/29 6.5 04/01/2029 40,000 396
Noranda Aluminum Acquisition Corp., Term B Loan, 2/28/19 5.75 02/17/2019 1,055,700 1,028,867
Indonesia Treasury Bond, 7.0%, 5/15/22 7.0 05/15/2022 34,113,000,000 2,812,890
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 3.96 05/18/2016 5,000,000 5,081,611
CVS Pass-Through Trust, 6.036%, 12/10/28 6.036 12/10/2028 1,300,000 1,182,024
Federal Home Loan Mortgage Corp., 3.5%, 11/1/28 3.5 11/01/2028 10,730,077 10,818,499
Inversiones CMPC SA, 4.5%, 4/25/22 (144A) 4.5 04/25/2022 8,625,000 8,748,536
GS Mortgage Securities Corp II Series 2005-GG4 REMICS, 4.782%, 7/10/39 4.782 07/10/2039 5,609,335 5,743,729
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/31 5.0 12/15/2031 9,165,000 9,776,020
Federal Home Loan Mortgage Corp., 4.5%, 9/1/43 4.5 09/01/2043 3,677,099 3,303,151
Inversiones CMPC SA, 4.375%, 5/15/23 (144A) 4.375 05/15/2023 2,500,000 2,504,773
Lightstream Resources, Ltd., 8.625%, 2/1/20 (144A) 8.625 02/01/2020 3,220,000 3,471,563
Government National Mortgage Association I, 6.5%, 10/15/31 6.5 10/15/2031 316,324 6,903
Louisiana Local Government Environmental Facilities & Community Development Authority, 6.75%, 11/1/3 6.75 11/01/2032 7,370,000 8,323,125
Morgan Stanley Capital I Trust 2005-TOP19, 4.89%, 6/12/47 4.89 06/12/2047 3,365,000 3,408,712
Fannie Mae, 4.5%, 3/1/41 4.5 03/01/2041 3,179,532 1,844,298
MHP SA, 8.25%, 4/2/20 (144A) 8.25 04/02/2020 10,800,000 10,286,685
Gold Fields Orogen Holding BVI, Ltd., 4.875%, 10/7/20 (144A) 4.875 10/07/2020 27,140,000 24,980,674
Aegis Asset Backed Securities Trust 2005-5, Floating Rate Note, 12/25/35 0.425 12/25/2035 11,700,000 3,093,229
TimberStar Trust 1, 7.5296%, 10/15/36 (144A) 7.5296 10/15/2036 6,646,000 7,077,283
Government National Mortgage Association I, 6.5%, 11/15/31 6.5 11/15/2031 1,537,088 54,036
Alfa Bank OJSC Via Alfa Bond Issuance Plc, 8.625%, 4/26/16 (144A) 8.625 04/26/2016 246,800,000 6,737,593
Queensland Treasury Corp., 5.75%, 7/22/24 5.75 07/22/2024 11,750,000 12,475,863
Air Canada 2013-1 Class A Pass Through Trust, 4.125%, 11/15/26 (144A) 4.125 05/15/2025 2,000,000 2,003,472
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 2.302 06/15/2016 4,950,000 4,997,554
New Hampshire Health and Education Facilities Authority Act, 6.5%, 1/1/41 6.5 01/01/2041 4,250,000 4,772,098
CHS, 6.875%, 2/1/22 (144A) 6.875 02/01/2022 1,000,000 1,057,639
Government National Mortgage Association I, 6.0%, 1/15/17 6.0 01/15/2017 5,010,192 73,222
Telesat Canada, U.S. Term B-2 Loan, 3/28/19 3.5 03/28/2019 6,682,736 6,669,337
Arcelik AS, 5.0%, 4/3/23 (144A) 5.0 04/03/2023 7,600,000 7,487,056
CNO Financial Group, Inc., 6.375%, 10/1/20 (144A) 6.375 10/01/2020 125,000 136,094
New York City Transitional Finance Authority Future Tax Secured Revenue, 5.0%, 11/1/33 5.0 11/01/2033 1,400,000 1,614,298
Countrywide Asset-Backed Certificates, Floating Rate Note, 7/25/36 0.345 07/25/2036 1,000,000 88,782
Indonesia Treasury Bond, 6.125%, 5/15/28 6.125 05/15/2028 26,365,000,000 1,882,442
Dartmouth Zero% 31dec14 0.0 12/31/2014 9,610,000 9,305,363
Forethought Financial Group, Inc., 8.625%, 4/15/21 (144A) 8.625 04/15/2021 3,200,000 3,718,332
Banc of America Alternative Loan Trust 2004-4, 5.25%, 5/25/34 5.25 05/25/2034 17,500,000 2,241,377
Spectra Energy Capital LLC, 6.75%, 7/15/18 6.75 07/15/2018 2,140,000 2,450,807
Government National Mortgage Association, 4.5%, 9/20/39 4.5 09/20/2039 9,820,000 10,675,499
Government National Mortgage Association I, 6.5%, 10/15/31 6.5 10/15/2031 463,882 8,958
Empresas ICA SAB de CV, 8.9%, 2/4/21 (144A) 8.9 02/04/2021 6,425,000 7,027,397
Hilcorp Energy I LP, 7.625%, 4/15/21 (144A) 7.625 04/15/2021 5,768,000 6,315,680
Windstream Corp., 7.75%, 10/15/20 7.75 10/15/2020 8,680,000 9,485,673
Frontier Communications Corp., 8.5%, 4/15/20 8.5 04/15/2020 11,090,000 13,058,783
EuroChem Mineral & Chemical Co OJSC via EuroChem GI, Ltd., 5.125%, 12/12/17 (144A) 5.125 12/12/2017 3,650,000 3,547,711
Reynolds Group Issuer, Inc., 7.125%, 4/15/19 7.125 04/15/2019 4,075,000 4,313,303
Indianapolis Airport Authority, 5.1%, 1/15/17 5.1 01/15/2017 3,450,000 3,799,508
Alexandria Real Estate Equities, Inc., 2.75%, 1/15/20 2.75 01/15/2020 100,000 99,915
COMM 2012-CCRE2 Mortgage Trust, 4.393%, 8/17/45 4.393 08/15/2045 1,275,000 1,351,291
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 3.4246 01/17/2019 500,000 515,877
Alexandria Real Estate Equities, Inc., 4.6%, 4/1/22 4.6 04/01/2022 11,010,000 11,760,093
Ranpak Corp., USD Term Loan (First Lien), 4/23/19 4.5 04/10/2019 3,081,065 3,096,470
Minerva Luxembourg SA, 7.75%, 1/31/23 (144A) 7.75 01/31/2023 6,600,000 7,327,421
Urbi Desarrollos Urbanos SAB de CV, 0.0%, 1/21/20 (144A) 0.0 01/21/2020 2,275,000 625,941
LORENZO RE, Ltd., 0.0%, 12/31/49 (Cat Bond) (Perpetual) 0.0 12/31/2049 57,000 5,987,850
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 5.0 07/25/2018 8,600,000 596,932
Countrywide Asset-Backed Certificates, Floating Rate Note, 2/25/36 5.069 02/25/2036 6,561,000 1,282,371
Virgin Media Investment Holdings, Ltd., B Facility, 6/8/20 3.5 02/06/2020 25,310,000 25,110,279
Government National Mortgage Association I, 6.0%, 9/15/19 6.0 09/15/2019 1,044,422 36,236
On Assignment, Inc., Initial Term B Loan, 5/15/20 3.5 05/16/2020 1,994,750 1,992,257
Massachusetts Health & Educational Facilities Authority, 5.5%, 11/15/36 5.5 11/15/2036 20,250,000 23,861,408
Banco de Credito del Peru Panama, Floating Rate Note, 11/6/69 (144A) 9.75 11/06/2069 1,753,000 2,165,868
Sequoia Mortgage Trust, Floating Rate Note, 9/25/42 3.0 09/25/2042 3,930,000 2,513,237
Fannie Mae, 4.0%, 2/1/44 4.0 02/01/2044 4,875,746 5,035,237
Six Flags Theme Parks, Inc., Tranche B Term Loan, 12/20/18 3.5034 11/23/2018 1,068,351 1,071,517
Asciano Finance, Ltd., 5.0%, 4/7/18 (144A) 5.0 04/07/2018 4,200,000 4,608,552
FREMF Mortgage Trust 2011-K701, 4.286%, 7/25/48 (144A) 4.4355 07/25/2048 4,775,000 4,984,258
Fannie Mae, 4.5%, 7/1/41 4.5 07/01/2041 39,417,029 24,547,371
Kane Flt% 14jul15 0.0 07/14/2015 3,056,160 2,898,157
Government National Mortgage Association I, 6.5%, 10/15/32 6.5 10/15/2032 302,974 17,988
Government National Mortgage Association I, 6.5%, 11/15/32 6.5 11/15/2032 2,258,707 91,816
Norway Government Bond, 4.5%, 5/22/19 4.5 05/22/2019 118,980,000 21,524,184
FREMF Mortgage Trust 2012-K710, 3.819%, 6/25/47 (144A) 3.8185 06/25/2047 3,661,000 3,790,841
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 6/25/34 3.0294 06/25/2034 38,089,920 5,393,116
Federal Home Loan Mortgage Corp., 6.0%, 3/1/33 6.0 03/01/2033 500,470 40,300
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 3.0 06/25/2043 3,935,000 3,531,876
Federal Home Loan Mortgage Corp., 4.0%, 2/1/44 4.0 02/01/2044 1,000,000 1,047,262
Sector Re V, Ltd., 0.0%, 3/1/18 (Cat Bond) (144A) 0.0 03/01/2018 6,086 381,262
Government National Mortgage Association I, 6.5%, 7/15/32 6.5 07/15/2032 350,000 8,124
Truven Health Analytics, Inc., New Tranche B Term Loan, 6/6/19 4.5 05/23/2019 7,408,398 7,394,508
Government National Mortgage Association I, 6.0%, 11/15/33 6.0 11/15/2033 3,200,000 428,180
Reinsurance Group of America, Inc., 6.45%, 11/15/19 6.45 11/15/2019 8,470,000 10,057,148
DCT Industrial Operating Partnership LP, 4.5%, 10/15/23 4.5 10/15/2023 7,300,000 7,549,755
Bank of America Corp., 7.75%, 5/14/38 7.75 05/14/2038 17,800,000 24,556,068
Citigroup Mortgage Loan Trust, Inc., 6.75%, 9/25/34 6.75 08/25/2034 400,000 84,224
IASIS Healthcare LLC, Term B-2 Loan, 5/3/18 4.5 05/03/2018 4,661,830 4,678,585
Santander Drive Auto Receivables Trust 2012-1, 3.78%, 11/15/17 3.78 11/15/2017 2,420,000 2,483,346
Federal Home Loan Mortgage Corp., 5.0%, 9/1/38 5.0 09/01/2038 6,942,604 738,140
Fresnillo Plc, 5.5%, 11/13/23 (144A) 5.5 11/13/2023 7,550,000 8,036,346
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 0.405 10/25/2035 26,788,000 4,765,602
Vanguard Natural Resources LLC, 7.875%, 4/1/20 7.875 04/01/2020 3,650,000 3,983,063
California Educational Facilities Authority, 5.0%, 6/1/43 5.0 06/01/2043 8,675,000 11,116,174
Ally Financial, Inc., 7.0% (Perpetual) (144A) 7.0   15,956 15,956,000
US Bancorp, Floating Rate Note (Perpetual) 6.0   783,175 21,404,173
Wells Fargo Mortgage Backed Securities 2005-AR6 Trust, Floating Rate Note, 4/25/35 4.9237 04/25/2035 4,996,000 384,584
Health Care Real Estate Investment Trust, Inc., 4.5%, 1/15/24 4.5 01/15/2024 5,000,000 5,221,195
Fannie Mae, 3.5%, 12/1/25 3.5 12/01/2025 19,734,423 6,908,389
Permanent University Fund, 5.0%, 7/1/30 5.0 07/01/2030 2,550,000 3,061,241
Brazos Harbor Industrial Development Corp., Floating Rate Note, 5/1/38 5.9 05/01/2038 7,050,000 7,686,827
Prestige Auto Receivables Trust 2011-1, 3.9%, 7/16/18 (144A) 3.9 07/16/2018 2,900,000 2,136,569
Pinnacle Entertainment, Inc., Tranche B-2 Term Loan, 8/13/20 3.75 08/05/2020 4,063,252 4,076,356
SBP DPR Finance Co., Floating Rate Note, 3/15/17 (144A) 2.9806 03/15/2017 3,900,000 2,262,110
ConvaTec, Inc., Dollar Term Loan, 12/22/16 4.0 12/01/2016 3,954,363 3,961,777
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.105 10/25/2037 4,690,000 1,386,435
Fannie Mae, 5.0%, 7/1/35 5.0 07/01/2035 42,393,553 5,292,387
Fannie Mae, 3.5%, 7/1/43 3.5 07/01/2043 17,883,284 17,594,170
VOLT XXII LLC, 3.625%, 10/27/53 (Step) 3.625 10/27/2053 6,500,000 6,349,561
Rosneft Finance SA, 7.875%, 3/13/18 (144A) 7.875 03/13/2018 1,250,000 1,373,672
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 8.7229 05/07/2015 250,000 262,253
Alternative Loan Trust 2004-2CB, 5.75%, 3/25/34 5.75 03/25/2034 1,878,000 3,532,807
First Data Corp., 2018 New Dollar Term Loan, 3/24/18   03/24/2018 1,528,214 1,514,524
Audio Visual Services Corp., Initial Term Loan (First Lien), 1/24/21 4.5 01/24/2021 1,261,838 1,263,810
HHI Holdings LLC, Additional Term Loan, 10/5/18 5.0 10/05/2018 3,077,688 3,095,963
WP Carey, Inc., 4.6%, 4/1/24 4.6 04/01/2024 6,680,000 6,999,475
Ardagh Glass Finance Plc, 8.75%, 2/1/20 (144A) 8.75 02/01/2020 100,000 147,246
Gruposura Finance, 5.7%, 5/18/21 (144A) 5.7 05/18/2021 4,710,000 5,141,240
Aspen Insurance Holdings, Ltd., Floating Rate Note (Perpetual) 5.95   250,000 6,220,000
Port Freeport Texas, 5.95%, 5/15/33 5.95 05/15/2033 15,970,000 17,639,841
Marfrig Overseas, Ltd., 9.5%, 5/4/20 (144A) 9.5 05/04/2020 6,750,000 7,307,944
Crown Castle Towers LLC, 6.113%, 1/15/20 (144A) 6.113 01/15/2020 3,135,000 3,657,701
Fannie Mae, 5.0%, 4/1/22 5.0 04/01/2022 327,117 18,177
Fannie Mae, 5.0%, 1/1/39 5.0 01/01/2039 27,744,910 3,116,269
Ardagh Packaging Finance Plc, 7.0%, 11/15/20 (144A) 7.0 11/15/2020 6,400,000 1,129,161
Horizon Lines, Inc.     1,695,067 627,175
Alterra Finance LLC, 6.25%, 9/30/20 6.25 09/30/2020 9,380,000 11,017,644
WPE International Cooperatief UA, 10.375%, 9/30/20 (144A) 10.375 09/30/2020 4,360,000 2,114,040
Government National Mortgage Association, Floating Rate Note, 3/16/53 1.0276 03/16/2053 35,900,000 2,535,904
Si Organization Inc 1st Lien Tl L + 4.75% 19nov19 5.75 11/19/2019 4,610,486 4,639,301
Triton Container Finance LLC, 4.21%, 5/14/27 (144A) 4.21 05/14/2027 5,815,000 4,568,038
Protection One, Inc., Term Loan (2012), 3/21/19 4.25 03/20/2019 2,299,903 2,301,340
Selma Industrial Development Board, 6.25%, 11/1/33 6.25 11/01/2033 3,700,000 4,208,695
Microsemi Corp., Term Loan (2014), 3/14/21 3.25 03/14/2021 1,852,642 1,845,694
West Corp., Term B-10 Loan, 6/30/18 3.25 06/30/2018 1,939,592 1,924,698
Mexican Bonos, 6.5%, 6/9/22 6.5 06/09/2022 272,040,000 21,863,000
Lam Research Corp., 1.25%, 5/15/18 1.25 05/15/2018 2,808,000 3,777,150
IRSA Inversiones y Representaciones SA, 8.5%, 2/2/17 (144A) 8.5 02/02/2017 50,000 50,113
Government National Mortgage Association I, 4.5%, 8/15/41 4.5 08/15/2041 17,565,000 8,808,165
Fannie Mae, 4.5%, 10/1/43 4.5 10/01/2043 6,481,868 6,309,296
AEP Industries, Inc., 8.25%, 4/15/19 8.25 04/15/2019 1,690,000 1,815,553
MetLife, Inc., 10.75%, 8/1/69 10.75 08/01/2039 0 390,434
Fannie Mae, 6.0%, 12/1/32 6.0 12/01/2032 3,234,929 83,814
Eaton Vance Corp., 6.5%, 10/2/17 6.5 10/02/2017 19,000 22,097
Banc of America Mortgage Trust 2004-7, 4.5%, 8/25/19 4.5 08/25/2019 5,418,000 437,160
Banc of America Alternative Loan Trust 2004-3, 5.0%, 4/25/19 5.0 04/25/2019 2,680,000 315,707
Government National Mortgage Association I, 6.0%, 7/15/33 6.0 07/15/2033 3,367,971 111,663
Oak Hill Advisors Residential Loan Trust 2014-NPL1, 2.8828%, 5/25/54 (Step) (144A) 2.8828 05/25/2054 5,870,000 5,539,866
Federal Home Loan Mortgage Corp., 5.0%, 11/1/39 5.0 11/01/2039 39,051,129 13,013,625
CFG Investment SAC, 9.75%, 7/30/19 (144A) 9.75 07/30/2019 6,385,000 6,227,104
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 4.7321 01/07/2015 3,900,000 3,943,095
Government National Mortgage Association II, 4.5%, 12/20/34 4.5 12/20/2034 8,150,000 1,611,798
Virtual Radiologic Corp., Term Loan B, 12/22/16 7.2503 12/22/2016 2,425,000 1,790,462
Transportadora de Gas del Peru SA, 4.25%, 4/30/28 (144A) 4.25 04/30/2028 6,200,000 5,863,607
RALI Series 2003-QS13 Trust, Floating Rate Note, 7/25/33 0.705 07/25/2033 29,527,860 3,345,901
Fannie Mae, 3.5%, 12/1/42 3.5 12/01/2042 2,047,400 1,720,275
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 3.5 09/06/2019 4,034,508 4,034,508
Viterra, Inc., 5.95%, 8/1/20 (144A) 5.95 08/01/2020 12,880,000 14,890,645
Government National Mortgage Association I, 7.5%, 8/15/29 7.5 08/15/2029 100,063 129
JLL, Initial Dollar Term Loan, 1/23/21 4.25 01/23/2021 2,460,000 2,444,625
Monitronics International, Inc., Term B Loan (2013), 3/23/18 4.25 03/23/2018 7,542,177 7,548,068
Language Line LLC, Tranche B Term Loan, 6/20/16 6.25 05/30/2016 2,418,271 2,424,015
Queensland Treasury Corp., 6.0%, 7/21/22 6.0 07/21/2022 11,815,000 12,648,165
Nuance Communications, Inc., 2.75%, 11/1/31 2.75 11/01/2031 9,565,000 9,582,934
Fannie Mae, 5.5%, 4/1/36 5.5 04/01/2036 2,000,200 251,946
Cummins, Inc., 5.65%, 3/1/98 5.65   14,150,000 16,286,009
Government National Mortgage Association, 3.0%, 4/20/41 3.0 04/20/2041 8,800,000 7,957,313
KLA-Tencor Corp., 6.9%, 5/1/18 6.9 05/01/2018 4,090,000 4,829,656
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 8.5262 01/05/2017 3,100,000 3,294,304
KGHM International, Ltd., 7.75%, 6/15/19 (144A) 7.75 06/15/2019 11,775,000 12,686,418
Government National Mortgage Association I, 6.0%, 6/15/33 6.0 06/15/2033 2,500,000 117,011
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 11/25/34 0.955 11/25/2034 2,126,623 58,459
COMM 2012-CCRE4 Mortgage Trust, 3.251%, 10/17/45 3.251 10/15/2045 2,365,416 2,346,689
Flextronics International, Ltd., 5.0%, 2/15/23 5.0 02/15/2023 10,030,000 10,411,697
FREMF Mortgage Trust 2011-K703, 4.884%, 7/25/44 (144A) 4.8839 07/25/2044 5,450,000 5,881,602
Virtual Radiologic Corp., Term Loan A, 12/22/16 7.2501 11/03/2016 6,248,375 4,639,418
Windstream Corp., 6.375%, 8/1/23 6.375 08/01/2023 9,870,000 10,061,231
Fannie Mae, 5.5%, 3/1/21 5.5 03/01/2021 5,000,000 690,349
Bear Stearns ARM Trust 2003-6, Floating Rate Note, 8/25/33 2.5839 08/25/2033 44,701,000 2,407,148
Morgan Stanley, 4.1%, 5/22/23 4.1 05/22/2023 13,200,000 13,345,666
Romania Government Bond, 5.95%, 6/11/21 5.95 06/11/2021 34,800,000 11,746,682
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 3.0836 07/15/2023 3,250,000 3,209,836
Government National Mortgage Association I, 6.5%, 7/15/32 6.5 07/15/2032 800,000 10,713
Beacon Container Finance LLC, 3.72%, 9/20/27 (144A) 3.72 09/20/2027 1,550,000 1,292,960
Alfa Bank OJSC Via Alfa Bond Issuance Plc, 7.5%, 9/26/19 (144A) 7.5 09/26/2019 12,500,000 12,388,021
Hospitality Properties Trust, 5.0%, 8/15/22 5.0 08/15/2022 8,255,000 8,902,543
Government National Mortgage Association I, 6.0%, 7/15/17 6.0 07/15/2017 2,966,457 190,247
Plains Exploration & Production Co., 6.75%, 2/1/22 6.75 02/01/2022 107,000 124,521
Federal Home Loan Mortgage Corp., 6.0%, 1/1/34 6.0 01/01/2034 1,000,000 114,508
Fannie Mae, 4.0%, 4/1/42 4.0 04/01/2042 9,200,000 4,949,363
Fannie Mae, 4.5%, 8/1/41 4.5 08/01/2041 71,193,582 31,125,737
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 0.725 06/25/2033 34,154,338 3,374,167
Government National Mortgage Association I, 7.0%, 8/15/29 7.0 08/15/2029 712,236 10,666
CSMC Series 2010-14R REMICS, Floating Rate Note, 11/26/37 (144A) 1.1543 11/26/2037 0 484
Citicorp Residential Mortgage Trust Series 2006-3, 5.703%, 11/25/36 (Step) 5.703 11/25/2036 16,725,000 9,621,616
Ooredoo International Finance, Ltd., 3.875%, 1/31/28 (144A) 3.875 01/31/2028 3,200,000 3,070,408
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.5203 04/30/2018 1,300,000 1,296,848
Affinion Group, Inc., Tranche B Term Loan, 10/9/16 6.75 10/09/2016 7,501,877 7,451,082
Alliance One International, Inc., 9.875%, 7/15/21 9.875 07/15/2021 10,630,000 10,483,985
Albertsons LLC, Term B-2 Loan, 3/21/19 4.75 03/21/2019 1,995,000 2,007,640
Springleaf Funding Trust 2014-A, 2.41%, 12/25/22 (144A) 2.41 12/25/2022 5,000,000 4,994,486
Health Care Real Estate Investment Trust, Inc., 3.75%, 3/15/23 3.75 03/15/2023 4,700,000 4,776,762
Hyundai Motor Manufacturing Czech sro, 4.5%, 4/15/15 (144A) 4.5 04/15/2015 1,390,000 1,441,412
North East Independent School District Texas, 5.25%, 2/1/31 5.25 02/01/2031 11,120,000 14,267,516
FREMF Mortgage Trust 2011-K702, 4.77%, 4/25/44 (144A) 4.7704 04/25/2044 8,232,000 8,851,057
BRF SA, 5.875%, 6/6/22 (144A) 5.875 06/06/2022 7,810,000 8,465,850
TAM Capital 3, Inc., 8.375%, 6/3/21 (144A) 8.375 06/03/2021 4,965,000 5,454,018
Tidewater Auto Receivables Trust 2012-A, 2.83%, 10/15/19 2.83 10/15/2019 600,000 610,798
Fannie Mae, 6.0%, 11/1/32 6.0 11/01/2032 350,000 9,778
Fieldwood Energy LLC, Closing Date Loan (Second Lien), 9/30/20 8.375 09/30/2020 5,710,000 5,858,106
State of Washington, 3.0%, 7/1/28 3.0 07/01/2028 2,550,000 2,541,330
FREMF Mortgage Trust 2012-K501, 3.486%, 11/25/46 (144A) 3.4859 11/25/2046 2,750,000 2,834,117
MASTR Alternative Loan Trust 2004-10, 5.5%, 10/25/19 5.5 10/25/2019 28,445,000 2,506,955
Cubist Pharmaceuticals, Inc., 1.875%, 9/1/20 (144A) 1.875 09/01/2020 7,685,000 8,326,217
The Goldman Sachs Group, Inc., 6.45%, 5/1/36 6.45 05/01/2036 7,400,000 8,733,806
Carrington Mortgage Loan Trust Series 2006-FRE1, Floating Rate Note, 7/25/36 0.265 07/25/2036 5,500,000 1,103,301
Hyundai Capital America, 4.0%, 6/8/17 (144A) 4.0 06/08/2017 1,200,000 1,280,539
Davita Healthcare Partners Inc 1st Lien Tl-B L + 2.75% 19jun21   06/19/2021 5,935,316 5,933,725
Government National Mortgage Association I, 6.0%, 1/15/34 6.0 01/15/2034 1,135,007 76,645
Samson Investment Co., Tranche 1 Term Loan (Second Lien), 9/25/18 5.0 09/25/2018 2,350,000 2,347,483
DTEK Finance Plc, 7.875%, 4/4/18 (144A) 7.875 04/04/2018 9,400,000 7,245,461
Gentiva Health Services, Inc., 11.5%, 9/1/18 11.5 09/01/2018 1,328,000 1,471,313
Fannie Mae, 3.5%, 11/1/40 3.5 11/01/2040 10,200,000 5,822,188
Pangaea Zero% 01jul18 0.0 07/01/2018 11,730,000 11,948,178
BioScrip, Inc., Initial Term B Loan, 7/31/20 6.5 07/22/2020 4,315,919 4,375,263
MacDermid, Inc., Tranche B Term Loan (First Lien), 6/7/20 4.0 06/06/2020 2,772,000 2,775,119
Government National Mortgage Association I, 5.5%, 9/15/19 5.5 09/15/2019 2,522,582 283,944
Fannie Mae, 7.5%, 1/1/28 7.5 01/01/2028 115,000 1,422
Federal Home Loan Mortgage Corp., 5.0%, 12/1/21 5.0 12/01/2021 6,525,000 606,315
Waupaca Foundry, Inc., Term Loan, 6/29/17 4.0 06/29/2017 3,833,881 3,842,277
Fannie Mae, 3.5%, 6/1/42 3.5 06/01/2042 2,314,862 2,009,099
Federal Home Loan Mortgage Corp., 6.0%, 12/1/37 6.0 12/01/2037 5,000,000 367,912
New York State Dormitory Authority, 5.0%, 12/15/30 5.0 12/15/2030 12,505,000 14,424,003
SESI LLC, 7.125%, 12/15/21 7.125 12/15/2021 90,000 100,944
Navistar International Corp., 8.25%, 11/1/21 8.25 11/01/2021 11,805,000 12,432,141
The Hanover Insurance Group, Inc., 7.5%, 3/1/20 7.5 03/01/2020 6,267,000 7,640,889
Citicorp Residential Mortgage Trust Series 2007-2, 5.72851%, 6/25/37 (Step) 5.7188 06/25/2037 4,155,000 4,346,383
FREMF Mortgage Trust 2011-K701, 4.286%, 7/25/48 (144A) 4.4355 07/25/2048 4,100,000 4,329,652
Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33 2.6657 09/25/2033 46,300,000 2,819,062
Global SC Finance II SRL, 4.11%, 7/19/27 (144A) 4.11 07/19/2027 4,000,000 3,208,455
Mystic Re, Ltd., Floating Rate Note, 3/12/15 (Cat Bond) (144A) 9.0203 03/12/2015 1,850,000 1,896,528
Government National Mortgage Association I, 5.75%, 10/15/38 5.75 10/15/2038 711,536 116,208
Government National Mortgage Association I, 5.5%, 9/15/19 5.5 09/15/2019 2,037,648 117,483
Carrington Mortgage Loan Trust Series 2005-NC4, Floating Rate Note, 9/25/35 0.555 09/25/2035 1,025,000 147,234
Sequoia Mortgage Trust 2013-7, Floating Rate Note, 6/25/43 3.0 06/25/2043 7,399,368 6,796,332
Federal Home Loan Mortgage Corp., 4.5%, 11/1/43 4.5 11/01/2043 4,841,006 4,578,800
WFRBS Commercial Mortgage Trust 2014-LC14, 2.862%, 3/15/47 2.862 03/15/2047 3,450,000 3,541,251
Kindred Healthcare, Inc., 6.375%, 4/15/22 (144A) 6.375 04/15/2022 3,200,000 3,231,467
Federal Home Loan Mortgage Corp., 6.0%, 12/1/36 6.0 12/01/2036 1,820,000 178,780
U.S. Treasury Bonds, 3.625%, 8/15/43 3.625 08/15/2043 25,000,000 26,949,327
The Goodyear Tire & Rubber Co., Loan (Second Lien), 4/30/19 4.75 03/27/2019 9,925,000 10,011,844
Allison Transmission, Inc., Term B-3 Loan, 8/23/19 3.75 08/23/2019 2,956,899 2,961,520
Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35 0.535 12/25/2035 2,600,000 906,264
Reynolds Group Issuer, Inc., 9.875%, 8/15/19 9.875 08/15/2019 5,795,000 6,507,986
Inter-American Development Bank, 4.5%, 2/4/16 4.5 02/04/2016 92,300,000,000 7,870,737
Fannie Mae, 4.0%, 12/1/42 4.0 12/01/2042 46,000 14,860
Altisource Solutions Sarl, Term B Loan, 12/9/20 4.5 12/09/2020 2,493,719 2,493,719
Carlyle Holdings II Finance LLC, 5.625%, 3/30/43 (144A) 5.625 03/30/2043 24,815,000 28,527,355
Aircastle, Ltd., 6.25%, 12/1/19 6.25 12/01/2019 3,775,000 4,088,010
New Residential Mortgage Loan Trust 2014-1, Floating Rate Note, 1/25/54 (144A) 3.75 01/25/2054 8,000,000 8,036,585
VOLT XXIV LLC, 3.25%, 11/25/53 (Step) 3.25 11/25/2053 6,000,000 5,800,304
Fannie Mae, 5.5%, 6/1/33 5.5 06/01/2033 852,000 42,343
Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40 5.361 02/15/2040 17,350,000 14,152,124
AccentCare, Inc., Term Loan, 12/22/16 6.5 12/22/2016 2,302,074 1,669,003
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 3.75 08/20/2025 1,250,000 807,964
Massachusetts Institute of Technology, 5.6%, 7/1/11 5.6   4,025,000 5,077,995
Government National Mortgage Association I, 5.0%, 10/15/18 5.0 10/15/2018 2,975,000 170,708
Brocade Communications Systems, Inc., 4.625%, 1/15/23 4.625 01/15/2023 1,500,000 1,443,083
Offshore Group Investment, Ltd., 7.5%, 11/1/19 7.5 11/01/2019 4,400,000 4,614,500
Dolphin Energy, Ltd., 5.5%, 12/15/21 (144A) 5.5 12/15/2021 3,230,000 3,680,675
BTA Bank JSC (G.D.R.) (144A)     4,633 2,780
Government National Mortgage Association, Floating Rate Note, 9/16/52 1.0659 09/16/2052 55,000,000 4,234,485
U.S. Treasury Bonds, 4.5%, 8/15/39 4.5 08/15/2039 19,890,000 24,734,640
Government National Mortgage Association I, 6.0%, 11/15/18 6.0 11/15/2018 197,092 2,368
CoBank ACB, Floating Rate Note (Perpetual) (144A) 6.25   87,500 9,094,531
Plains Exploration & Production Co., 8.625%, 10/15/19 8.625 10/15/2019 4,060,000 4,386,407
Interactive Data 1st Lien Tl-B L + 3.75% 24apr21 4.75 04/24/2021 2,131,988 2,143,315
Fannie Mae, 5.0%, 7/1/40 5.0 07/01/2040 11,275,000 3,822,968
Calpine Corp., Term Loan (3/11), 4/1/18 4.0 03/01/2018 5,413,163 5,432,785
Banc of America Alternative Loan Trust 2003-2, 5.75%, 4/25/33 5.75 04/25/2033 30,900,000 3,521,062
Landry's, Inc., B Term Loan, 4/24/18 4.0 03/22/2018 6,730,550 6,754,107
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 2.6902 10/25/2033 28,400,000 3,418,660
Unum Group, 5.625%, 9/15/20 5.625 09/15/2020 3,400,000 3,955,560
Service Corp International United States, 8.0%, 11/15/21 8.0 11/15/2021 3,322,000 3,951,150
Alliant Holdings I, Inc., Initial Term Loan, 12/20/19 4.25 12/07/2019 1,694,360 1,698,228
Energy Transfer Partners LP, Floating Rate Note, 11/1/66 3.2429 11/01/2066 4,234,000 3,972,708
JP Morgan Chase Commercial Mortgage Securities Trust 2013-FL3, Floating Rate Note, 4/15/28 (144A) 3.0481 04/15/2028 4,570,000 4,607,311
Ironshore Holdings US, Inc., 8.5%, 5/15/20 (144A) 8.5 05/15/2020 6,850,000 8,189,020
Home Equity Asset Trust 2005-7, Floating Rate Note, 1/25/36 0.535 01/25/2036 3,300,000 1,788,647
NSG Holdings LLC, 7.75%, 12/15/25 (144A) 7.75 12/15/2025 2,879,000 3,137,830
Fannie Mae, 6.5%, 12/1/21 6.5 12/01/2021 8,650,000 166,289
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 5.73 11/15/2035 1,500,000 697,574
Nakilat, Inc., 6.067%, 12/31/33 (144A) 6.067 12/31/2033 1,965,000 2,166,853
Houghton Mifflin Harcourt Publishing Co., Term Loan, 5/22/18 4.25 05/22/2018 2,272,688 2,284,051
MMC Norilsk Nickel OJSC via MMC Finance, Ltd., 5.55%, 10/28/20 (144A) 5.55 10/28/2020 8,500,000 8,600,619
MetLife, Inc., 6.4%, 12/15/66 6.4 12/15/2036 5,875,000 6,632,744
Structured Asset Investment Loan Trust 2005-4, Floating Rate Note, 5/25/35 0.755 05/25/2035 100,000 10,061
Ginnie Mae I pool, 4.5%, 9/15/39 4.5 09/15/2039 15,000,000 16,292,343
Select Medical Corp., Series E Tranche B Term Loan, 6/1/18 3.7502 06/01/2018 2,064,028 2,064,028
Fannie Mae, 5.5%, 3/1/25 5.5 03/01/2025 8,000,000 1,062,186
Cequel Communications LLC, Term Loan, 2/14/19 3.5 01/31/2019 1,937,130 1,929,058
Government National Mortgage Association I, 6.0%, 9/15/33 6.0 09/15/2033 2,000,000 162,285
Fannie Mae, 6.0%, 7/1/17 6.0 07/01/2017 4,000,000 55,218
Reliance Holding USA, Inc., 4.5%, 10/19/20 (144A) 4.5 10/19/2020 3,125,000 3,315,150
LB-UBS Commercial Mortgage Trust 2005-C3, 4.739%, 7/15/30 4.739 07/15/2030 5,420,000 3,344,888
Fannie Mae, 5.0%, 6/1/40 5.0 06/01/2040 3,027,156 1,061,454
Garda World Security Corp., Term B Loan, 11/1/20 4.0 11/01/2020 684,618 683,762
Government National Mortgage Association, Floating Rate Note, 8/16/52 1.0623 08/16/2052 55,500,000 3,533,345
Leaf Receivables Funding 8 LLC, 5.5%, 9/15/20 (144A) 5.5 09/15/2020 2,141,566 2,163,933
Aviation Capital Group Corp., 4.625%, 1/31/18 (144A) 4.625 01/31/2018 3,200,000 3,460,789
Federal Home Loan Mortgage Corp., 3.5%, 10/1/40 3.5 10/01/2040 6,700,000 3,514,872
Morgan Stanley Capital I, Inc., Floating Rate Note, 10/15/20 (144A) 0.252 10/15/2020 8,700,000 2,797,556
Wells Fargo Mortgage Backed Securities 2003-L Trust, Floating Rate Note, 11/25/33 2.5455 11/25/2033 6,500,000 537,973
Government National Mortgage Association I, 6.0%, 5/15/16 6.0 05/15/2016 192,300 1,844
Liberty Mutual Insurance Co., 7.697% (Perpetual) (144A) 7.697   10,910,000 12,585,562
First Franklin Mortgage Loan Trust 2005-FF5, Floating Rate Note, 2/25/35 0.83 03/25/2035 1,150,000 269,703
WMG Acquisition Corp., Tranche B Refinancing Term Loan, 7/1/20 3.75 07/03/2020 4,915,356 4,825,243
Nara Cable Funding II, Ltd., 8.5%, 3/1/20 (144A) 8.5 03/01/2020 1,600,000 2,621,560
Drillships Financing Holding, Inc., Tranche B-1 Term Loan, 3/31/21 6.0 03/02/2021 5,667,750 5,724,428
Chesapeake Energy Corp., 2.25%, 12/15/38 2.25 12/15/2038 4,600,000 4,437,850
Healthcare Realty Trust, Inc., 6.5%, 1/17/17 6.5 01/17/2017 0 14,042
Neuberger Berman Group LLC, 5.625%, 3/15/20 (144A) 5.625 03/15/2020 4,350,000 4,649,063
Residential Asset Securitization Trust 2004-A10, 5.5%, 2/25/35 5.5 02/25/2035 26,205,000 792,290
Provincia de Neuquen Argentina, 7.875%, 4/26/21 (144A) 7.875 04/26/2021 3,700,000 2,976,638
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 6.5 08/15/2030 2,270,000 1,323,021
Altrl Flt% 30jun16   06/30/2016 13,000,000 13,536,900
Sector Re V, Ltd., 0.0%, 12/1/18 (Cat Bond) (144A) 0.0 12/01/2018 3,650,000 3,894,915
Sirius International Group, Ltd., 6.375%, 3/20/17 (144A) 6.375 03/20/2017 6,200,000 7,050,125
Government National Mortgage Association I, 5.5%, 3/15/37 5.5 03/15/2037 8,000,000 501,825
Instituto Costarricense de Electricidad, 6.375%, 5/15/43 (144A) 6.375 05/15/2043 6,100,000 5,511,096
Alternative Loan Trust 2003-16T1, 5.25%, 9/25/33 5.25 09/25/2033 7,855,000 3,908,942
Cummins, Inc., 6.75%, 2/15/27 6.75 02/15/2027 1,385,000 1,765,408
Dubai Electricity & Water Authority, 8.5%, 4/22/15 (144A) 8.5 04/22/2015 9,750,000 10,493,681
Digital Realty Trust, Inc., 5.875% (Perpetual) 5.875   100,000 2,212,000
CHL Mortgage Pass-Through Trust 2003-42, Floating Rate Note, 9/25/33 2.8983 09/25/2033 2,550,000 14,679
Swift Energy Co., 7.875%, 3/1/22 7.875 03/01/2022 4,650,000 5,011,828
CWGS Group LLC, Term Loan, 2/20/20 5.75 02/20/2020 7,011,250 7,081,363
Golar LNG, Ltd., 3.75%, 3/7/17 3.75 03/07/2017 1,700,000 2,367,336
JP Morgan Mortgage Trust 2005-A4, Floating Rate Note, 7/25/35 2.2054 07/25/2035 9,500,000 1,504,812
Ajecorp BV, 6.5%, 5/14/22 (144A) 6.5 05/14/2022 10,260,000 9,689,573
Cincinnati Bell, Inc., 8.375%, 10/15/20 8.375 10/15/2020 10,771,000 11,952,145
Government National Mortgage Association I, 4.5%, 10/15/33 4.5 10/15/2033 2,387,368 260,457
ALROSA Finance SA, 8.875%, 11/17/14 (144A) 8.875 11/17/2014 100,000 103,607
Capital Auto Receivables Asset Trust/ Ally, 2.19%, 9/20/21 2.19 09/20/2021 3,165,000 3,166,124
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 2.25 06/25/2043 3,745,000 3,215,289
Worthington Industries, Inc., 4.55%, 4/15/26 4.55 04/15/2026 3,875,000 4,081,554
American Energy Partners Inc L + 7.75% 17jun15   06/17/2015 15,205,000 15,205,000
JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16, 3.07%, 12/15/46 3.07 12/15/2046 10,620,000 11,019,008
Federal Home Loan Mortgage Corp., 6.0%, 3/1/33 6.0 03/01/2033 563,857 11,420
Cme: (Cdx.Na.Hy.22.V2) Usd 20jun19 Z91jjmp14 500.0 06/20/2019 0 -5,133,836
Government National Mortgage Association I, 5.75%, 10/15/38 5.75 10/15/2038 1,470,579 528,257
Independencia International, Ltd., 0.0%, 12/30/16 (144A) 0.0 12/30/2016 1,038,898 322,058
GATX Corp., 6.0%, 2/15/18 6.0 02/15/2018 6,865,000 7,883,915
Kiowa Power Partners LLC, 5.737%, 3/30/21 (144A) 5.737 03/30/2021 3,775,000 3,757,142
Government National Mortgage Association I, 5.5%, 4/15/34 5.5 04/15/2034 3,032,660 321,281
U.S. Treasury Bonds, 4.375%, 11/15/39 4.375 11/15/2039 23,290,000 28,200,349
WaMu Mortgage Pass-Through Certificates Series 2004-AR14 Trust, Floating Rate Note, 1/25/35 2.3967 01/25/2035 44,086,340 9,763,340
ZIGGO BV, (USD) TLB3, 1/15/22   01/15/2022 2,743,404 2,700,294
Fannie Mae, 5.0%, 5/1/38 5.0 05/01/2038 9,123,173 1,022,679
Fannie Mae, 5.0%, 6/1/35 5.0 06/01/2035 77,359,128 8,447,794
Fannie Mae, 4.5%, 11/1/40 4.5 11/01/2040 12,358,351 5,624,838
Fannie Mae, 3.5%, 11/1/42 3.5 11/01/2042 1,335,000 1,322,537
Successor X, Ltd., Floating Rate Note, 1/27/15 (Cat Bond) (144A) 11.0253 01/27/2015 3,150,000 3,163,300
GS Mortgage Securities Trust 2013-GCJ12, 3.135%, 6/10/46 3.135 06/10/2046 7,000,000 6,989,294
Spirit Master Funding LLC, 5.74%, 3/20/42 (144A) 5.74 03/20/2042 1,250,704 1,386,150
JP Morgan Mortgage Trust 2014-1 REMICS, Floating Rate Note, 1/25/44 (144A) 4.0 01/25/2044 2,749,964 2,693,392
Queen Street VI Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 10.581 04/09/2015 700,000 720,983
Brazil Minas SPE via State of Minas Gerais, 5.333%, 2/15/28 (144A) 5.333 02/15/2028 17,900,000 18,205,930
Brookfield Residential Properties, Inc., 6.125%, 7/1/22 (144A) 6.125 07/01/2022 5,880,000 6,057,013
Aircastle, Ltd., 7.625%, 4/15/20 7.625 04/15/2020 2,900,000 3,378,359
Desarrolladora Homex SAB de CV, 9.75%, 3/25/20 (144A) 9.75 03/25/2020 5,065,000 1,515,068
GRIFOLS WORLDWIDE OPERATIONS USA INC, U.S. Tranche B Term Loam, 4/1/21 3.2346 04/01/2021 4,389,000 4,374,942
Nevada Power Co., 6.5%, 8/1/18 6.5 08/01/2018 85,000 102,548
HLSS Servicer Advance Receivables Trust, 1.2437%, 1/17/45 1.2437 01/17/2045 6,500,000 6,509,443
Government National Mortgage Association II, 5.5%, 10/20/37 5.5 10/20/2037 50,000 15,258
Government National Mortgage Association I, 4.5%, 12/15/34 4.5 12/15/2034 326,420 55,169
Bayview Opportunity Master Fund IIa Trust 2013 Trust 2013-2RPL, 3.721%, 3/28/18 (Step) (144A) 3.721 03/28/2018 2,250,000 411,491
Citicorp Residential Mortgage Trust Series 2006-1, 5.939%, 7/25/36 (Step) 5.939 07/25/2036 8,200,000 6,045,585
Grede Holdings Llc 1st Lien Tl-B L + 3.75% 21may21 4.75 05/21/2021 1,525,000 1,533,261
Valeant Pharmaceuticals International, Inc., 7.5%, 7/15/21 (144A) 7.5 07/15/2021 8,085,000 8,758,750
Government National Mortgage Association I, 6.0%, 7/15/17 6.0 07/15/2017 6,000,000 138,879
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2.58 09/15/2021 10,000,000 10,084,087
Credit Suisse First Boston Mortgage Securities Corp., 5.0%, 8/25/20 5.0 08/25/2020 7,662,500 612,628
Ascentium Equipment Receivables 2014-1 LLC, 3.1%, 6/10/21 (144A) 3.1 06/10/2021 800,000 805,131
Fannie Mae, 4.0%, 8/12/14 4.0 08/12/2014 55,000,000 57,893,062
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 7.5175 04/09/2015 3,150,000 3,203,078
Banc of America Alternative Loan Trust 2004-2, 6.0%, 3/25/34 6.0 03/25/2034 3,865,000 1,029,213
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 5.25 04/25/2032 6,500,000 2,025,183
Credit Acceptance Auto Loan Trust 2012-2, 2.21%, 9/15/20 (144A) 2.21 09/15/2020 2,500,000 2,531,721
Hologic, Inc., 2.0%, 3/1/42 (Step) 2.0 03/01/2042 13,000,000 14,383,958
Ziggo Bv 1st Lien Tl-B1 L + 2.75% 15jan22   01/15/2022 2,588,511 2,547,835
NSG Holdings LLC, New Term Loan, 12/11/19 3.75 11/15/2019 3,971,254 3,976,218
Massachusetts Development Finance Agency, 5.25%, 4/1/37 5.25 04/01/2037 6,550,000 7,255,239
Equity One Mortgage Pass-Through Trust 2004-1, 4.205%, 4/25/34 (Step) 4.205 04/25/2034 1,250,000 209,254
Fannie Mae, 4.0%, 2/1/44 4.0 02/01/2044 3,344,903 3,429,326
Government National Mortgage Association I, 5.5%, 7/15/33 5.5 07/15/2033 1,500,000 154,507
Cemex SAB de CV, Floating Rate Note, 9/30/15 (144A) 5.2341 09/30/2015 4,700,000 4,862,867
KazMunayGas National Co JSC, 4.4%, 4/30/23 (144A) 4.4 04/30/2023 3,500,000 3,530,178
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 750,000 111,294
Arlington Flt% 01aug15   08/01/2015 3,033,000 3,078,495
Entercom Radio LLC, Term B-2 Loan, 11/23/18 4.046 11/23/2018 1,385,461 1,389,617
Liberty Mutual Group, Inc., 5.0%, 6/1/21 (144A) 5.0 06/01/2021 6,970,000 7,715,346
LeasePlan Corp NV, 2.5%, 5/16/18 (144A) 2.5 05/16/2018 6,400,000 6,491,695
BBVA Bancomer SA Texas, 4.375%, 4/10/24 (144A) 4.375 04/10/2024 2,500,000 2,583,724
International Game Technology, 7.5%, 6/15/19 7.5 06/15/2019 120,000 138,070
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5, 4.1712%, 8/17/46 4.1712 08/15/2046 5,200,000 5,629,780
Aguila 3 SA, 7.875%, 1/31/18 (144A) 7.875 01/31/2018 1,100,000 1,194,428
Corporate Office Properties LP, 3.6%, 5/15/23 3.6 05/15/2023 6,450,000 6,223,444
COMM 2012-CCRE2 Mortgage Trust REMICS, 3.791%, 8/17/45 3.791 08/15/2045 1,900,000 1,960,392
Banco de Credito del Peru Panama, Floating Rate Note, 9/16/26 (144A) 6.875 09/16/2026 10,210,000 11,722,002
Wilton Re Finance LLC, Floating Rate Note, 3/30/33 (144A) 5.875 03/30/2033 6,215,000 6,601,862
Bosphorus 1 Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 2.5304 05/03/2016 1,400,000 1,401,338
Federal Home Loan Mortgage Corp., 6.0%, 6/1/35 6.0 06/01/2035 4,500,000 182,977
Government National Mortgage Association I, 6.5%, 7/15/35 6.5 07/15/2035 161,566 34,002
Sequa Corp., Initial Term Loan, 6/19/17 5.25 05/29/2017 6,747,250 6,675,560
Fannie Mae, 7.0%, 7/1/31 7.0 07/01/2031 306,031 1,204
Vertafore, Inc., Term Loan (2013), 10/3/19 4.25 10/20/2019 5,768,666 5,779,483
Kenya Government International Bond, 6.875%, 6/24/24 (144A) 6.875 06/24/2024 8,635,000 9,226,635
Israel Electric Corp, Ltd., 6.7%, 2/10/17 (144A) 6.7 02/10/2017 4,150,000 4,638,974
Alkermes, Inc., 2019 Term Loan, 9/25/19 3.5 09/25/2019 687,750 687,033
Magnesita Finance, Ltd., 8.625% (Perpetual) (144A) 8.625 04/29/2049 4,200,000 4,213,563
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 6.8855 04/07/2017 6,300,000 6,535,768
Ausdrill Finance Pty, Ltd., 6.875%, 11/1/19 (144A) 6.875 11/01/2019 6,230,000 5,776,378
HCA, Inc., 6.5%, 2/15/20 6.5 02/15/2020 3,800,000 4,241,644
Freeport-McMoRan, Inc., 3.875%, 3/15/23 3.875 03/15/2023 8,860,000 8,902,376
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 5.2855 03/07/2016 4,433,000 4,477,866
Bear Stearns ARM Trust 2004-9, Floating Rate Note, 11/25/34 3.121 11/25/2034 27,154,758 3,593,743
USI, Inc. New York, Initial Term Loan 2013, 12/30/19 4.25 12/30/2019 26,473,387 26,511,985
Tengizchevroil Finance Co Sarl, 6.124%, 11/15/14 (144A) 6.124 11/15/2014 10,805,000 797,712
First Horizon Mortgage Pass-Through Trust 2005-AR1, Floating Rate Note, 4/25/35 2.5746 04/25/2035 10,872,000 2,359,649
FREMF Mortgage Trust 2012-K709, 3.741%, 4/25/45 (144A) 3.8721 04/25/2045 5,000,000 5,166,726
Government National Mortgage Association I, 5.5%, 9/15/19 5.5 09/15/2019 2,338,171 135,847
Far East Capital, Ltd. SA, 8.0%, 5/2/18 (144A) 8.0 05/02/2018 3,750,000 2,774,167
Fannie Mae, 4.0%, 8/1/43 4.0 08/01/2043 4,563,130 4,656,745
OneBeacon US Holdings, Inc., 4.6%, 11/9/22 4.6 11/09/2022 12,255,000 12,699,474
State Street Corp., Floating Rate Note, 12/31/73 5.9 12/31/2073 236,600 6,097,182
The University of Texas System, 5.0%, 8/15/43 5.0 08/15/2043 2,210,000 2,527,611
Vishay Intertechnology, Inc., 2.25%, 5/15/41 (144A) 2.25 05/15/2041 13,410,000 12,669,098
Scitor Corp., Term Loan, 2/15/17 5.0 01/21/2017 1,656,399 1,640,166
EP Energy LLC, 9.375%, 5/1/20 9.375 05/01/2020 9,850,000 11,139,734
Fannie Mae, 2.5%, 8/18/14 2.5 08/18/2014 20,000,000 20,144,861
CenturyLink, Inc., 7.65%, 3/15/42 7.65 03/15/2042 3,100,000 3,189,590
Metaldyne LLC, USD Term Loan 2014, 12/18/18 4.25 12/18/2018 4,937,878 4,964,627
Boart Longyear Management Pty, Ltd., 7.0%, 4/1/21 (144A) 7.0 04/01/2021 750,000 564,417
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 3.9669 08/25/2053 8,507,000 8,286,529
Fannie Mae, 5.5%, 2/1/23 5.5 02/01/2023 12,500,000 576,228
Fannie Mae, 4.5%, 11/1/43 4.5 11/01/2043 3,906,562 4,095,541
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 4.0203 05/05/2017 7,650,000 7,650,340
Government National Mortgage Association I, 6.5%, 12/15/31 6.5 12/15/2031 50,173 557
Foundation Re III, Ltd., Floating Rate Note, 2/25/15 (Cat Bond) (144A) 5.0 02/25/2015 4,500,000 4,565,025
HOA Funding LLC, 4.846%, 8/20/44 (144A) 4.846 08/20/2044 12,800,000 12,800,000
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 0.305 05/25/2036 2,125,362 677,875
New Jersey Economic Development Authority, 0.0%, 2/15/18 0.0 02/15/2018 19,893,000 18,276,893
Mexican Bonos, 7.5%, 6/3/27 7.5 06/03/2027 60,890,000 5,198,263
RAIT 2014-FL2 Trust, Floating Rate Note, 5/13/31 2.302 05/13/2031 4,000,000 3,964,348
Government National Mortgage Association I, 4.5%, 9/15/40 4.5 09/15/2040 1,371,000 942,847
Federal National Mortgage Association REMICS, 5.0%, 9/25/39 5.0 09/25/2039 3,078,000 671,206
Steward Health Care System LLC, Term Loan, 4/10/20 6.75 04/12/2020 2,227,500 2,213,578
The Goldman Sachs Group, Inc., 6.75%, 10/1/37 6.75 10/01/2037 5,400,000 6,552,657
Mcron Finance Sub LLC, 8.375%, 5/15/19 (144A) 8.375 05/15/2019 120,000 133,222
JPMorgan Chase & Co., Floating Rate Note (Perpetual) 7.9 04/29/2049 20,727,000 23,239,515
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 1.055 10/25/2028 5,273,350 976,287
Government National Mortgage Association I, 5.5%, 7/15/34 5.5 07/15/2034 4,540,000 494,716
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 2.7703 01/09/2017 2,200,000 2,252,562
Cpi International Inc 1st Lien Tl-B L + 3.25% 31mar21 4.25 03/31/2021 1,496,250 1,496,952
Mueller Water Products, Inc., 7.375%, 6/1/17 7.375 06/01/2017 4,465,000 4,575,695
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 4.5304 12/06/2016 2,300,000 2,362,790
Icon Brand Holdings LLC, 4.229%, 1/25/43 (144A) 4.229 01/25/2043 6,376,000 5,737,272
Urbi Desarrollos Urbanos SAB de CV, 0.0%, 2/3/22 (144A) 0.0 02/03/2022 3,975,000 710,531
Ellington Loan Acquisition Trust 2007-2, Floating Rate Note, 5/25/37 (144A) 1.055 05/25/2037 11,108,000 1,233,387
Digital Realty Trust LP, 3.625%, 10/1/22 3.625 10/01/2022 6,300,000 6,125,360
Bumi Resources Tbk PT, Loan, 11/7/14 18.1555 11/07/2014 1,135,833 681,500
Fannie Mae, 6.0%, 3/1/32 6.0 03/01/2032 100,000 2,722
Conseco Financial Corp., Floating Rate Note, 12/1/28 6.24 12/01/2028 4,121,000 222,506
Envision Healthcare Corp., Initial Term Loan, 5/25/18 4.0 04/05/2018 1,969,527 1,972,810
Cronos Containers Program, Ltd., 3.81%, 9/18/27 (144A) 3.81 09/18/2027 3,500,000 2,867,108
Essar Steel Algoma, Inc., 9.375%, 3/15/15 (144A) 9.375 03/15/2015 5,660,000 5,867,533
Electricite de France SA, 6.0%, 1/22/14 (144A) 6.0   23,175,000 26,243,208
LDK Solar Co, Ltd., 10.0%, 2/28/14 10.0 02/28/2014 12,000,000 533,738
Red de Carreteras de Occidente SAPIB de CV, 9.0%, 6/10/28 (144A) 9.0 06/10/2028 87,500,000 6,313,456
Mexican Udibonos, 3.5%, 12/14/17 3.5 12/14/2017 44,360,000 18,882,057
Alternative Loan Trust Resecuritization 2003-23T2R REMICS, 4.25%, 9/25/33 4.25 09/25/2033 44,943,000 1,579,010
Senior Housing Properties Trust, 6.75%, 4/15/20 6.75 04/15/2020 11,518,000 13,447,230
Mystic Re, Ltd., Floating Rate Note, 3/12/15 (Cat Bond) (144A) 12.0203 03/12/2015 3,100,000 3,203,953
LSTAR Commercial Mortgage Trust, Floating Rate Note, 6/25/43 (144A) 5.2645 06/25/2043 4,920,000 5,013,726
Irwin Whole Loan Home Equity Trust 2005-C, Floating Rate Note, 3/25/25 0.855 03/25/2025 1,900,000 798,611
Government National Mortgage Association II, 5.5%, 3/20/34 5.5 03/20/2034 1,800,000 227,026
Bowdoin College, 4.693%, 7/1/12 4.693   4,550,000 4,255,027
Citicorp Residential Mortgage Trust Series 2006-2, 5.775%, 9/25/36 (Step) 5.775 09/25/2036 8,100,000 4,471,226
Structured Asset Mortgage Investments Trust 2003-AR2, Floating Rate Note, 12/19/33 0.8962 12/19/2033 91,824,870 4,895,502
Federal Home Loan Mortgage Corp., 6.5%, 9/1/32 6.5 09/01/2032 100,000 2,742
Ardagh Packaging Finance Plc, 9.25%, 10/15/20 (144A) 9.25 10/15/2020 11,058,000 16,512,281
Government National Mortgage Association I, 6.5%, 5/15/32 6.5 05/15/2032 1,000,000 31,717
Government National Mortgage Association I, 5.5%, 8/15/19 5.5 08/15/2019 711,545 98,730
Fannie Mae, 6.0%, 6/1/37 6.0 06/01/2037 4,500,000 392,233
Federal National Mortgage Association REMICS, 4.5%, 6/25/29 4.5 06/25/2029 4,635,000 4,349,604
Rosneft Finance SA, 7.25%, 2/2/20 (144A) 7.25 02/02/2020 1,770,000 1,931,156
New Jersey Transportation Trust Fund Authority, 5.5%, 6/15/41 5.5 06/15/2041 10,540,000 11,748,809
Structured Asset Investment Loan Trust 2006-1, Floating Rate Note, 1/25/36 0.355 01/25/2036 8,100,000 2,091,017
Fannie Mae, 6.5%, 10/1/32 6.5 10/01/2032 511,093 25,465
Pilot Travel Centers LLC, Refinancing Tranche B Term Loan, 3/30/18 3.75 03/30/2018 2,024,413 2,031,144
Fannie Mae, 4.0%, 11/1/43 4.0 11/01/2043 3,398,541 3,443,350
Government National Mortgage Association II, 6.5%, 1/20/28 6.5 01/20/2028 32,371 466
U.S. Treasury Bonds, 4.375%, 2/15/38 4.375 02/15/2038 5,085,000 6,189,533
Alternative Loan Trust 2003-J1, 4.75%, 10/25/33 4.75 10/25/2033 20,470,000 1,013,627
CS Intermediate Holdco 2 LLC, Term Loan, 3/28/21 4.0 03/28/2021 1,350,000 1,348,313
Fannie Mae, 4.0%, 2/1/43 4.0 02/01/2043 2,200,000 1,780,052
Eastman Chemical Co., 4.8%, 9/1/42 4.8 09/01/2042 4,140,000 4,272,141
BRF SA, 3.95%, 5/22/23 (144A) 3.95 05/22/2023 3,500,000 3,306,698
Nigeria Government Bond, 16.0%, 6/29/19 16.0 06/29/2019 2,507,000,000 18,495,489
Province of Salta Argentina, 9.5%, 3/16/22 (144A) 9.5 03/16/2022 4,900,000 4,453,858
Ferrexpo Finance Plc, 7.875%, 4/7/16 (144A) 7.875 04/07/2016 8,725,000 8,593,580
DCP Midstream LLC, Floating Rate Note, 5/21/43 (144A) 5.85 05/21/2043 17,150,000 16,830,581
Reynolds Group Holdings, Inc., Incremental U.S. Term Loan, 12/31/18 4.0 12/31/2018 3,793,677 3,791,044
Rural, Term Loan, 6/30/18 8.0 03/28/2018 1,540,921 1,465,801
MASTR Seasoned Securitization Trust 2005-1, Floating Rate Note, 9/25/32 6.6214 09/25/2032 26,000,000 1,807,757
Seagate HDD Cayman, 4.75%, 1/1/25 (144A) 4.75 01/01/2025 3,900,000 3,873,919
WireCo WorldGroup, Inc., 9.5%, 5/15/17 9.5 05/15/2017 3,500,000 3,622,694
General Cable Corp., 4.5%, 11/15/29 (Step) 4.5 11/15/2029 13,776,000 12,684,252
Glencore Funding LLC, 4.125%, 5/30/23 (144A) 4.125 05/30/2023 5,175,000 5,199,165
AmeriCredit Automobile Receivables Trust 2011-3, 4.04%, 7/10/17 4.04 07/10/2017 1,600,000 1,658,730
Countrywide Asset-Backed Certificates, Floating Rate Note, 4/25/36 0.405 04/25/2036 4,500,000 929,673
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 2.4453 07/25/2033 12,475,000 1,604,569
Morgan Stanley, Floating Rate Note (Perpetual) 7.125   324,400 8,940,464
Port Authority of New York & New Jersey, 4.458%, 10/1/62 4.458 10/01/2062 2,620,000 2,709,421
DynCorp International, Inc., Term Loan, 7/7/16 6.25 07/07/2016 2,487,204 2,499,640
BBVA Bancomer SA Texas, 6.5%, 3/10/21 (144A) 6.5 03/10/2021 23,300,000 26,805,679
Sequoia Mortgage Trust 2004-8, Floating Rate Note, 9/20/34 0.8562 09/20/2034 11,000,000 1,035,214
Federal Home Loan Mortgage Corp., 3.486%, 11/25/46 (144A) 3.4859 11/25/2046 3,600,000 3,679,196
Government National Mortgage Association I, 3.5%, 8/21/14 3.5 08/21/2014 35,000,000 36,114,640
Government National Mortgage Association I, 6.0%, 6/15/33 6.0 06/15/2033 3,345,634 391,694
Sunoco Logistics Partners Operations LP, 6.1%, 2/15/42 6.1 02/15/2042 10,390,000 12,240,436
Vedanta Resources Plc, 6.0%, 1/31/19 (144A) 6.0 01/31/2019 5,850,000 6,067,425
Ardagh Packaging Finance Plc, 9.125%, 10/15/20 (144A) 9.125 10/15/2020 7,250,000 8,024,793
Hunter Defense Technologies, Inc., Term Loan, 8/22/14 3.48 08/22/2014 1,890,862 1,819,955
Energy XXI Gulf Coast, Inc., 7.5%, 12/15/21 7.5 12/15/2021 16,950,000 17,875,188
Bayview Commercial Asset Trust, 3.526662%, 9/25/37 (Step) (144A) 3.5267 09/25/2037 77,809,000 2,756,951
Dycom Investments, Inc., 7.125%, 1/15/21 7.125 01/15/2021 3,500,000 3,782,333
New York State Dormitory Authority, 5.0%, 7/1/40 5.0 07/01/2040 6,100,000 6,933,179
Federal Home Loan Mortgage Corp., 4.5%, 3/1/44 4.5 03/01/2044 87,965 92,447
Capital One Bank USA NA, 8.8%, 7/15/19 8.8 07/15/2019 2,030,000 2,618,696
Tyco Electronics Group SA, 6.55%, 10/1/17 6.55 10/01/2017 4,485,000 5,252,219
Kodiak Oil & Gas Corp., 8.125%, 12/1/19 8.125 12/01/2019 85,000 94,235
Norway Government Bond, 2.0%, 5/24/23 2.0 05/24/2023 63,500,000 9,967,769
DBUBS 2011-LC3 Mortgage Trust, Floating Rate Note, 8/10/44 (144A) 5.5777 08/10/2044 6,767,000 7,616,889
Fannie Mae, 5.0%, 7/1/39 5.0 07/01/2039 2,516,008 1,047,329
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 3.5304 01/06/2019 1,000,000 989,536
California Republic Auto Receivables Trust 2012-1, 3.0%, 1/15/20 (144A) 3.0 01/15/2020 3,026,000 3,125,774
General Electric Capital Corp., Floating Rate Note (Perpetual) 7.125 12/29/2049 20,800,000 24,525,367
Government National Mortgage Association II, 4.5%, 3/20/35 4.5 03/20/2035 4,250,000 873,877
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2.8589 03/25/2034 16,200,000 1,166,747
Fannie Mae, 3.5%, 11/1/42 3.5 11/01/2042 1,050,000 986,517
Fannie Mae, 3.5%, 11/1/42 3.5 11/01/2042 2,205,966 2,025,740
Springleaf Mortgage Loan Trust 2012-3, Floating Rate Note, 12/25/59 (144A) 5.3 12/25/2059 1,100,000 1,142,015
NRP Mortgage Trust 2013-1, Floating Rate Note, 7/25/43 (144A) 3.25 07/25/2043 11,115,000 10,571,627
Intercorp Retail Trust, 8.875%, 11/14/18 (144A) 8.875 11/14/2018 5,650,000 6,251,627
Government National Mortgage Association I, 5.0%, 6/15/21 5.0 06/15/2021 1,048,281 196,075
GTP Acquisition Partners I LLC, 7.628%, 6/15/16 (144A) 7.628 06/15/2016 10,580,000 11,291,550
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 2.405 03/25/2032 7,961,000 4,034,399
KKR Group Finance Co II LLC, 5.5%, 2/1/43 (144A) 5.5 02/01/2043 21,530,000 24,001,816
Maryland Health & Higher Educational Facilities Authority, 5.0%, 7/1/41 5.0 07/01/2041 3,700,000 4,125,895
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 0.505 08/25/2036 6,850,000 1,920,144
Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33 2.6979 09/25/2033 34,229,000 2,911,531
Government National Mortgage Association I, 4.5%, 9/15/33 4.5 09/15/2033 2,256,215 355,705
Fannie Mae, 4.0%, 11/1/43 4.0 11/01/2043 8,931,305 9,337,353
JP Morgan Chase Commercial Mortgage Securities Trust 2013-FL3, Floating Rate Note, 4/15/28 (144A) 1.952 04/15/2028 6,500,000 6,531,589
Star Energy Geothermal Wayang Windu, Ltd., 6.125%, 3/27/20 (144A) 6.125 03/27/2020 7,850,000 8,308,653
SUAM Finance BV, 4.875%, 4/17/24 (144A) 4.875 04/17/2024 5,300,000 5,414,392
Government National Mortgage Association I, 6.5%, 5/15/29 6.5 05/15/2029 169,368 3,036
Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A2, Floating Rate Note, 2/25/35 2.4693 02/25/2035 19,238,000 4,288,778
Fannie Mae, 6.0%, 7/1/38 6.0 07/01/2038 2,040,000 194,742
RAMP Series 2004-SL1 Trust, Floating Rate Note, 10/25/31 0.735 10/25/2031 4,365,200 1,193,483
Federal Home Loan Mortgage Corp., 5.0%, 11/1/34 5.0 11/01/2034 750,000 91,139
JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8, Floating Rate Note, 10/17/45 (144A) 3.9767 10/15/2045 4,000,000 4,116,364
Instituto Costarricense de Electricidad, 6.95%, 11/10/21 (144A) 6.95 11/10/2021 8,380,000 9,223,342
Time Warner Cable, Inc., 8.25%, 4/1/19 8.25 04/01/2019 1,100,000 1,411,964
Emdeon, Inc., Term B-2 Loan, 11/2/18 3.75 11/02/2018 1,964 1,964
CEVA GROUP Plc     1,069 1,175,570
MedAssets, Inc., Term B Loan, 12/13/19 4.0 11/20/2019 1,732,800 1,732,424
Rain CII Carbon LLC, 8.0%, 12/1/18 (144A) 8.0 12/01/2018 3,875,000 4,062,292
Parish of St John the Baptist Louisiana, 5.125%, 6/1/37 5.125 06/01/2037 8,470,000 8,960,766
Banc of America Mortgage 2005-H Trust, Floating Rate Note, 9/25/35 5.1082 09/25/2035 8,356,245 1,751,730
Federal Home Loan Mortgage Corp., 6.0%, 1/1/33 6.0 01/01/2033 2,610,000 126,154
Government National Mortgage Association I, 6.0%, 5/15/33 6.0 05/15/2033 4,328,222 236,387
Pride International, Inc., 6.875%, 8/15/20 6.875 08/15/2020 2,250,000 2,777,277
MSO of Puerto Rico, Inc., MSO Term Loan, 12/12/17 9.75 12/12/2017 1,939,156 1,946,428
Arc Automotive Group, Inc., Term Loan, 11/15/18 6.0 11/01/2018 4,327,345 4,343,573
Commonwealth Edison Co., 6.95%, 7/15/18 6.95 07/15/2018 4,246,000 4,994,497
Cengage Learning Holdings II LP     90,687