Pioneer Investments: Pioneer Strategic Income Fund


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Pioneer Strategic Income Fund

Monthly Portfolio Holdings as of 6/30/2014

Security Name Coupon Maturity Date Par / Shares Market Value($)
Cantor Fitzgerald LP, 7.875%, 10/15/19 (144A) 7.875 10/15/2019 12,855,000 14,476,388
Government National Mortgage Association I, 6.0%, 1/15/33 6.0 01/15/2033 4,325,436 198,826
Fannie Mae, 6.5%, 7/1/31 6.5 07/01/2031 125,419 2,979
Pangaea Re, 0.0%, 10/1/15 (Cat Bond) 0.0 10/01/2015 8,384,338 9,416,450
Livingston International, Inc., Initial Term B-1 Loan (First Lien), 4/18/19 5.0 04/18/2019 1,287,000 1,291,826
Wells Fargo Mortgage Backed Securities 2003-L Trust, Floating Rate Note, 11/25/33 2.5446 11/25/2033 6,500,000 540,764
Intesa Sanpaolo S.p.A., 3.625%, 8/12/15 (144A) 3.625 08/12/2015 11,625,000 12,040,030
Prudential Financial, Inc., Floating Rate Note, 6/15/68 8.875 06/15/2038 5,969,000 7,343,329
Banc of America Commercial Mortgage Trust 2007-3, Floating Rate Note, 6/10/49 5.7746 06/10/2049 1,400,000 1,468,410
Government National Mortgage Association I, 6.5%, 2/15/32 6.5 02/15/2032 417,022 6,462
JP Morgan Chase Commercial Mortgage Securities Trust 2013-FL3, Floating Rate Note, 4/15/28 (144A) 3.1071 04/15/2028 4,570,000 4,604,659
Emdeon, Inc., Term B-2 Loan, 11/2/18 3.75 11/02/2018 1,964 1,967
Nara Cable Funding, Ltd., 8.875%, 12/1/18 (144A) 8.875 12/01/2018 2,160,000 3,179,803
Chrysler Group LLC, Term Loan B, 5/24/17 3.5 05/24/2017 18,319,666 18,414,543
Brazilian Government International Bond, 10.25%, 1/10/28 10.25 01/10/2028 14,150,000 7,017,148
LeasePlan Corp NV, 2.5%, 5/16/18 (144A) 2.5 05/16/2018 6,400,000 6,472,966
Alfa Bank OJSC Via Alfa Bond Issuance Plc, 7.875%, 9/25/17 (144A) 7.875 09/25/2017 843,000 933,412
Noranda Aluminum Acquisition Corp., Term B Loan, 2/28/19 5.75 02/17/2019 1,055,700 1,018,751
BRF SA, 3.95%, 5/22/23 (144A) 3.95 05/22/2023 3,500,000 3,322,477
Metinvest BV, 10.25%, 5/20/15 (144A) 10.25 05/20/2015 5,555,000 5,411,534
U.S. Treasury Bonds, 3.625%, 2/15/44 3.625 02/15/2044 5,000,000 5,344,654
Mexican Bonos, 6.5%, 6/9/22 6.5 06/09/2022 272,040,000 22,302,485
Rain CII Carbon LLC, 8.0%, 12/1/18 (144A) 8.0 12/01/2018 3,875,000 4,094,583
Credit Suisse First Boston Mortgage Securities Corp., 5.0%, 8/25/20 5.0 08/25/2020 7,662,500 621,143
Banc of America Alternative Loan Trust 2004-3, 6.0%, 4/25/34 6.0 04/25/2034 5,500,000 1,275,451
Sirius International Group, Ltd., 6.375%, 3/20/17 (144A) 6.375 03/20/2017 6,200,000 6,967,959
Liberty Tire Recycling LLC, 11.0%, 10/1/16 (144A) 11.0 10/01/2016 6,050,000 5,777,750
Delphi Financial Group, Inc., 7.875%, 1/31/20 7.875 01/31/2020 10,110,000 12,604,534
VimpelCom Holdings BV, 9.0%, 2/13/18 (144A) 9.0 02/13/2018 430,000,000 12,573,437
Raymond James Financial, Inc., 4.25%, 4/15/16 4.25 04/15/2016 9,000,000 9,586,541
Red de Carreteras de Occidente SAPIB de CV, 9.0%, 6/10/28 (144A) 9.0 06/10/2028 87,500,000 6,443,073
SandRidge Energy, Inc., 7.5%, 3/15/21 7.5 03/15/2021 1,860,000 2,056,850
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-D, Floating Rate Note, 9/25/29 0.932 09/25/2029 6,295,000 1,226,976
DCT Industrial Operating Partnership LP, 4.5%, 10/15/23 4.5 10/15/2023 7,300,000 7,590,044
JPMorgan Chase & Co., Floating Rate Note, 12/31/49 (Perpetual) 5.15 12/29/2049 13,860,000 13,407,240
Government National Mortgage Association I, 5.5%, 2/15/35 5.5 02/15/2035 5,109,070 297,448
Rosetta Resources, Inc., 5.625%, 5/1/21 5.625 05/01/2021 870,000 903,169
Desarrolladora Homex SAB de CV, 0.0%, 12/11/19 (144A) 0.0 12/11/2019 3,140,000 620,150
TI Group Automotive Systems LLC, Additional Term Loan, 3/28/19 5.5 03/27/2019 7,534,231 7,571,812
DR Horton, Inc., 5.75%, 8/15/23 5.75 08/15/2023 7,780,000 8,532,499
Sector Re V, Ltd., 0.0%, 3/30/19 (Cat Bond) (144A) 0.0 03/30/2019 1,900,000 1,924,510
Spirit Master Funding VII LLC, 3.8868%, 12/20/43 3.8868 12/20/2043 900,000 934,045
Embarcadero Reinsurance, Ltd., Floating Rate Note, 8/7/15 (Cat Bond) (144A) 5.2254 08/07/2015 5,300,000 5,450,987
Fannie Mae, 6.5%, 3/1/32 6.5 03/01/2032 124,988 5,175
International Finance Corp., 7.75%, 12/3/16 7.75 12/03/2016 1,036,140,000 17,524,762
Building Materials Corp of America, 6.75%, 5/1/21 (144A) 6.75 05/01/2021 3,665,000 3,990,269
New York State Dormitory Authority, 5.0%, 7/1/40 5.0 07/01/2040 6,100,000 7,051,478
Mexican Bonos, 7.5%, 6/3/27 7.5 06/03/2027 60,890,000 5,328,632
Israel Electric Corp, Ltd., 6.7%, 2/10/17 (144A) 6.7 02/10/2017 4,150,000 4,638,860
Lincoln National Corp., 8.75%, 7/1/19 8.75 07/01/2019 2,600,000 3,484,790
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 11/25/33 2.57 11/25/2033 40,000,000 2,320,911
Houston Higher Education Finance Corp., 5.0%, 5/15/40 5.0 05/15/2040 4,700,000 5,279,834
Health Care Real Estate Investment Trust, Inc., 5.25%, 1/15/22 5.25 01/15/2022 3,150,000 3,609,309
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.5118 11/15/2018 9,525,000 3,006,728
Fannie Mae, 5.0%, 6/1/40 5.0 06/01/2040 11,550,000 4,732,233
Banc of America Mortgage Trust 2004-11, 5.75%, 1/25/35 5.75 01/25/2035 36,821,000 4,036,566
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 3.4384 01/15/2017 5,500,000 5,677,949
Envision Healthcare Corp., Initial Term Loan, 5/25/18 4.0 04/05/2018 1,969,527 1,975,272
JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2, 3.6159%, 11/15/43 (144A) 3.6159 11/15/2043 4,400,000 4,696,350
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 6.2273 04/10/2015 400,000 412,113
U.S. Treasury Bonds, 4.375%, 2/15/38 4.375 02/15/2038 5,085,000 6,154,591
Fannie Mae Pool, 3.5%, 9/25/42 3.5 09/25/2042 35,000,000 36,072,361
Landry's, Inc., B Term Loan, 4/24/18 4.0 03/22/2018 6,730,550 6,755,789
Federal Home Loan Mortgage Corp., 4.0%, 5/1/44 4.0 05/01/2044 13,500,000 14,347,512
Truven Health Analytics, Inc., New Tranche B Term Loan, 6/6/19 4.5 05/23/2019 7,408,398 7,348,205
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 3.9669 08/25/2053 8,507,000 8,439,256
Inversiones CMPC SA, 4.375%, 5/15/23 (144A) 4.375 05/15/2023 2,500,000 2,498,153
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/15/26 (144A) 2.1018 03/15/2026 2,842,000 2,833,165
WMG Acquisition Corp., Tranche B Refinancing Term Loan, 7/1/20 3.75 07/03/2020 4,915,356 4,846,541
CNO Financial Group, Inc., 6.375%, 10/1/20 (144A) 6.375 10/01/2020 125,000 136,992
WaMu Mortgage Pass-Through Certificates Series 2004-AR14 Trust, Floating Rate Note, 1/25/35 2.3972 01/25/2035 44,086,340 9,783,097
Valero Energy Corp., 9.375%, 3/15/19 9.375 03/15/2019 4,414,000 5,915,493
Offshore Group Investment, Ltd., 7.5%, 11/1/19 7.5 11/01/2019 4,400,000 4,708,000
Mashantucket Western Pequot Tribe, 6.5%, 7/1/36 (PIK) 6.5 07/01/2036 804,533 125,854
Beacon Container Finance LLC, 3.72%, 9/20/27 (144A) 3.72 09/20/2027 1,350,000 1,141,320
US Bancorp, Floating Rate Note, 12/31/49 (Perpetual) 6.0   783,175 21,466,827
Conseco Financial Corp., Floating Rate Note, 12/1/28 6.24 12/01/2028 4,121,000 226,163
Kronos, Inc., Incremental Term Loan (First Lien), 10/30/19 4.5 10/02/2019 736,760 743,668
President and Fellows of Harvard College, 2.3%, 10/1/23 2.3 10/01/2023 5,600,000 5,292,840
Inversiones CMPC SA, 4.5%, 4/25/22 (144A) 4.5 04/25/2022 8,625,000 8,770,047
Mentor Graphics Corp., 4.0%, 4/1/31 4.0 04/01/2031 12,418,000 15,328,469
GRIFOLS WORLDWIDE OPERATIONS USA INC, U.S. Tranche B Term Loam, 4/1/21 3.2346 04/01/2021 4,389,000 4,389,277
Remy International, Inc., Term B Loan 2013, 3/5/20 4.25 02/28/2020 4,762,763 4,774,670
Wells Fargo Commercial Mortgage Trust 2012-LC5, Floating Rate Note, 10/15/45 4.693 10/15/2045 1,775,000 1,886,906
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 2.3018 06/15/2016 4,950,000 4,998,882
Poland Government International Bond, 4.0%, 1/22/24 4.0 01/22/2024 6,700,000 7,069,617
VTB Bank OJSC Via VTB Capital SA, 6.0%, 4/12/17 (144A) 6.0 04/12/2017 7,800,000 8,323,900
Fannie Mae, 5.0%, 7/1/40 5.0 07/01/2040 11,275,000 3,940,868
FREMF Mortgage Trust 2010-K9 REMICS, 5.192%, 9/25/45 (144A) 5.3597 09/25/2045 4,160,000 4,666,311
WASH Multifamily Laundry Systems LLC, U.S. Term Loan, 2/21/19 4.5032 01/22/2019 1,167,748 1,171,397
JPMorgan Chase & Co., 1.0%, 9/20/17 500.0 09/20/2017 7,000,000 850,038
Acer 3.1% 10jun21 14-1a-D 3.1 06/10/2021 800,000 807,235
COMM 2012-CCRE4 Mortgage Trust, 2.436%, 10/15/45 2.436 10/15/2045 4,047,000 4,037,279
La Hipotecaria Panamanian Mortgage Trust 2010-1, Floating Rate Note, 9/8/39 (144A) 2.75 09/08/2039 2,150,000 1,584,506
Fannie Mae, 5.0%, 4/1/22 5.0 04/01/2022 327,117 21,430
SUAM Finance BV, 4.875%, 4/17/24 (144A) 4.875 04/17/2024 5,300,000 5,459,110
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 0.792 09/25/2034 73,742,000 3,209,323
CKE Restaurant Holdings, Inc., 4.474%, 3/20/43 (144A) 4.474 03/20/2043 17,857,000 18,021,249
IAMGOLD Corp., 6.75%, 10/1/20 (144A) 6.75 10/01/2020 2,475,000 2,331,141
WPE International Cooperatief UA, 10.375%, 9/30/20 (144A) 10.375 09/30/2020 4,360,000 2,403,344
Health Care Real Estate Investment Trust, Inc., 6.125%, 4/15/20 6.125 04/15/2020 600,000 705,270
Tasc Inc/Va 1st Lien Tl-B L + 5.5% 12may20 6.5 05/12/2020 1,449,388 1,428,553
Fresnillo Plc, 5.5%, 11/13/23 (144A) 5.5 11/13/2023 7,550,000 7,945,117
Empresas ICA SAB de CV, 8.375%, 7/24/17 (144A) 8.375 07/24/2017 3,400,000 3,719,683
Gn30 4% 21jul14 4.0 07/21/2014 43,250,000 46,292,517
Select Medical Corp., Series E Tranche B Term Loan, 6/1/18 3.7502 06/01/2018 2,064,028 2,062,738
Fannie Mae, 5.0%, 8/1/35 5.0 08/01/2035 24,222,081 3,242,042
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 10.2601 01/08/2015 3,150,000 3,271,306
Weight Watchers International, Inc., Initial Tranche B-2 Term Loan, 4/2/20 4.0 04/02/2020 5,826,250 4,624,586
CFG Investment SAC, 9.75%, 7/30/19 (144A) 9.75 07/30/2019 6,385,000 6,406,682
Banco do Estado do Rio Grande do Sul SA, 7.375%, 2/2/22 (144A) 7.375 02/02/2022 2,400,000 2,641,258
Spectrum Brands Canada, Inc., Initial Canadian Term Loan, 12/17/19 5.0607 11/06/2019 317,282 297,182
Fannie Mae, 5.5%, 2/1/33 5.5 02/01/2033 500,000 7,350
Banc of America Mortgage Trust 2004-7, 4.5%, 8/25/19 4.5 08/25/2019 5,418,000 456,746
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/30 5.0 12/15/2030 4,585,000 4,904,447
Government National Mortgage Association II, 4.5%, 12/20/34 4.5 12/20/2034 8,150,000 1,624,909
Asciano Finance, Ltd., 4.625%, 9/23/20 (144A) 4.625 09/23/2020 1,602,000 1,730,466
Horizon Lines, Inc.     1,695,067 677,857
County of Sweetwater Wyoming, 5.6%, 12/1/35 5.6 12/01/2035 3,285,000 3,375,228
Intesa Sanpaolo S.p.A., 6.5%, 2/24/21 (144A) 6.5 02/24/2021 3,925,000 4,732,288
GCI, Inc., 8.625%, 11/15/19 8.625 11/15/2019 1,500,000 1,600,906
Impac CMB Trust Series 2004-5, Floating Rate Note, 10/25/34 0.872 10/25/2034 28,850,000 1,749,982
Vedanta Resources Plc, 6.0%, 1/31/19 (144A) 6.0 01/31/2019 5,850,000 6,075,030
Federal Home Loan Mortgage Corp., 4.5%, 3/1/44 4.5 03/01/2044 87,965 93,091
WP Carey, Inc., 4.6%, 4/1/24 4.6 04/01/2024 6,680,000 7,033,694
Fannie Mae, 4.0%, 12/1/41 4.0 12/01/2041 45,515,613 29,356,004
Home Equity Loan Trust 2003-HS4, Floating Rate Note, 1/25/29 0.412 01/25/2029 735,000 9,185
GTECH S.p.A., Floating Rate Note, 3/31/66 (144A) 8.25 03/31/2066 7,630,000 11,470,204
Empresas ICA SAB de CV, 8.9%, 2/4/21 (144A) 8.9 02/04/2021 6,425,000 7,027,933
Alternative Loan Trust 2003-J1, 4.75%, 10/25/33 4.75 10/25/2033 20,470,000 1,075,207
Queen Street VI Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 10.581 04/09/2015 700,000 721,464
Baylor University, 4.313%, 3/1/42 4.313 03/01/2042 4,550,000 4,479,596
CS Intermediate Holdco 2 LLC, Term Loan, 3/28/21 4.0 03/28/2021 1,350,000 1,350,844
Fannie Mae, 7.0%, 5/1/28 7.0 05/01/2028 200,000 1,832
Springleaf Funding Trust 2014-A, 2.41%, 12/25/22 (144A) 2.41 12/25/2022 5,000,000 5,014,181
Standard Aero, Ltd., Replacement Tranche B-2 Loan, 11/2/18 5.0 11/02/2018 3,184,127 3,223,928
Fannie Mae, 4.0%, 8/1/43 4.0 08/01/2043 6,883,801 6,913,829
California Educational Facilities Authority, 5.0%, 6/1/43 5.0 06/01/2043 8,675,000 11,065,714
Cubist Pharmaceuticals, Inc., 1.125%, 9/1/18 (144A) 1.125 09/01/2018 6,690,000 7,551,338
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 4.0304 05/05/2017 7,650,000 7,655,440
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 3.5 09/06/2019 4,034,508 4,039,551
Countrywide Asset-Backed Certificates, Floating Rate Note, 2/25/36 5.069 02/25/2036 6,561,000 1,283,408
International Game Technology, 7.5%, 6/15/19 7.5 06/15/2019 120,000 136,810
MMC Norilsk Nickel OJSC via MMC Finance, Ltd., 5.55%, 10/28/20 (144A) 5.55 10/28/2020 8,500,000 8,625,056
Fannie Mae, 6.0%, 7/1/38 6.0 07/01/2038 2,040,000 195,661
SESI LLC, 7.125%, 12/15/21 7.125 12/15/2021 90,000 101,760
Fannie Mae, 4.0%, 12/1/43 4.0 12/01/2043 1,800,000 1,864,774
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2.58 09/15/2021 10,000,000 10,084,747
Banco de Credito del Peru Panama, Floating Rate Note, 9/16/26 (144A) 6.875 09/16/2026 10,210,000 11,612,457
Cemex SAB de CV, 7.25%, 1/15/21 (144A) 7.25 01/15/2021 3,400,000 3,853,664
Volcan Cia Minera SAA, 5.375%, 2/2/22 (144A) 5.375 02/02/2022 3,360,000 3,434,748
Wells Fargo Mortgage Backed Securities 2004-V Trust, Floating Rate Note, 10/25/34 2.6134 10/25/2034 0 3,042
Government National Mortgage Association II, 4.5%, 3/20/35 4.5 03/20/2035 4,250,000 901,205
KB Home, 8.0%, 3/15/20 8.0 03/15/2020 1,500,000 1,756,583
Fannie Mae, 3.5%, 8/1/42 3.5 08/01/2042 25,765,072 24,116,079
Cequel Communications LLC, Term Loan, 2/14/19 3.5 01/31/2019 1,937,130 1,940,885
CEVA GROUP Plc, 0.0%, 12/31/14 0.0 12/31/2014 2,313 2,544,795
Fannie Mae, 6.0%, 12/1/32 6.0 12/01/2032 3,234,929 84,436
Semt 3% 25sep42 12-4-A2 3.0 09/25/2042 3,930,000 2,531,054
Leaf Receivables Funding 8 LLC, 2.67%, 9/15/20 (144A) 2.67 09/15/2020 3,139,702 3,164,464
Federal Home Loan Mortgage Corp., 6.0%, 1/1/33 6.0 01/01/2033 2,610,000 126,733
Tyco Electronics Group SA, 6.55%, 10/1/17 6.55 10/01/2017 4,485,000 5,263,421
Voya Financial, Inc., Floating Rate Note, 5/15/53 5.65 05/15/2053 2,700,000 2,766,743
Energy Transfer Partners LP, Floating Rate Note, 11/1/66 3.2429 11/01/2066 4,234,000 3,914,311
LORENZO RE, Ltd., 0.0%, 12/31/49 (Cat Bond) (Perpetual) 0.0 12/31/2049 57,000 5,858,460
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 1.6339 03/25/2044 22,479,999 3,775,716
Bear Stearns ARM Trust 2004-12, Floating Rate Note, 2/25/35 4.8235 02/25/2035 7,000,000 1,174,595
Government National Mortgage Association I, 5.125%, 10/15/38 5.125 10/15/2038 1,865,279 1,086,128
Fannie Mae, 5.0%, 7/1/35 5.0 07/01/2035 42,393,553 5,535,225
Intel Corp., 2.95%, 12/15/35 2.95 12/15/2035 24,862,000 30,939,171
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 0.902 05/25/2035 2,150,000 2,072,257
Fannie Mae, 5.5%, 4/1/36 5.5 04/01/2036 2,000,200 255,047
Spectrum Brands, Inc., Tranche C Term Loan, 8/13/19 3.5 08/13/2019 198,145 198,578
Wells Fargo & Co., Floating Rate Note, 12/29/49 5.9 12/29/2049 1,215,000 1,302,551
Government National Mortgage Association I, 6.0%, 5/15/33 6.0 05/15/2033 1,292,064 64,058
Arc Automotive Group, Inc., Term Loan, 11/15/18 6.0 11/01/2018 4,327,345 4,348,982
Masco Corp., 7.125%, 3/15/20 7.125 03/15/2020 14,465,000 17,324,718
Ibis Re II, Ltd., Floating Rate Note, 2/5/15 (Cat Bond) (144A) 8.3804 02/05/2015 3,200,000 3,227,031
Ardagh Packaging Finance Plc, 9.25%, 10/15/20 (144A) 9.25 10/15/2020 11,058,000 16,803,907
Healthcare Realty Trust, Inc., 5.75%, 1/15/21 5.75 01/15/2021 3,370,000 3,900,610
Ooredoo International Finance, Ltd., 3.875%, 1/31/28 (144A) 3.875 01/31/2028 3,200,000 3,047,915
Queensland Treasury Corp., 5.75%, 7/22/24 5.75 07/22/2024 11,750,000 12,952,002
DCP Midstream LLC, Floating Rate Note, 5/21/43 (144A) 5.85 05/21/2043 17,150,000 16,403,975
Star Energy Geothermal Wayang Windu, Ltd., 6.125%, 3/27/20 (144A) 6.125 03/27/2020 7,850,000 8,140,630
Russian Federal Bond - OFZ, 7.6%, 7/20/22 7.6 07/20/2022 25,000 733
Government National Mortgage Association I, 4.5%, 10/15/33 4.5 10/15/2033 2,387,368 262,601
Fannie Mae, 3.5%, 11/1/42 3.5 11/01/2042 500,000 462,458
Revlon Consumer Products Corp., Replacement Term Loan, 11/19/17 3.25 11/19/2017 2,738,789 2,743,354
Sirius International Group, Ltd., Floating Rate Note, 12/31/49 (Perpetual) (144A) 7.506 05/29/2049 12,390,000 13,477,080
Successor X, Ltd., Floating Rate Note, 11/10/15 (Cat Bond) (144A) 16.275 11/10/2015 1,750,000 1,816,972
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 11/25/34 0.952 11/25/2034 2,126,623 59,209
Government National Mortgage Association I, 6.0%, 8/15/16 6.0 08/15/2016 43,573 422
Banco Nacional de Costa Rica, 4.875%, 11/1/18 (144A) 4.875 11/01/2018 5,000,000 5,165,625
Fieldwood Energy LLC, Closing Date Loan (Second Lien), 9/30/20 8.375 09/30/2020 5,710,000 5,904,734
Federal Home Loan Mortgage Corp., 4.162%, 9/25/44 (144A) 4.3044 09/25/2044 5,065,000 5,317,706
Government National Mortgage Association I, 6.0%, 7/15/38 6.0 07/15/2038 8,868,732 1,081,181
ALROSA Finance SA, 7.75%, 11/3/20 (144A) 7.75 11/03/2020 3,175,000 3,552,146
MetLife, Inc., 10.75%, 8/1/69 10.75 08/01/2039 7,387,000 12,066,972
Protective Life Corp., 7.375%, 10/15/19 7.375 10/15/2019 7,805,000 9,778,708
Arcelik AS, 5.0%, 4/3/23 (144A) 5.0 04/03/2023 7,600,000 7,396,489
Parish of St John the Baptist Louisiana, 5.125%, 6/1/37 5.125 06/01/2037 8,470,000 8,908,753
International Equipment Solutions LLC, Initial Loan, 8/16/19 6.75 07/25/2019 5,429,176 5,503,828
Government National Mortgage Association I, 6.0%, 10/15/33 6.0 10/15/2033 3,000,000 87,824
FREMF Mortgage Trust 2011-K11 REMICS, 4.421%, 12/25/48 (144A) 4.57 12/25/2048 3,300,000 3,553,624
Sector Re V, Ltd., 0.0%, 12/1/17 (Cat Bond) (144A) 0.0 12/01/2017 22,798 0
Alpha Natural Resources, Inc., 6.25%, 6/1/21 6.25 06/01/2021 1,860,000 1,325,638
AUDIO VISUAL SERVICES CORPORATION, Initial Term Loan (First Lien), 1/24/21 4.5 01/24/2021 1,261,838 1,266,766
Viasystems, Inc., 7.875%, 5/1/19 (144A) 7.875 05/01/2019 6,375,000 6,825,234
Fannie Mae, 4.5%, 12/1/40 4.5 12/01/2040 54,806,862 26,721,567
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 0.952 10/25/2034 51,794,000 2,982,340
Banc of America Mortgage 2003-I Trust, Floating Rate Note, 10/25/33 2.8162 10/25/2033 24,096,000 5,369,607
Croatia Government International Bond, 5.5%, 4/4/23 (144A) 5.5 04/04/2023 7,900,000 8,311,129
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 0.322 08/25/2036 7,062,778 2,234,605
CVS Pass-Through Trust, 6.036%, 12/10/28 6.036 12/10/2028 1,300,000 1,188,216
Weatherford International, Ltd. Bermuda, 9.625%, 3/1/19 9.625 03/01/2019 4,070,000 5,471,620
GS Mortgage Securities Trust 2006-GG8, 5.56%, 11/10/39 5.56 11/10/2039 4,000,000 4,355,913
Fannie Mae, 4.0%, 7/1/42 4.0 07/01/2042 424,314 323,678
Bayview Opportunity Master Fund IIa Trust 2013 Trust 2013-2RPL, 3.721%, 3/28/18 (Step) (144A) 3.721 03/28/2018 2,250,000 918,071
Mohawk Industries, Inc., 3.85%, 2/1/23 3.85 02/01/2023 3,450,000 3,492,406
Indonesia Treasury Bond, 7.0%, 5/15/27 7.0 05/15/2027 23,752,000,000 1,781,176
Government National Mortgage Association I, 4.5%, 8/15/41 4.5 08/15/2041 17,565,000 9,103,630
JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8, Floating Rate Note, 10/15/45 (144A) 3.9767 10/15/2045 4,000,000 4,131,100
Ardagh Glass Finance Plc, 8.75%, 2/1/20 (144A) 8.75 02/01/2020 100,000 150,183
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/36 0.332 06/25/2036 12,298,000 2,882,526
Kane Flt% 01dec20 0.3219 12/01/2020 2,635,000 2,643,432
Banc of America Mortgage 2004-L Trust, Floating Rate Note, 1/25/35 2.948 01/25/2035 0 1,666
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 2.5 03/20/2025 2,450,000 1,289,035
Alkermes, Inc., 2019 Term Loan, 9/25/19 3.5 09/25/2019 689,500 690,362
Federal Home Loan Mortgage Corp., 3.486%, 11/25/46 (144A) 3.6088 11/25/2046 3,600,000 3,703,943
Linn Energy LLC, 8.625%, 4/15/20 8.625 04/15/2020 3,374,000 3,705,355
New York City Transitional Finance Authority Future Tax Secured Revenue, 5.0%, 11/1/33 5.0 11/01/2033 1,400,000 1,603,789
JP Morgan Mortgage Trust 2014-1, Floating Rate Note, 1/25/44 (144A) 4.0 01/25/2044 2,749,964 2,754,778
Carrington Mortgage Loan Trust Series 2005-NC4, Floating Rate Note, 9/25/35 0.552 09/25/2035 1,025,000 162,355
Fannie Mae, 5.0%, 5/1/41 5.0 05/01/2041 2,252,877 1,064,357
Glencore Funding LLC, 4.125%, 5/30/23 (144A) 4.125 05/30/2023 5,175,000 5,215,847
JobsOhio Beverage System, 3.985%, 1/1/29 3.985 01/01/2029 17,600,000 18,093,416
IPIC GMTN, Ltd., 5.5%, 3/1/22 (144A) 5.5 03/01/2022 11,820,000 13,780,150
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 8.0304 06/06/2016 4,500,000 4,912,900
Queensland Treasury Corp., 6.0%, 7/21/22 6.0 07/21/2022 11,815,000 13,143,432
Massachusetts Development Finance Agency, 5.375%, 4/1/41 5.375 04/01/2041 2,075,000 2,306,814
Israel Electric Corp, Ltd., 9.375%, 1/28/20 (144A) 9.375 01/28/2020 1,330,000 1,712,965
Structured Asset Investment Loan Trust 2005-4, Floating Rate Note, 5/25/35 0.752 05/25/2035 100,000 12,160
DTEK Finance Plc, 7.875%, 4/4/18 (144A) 7.875 04/04/2018 9,400,000 7,959,274
Structured Asset Mortgage Investments Trust 2003-AR2, Floating Rate Note, 12/19/33 0.895 12/19/2033 91,824,870 4,973,896
Bear Stearns ARM Trust 2004-9, Floating Rate Note, 11/25/34 3.1959 11/25/2034 27,154,758 3,657,696
California Republic Auto Receivables Trust 2012-1, 3.0%, 1/15/20 (144A) 3.0 01/15/2020 3,026,000 3,137,373
Aguila 3 SA, 7.875%, 1/31/18 (144A) 7.875 01/31/2018 1,100,000 1,196,834
Fannie Mae, 4.5%, 9/1/43 4.5 09/01/2043 17,709,372 17,389,536
Aviation Capital Group Corp., 6.75%, 4/6/21 (144A) 6.75 04/06/2021 12,763,000 14,560,828
Fannie Mae, 4.0%, 2/1/44 4.0 02/01/2044 3,344,903 3,466,640
Kane Flt% 14jul15   07/14/2015 3,056,160 2,887,154
Government National Mortgage Association I, 6.0%, 5/15/16 6.0 05/15/2016 192,300 1,943
Aircastle, Ltd., 7.625%, 4/15/20 7.625 04/15/2020 2,900,000 3,432,432
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 3.75 12/04/2019 4,599,670 4,609,444
Tank Holding Corp., Initial Term Loan, 7/9/19 4.25 06/08/2019 1,710,423 1,712,561
Fannie Mae, 5.0%, 7/1/39 5.0 07/01/2039 17,025,069 2,193,450
Government National Mortgage Association I, 7.0%, 5/15/29 7.0 05/15/2029 135,001 1,039
Rosneft Finance SA, 7.25%, 2/2/20 (144A) 7.25 02/02/2020 1,770,000 2,070,912
Federal National Mortgage Association REMICS, 3.5%, 1/25/29 3.5 01/25/2029 6,000,000 138,739
Citicorp Residential Mortgage Trust Series 2006-2, 5.775%, 9/25/36 (Step) 5.775 09/25/2036 8,100,000 4,541,917
Alternative Loan Trust 2004-2CB, 5.75%, 3/25/34 5.75 03/25/2034 1,878,000 3,466,080
Scitor Corp., Term Loan, 2/15/17 5.0 01/21/2017 1,656,399 1,633,264
Tengizchevroil Finance Co Sarl, 6.124%, 11/15/14 (144A) 6.124 11/15/2014 10,805,000 795,925
FREMF Mortgage Trust 2011-K703, 4.887%, 7/25/44 (144A) 5.0513 07/25/2044 5,450,000 5,964,459
Big Heart Pet Brands, Initial Term Loan, 2/24/20 3.5 02/24/2020 4,387,400 4,365,463
Aegis Asset Backed Securities Trust 2005-5, Floating Rate Note, 12/25/35 0.422 12/25/2035 11,700,000 3,167,450
Government National Mortgage Association I, 6.5%, 10/15/31 6.5 10/15/2031 463,882 8,986
Fannie Mae, 3.5%, 11/1/42 3.5 11/01/2042 2,205,966 2,063,231
Cummins, Inc., 5.65%, 3/1/98 5.65   14,150,000 16,288,947
Kinder Morgan Energy Partners LP, 5.95%, 2/15/18 5.95 02/15/2018 5,225,000 6,079,182
Brookfield Residential Properties, Inc., 6.5%, 12/15/20 (144A) 6.5 12/15/2020 3,460,000 3,668,946
Sequoia Mortgage Trust 2004-9, Floating Rate Note, 10/20/34 0.493 10/20/2034 25,450,610 2,778,540
Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33 2.7396 09/25/2033 46,300,000 2,838,223
Fannie Mae, 6.5%, 10/1/32 6.5 10/01/2032 511,093 25,544
Vanguard Natural Resources LLC, 7.875%, 4/1/20 7.875 04/01/2020 3,650,000 4,022,984
GMAC Capital Trust I, Floating Rate Note, 2/15/40 8.125 02/15/2040 465,150 12,698,595
Altisource Solutions Sarl, Term B Loan, 12/9/20 4.5 12/09/2020 2,500,000 2,503,125
Fannie Mae, 7.5%, 1/1/28 7.5 01/01/2028 115,000 1,429
Permanent University Fund, 5.0%, 7/1/30 5.0 07/01/2030 2,550,000 3,117,783
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 0.402 02/25/2030 34,198,591 5,026,579
Windstream Corp., 8.125%, 9/1/18 8.125 09/01/2018 1,740,000 1,874,125
Warner Chilcott Co LLC, 7.75%, 9/15/18 7.75 09/15/2018 5,540,000 5,950,566
Fannie Mae, 5.0%, 7/1/39 5.0 07/01/2039 10,309,150 2,174,461
VOLT XXIV LLC, 3.25%, 11/25/53 (Step) 3.25 11/25/2053 6,000,000 5,969,699
Summit Materials LLC, Term B Loan, 1/30/19 5.0 01/30/2019 981,322 986,536
Government National Mortgage Association I, 6.0%, 6/15/33 6.0 06/15/2033 3,345,634 392,776
Truman Capital Mortgage Loan Trust, Floating Rate Note, 1/25/34 1.852 01/25/2034 3,275,000 3,221,246
Energy XXI Gulf Coast, Inc., 7.5%, 12/15/21 7.5 12/15/2021 16,950,000 18,193,000
Fannie Mae, 5.5%, 4/1/34 5.5 04/01/2034 2,750,000 213,638
AWAS Finance Luxembourg 2012 SA, Term Loan, 7/16/18 3.5 06/25/2018 3,860,923 3,868,162
AdvancePierre Foods, Inc., Term Loan (First Lien), 7/10/17 5.75 06/17/2017 1,363,664 1,367,244
CenturyLink, Inc., 7.65%, 3/15/42 7.65 03/15/2042 3,100,000 3,162,078
BioMed Realty LP, 4.25%, 7/15/22 4.25 07/15/2022 3,865,000 4,060,763
Ship Midco, Ltd., Facility B2A-II, 11/29/19 5.25 08/06/2017 2,270,659 2,296,204
First Investors Auto Owner Trust 2013-1, 2.53%, 1/15/20 (144A) 2.53 01/15/2020 1,600,000 1,604,735
Commercial Mortgage Pass Through Certificates, 2.822%, 11/15/45 2.822 10/15/2045 3,875,000 3,824,697
Gentiva Health Services, Inc., 11.5%, 9/1/18 11.5 09/01/2018 1,328,000 1,468,547
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A) 9.03 03/16/2016 850,000 906,015
Newhall Land Development LLC     269,588 1,213,146
JPMorgan Chase & Co., 4.25%, 11/2/18 4.25 11/02/2018 15,300,000 12,938,253
MASTR Adjustable Rate Mortgages Trust 2003-3, Floating Rate Note, 9/25/33 2.1259 09/25/2033 2,950,000 928,340
Wells Fargo Bank NA, 6.0%, 11/15/17 6.0 11/15/2017 2,195,000 2,531,646
Univar, Inc., Term B Loan, 6/30/17 5.0 02/14/2017 6,445,365 6,478,166
JP Morgan Mortgage Trust 2013-2, Floating Rate Note, 5/25/43 (144A) 3.5 05/25/2043 4,348,000 3,910,253
Mondelez International, Inc., 6.5%, 2/9/40 6.5 02/09/2040 2,290,000 2,991,122
DuPont Fabros Technology LP, 5.875%, 9/15/21 5.875 09/15/2021 9,205,000 9,778,459
USI, Inc. New York, Initial Term Loan 2013, 12/30/19 4.25 12/30/2019 26,473,387 26,545,077
Astoria Financial Corp., 5.0%, 6/19/17 5.0 06/19/2017 10,175,000 11,070,865
Government National Mortgage Association I, 6.5%, 7/15/32 6.5 07/15/2032 350,000 8,122
Government National Mortgage Association, 1.071%, 8/16/52 1.0631 08/16/2052 55,500,000 3,583,065
Kodiak Oil & Gas Corp., 8.125%, 12/1/19 8.125 12/01/2019 85,000 94,713
Government National Mortgage Association I, 6.0%, 10/15/37 6.0 10/15/2037 4,575,221 668,570
Government National Mortgage Association I, 6.5%, 3/15/32 6.5 03/15/2032 205,947 3,371
Crown Castle Towers LLC, 4.883%, 8/15/20 (144A) 4.883 08/15/2020 6,850,000 7,581,239
State Street Corp., Floating Rate Note, 12/31/73 5.9 12/31/2073 236,600 6,198,920
Government National Mortgage Association I, 5.5%, 1/15/34 5.5 01/15/2034 3,238,092 331,096
US Bancorp, Floating Rate Note, 12/31/49 (Perpetual) 6.5   234,750 6,634,035
Nrpmt Flt% 25jul43 13-1-A1 3.25 07/25/2043 11,115,000 10,816,284
Plains Exploration & Production Co., 6.75%, 2/1/22 6.75 02/01/2022 107,000 124,349
Drillships Financing Holding, Inc., Tranche B-1 Term Loan, 3/31/21 6.0 03/02/2021 5,682,063 5,767,293
Fannie Mae, 4.5%, 11/1/43 4.5 11/01/2043 14,886,677 13,758,788
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 5.73 11/15/2035 1,500,000 707,014
Senior Housing Properties Trust, 6.75%, 4/15/20 6.75 04/15/2020 11,518,000 13,470,865
Interactive Data 1st Lien Tl-B L + 3.75% 24apr21 4.75 04/24/2021 2,131,988 2,152,975
Federal National Mortgage Association REMICS, 5.0%, 9/25/39 5.0 09/25/2039 3,078,000 688,519
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1.7804 01/07/2019 950,000 952,112
Navient Corp., Floating Rate Note, 7/25/14 4.0 07/25/2014 4,559,000 4,562,085
WR Grace & Co., Delayed Draw Term Loan, 1/23/21 1.2341 01/23/2021 277,667 277,459
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 4/25/37 0.242 04/25/2037 5,678,000 1,220,693
Government National Mortgage Association II, 5.5%, 3/20/34 5.5 03/20/2034 1,800,000 236,324
Government National Mortgage Association II, 4.5%, 1/20/35 4.5 01/20/2035 4,000,000 864,070
Government National Mortgage Association I, 5.5%, 4/15/34 5.5 04/15/2034 3,032,660 334,605
Sequoia Mortgage Trust 2004-8, Floating Rate Note, 9/20/34 0.853 09/20/2034 11,000,000 1,036,575
CSMC Series 2010-14R, Floating Rate Note, 11/26/37 (144A) 1.1515 11/26/2037 3,017,034 2,822,345
Federal Home Loan Mortgage Corp., 4.5%, 9/1/43 4.5 09/01/2043 3,677,099 3,403,839
Continental Airlines 2012-3 Class C Pass Thru Certificates, 6.125%, 4/29/18 (144A) 6.125 04/29/2018 100,000 108,055
Federal Home Loan Mortgage Corp., 3.5%, 8/1/43 3.5 08/01/2043 6,782,428 6,886,178
Tradewynd Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 6.2804 01/08/2015 250,000 254,350
TimberStar Trust 1, 5.668%, 10/15/36 (144A) 5.668 10/15/2036 750,000 820,586
Wells Fargo Home Equity Asset-Backed Securities 2005-2 Trust, Floating Rate Note, 11/25/35 0.562 11/25/2035 1,483,000 900,216
Ghana Government Bond, 21.0%, 10/26/15 21.0 10/26/2015 3,770,000 1,127,760
Health Care Real Estate Investment Trust, Inc., 3.75%, 3/15/23 3.75 03/15/2023 6,300,000 6,389,452
Novelis, Inc. Georgia, Initial Term Loan, 3/10/17 3.75 03/10/2017 1,725,650 1,730,180
Amortizing Residential Collateral Trust 2002-BC1, Floating Rate Note, 1/25/32 1.427 01/25/2032 9,500,000 364,091
Government National Mortgage Association I, 6.5%, 8/15/32 6.5 08/15/2032 300,000 4,938
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 11/10/16 (Cat Bond) (144A) 0.0062 11/10/2016 250,000 269,982
AEP Industries, Inc., 8.25%, 4/15/19 8.25 04/15/2019 1,690,000 1,812,384
Fannie Mae, 6.0%, 3/1/33 6.0 03/01/2033 250,000 11,530
Enel S.p.A., Floating Rate Note, 9/24/73 (144A) 8.75 09/24/2073 10,830,000 13,007,657
Flextronics International, Ltd., 5.0%, 2/15/23 5.0 02/15/2023 10,030,000 10,570,506
City of Charlotte North Carolina, 5.6%, 7/1/27 5.6 07/01/2027 150,000 154,938
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 2/25/34 2.5074 02/25/2034 1,200,000 27,820
Morgan Stanley Capital I Trust 2005-HQ6, Floating Rate Note, 8/13/42 5.073 08/13/2042 3,404,000 3,533,769
Government National Mortgage Association I, 7.0%, 8/15/29 7.0 08/15/2029 712,236 10,755
LEAF Receivables Funding 9 LLC, 5.11%, 9/15/21 (144A) 5.11 09/15/2021 3,010,000 3,089,377
Liberty Mutual Insurance Co., 7.697%, 10/15/97 (Perpetual) (144A) 7.697   10,910,000 12,465,812
Arlington Flt% 01aug15   08/01/2015 3,033,000 3,057,567
Federal Home Loan Mortgage Corp., 4.5%, 5/1/44 4.5 05/01/2044 204,050 220,646
ONEOK, Inc., 6.875%, 9/30/28 6.875 09/30/2028 9,425,000 10,838,114
Seagate HDD Cayman, 4.75%, 1/1/25 (144A) 4.75 01/01/2025 3,900,000 3,887,731
Unum Group, 5.75%, 8/15/42 5.75 08/15/2042 4,700,000 5,575,799
MSO of Puerto Rico, Inc., MSO Term Loan, 12/12/17 9.75 12/12/2017 1,994,518 2,011,970
Westgate Resorts 2012-2 LLC, 4.5%, 1/20/25 (144A) 4.5 01/20/2025 3,725,000 1,662,825
Lam Research Corp., 1.25%, 5/15/18 1.25 05/15/2018 12,606,000 17,243,082
Drug Royalty II LP 1, Floating Rate Note, 1/15/25 (144A) 4.2265 01/15/2025 1,300,000 910,536
PHH Mortgage Capital LLC, 6.6%, 12/25/27 (Step) (144A) 6.6 12/25/2027 14,800,000 1,587,001
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 8.6152 04/08/2016 4,800,000 4,987,333
Cmlti 3.5% 25jun44 14-J1_A1 3.5 06/25/2044 4,555,000 4,586,790
EP Energy LLC, 9.375%, 5/1/20 9.375 05/01/2020 9,850,000 11,432,156
Expedia, Inc., 5.95%, 8/15/20 5.95 08/15/2020 9,760,000 11,262,413
Fannie Mae, 6.0%, 5/1/33 6.0 05/01/2033 1,200,000 159,099
Legg Mason, Inc., 5.625%, 1/15/44 5.625 01/15/2044 6,310,000 7,015,551
Turkiye Garanti Bankasi AS, 7.375%, 3/7/18 (144A) 7.375 03/07/2018 14,400,000 6,394,846
The Hillman Companies, Inc., Term Loan, 5/28/17 3.75 05/31/2016 3,404,778 3,411,162
Firstar Realty LLC, 8.875%, 12/31/49 (Perpetual) (144A) 8.875   3,250 4,040,156
Fannie Mae, 6.0%, 12/1/37 6.0 12/01/2037 7,118,373 470,732
General Cable Corp., 4.5%, 11/15/29 (Step) 4.5 11/15/2029 13,776,000 13,717,452
Australia & New Zealand Banking Group, Ltd., 4.5%, 3/19/24 (144A) 4.5 03/19/2024 8,110,000 8,427,474
Cobalt International Energy, Inc., 2.625%, 12/1/19 2.625 12/01/2019 15,310,000 14,156,966
Digital Realty Trust LP, 3.625%, 10/1/22 3.625 10/01/2022 6,300,000 6,057,472
Export-Import Bank of Korea, 5.875%, 1/14/15 5.875 01/14/2015 1,900,000 2,003,730
Government National Mortgage Association I, 4.5%, 9/15/33 4.5 09/15/2033 2,256,215 358,526
Government National Mortgage Association I, 5.5%, 8/15/19 5.5 08/15/2019 711,545 100,356
Fannie Mae, 6.5%, 6/1/31 6.5 06/01/2031 25,095 403
Nuance Communications, Inc., 2.75%, 11/1/31 2.75 11/01/2031 9,565,000 9,596,883
Resolute Forest Products, Inc., 5.875%, 5/15/23 5.875 05/15/2023 11,110,000 11,026,752
CEMEX Espana SA, 9.875%, 4/30/19 (144A) 9.875 04/30/2019 5,098,000 5,935,258
Bear Stearns ARM Trust 2003-6, Floating Rate Note, 8/25/33 2.7438 08/25/2033 7,486,000 405,014
JP Morgan Mortgage Trust 2014-1, Floating Rate Note, 1/25/44 (144A) 3.5 01/25/2044 3,579,000 3,521,169
Verizon Communications, Inc., 6.55%, 9/15/43 6.55 09/15/2043 16,440,000 21,005,834
U.S. Treasury Bonds, 3.625%, 8/15/43 3.625 08/15/2043 25,000,000 26,746,720
Exterran Holdings, Inc., 7.25%, 12/1/18 7.25 12/01/2018 7,300,000 7,745,604
Vedanta Resources Jersey, Ltd., 5.5%, 7/13/16 5.5 07/13/2016 11,800,000 12,427,367
Hilcorp Energy I LP, 7.625%, 4/15/21 (144A) 7.625 04/15/2021 5,768,000 6,394,389
Fannie Mae, 4.0%, 12/1/41 4.0 12/01/2041 17,790,000 9,601,569
WR Grace & Co., U.S. Term Loan, 1/23/21 3.0 01/23/2021 775,526 774,944
MASTR Alternative Loan Trust 2005-1, 5.5%, 2/25/35 5.5 02/25/2035 11,721,517 3,456,743
Time Warner Cable, Inc., 8.75%, 2/14/19 8.75 02/14/2019 640,000 842,094
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/25/35 0.887 02/25/2035 7,505,000 2,102,490
Ghana Government Bond, 19.24%, 5/30/16 19.24 05/30/2016 19,000,000 5,334,407
Samarco Mineracao SA, 4.125%, 11/1/22 (144A) 4.125 11/01/2022 7,600,000 7,253,250
KGHM International, Ltd., 7.75%, 6/15/19 (144A) 7.75 06/15/2019 11,775,000 12,683,965
Government National Mortgage Association I, 4.5%, 7/15/41 4.5 07/15/2041 2,197,000 1,447,284
Capital One Bank USA NA, 8.8%, 7/15/19 8.8 07/15/2019 2,030,000 2,712,910
VTB Bank OJSC Via VTB Capital SA, 6.95%, 10/17/22 (144A) 6.95 10/17/2022 15,600,000 16,134,863
Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19 4.0 04/23/2019 2,181,423 2,184,490
Ardent Medical Services, Inc., Term Loan (First Lien), 7/2/18 6.75 05/02/2018 1,749,626 1,761,109
Romania Government Bond, 5.95%, 6/11/21 5.95 06/11/2021 24,950,000 8,764,695
Fannie Mae, 3.5%, 12/1/42 3.5 12/01/2042 50,000 47,758
Tiers Trust, Floating Rate Note, 10/15/97 (144A) 0.0   5,351,000 3,999,119
Mexican Udibonos, 2.0%, 6/9/22 2.0 06/09/2022 55,000,000 21,660,788
Massachusetts Health & Educational Facilities Authority, 5.5%, 11/15/36 5.5 11/15/2036 20,250,000 23,611,658
Star West Generation LLC, Term B Advance, 3/13/20 4.25 03/13/2020 2,148,148 2,156,204
Fannie Mae, 4.5%, 3/1/41 4.5 03/01/2041 3,179,532 1,855,242
DBUBS 2011-LC3 Mortgage Trust, Floating Rate Note, 8/10/44 (144A) 5.5775 08/10/2044 6,767,000 7,671,382
Oi SA, 5.75%, 2/10/22 (144A) 5.75 02/10/2022 9,080,000 9,266,329
Sunoco, Inc., 9.625%, 4/15/15 9.625 04/15/2015 25,000 27,172
Banco Continental SA via Continental Trustees Cayman, Ltd., Floating Rate Note, 10/7/40 (144A) 7.375 10/07/2040 6,400,000 7,124,494
Republic of Ghana, 7.875%, 8/7/23 (144A) 7.875 08/07/2023 16,455,000 16,438,545
Federal National Mortgage Association REMICS, 4.5%, 6/25/29 4.5 06/25/2029 4,635,000 4,471,469
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 9.0304 06/06/2015 4,250,000 4,433,525
Fannie Mae, 6.0%, 1/1/34 6.0 01/01/2034 1,800,000 135,463
Fannie Mae, 5.0%, 6/1/22 5.0 06/01/2022 2,077,680 204,154
Cummins, Inc., 6.75%, 2/15/27 6.75 02/15/2027 1,385,000 1,765,565
Wells Fargo Mortgage Backed Securities 2005-AR10 Trust, Floating Rate Note, 6/25/35 2.6144 06/25/2035 4,600,000 1,543,396
Citigroup Mortgage Loan Trust, Inc., 6.75%, 8/25/34 6.75 08/25/2034 400,000 85,253
AngloGold Ashanti Holdings Plc, 5.375%, 4/15/20 5.375 04/15/2020 6,715,000 6,895,722
WINDSOR QUALITY FOOD CO, Ltd., Term B Loan, 12/23/20 5.0 12/23/2020 866,250 864,084
Univision Communications, Inc., 2013 Incremental Term Loan, 3/1/20 4.0 03/01/2020 2,221,875 2,223,090
Akbank TAS, 7.5%, 2/5/18 (144A) 7.5 02/05/2018 11,000,000 4,966,509
Albertsons LLC, Term B-2 Loan, 3/21/19 4.75 03/21/2019 1,995,000 2,007,818
Wells Fargo Commercial Mortgage Trust, Floating Rate Note, 11/15/43 (144A) 5.7709 11/15/2043 4,800,000 5,469,716
COMM 2012-LC4 Mortgage Trust, Floating Rate Note, 12/10/44 4.934 12/10/2044 1,550,000 1,713,287
Banc of America Alternative Loan Trust 2003-2, 5.75%, 4/25/33 5.75 04/25/2033 30,900,000 3,593,991
Torchmark Corp., 3.8%, 9/15/22 3.8 09/15/2022 2,600,000 2,691,252
The PNC Financial Services Group, Inc., Floating Rate Note, 12/31/49 (Perpetual) 6.75 07/29/2049 25,567,000 29,216,689
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 4.5304 12/06/2016 2,300,000 2,353,539
Alternative Loan Trust 2003-16T1, 5.25%, 9/25/33 5.25 09/25/2033 7,200,000 3,629,380
Waupaca Foundry, Inc., Term Loan, 6/29/17 4.0 06/29/2017 3,886,501 3,898,646
LB-UBS Commercial Mortgage Trust 2005-C3, 4.739%, 7/15/30 4.739 07/15/2030 5,420,000 4,799,923
JP Morgan Chase Commercial Mortgage Securities Trust 2013-FL3, Floating Rate Note, 4/15/28 (144A) 1.9518 04/15/2028 6,500,000 6,533,887
Government National Mortgage Association I, 6.5%, 11/15/32 6.5 11/15/2032 2,258,707 94,557
Vertafore, Inc., Term Loan (2013), 10/3/19 4.25 10/20/2019 5,768,666 5,786,093
Ally Financial, Inc., 7.0%, 12/31/49 (Perpetual) (144A) 7.0   15,956 16,076,169
NuVasive, Inc., 2.75%, 7/1/17 2.75 07/01/2017 20,755,000 24,023,913
Federal Home Loan Mortgage Corp., 5.0%, 11/1/39 5.0 11/01/2039 39,051,129 13,135,261
Sealed Air Corp., Replacement Term Loan, 10/3/18 3.0 10/03/2018 738,993 742,515
Fixed Income Trust Series 2013-A, 0.0%, 10/15/97 (Step) (144A) 0.0   6,250,000 3,904,624
Sunoco Logistics Partners Operations LP, 6.1%, 2/15/42 6.1 02/15/2042 10,390,000 12,227,466
Hexion US Finance Corp., 8.875%, 2/1/18 8.875 02/01/2018 3,590,000 3,866,355
Fannie Mae, 7.0%, 7/1/31 7.0 07/01/2031 306,031 1,205
Federal Home Loan Mortgage Corp., 6.0%, 3/1/33 6.0 03/01/2033 500,470 40,510
Reynolds Group Holdings, Inc., Incremental U.S. Term Loan, 12/31/18 4.0 12/31/2018 3,793,677 3,803,400
Federal Home Loan Mortgage Corp., 6.0%, 1/1/34 6.0 01/01/2034 1,000,000 116,477
Government National Mortgage Association I, 5.5%, 10/15/34 5.5 10/15/2034 2,500,000 350,414
GATX Corp., 6.0%, 2/15/18 6.0 02/15/2018 6,865,000 7,902,883
Fannie Mae, 6.0%, 12/1/33 6.0 12/01/2033 2,000,000 151,810
Government National Mortgage Association I, 5.5%, 3/15/17 5.5 03/15/2017 251,260 24,257
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2003-A3, 5.5%, 8/25/33 (Step) 5.5 08/25/2033 43,853,000 3,085,088
New Jersey Transportation Trust Fund Authority, 5.5%, 6/15/41 5.5 06/15/2041 10,540,000 11,720,105
Endp 5.375% 15jan23 144a 5.375 01/15/2023 7,620,000 7,611,613
Blackstone Holdings Finance Co LLC, 5.0%, 6/15/44 (144A) 5.0 06/15/2044 7,925,000 8,266,470
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 8.7804 06/06/2015 7,100,000 7,456,962
Axalta Coating Systems US Holdings, Inc., Refinanced Term B Loan, 2/1/20 3.2254 02/01/2020 5,778,408 5,788,844
Federal Home Loan Mortgage Corp., 4.5%, 11/1/40 4.5 11/01/2040 2,993,000 1,602,414
Fannie Mae, 4.0%, 11/1/43 4.0 11/01/2043 3,398,541 3,475,324
Urbi Desarrollos Urbanos SAB de CV, 0.0%, 1/21/20 (144A) 0.0 01/21/2020 2,275,000 562,431
Origen Manufactured Housing Contract Trust 2004-A, Floating Rate Note, 1/15/35 5.91 01/15/2035 4,650,000 2,151,310
Liberty Mutual Group, Inc., 5.0%, 6/1/21 (144A) 5.0 06/01/2021 6,970,000 7,695,888
Magnesita Finance, Ltd., 8.625%, 12/31/49 (Perpetual) (144A) 8.625 04/29/2049 4,200,000 4,244,538
Fannie Mae, 5.0%, 7/1/39 5.0 07/01/2039 2,516,008 1,057,072
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18 (144A) 8.75 05/15/2018 3,750,000 5,385,697
Origen Manufactured Housing Contract Trust 2005-A, Floating Rate Note, 6/15/36 5.46 06/15/2036 2,518,000 1,372,443
Government National Mortgage Association I, 6.0%, 2/15/33 6.0 02/15/2033 3,907,246 144,762
Waste Industries USA, Inc., Term B Loan, 3/17/17 4.25 02/23/2017 3,507,020 3,514,325
BM&FBovespa SA, 5.5%, 7/16/20 (144A) 5.5 07/16/2020 7,180,000 7,953,346
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 4.25 04/25/2034 12,915,000 642,991
The Hanover Insurance Group, Inc., 7.5%, 3/1/20 7.5 03/01/2020 6,267,000 7,644,330
Amsurg Corp Bridge L + 6% 29may15 1.75 05/29/2015 8,970,000 9,014,850
Far East Capital, Ltd. SA, 8.0%, 5/2/18 (144A) 8.0 05/02/2018 3,750,000 3,142,917
Reliance Holding USA, Inc., 4.5%, 10/19/20 (144A) 4.5 10/19/2020 3,125,000 3,290,541
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 9.035 01/08/2015 900,000 929,790
The Goldman Sachs Group, Inc., 6.45%, 5/1/36 6.45 05/01/2036 7,400,000 8,720,715
Lion I Re, Ltd., Floating Rate Note, 4/28/17 (Cat Bond) (144A) 2.579 04/28/2017 1,600,000 2,178,760
Successor X, Ltd., Floating Rate Note, 11/10/15 (Cat Bond) (144A) 11.2652 11/10/2015 725,000 765,836
Government National Mortgage Association I, 6.0%, 9/15/19 6.0 09/15/2019 1,044,422 38,750
NuStar Logistics LP, Floating Rate Note, 1/15/43 7.625 01/15/2043 280,950 7,563,174
RALI Series 2002-QS14 Trust, 5.5%, 9/25/32 5.5 09/25/2032 2,400,000 732,391
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 6/25/34 2.4475 06/25/2034 38,089,920 5,399,393
Bear Stearns ARM Trust 2003-5, Floating Rate Note, 8/25/33 2.325 08/25/2033 12,112,000 966,641
Reynolds Group Issuer, Inc., 7.125%, 4/15/19 7.125 04/15/2019 4,075,000 4,319,670
BioScrip, Inc., Delayed Draw Term Loan, 7/31/20 6.5 07/22/2020 2,589,552 2,605,736
Government National Mortgage Association I, 5.5%, 3/15/37 5.5 03/15/2037 5,905,797 267,626
Turkey Government Bond, 10.5%, 1/15/20 10.5 01/15/2020 21,830,000 11,660,992
Government National Mortgage Association, 3.0%, 4/20/41 3.0 04/20/2041 8,800,000 8,208,481
MASTR Alternative Loan Trust 2003-5, 6.5%, 6/25/33 6.5 06/25/2033 34,701,000 1,102,271
Digital Realty Trust LP, 5.25%, 3/15/21 5.25 03/15/2021 3,125,000 3,405,276
UCI International, Inc., Term Loan, 7/26/17 5.5 07/04/2017 2,016,850 2,026,093
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 7.5175 04/09/2015 3,150,000 3,195,019
Golar LNG Partners LP, Floating Rate Note, 10/12/17 6.96 10/12/2017 32,000,000 5,571,605
CNO Financial Group, Inc., Tranche B-2 Term Loan, 9/28/18 3.75 09/04/2018 4,808,432 4,817,448
OneBeacon US Holdings, Inc., 4.6%, 11/9/22 4.6 11/09/2022 12,255,000 12,733,882
Federal Home Loan Mortgage Corp., 6.0%, 12/1/36 6.0 12/01/2036 1,820,000 188,163
Sensus USA, Inc., Term Loan (First Lien), 5/9/17 4.75 04/13/2017 1,439,064 1,446,860
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 8.7229 05/07/2015 250,000 261,272
Federal Home Loan Mortgage Corp., 6.0%, 12/1/37 6.0 12/01/2037 5,000,000 382,251
Minerva Luxembourg SA, 12.25%, 2/10/22 (144A) 12.25 02/10/2022 5,000,000 5,889,896
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 4.0 11/08/2020 175,576 175,521
Government National Mortgage Association I, 6.0%, 8/15/32 6.0 08/15/2032 6,200,000 285,269
Cronos Containers Program, Ltd., 3.81%, 9/18/27 (144A) 3.81 09/18/2027 3,500,000 2,905,948
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.372 04/25/2031 8,695,768 1,658,952
HLSS Servicer Advance Receivables Trust, 3.96%, 10/15/45 (144A) 3.96 10/15/2045 976,000 995,286
FREMF Mortgage Trust 2012-K709, 3.741%, 4/25/45 (144A) 3.8721 04/25/2045 5,000,000 5,245,614
Nordea Bank AB, 4.25%, 9/21/22 (144A) 4.25 09/21/2022 17,800,000 18,651,491
Cubist Pharmaceuticals, Inc., 1.875%, 9/1/20 (144A) 1.875 09/01/2020 7,685,000 8,808,931
FREMF Mortgage Trust 2011-K14, 5.159%, 2/25/47 (144A) 5.3327 02/25/2047 2,200,000 2,468,493
Nakilat, Inc., 6.067%, 12/31/33 (144A) 6.067 12/31/2033 1,965,000 2,213,884
New Jersey Economic Development Authority, 0.0%, 2/15/18 0.0 02/15/2018 19,893,000 18,311,308
Wilton Re Finance LLC, Floating Rate Note, 3/30/33 (144A) 5.875 03/30/2033 6,215,000 6,571,435
Wells Fargo & Co., 7.5%, 12/31/49 (Perpetual) 7.5   38,527 46,771,778
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 2.6878 10/25/2033 28,400,000 3,433,543
New York State Dormitory Authority, 5.0%, 12/15/30 5.0 12/15/2030 12,505,000 14,308,499
ConvaTec, Inc., Dollar Term Loan, 12/22/16 4.0 12/01/2016 3,954,363 3,962,964
SandRidge Energy, Inc., 8.125%, 10/15/22 8.125 10/15/2022 1,840,000 2,057,861
Federal Home Loan Mortgage Corp., 6.0%, 3/1/33 6.0 03/01/2033 563,857 11,473
Indonesia Treasury Bond, 6.125%, 5/15/28 6.125 05/15/2028 26,365,000,000 1,774,463
CenturyLink, Inc., 7.6%, 9/15/39 7.6 09/15/2039 3,510,000 3,601,709
Government National Mortgage Association I, 5.5%, 2/15/37 5.5 02/15/2037 172 27
Bank of America Corp., 7.75%, 5/14/38 7.75 05/14/2038 17,800,000 24,632,282
Pilot Travel Centers LLC, Refinancing Tranche B Term Loan, 3/30/18 3.75 03/30/2018 2,029,577 2,035,895
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 750,000 111,603
Alfa Bank OJSC Via Alfa Bond Issuance Plc, 8.625%, 4/26/16 (144A) 8.625 04/26/2016 246,800,000 7,206,428
Kane-Pi1 Flt% 07apr15 4.839 04/07/2015 3,766,000 3,863,051
Structured Asset Securities Corp Mortgage Loan Trust 2007-BC2, Floating Rate Note, 3/25/37 0.282 03/25/2037 1,300,000 913,290
RPI Finance Trust, Term B-3 Term Loan, 11/9/18 3.25 11/09/2018 7,878,902 7,901,065
U.S. Treasury Bonds, 4.5%, 8/15/39 4.5 08/15/2039 19,890,000 24,580,302
Government National Mortgage Association I, 5.5%, 9/15/19 5.5 09/15/2019 2,037,648 119,927
KB Home, 1.375%, 2/1/19 1.375 02/01/2019 7,375,000 7,454,128
Government National Mortgage Association I, 6.0%, 9/15/33 6.0 09/15/2033 1,501,891 84,541
First Franklin Mortgage Loan Trust 2004-FF10, Floating Rate Note, 9/25/34 1.232 09/25/2034 3,950,826 158,870
RCMC LLC, 5.62346%, 11/15/44 (144A) 5.6235 11/15/2044 2,512,000 2,189,901
Federal Home Loan Mortgage Corp., 4.5%, 7/1/40 4.5 07/01/2040 10,363,430 3,067,826
Towergate Finance Plc, 8.5%, 2/15/18 (144A) 8.5 02/15/2018 2,125,000 3,786,646
Government National Mortgage Association, 1.026%, 2/16/53 1.0153 02/16/2053 50,450,000 3,796,436
Henniges Automotive Holdings Inc 1st Lien Tl-B L + 5% 11jun21 6.0 06/11/2021 1,620,000 1,640,250
COMM 2013-LC6 Mortgage Trust, 2.941%, 1/10/46 2.941 01/10/2046 8,000,000 7,919,719
Home Equity Asset Trust 2005-7, Floating Rate Note, 1/25/36 0.532 01/25/2036 3,300,000 1,806,989
Fannie Mae, 4.5%, 7/1/41 4.5 07/01/2041 39,417,029 24,881,938
Fannie Mae, 4.0%, 2/1/43 4.0 02/01/2043 2,200,000 1,819,761
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 9.2804 06/06/2017 2,250,000 2,357,797
William Marsh Rice University, 4.626%, 5/15/63 4.626 05/15/2063 5,100,000 5,048,980
Queen Street V Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 8.5175 04/09/2015 3,400,000 3,467,991
Drugb Flt% 15jul23 14-1-A1 3.0821 07/15/2023 3,250,000 3,251,669
Xerium Technologies, Inc., New Term Loan, 5/17/19 5.75 05/02/2019 792,000 798,930
JP Morgan Mortgage Trust 2013-1, Floating Rate Note, 3/25/43 (144A) 2.5 03/25/2043 23,395,000 18,330,159
Fannie Mae, 6.0%, 3/1/32 6.0 03/01/2032 100,000 2,803
Federal Home Loan Mortgage Corp., 6.5%, 9/1/32 6.5 09/01/2032 100,000 2,748
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 2.25 08/20/2025 3,750,000 2,476,685
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 2.7 08/15/2018 3,700,000 3,807,825
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 2.3691 04/19/2034 4,875,000 219,505
Government National Mortgage Association I, 6.0%, 2/15/33 6.0 02/15/2033 1,085,291 169,172
Corporate Office Properties LP, 3.6%, 5/15/23 3.6 05/15/2023 6,450,000 6,197,237
Sanders Re, Ltd., Floating Rate Note, 5/25/18 (Cat Bond)   05/25/2018 3,500,000 3,465,350
JLL, Initial Dollar Term Loan, 1/23/21 4.25 01/23/2021 2,460,000 2,444,625
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC16, 5.623%, 5/12/45 5.623 05/12/2045 4,000,000 4,124,727
Ormat Funding Corp., 8.25%, 12/30/20 8.25 12/30/2020 6,405,000 3,385,055
Federal Home Loan Mortgage Corp., 6.0%, 8/1/34 6.0 08/01/2034 3,000,000 228,185
Dubai Electricity & Water Authority, 7.375%, 10/21/20 (144A) 7.375 10/21/2020 5,720,000 7,038,690
Ibis Re II, Ltd., Floating Rate Note, 2/5/15 (Cat Bond) (144A) 13.5304 02/05/2015 400,000 404,860
Fannie Mae, 3.5%, 11/1/42 3.5 11/01/2042 1,335,000 1,336,897
Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35 0.532 12/25/2035 2,600,000 951,606
Massachusetts Development Finance Agency, 5.0%, 10/15/40 5.0 10/15/2040 3,700,000 4,260,719
Expert Global Solutions, Inc., Term B Advance (First Lien), 4/3/18 8.5 03/13/2018 12,775,560 12,722,324
Israel Electric Corp, Ltd., 5.625%, 6/21/18 (144A) 5.625 06/21/2018 5,000,000 5,333,413
Morgan Stanley, 4.1%, 5/22/23 4.1 05/22/2023 13,200,000 13,448,882
Accredited Mortgage Loan Trust, Floating Rate Note, 9/25/36 0.302 09/25/2036 9,396,000 4,487,734
Kinder Morgan Energy Partners LP, 4.15%, 3/1/22 4.15 03/01/2022 11,960,000 12,589,602
Israel Electric Corp, Ltd., 7.25%, 1/15/19 (144A) 7.25 01/15/2019 2,725,000 3,187,380
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 0.452 05/25/2036 6,500,000 640,032
Chesapeake Energy Corp., 2.25%, 12/15/38 2.25 12/15/2038 4,600,000 4,437,850
Seagate HDD Cayman, 4.75%, 6/1/23 (144A) 4.75 06/01/2023 13,870,000 14,028,927
FREMF Mortgage Trust 2010-K7, 5.435%, 4/25/20 (144A) 5.618 04/25/2020 3,900,000 4,424,923
Vedanta Resources Plc, 9.5%, 7/18/18 (144A) 9.5 07/18/2018 4,040,000 4,829,876
DigitalGlobe, Inc., Term Loan, 1/31/20 3.75 01/25/2020 6,011,900 6,033,471
Nara Cable Funding II, Ltd., 8.5%, 3/1/20 (144A) 8.5 03/01/2020 1,600,000 2,672,213
City Center Trust 2011-CCHP, Floating Rate Note, 7/15/28 (144A) 4.65 07/15/2028 4,500,000 4,509,525
Morgan Stanley Capital I, Inc., Floating Rate Note, 10/15/20 (144A) 0.252 10/15/2020 8,700,000 2,807,180
WF-RBS Commercial Mortgage Trust 2011-C2, Floating Rate Note, 2/15/44 (144A) 5.392 02/15/2044 1,200,000 1,347,494
Fannie Mae, 4.5%, 12/1/41 4.5 12/01/2041 6,923,896 5,164,963
Agrokor dd, 8.875%, 2/1/20 (144A) 8.875 02/01/2020 50,000 57,974
Mcron Finance Sub LLC, 8.375%, 5/15/19 (144A) 8.375 05/15/2019 120,000 132,684
Fannie Mae, 4.5%, 3/1/41 4.5 03/01/2041 2,414,394 1,538,723
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 2.4 10/25/2035 4,594,419 1,211,261
Triton Container Finance LLC, 4.21%, 5/14/27 (144A) 4.21 05/14/2027 5,415,000 4,295,398
Government National Mortgage Association I, 6.0%, 11/15/18 6.0 11/15/2018 197,092 2,436
Rosneft Finance SA, 7.875%, 3/13/18 (144A) 7.875 03/13/2018 1,250,000 1,456,094
Government National Mortgage Association I, 4.5%, 12/15/34 4.5 12/15/2034 326,420 55,634
Controladora Mabe SA de CV, 7.875%, 10/28/19 (144A) 7.875 10/28/2019 9,539,000 11,053,614
EP Energy LLC, Tranche B-3 Loan, 5/24/18 3.5 05/24/2018 3,656,667 3,656,286
Par Pharmaceutical Companies, Inc., Term B-2 Loan, 9/28/19 4.0 09/28/2019 9,190,392 9,205,473
Fannie Mae, 4.5%, 3/1/35 4.5 03/01/2035 2,520,000 393,033
Appvion, Inc., Term Commitment, 6/28/19 5.7525 06/04/2019 11,785,938 11,892,753
Government National Mortgage Association II, 4.5%, 9/20/41 4.5 09/20/2041 17,265,000 9,712,389
Government National Mortgage Association, 4.973%, 4/16/42 4.973 04/16/2042 1,575,000 1,348,113
Fifth Third Bancorp, Floating Rate Note, 12/31/49 (Perpetual) 6.625 12/31/2049 316,400 8,473,192
JobsOhio Beverage System, 4.532%, 1/1/35 4.532 01/01/2035 4,480,000 4,737,869
US Silica Co., Term Loan, 7/23/20 4.0 05/31/2020 1,906,443 1,912,401
Capital Auto Receivables Asset Trust/ Ally, 2.19%, 9/20/21 2.19 09/20/2021 3,165,000 3,176,876
Brazos Harbor Industrial Development Corp., Floating Rate Note, 5/1/38 5.9 05/01/2038 7,050,000 7,668,873
CubeSmart LP, 4.8%, 7/15/22 4.8 07/15/2022 3,205,000 3,520,200
Fannie Mae, 4.0%, 4/1/42 4.0 04/01/2042 9,200,000 5,004,718
LSTAR Commercial Mortgage Trust, Floating Rate Note, 6/25/43 (144A) 5.3288 06/25/2043 4,920,000 5,046,898
WaMu Mortgage Pass-Through Certificates Series 2005-AR3 Trust, Floating Rate Note, 3/25/35 2.4099 03/25/2035 8,065,000 1,937,300
Allison Transmission, Inc., Term B-3 Loan, 8/23/19 3.75 08/23/2019 2,964,328 2,975,889
Fannie Mae, 3.5%, 12/1/25 3.5 12/01/2025 19,734,423 7,121,676
Banc of America Alternative Loan Trust 2004-12, 5.5%, 1/25/20 5.5 01/25/2020 14,500,000 1,821,515
Nakilat, Inc., 6.267%, 12/31/33 (144A) 6.267 12/31/2033 4,240,000 4,362,720
Icon Brands Holdings LLC, 4.229%, 1/25/43 (144A) 4.229 01/25/2043 6,376,000 5,917,722
Fannie Mae, 4.0%, 1/1/42 4.0 01/01/2042 2,795,670 1,359,804
MetLife, Inc., 6.4%, 12/15/66 6.4 12/15/2036 5,875,000 6,582,024
Fannie Mae, 5.5%, 3/1/21 5.5 03/01/2021 5,000,000 705,896
CenturyLink, Inc., 6.45%, 6/15/21 6.45 06/15/2021 4,100,000 4,460,253
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 3.0 03/27/2024 6,435,000 6,125,489
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 5.7804 12/06/2016 7,100,000 7,387,501
Vedanta Resources Plc, 8.25%, 6/7/21 (144A) 8.25 06/07/2021 3,635,000 4,091,193
Enel Finance International NV, 5.125%, 10/7/19 (144A) 5.125 10/07/2019 215,000 244,633
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 2.402 03/25/2032 7,961,000 4,279,651
Nigeria Government Bond, 16.0%, 6/29/19 16.0 06/29/2019 2,507,000,000 17,993,389
Metalloinvest Finance, Ltd., 5.625%, 4/17/20 (144A) 5.625 04/17/2020 6,200,000 6,085,688
Federal National Mortgage Association, 5.0%, 12/1/41 5.0 12/01/2041 1,801,282 1,116,174
KazMunayGas National Co JSC, 4.4%, 4/30/23 (144A) 4.4 04/30/2023 3,500,000 3,457,844
Government National Mortgage Association I, 6.0%, 1/15/17 6.0 01/15/2017 5,010,192 76,018
Windstream Corp., 7.75%, 10/15/20 7.75 10/15/2020 8,680,000 9,548,964
Government National Mortgage Association I, 5.5%, 2/15/35 5.5 02/15/2035 7,341,300 790,806
The Bank of New York Mellon Corp., Floating Rate Note, 12/31/49 (Perpetual) 4.5 12/29/2049 5,450,000 5,075,994
Government National Mortgage Association I, 5.5%, 3/15/37 5.5 03/15/2037 8,000,000 508,856
University of Southern California, 5.25%, 10/1/11 5.25   2,800,000 3,414,838
FREMF Mortgage Trust 2012-K501, 3.486%, 11/25/46 (144A) 3.6088 11/25/2046 2,750,000 2,857,393
Fannie Mae, 6.5%, 11/1/32 6.5 11/01/2032 400,000 9,596
Government National Mortgage Association I, 5.75%, 10/15/38 5.75 10/15/2038 711,536 117,298
Government National Mortgage Association I, 5.5%, 6/15/35 5.5 06/15/2035 2,028,692 248,753
Fannie Mae, 4.0%, 1/1/42 4.0 01/01/2042 8,038,832 3,980,975
Valeant Pharmaceuticals International, Inc., 7.5%, 7/15/21 (144A) 7.5 07/15/2021 8,085,000 9,233,744
Government National Mortgage Association I, 5.5%, 4/15/33 5.5 04/15/2033 184,273 8,155
MedAssets, Inc., Term B Loan, 12/13/19 4.0 11/20/2019 1,732,800 1,734,243
Gibson Energy, Inc., 6.75%, 7/15/21 (144A) 6.75 07/15/2021 15,875,000 17,678,797
FREMF Mortgage Trust 2011-K701, 4.286%, 7/25/48 (144A) 4.4355 07/25/2048 4,775,000 5,048,205
Cpi International Inc 1st Lien Tl-B L + 3.25% 31mar21 4.25 03/31/2021 1,496,250 1,503,731
CorpGroup Banking SA, 6.75%, 3/15/23 (144A) 6.75 03/15/2023 8,000,000 8,087,328
Walter Energy, Inc., B Term Loan, 4/2/18 7.25 02/03/2018 3,035,847 2,942,331
AXA SA, 8.6%, 12/15/30 8.6 12/15/2030 10,060,000 13,556,577
Glenn Pool Oil & Gas Trust, Term Loan, 5/2/16 4.5 06/01/2016 4,789,843 4,825,767
Jefferies Resecuritization Trust 2009-R2, Floating Rate Note, 5/26/37 (144A) 2.55 05/26/2037 3,350,000 827,445
Accudyne Industries Borrower SCA, Refinancing Term Loan, 12/13/19 4.0 12/13/2019 2,400,123 2,396,266
Vishay Intertechnology, Inc., 2.25%, 5/15/41 (144A) 2.25 05/15/2041 13,410,000 13,004,348
Piedmont Operating Partnership LP, 3.4%, 6/1/23 3.4 06/01/2023 11,130,000 10,611,758
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 3.5 10/18/2018 5,317,289 5,320,612
LyondellBasell Industries NV, 5.0%, 4/15/19 5.0 04/15/2019 4,845,000 5,516,185
Asciano Finance, Ltd., 5.0%, 4/7/18 (144A) 5.0 04/07/2018 4,200,000 4,622,267
Fannie Mae, 4.5%, 4/1/41 4.5 04/01/2041 25,000 12,080
Nara Cable Funding, Ltd., 8.875%, 12/1/18 (144A) 8.875 12/01/2018 3,000,000 3,224,688
GSR Mortgage Loan Trust 2005-AR1, Floating Rate Note, 1/25/35 2.6699 01/25/2035 12,727,000 2,915,568
Ardagh Packaging Finance Plc, 9.125%, 10/15/20 (144A) 9.125 10/15/2020 7,250,000 8,169,038
Bumi Capital Pte, Ltd., 12.0%, 11/10/16 (144A) 12.0 11/10/2016 1,850,000 956,450
MASTR Alternative Loan Trust 2004-6, 6.0%, 7/25/34 6.0 07/25/2034 33,875,000 7,035,521
Fannie Mae, 5.0%, 6/1/35 5.0 06/01/2035 77,359,128 8,677,248
Hyundai Capital America, 3.75%, 4/6/16 (144A) 3.75 04/06/2016 1,240,000 1,308,714
Windstream Corp., 6.375%, 8/1/23 6.375 08/01/2023 9,870,000 10,267,884
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 2.25 06/25/2043 3,745,000 3,239,953
Calpine Corp., Term Loan, 10/9/19 4.0 09/27/2019 1,080,750 1,085,328
Government National Mortgage Association I, 5.5%, 9/15/19 5.5 09/15/2019 2,338,171 138,956
Indonesia Treasury Bond, 7.0%, 5/15/22 7.0 05/15/2022 34,113,000,000 2,702,028
RAMP Series 2004-SL1 Trust, Floating Rate Note, 10/25/31 0.732 10/25/2031 4,365,200 1,190,994
U.S. Treasury Bonds, 4.375%, 11/15/39 4.375 11/15/2039 23,290,000 28,019,911
Calpine Construction Finance Co LP, Term B-1 Loan, 5/3/20 3.0 05/01/2020 1,413,113 1,390,403
Government National Mortgage Association I, 6.5%, 9/15/32 6.5 09/15/2032 1,709,146 119,100
Fannie Mae, 6.0%, 4/1/38 6.0 04/01/2038 5,765,562 591,623
GTP Acquisition Partners I LLC, 7.628%, 6/15/16 (144A) 7.628 06/15/2016 10,580,000 11,254,001
Government National Mortgage Association I, 5.5%, 9/15/19 5.5 09/15/2019 2,522,582 289,100
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 1.23 03/15/2019 1,000,000 723,043
JBS USA LLC, 8.25%, 2/1/20 (144A) 8.25 02/01/2020 4,650,000 5,205,094
CCO Holdings LLC, 7.375%, 6/1/20 7.375 06/01/2020 3,775,000 4,137,951
Blackstone Holdings Finance Co LLC, 4.75%, 2/15/23 (144A) 4.75 02/15/2023 5,375,000 5,964,823
Banco de Credito del Peru Panama, Floating Rate Note, 11/6/69 (144A) 9.75 11/06/2069 1,753,000 2,151,625
Government National Mortgage Association I, 4.5%, 4/15/35 4.5 04/15/2035 1,135,738 184,851
Mueller Water Products, Inc., 7.375%, 6/1/17 7.375 06/01/2017 4,465,000 4,564,997
Targus Group International, Inc., Term Loan, 5/24/16 12.0 05/12/2016 4,067,432 3,487,823
Cme: (Cdx.Na.Hy.22.V2) Usd 20jun19 Z91jjmp14 500.0 06/20/2019 0 -6,176,591
Garda World Security Corp., Term B Loan, 11/1/20 4.0 11/01/2020 686,343 686,129
Citigroup, Inc., Floating Rate Note, 12/31/49 (Perpetual) 7.125   642,000 17,750,658
Government National Mortgage Association I, 6.0%, 6/15/17 6.0 06/15/2017 6,900,000 156,891
Lorillard Tobacco Co., 3.75%, 5/20/23 3.75 05/20/2023 4,700,000 4,661,868
Aspen Insurance Holdings, Ltd., Floating Rate Note, 12/31/49 (Perpetual) 5.95   250,000 6,225,000
Metaldyne LLC, USD Term Loan 2014, 12/18/18 4.25 12/18/2018 4,937,878 4,962,568
Government National Mortgage Association I, 6.0%, 7/15/17 6.0 07/15/2017 2,966,457 196,332
Trust F, 5.25%, 12/15/24 (144A) 5.25 12/15/2024 5,270,000 5,545,797
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 2.4505 07/25/2033 12,475,000 1,644,906
Bumi Resources Tbk PT, Loan, 11/7/14 18.152 11/07/2014 1,135,833 681,500
West Corp., Term B-10 Loan, 6/30/18 3.25 06/30/2018 2,207,012 2,197,969
Tesoro Corp., 5.375%, 10/1/22 5.375 10/01/2022 9,480,000 10,033,988
Countrywide Asset-Backed Certificates, Floating Rate Note, 7/25/36 0.342 07/25/2036 1,000,000 90,290
Apex Tool Group LLC, Term Loan, 1/31/20 4.5 02/01/2020 1,346,591 1,333,687
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 1/25/35 2.5151 01/25/2035 11,606,000 2,873,270
Wyle 1st Lien Tl-B L + 4% 22may21 5.0 05/22/2021 641,946 643,150
Residential Reinsurance 2013, Ltd., Floating Rate Note, 12/6/17 (Cat Bond) (144A) 5.2956 12/06/2017 250,000 250,111
AmeriCredit Automobile Receivables Trust 2011-3, 4.04%, 7/10/17 4.04 07/10/2017 1,600,000 1,660,426
Electricite de France SA, Floating Rate Note, 12/31/49 (Perpetual) (144A) 5.25 01/29/2049 5,285,000 5,508,538
Irvine Core Office Trust 2013-IRV, Floating Rate Note, 5/15/48 (144A) 3.2789 05/15/2048 6,944,736 6,937,685
Desarrolladora Homex SAB de CV, 9.75%, 3/25/20 (144A) 9.75 03/25/2020 5,065,000 1,385,278
W&T Offshore, Inc., 8.5%, 6/15/19 8.5 06/15/2019 3,170,000 3,435,576
Juniper Generation LLC, 6.79%, 12/31/14 (144A) 6.79 12/31/2014 4,950,000 122,284
Fannie Mae, 3.5%, 11/1/40 3.5 11/01/2040 10,200,000 5,978,244
Government National Mortgage Association I, 5.5%, 7/15/34 5.5 07/15/2034 4,540,000 510,483
Bank of America Corp., 7.25%, 12/31/49 (Perpetual) 7.25   21,478 25,064,826
Entercom Radio LLC, Term B-2 Loan, 11/23/18 4.0322 11/23/2018 1,395,724 1,402,004
AMG Capital Trust II, 5.15%, 10/15/37 5.15 10/15/2037 101,000 6,369,313
AccentCare, Inc., Term Loan, 12/22/16 6.5 12/22/2016 2,319,129 1,542,221
Electricite de France SA, 6.0%, 1/22/14 (144A) 6.0   23,175,000 26,784,761
Fannie Mae, 5.0%, 7/1/41 5.0 07/01/2041 1,681,264 1,083,749
Westgate Resorts 2012-2 LLC, 3.0%, 1/20/25 (144A) 3.0 01/20/2025 6,250,000 2,763,564
Ohart 2.8828% 25may54 2014-Npl1- 2.8828 05/25/2054 5,870,000 5,878,990
Government National Mortgage Association I, 6.5%, 12/15/31 6.5 12/15/2031 50,173 563
Federal Home Loan Mortgage Corp., 5.0%, 12/1/21 5.0 12/01/2021 6,525,000 618,408
Government National Mortgage Association I, 6.5%, 10/15/32 6.5 10/15/2032 302,974 18,183
Virgin Media Investment Holdings, Ltd., B Facility, 6/8/20 3.5 02/06/2020 25,310,000 25,245,156
RALI Series 2003-QS11 Trust, 5.25%, 6/25/33 5.25 06/25/2033 1,413,328 750,618
The Williams Companies, Inc., 7.75%, 6/15/31 7.75 06/15/2031 8,880,000 10,730,782
QBE Insurance Group, Ltd., 2.4%, 5/1/18 (144A) 2.4 05/01/2018 5,100,000 5,111,980
Fannie Mae, 4.0%, 12/1/40 4.0 12/01/2040 9,810,000 7,286,313
Exeter Automobile Receivables Trust 2012-2, 3.06%, 7/16/18 (144A) 3.06 07/16/2018 3,000,000 3,068,130
Structured Asset Investment Loan Trust 2006-1, Floating Rate Note, 1/25/36 0.352 01/25/2036 8,100,000 2,149,545
Rovi Solutions Corp., Tranche B-3 Term Loan, 3/29/19 3.5 03/29/2019 3,616,557 3,595,085
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/25/29 (144A) 4.395 08/25/2029 1,301,000 1,321,030
Fannie Mae, 4.5%, 11/1/43 4.5 11/01/2043 1,435,575 1,557,431
Kane-Pi1 Zero% 18jul16 0.0 07/18/2016 4,712,000 4,886,815
Syniverse Holdings, Inc., Initial Term Loan, 4/23/19 4.0 04/10/2019 1,487,731 1,489,590
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 300,000 17,286
Time Warner Cable, Inc., 8.25%, 4/1/19 8.25 04/01/2019 1,100,000 1,416,531
BTA Bank JSC (G.D.R.) (144A)     4,633 2,270
Mexican Udibonos, 3.5%, 12/14/17 3.5 12/14/2017 44,360,000 19,217,554
Fn15 3.5% 17jul14 3.5 07/17/2014 15,900,000 16,876,250
Fannie Mae, 5.5%, 2/1/23 5.5 02/01/2023 12,500,000 597,790
MetroPCS Wireless, Inc., 6.625%, 11/15/20 6.625 11/15/2020 4,915,000 5,288,369
KLA-Tencor Corp., 6.9%, 5/1/18 6.9 05/01/2018 4,090,000 4,859,174
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 3.75 06/30/2019 2,412,246 2,417,271
Port Freeport Texas, Floating Rate Note, 5/15/33 5.95 05/15/2033 15,970,000 17,623,418
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 6.5 08/15/2030 2,270,000 1,333,475
Government National Mortgage Association I, 6.5%, 10/15/31 6.5 10/15/2031 316,324 6,956
Alliant Holdings I, Inc., Initial Term Loan, 12/20/19 4.25 12/07/2019 1,697,822 1,704,188
Kindred Healthcare 1st Lien Tl-B L + 3% 10apr21 4.0 04/10/2021 8,682,433 8,709,565
Foundation Re III, Ltd., Floating Rate Note, 2/25/15 (Cat Bond) (144A) 5.0203 02/25/2015 4,500,000 4,546,900
Inversiones Alsacia SA, 8.0%, 8/18/18 (144A) 8.0 08/18/2018 8,635,000 4,521,383
VimpelCom Holdings BV, 7.5043%, 3/1/22 (144A) 7.5043 03/01/2022 11,600,000 12,803,666
Silverton RE, Ltd., 0.0%, 9/16/16 (Cat Bond) (144A) 0.0 09/16/2016 3,500,000 4,027,100
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 4.0253 05/18/2016 5,000,000 5,067,389
Government National Mortgage Association I, 4.5%, 1/15/40 4.5 01/15/2040 1,883,000 1,233,474
Virtual Radiologic Corp., Term Loan A, 12/22/16 7.2514 11/03/2016 6,264,563 4,573,131
Cincinnati Bell, Inc., 8.375%, 10/15/20 8.375 10/15/2020 10,771,000 11,998,146
Stanley Black & Decker, Inc., Floating Rate Note, 12/15/53 5.75 12/15/2053 8,525,000 9,228,786
ALROSA Finance SA, 8.875%, 11/17/14 (144A) 8.875 11/17/2014 100,000 103,660
Fannie Mae, 3.5%, 11/1/42 3.5 11/01/2042 1,050,000 1,026,189
Mid-State Capital Trust 2010-1, 5.25%, 12/15/45 (144A) 5.25 12/15/2045 3,000,000 2,432,945
Tronox Pigments BV, New Term Loan, 3/19/20 4.0 01/24/2017 1,738,504 1,743,720
Commercial Vehicle Group, Inc., 7.875%, 4/15/19 7.875 04/15/2019 1,125,000 1,188,703
Alterra Finance LLC, 6.25%, 9/30/20 6.25 09/30/2020 9,380,000 10,957,750
Global SC Finance II SRL, 4.11%, 7/19/27 (144A) 4.11 07/19/2027 4,000,000 3,250,626
Leaf Receivables Funding 8 LLC, 5.5%, 9/15/20 (144A) 5.5 09/15/2020 2,141,566 2,170,786
JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2, Floating Rate Note, 11/15/43 (144A) 5.6918 11/15/2043 1,300,000 1,474,339
DynCorp International, Inc., Term Loan, 7/7/16 6.25 07/07/2016 2,487,204 2,496,919
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 5.2855 03/07/2016 4,433,000 4,533,057
Hyundai Capital America, 4.0%, 6/8/17 (144A) 4.0 06/08/2017 1,200,000 1,286,307
Forethought Financial Group, Inc., 8.625%, 4/15/21 (144A) 8.625 04/15/2021 3,200,000 3,707,649
GTP Towers Issuer LLC, 4.436%, 2/15/15 (144A) 4.436 02/15/2015 8,065,000 8,211,933
Government National Mortgage Association I, 6.0%, 6/15/33 6.0 06/15/2033 2,500,000 117,351
Bosphorus 1 Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 2.5304 05/03/2016 1,400,000 1,398,184
COMM 2012-CCRE2 Mortgage Trust, 4.393%, 8/15/45 4.393 08/15/2045 1,275,000 1,363,821
Massachusetts Health & Educational Facilities Authority, 5.5%, 7/1/36 5.5 07/01/2036 40,000 47,126
Government National Mortgage Association I, 7.0%, 5/15/29 7.0 05/15/2029 55,127 581
Pelican Products, Inc., Term Loan (First Lien), 4/8/20 5.25 04/08/2020 2,717,471 2,744,646
Fannie Mae, 6.5%, 2/1/32 6.5 02/01/2032 99,991 1,683
Federal Home Loan Mortgage Corp., 5.0%, 7/1/35 5.0 07/01/2035 2,600,000 382,790
CCO Holdings LLC, 6.625%, 1/31/22 6.625 01/31/2022 10,705,000 11,805,348
Enterprise Products Operating LLC, Floating Rate Note, 8/1/66 8.375 08/01/2066 3,683,000 4,274,106
Alliance HealthCare Services, Inc., Initial Term Loan, 6/3/19 4.25 05/31/2019 3,375,909 3,379,707
Massachusetts Institute of Technology, 5.6%, 7/1/11 5.6   4,025,000 5,163,608
Alternative Loan Trust Resecuritization 2003-23T2R, 4.25%, 9/25/33 4.25 09/25/2033 44,943,000 1,591,027
RALI Series 2003-QS1 Trust, 5.0%, 1/25/33 5.0 01/25/2033 20,000,000 224,120
Aquarius + Investments Plc for Swiss Reinsurance Co, Ltd., Floating Rate Note, 9/1/24 6.375 09/01/2024 7,500,000 8,423,438
Sequa Corp., Initial Term Loan, 6/19/17 5.25 05/29/2017 6,764,375 6,713,642
Federal Home Loan Mortgage Corp., 4.5%, 9/1/43 4.5 09/01/2043 147,265 158,484
Confie seguros Holding II Co., Term B Loan (First Lien), 11/9/18 5.75 11/09/2018 1,656,908 1,663,644
RALI Series 2004-QS3 Trust, 5.0%, 3/25/19 5.0 03/25/2019 7,800,000 533,462
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 1.7724 03/25/2044 42,550,000 3,342,271
Banc of America Mortgage Trust 2005-9, 4.75%, 10/25/20 4.75 10/25/2020 14,530,000 111,959
Federal Home Loan Mortgage Corp., 5.0%, 9/1/38 5.0 09/01/2038 6,942,604 768,646
Gazprom OAO Via Gaz Capital SA, 8.146%, 4/11/18 (144A) 8.146 04/11/2018 765,000 892,642
Air Canada 2013-1 Class A Pass Through Trust, 4.125%, 11/15/26 (144A) 4.125 05/15/2025 2,000,000 1,987,000
Allegheny Technologies, Inc., 9.375%, 6/1/19 9.375 06/01/2019 3,645,000 4,550,529
ON Semiconductor Corp., 2.625%, 12/15/26 2.625 12/15/2026 1,255,000 1,473,736
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 0.722 06/25/2033 34,154,338 3,445,670
Fannie Mae, 5.0%, 6/1/22 5.0 06/01/2022 639,720 46,308
Government National Mortgage Association I, 6.0%, 7/15/17 6.0 07/15/2017 6,000,000 143,470
Fannie Mae, 5.0%, 1/1/39 5.0 01/01/2039 27,744,910 3,252,837
CWGS Group LLC, Term Loan, 2/20/20 5.75 02/20/2020 7,011,250 7,081,363
Exopack Holdings SA, USD Term Loan, 4/14/19 5.25 04/14/2019 4,169,050 4,240,708
Minerva Luxembourg SA, 7.75%, 1/31/23 (144A) 7.75 01/31/2023 6,600,000 7,276,546
Qwest Corp., 7.375%, 6/1/51 7.375 06/01/2051 572,600 15,133,818
Samson Investment Co., Tranche 1 Term Loan (Second Lien), 9/25/18 5.0 09/25/2018 2,350,000 2,354,827
Blue Danube II, Ltd., Floating Rate Note, 5/23/16 (Cat Bond) (144A) 0.0234 05/23/2016 5,200,000 5,271,913
Fannie Mae, 5.5%, 3/1/25 5.5 03/01/2025 8,000,000 1,085,049
Standard Chartered Plc, 3.95%, 1/11/23 (144A) 3.95 01/11/2023 5,400,000 5,472,370
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A)