Pioneer Investments: Pioneer Strategic Income Fund


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Pioneer Strategic Income Fund

Monthly Portfolio Holdings as of 7/31/2015

Security Name Coupon Maturity Date Par / Shares Market Value($)
Crowne Group Llc 1st Lien Tl-B L + 5% 29sep20 6.0 09/29/2020 1,786,500 1,782,034
IPIC GMTN, Ltd., 5.5%, 3/1/22 (144A) 5.5 03/01/2022 11,820,000 13,790,000
Hexion, Inc., 8.875%, 2/1/18 8.875 02/01/2018 3,590,000 3,282,606
Government National Mortgage Association I, 4.0%, 7/15/41 4.0 07/15/2041 66,145 33,839
Sensus USA, Inc., Term Loan (First Lien), 5/9/17 4.5 05/09/2017 1,418,573 1,417,686
Government National Mortgage Association I, 4.0%, 11/15/41 4.0 11/15/2041 55,926 17,850
Telesat Canada, U.S. Term B-2 Loan, 3/28/19 3.5 03/28/2019 6,615,063 6,620,573
Fannie Mae, 4.0%, 12/1/41 4.0 12/01/2041 45,515,613 23,631,121
Government National Mortgage Association I, 3.5%, 7/15/42 3.5 07/15/2042 22,710,107 15,075,792
GS Mortgage Securities Trust 2014-GSFL, Floating Rate Note, 7/15/31 (144A) 1.9373 07/15/2031 7,305,000 7,274,618
Trade MAPS 1, Ltd., Floating Rate Note, 12/10/18 (144A) 5.1885 12/10/2018 2,610,000 2,619,085
RAMP Series 2004-RS10 Trust, 5.28%, 10/25/34 (Step) 5.28 10/25/2034 4,161,000 3,467,543
Fannie Mae, 4.0%, 12/1/23 4.0 12/01/2023 370,833 78,612
Federal Home Loan Mortgage Corp., 5.0%, 7/1/35 5.0 07/01/2035 2,600,000 272,197
CS Intermediate Holdco 2 LLC, Term Loan, 3/28/21 4.0 03/28/2021 3,904,384 3,909,265
Fannie Mae, 6.0%, 3/1/33 6.0 03/01/2033 350,000 8,781
Fannie Mae, 5.0%, 7/1/41 5.0 07/01/2041 1,681,264 758,430
Federal Home Loan Mortgage Corp., 6.5%, 9/1/32 6.5 09/01/2032 100,000 2,699
UCI International, Inc., Term Loan, 7/26/17 5.5 07/26/2017 313,148 311,974
Mid-State Capital Trust 2010-1, 5.25%, 12/15/45 (144A) 5.25 12/15/2045 3,000,000 2,198,299
Vat 1st Lien Tl-B L + 3.25% 11feb21 4.25 02/11/2021 1,593,955 1,598,271
Brazil Minas SPE via State of Minas Gerais, 5.333%, 2/15/28 (144A) 5.333 02/15/2028 17,900,000 17,087,180
Government National Mortgage Association I, 5.5%, 12/15/18 5.5 12/15/2018 76,282 690
BioScrip, Inc., Initial Term B Loan, 7/31/20 6.25 07/31/2020 4,315,919 4,297,037
Rent-A-Center, Inc., 6.625%, 11/15/20 6.625 11/15/2020 1,995,000 2,000,459
TIG FINCO Plc, Floating Rate Note, 3/2/20 (144A)   03/02/2020 222,908 373,554
Federal Home Loan Mortgage Corp., 5.0%, 9/1/38 5.0 09/01/2038 10,000,000 752,144
Intesa Sanpaolo S.p.A., 3.625%, 8/12/15 (144A) 3.625 08/12/2015 5,643,000 5,741,884
Tempur Sealy International, Inc., New Term B Loan, 3/18/20 3.5 03/18/2020 2,300,996 2,309,624
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 4.5051 12/06/2016 2,300,000 2,321,275
Pinnacle Entertainment, Inc., Tranche B-2 Term Loan, 8/13/20 3.75 08/13/2020 4,573,479 4,582,530
Fannie Mae, 4.0%, 10/1/44 4.0 10/01/2044 792,663 745,954
Fannie Mae, 3.5%, 8/1/42 3.5 08/01/2042 48,680,354 39,924,579
Countrywide Asset-Backed Certificates, Floating Rate Note, 10/25/34 0.4405 10/25/2034 4,500,000 511,231
Federal National Mortgage Association, 4.0%, 2/1/44 4.0 02/01/2044 29,000 24,544
LDK Solar Co, Ltd. (A.D.R.)     136,114 12,250
Kane Zero% 22jan16 0.0 01/22/2016 7,246,500 7,428,387
Fly Leasing, Ltd., 6.75%, 12/15/20 6.75 12/15/2020 4,183,000 4,355,026
Envision Healthcare Corp., Initial Term Loan, 5/25/18 4.0 05/25/2018 1,949,211 1,955,505
Summit Materials Llc 1st Lien Tl-B L + 3.25% 26jun22 4.25 06/26/2022 975,000 979,875
Credit Agricole SA, Floating Rate Note (Perpetual) (144A) 6.625 12/31/2049 18,500,000 18,559,997
Fannie Mae, 5.5%, 12/1/35 5.5 12/01/2035 2,799,824 263,276
Affinion Group, Inc., Tranche B Term Loan, 4/30/18 6.75 04/30/2018 7,426,670 7,062,764
Alta Wind Holdings LLC, 7.0%, 6/30/35 (144A) 7.0 06/30/2035 1,600,000 1,474,321
American Homes 4 Rent 2014-SFR3 Trust, 5.04%, 12/18/36 (144A) 5.04 12/18/2036 6,100,000 6,192,866
Fannie Mae, 3.5%, 11/1/42 3.5 11/01/2042 2,205,966 1,861,913
KKR Group Finance Co II LLC, 5.5%, 2/1/43 (144A) 5.5 02/01/2043 21,530,000 22,705,237
Kloeckner Pentaplast Of America 1st Lien Tl L + 4% 22apr20 5.0 04/22/2020 124,976 125,913
Allied Security Holdings LLC, Closing Date Term Loan (First Lien), 2/12/21 4.25 02/12/2021 1,301,170 1,301,983
Spirit Master Funding VII LLC, 3.8868%, 12/21/43 3.8868 12/21/2043 900,000 925,720
Prudential Financial, Inc., Floating Rate Note, 6/15/43 5.625 06/15/2043 11,240,000 11,754,090
Pangaea Zero% 01jul18 0.0 07/01/2018 11,730,000 211,140
American Energy - Utica LLC, 3.5%, 3/1/21 (144A) (PIK) 3.5 03/01/2021 4,620,000 1,453,375
CHL Mortgage Pass-Through Trust 2003-42, Floating Rate Note, 9/25/33 2.9204 09/25/2033 2,550,000 14,271
CubeSmart LP, 4.8%, 7/15/22 4.8 07/15/2022 3,205,000 3,472,958
Hyundai Capital Services, Inc., 4.375%, 7/27/16 (144A) 4.375 07/27/2016 2,550,000 2,627,485
JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2, Floating Rate Note, 11/15/43 (144A) 5.6852 11/15/2043 1,300,000 1,434,964
Linn Energy LLC, 6.5%, 5/15/19 6.5 05/15/2019 9,200,000 5,784,244
Inversiones Alsacia SA, 8.0%, 12/31/18 (144A) 8.0 12/31/2018 6,782,041 3,653,003
EQTY 2014-INNS Mortgage Trust, Floating Rate Note, 5/8/31 (144A) 3.635 05/08/2031 5,200,000 5,154,871
Chesapeake Energy Corp., 2.25%, 12/15/38 2.25 12/15/2038 4,800,000 3,889,800
Israel Electric Corp, Ltd., 7.25%, 1/15/19 (144A) 7.25 01/15/2019 2,725,000 3,107,106
International Paper Co., 6.0%, 11/15/41 6.0 11/15/2041 10,035,000 11,041,597
New Jersey Transportation Trust Fund Authority, 5.5%, 6/15/41 5.5 06/15/2041 10,540,000 11,182,917
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 2.75 01/23/2021 767,751 768,025
SM Energy Co., 5.625%, 6/1/25 5.625 06/01/2025 3,905,000 3,732,936
Bear Stearns ARM Trust 2003-6, Floating Rate Note, 8/25/33 2.7039 08/25/2033 44,701,000 1,878,288
Wynn Las Vegas LLC, 5.375%, 3/15/22 5.375 03/15/2022 345,000 355,024
Navistar International Corp., 8.25%, 11/1/21 8.25 11/01/2021 5,605,000 5,408,909
Semt % 25may43 13-6-A1   05/25/2043 20,110,000 16,021,456
Government National Mortgage Association I, 5.5%, 3/15/37 5.5 03/15/2037 5,905,797 141,829
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 250,000 5,258
Government National Mortgage Association II, 7.0%, 1/20/29 7.0 01/20/2029 500,000 6,336
First Investors Auto Owner Trust 2013-1, 2.53%, 1/15/20 (144A) 2.53 01/15/2020 1,600,000 1,604,839
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.4105 04/25/2031 8,695,768 1,257,890
Government National Mortgage Association I, 7.0%, 6/15/29 7.0 06/15/2029 75,078 1,041
Merna Reinsurance, Ltd., Floating Rate Note, 4/9/18 (Cat Bond) (144A) 2.0051 04/09/2018 1,250,000 1,241,722
Mexican Bonos, 6.5%, 6/9/22 6.5 06/09/2022 272,040,000 17,642,625
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 8.0051 06/06/2016 4,500,000 4,723,650
Government National Mortgage Association I, 4.0%, 3/15/44 4.0 03/15/2044 16,960,100 10,775,913
COMM 2012-CCRE2 Mortgage Trust, 3.147%, 8/15/45 3.147 08/15/2045 3,650,000 3,761,174
COMM 2012-CCRE4 Mortgage Trust, 2.436%, 10/17/45 2.436 10/17/2045 4,047,000 4,078,915
Government National Mortgage Association I, 5.0%, 11/15/16 5.0 11/15/2016 1,229,667 22,139
AES Corp. Virginia, 5.5%, 4/15/25 5.5 04/15/2025 10,000,000 9,750,694
Fannie Mae, 6.5%, 11/1/32 6.5 11/01/2032 400,000 4,303
Univision Communications, Inc., Replacement First-Lien Term Loan, 3/1/20 4.0 03/01/2020 6,913,547 6,918,345
Compass Re II, Ltd., Floating Rate Note, 12/8/15 (Cat Bond) 0.0 12/08/2015 2,150,000 2,059,270
Waste Industries Usa Inc 1st Lien Tl-B L + 3.25% 20feb20 4.25 02/20/2020 2,668,313 2,684,989
Kane Zero% 15jan16 0.0 01/15/2016 2,024,000 2,045,657
Fannie Mae, 3.5%, 3/1/29 3.5 03/01/2029 19,717,033 15,718,942
Sabine Pass Liquefaction LLC, 5.625%, 3/1/25 (144A) 5.625 03/01/2025 3,155,000 3,180,634
Marfrig Overseas, Ltd., 9.5%, 5/4/20 (144A) 9.5 05/04/2020 3,750,000 3,897,031
Citigroup Mortgage Loan Trust 2014-J1, Floating Rate Note, 6/25/44 3.5 06/25/2044 4,555,000 3,990,384
Eaton Vance Corp., 6.5%, 10/2/17 6.5 10/02/2017 19,000 21,282
Fannie Mae, 4.0%, 2/1/45 4.0 02/01/2045 1,006,175 995,883
Government National Mortgage Association I, 4.5%, 12/15/34 4.5 12/15/2034 326,420 27,501
MMM Holdings, Inc., MMM Term Loan, 12/12/17 9.75 12/12/2017 1,890,203 1,479,084
CenturyLink, Inc., 7.65%, 3/15/42 7.65 03/15/2042 3,100,000 2,833,090
Citigroup, Inc., Floating Rate Note (Perpetual) 5.9 12/31/2049 6,000,000 6,127,833
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 2.25 08/20/2025 3,750,000 1,517,198
Fannie Mae, 6.5%, 2/1/32 6.5 02/01/2032 99,991 1,440
Fannie Mae, 6.0%, 3/1/33 6.0 03/01/2033 250,000 8,849
OMNOVA Solutions, Inc., Term B-1 Loan, 5/31/18 4.25 05/31/2018 1,387,734 1,386,434
Owens Corning, 4.2%, 12/1/24 4.2 12/01/2024 5,975,000 5,960,594
Fannie Mae, 5.5%, 6/1/33 5.5 06/01/2033 852,000 33,682
Mirror BidCo Corp., New Incremental Term Loan, 12/18/19 4.25 12/18/2019 7,006,453 7,003,531
Fannie Mae, 3.5%, 12/1/42 3.5 12/01/2042 2,047,400 1,590,844
Resolute Forest Products, Inc., 5.875%, 5/15/23 5.875 05/15/2023 11,110,000 9,414,645
The Ryland Group, Inc., 5.375%, 10/1/22 5.375 10/01/2022 6,230,000 6,419,496
Government National Mortgage Association I, 6.5%, 6/15/32 6.5 06/15/2032 124,988 4,433
FREMF Mortgage Trust 2011-K702, Floating Rate Note, 4/25/44 (144A) 4.9311 04/25/2044 9,582,000 10,283,479
Government National Mortgage Association I, 5.5%, 3/15/17 5.5 03/15/2017 251,260 8,397
Fannie Mae, 4.0%, 11/1/44 4.0 11/01/2044 816,341 788,916
Pro Mach Group, Inc., Dollar Term Loan (First Lien), 10/20/21 4.75 10/20/2021 1,038,552 1,045,043
Gold Fields Orogen Holdings BVI, Ltd., 4.875%, 10/7/20 (144A) 4.875 10/07/2020 18,840,000 16,540,343
Government National Mortgage Association I, 6.5%, 5/15/29 6.5 05/15/2029 169,368 2,573
Telenet Finance III Luxembourg SCA, 6.625%, 2/15/21 (144A) 6.625 02/15/2021 2,625,000 3,113,491
Denbury Resources, Inc., 4.625%, 7/15/23 4.625 07/15/2023 11,796,000 8,517,367
NRP Mortgage Trust 2013-1, Floating Rate Note, 7/25/43 (144A) 3.25 07/25/2043 5,514,000 4,720,884
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 2.238 09/18/2031 3,300,000 3,300,474
Agrokor dd, 8.875%, 2/1/20 (144A) 8.875 02/01/2020 50,000 56,248
Government National Mortgage Association I, 5.5%, 7/15/34 5.5 07/15/2034 4,540,000 383,922
Vertafore, Inc., Term Loan (2013), 10/3/19 4.25 10/03/2019 5,768,666 5,785,251
Leaf Receivables Funding 10 LLC, 2.74%, 3/15/21 (144A) 2.74 03/15/2021 1,200,000 1,191,021
Axalta Coating Systems US Holdings, Inc., Refinanced Term B Loan, 2/1/20 3.75 02/01/2020 5,466,267 5,468,547
Calumet Specialty Products Partners LP, 6.5%, 4/15/21 6.5 04/15/2021 7,455,000 7,475,418
Government National Mortgage Association I, 4.0%, 1/15/41 4.0 01/15/2041 33,556 16,574
COMM 2012-LC4 Mortgage Trust, Floating Rate Note, 12/12/44 4.934 12/12/2044 1,550,000 1,715,457
CSMC Trust 2015-2, 3.5%, 2/25/45 (144A) 3.5 02/25/2045 5,000,000 4,631,336
Tiers Trust, Floating Rate Note, 10/15/97 (144A) 0.0   5,351,000 4,869,932
The University of Texas System, 5.0%, 8/15/43 5.0 08/15/2043 2,210,000 2,551,501
EverBank Mortgage Loan Trust, Floating Rate Note, 4/25/43 (144A) 2.5 04/25/2043 10,928,000 7,884,232
Metalloinvest Finance, Ltd., 5.625%, 4/17/20 (144A) 5.625 04/17/2020 6,200,000 5,851,994
JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8, Floating Rate Note, 10/17/45 (144A) 3.9767 10/17/2045 4,000,000 4,128,048
Bear Stearns ALT-A Trust 2005-1, Floating Rate Note, 1/25/35 0.9405 01/25/2035 8,350,000 7,105,145
FCA US LLC, Term Loan B, 5/24/17 3.5 05/24/2017 18,130,803 18,148,934
Sector Re V, Ltd., 0.0%, 12/1/18 (Cat Bond) (144A) 0.0 12/01/2018 20,917 151,952
Banco de Credito del Peru Panama, Floating Rate Note, 9/16/26 (144A) 6.875 09/16/2026 10,210,000 11,698,427
FREMF Mortgage Trust 2012-K501, Floating Rate Note, 11/26/46 (144A) 3.4206 11/26/2046 2,750,000 2,810,642
Government National Mortgage Association I, 4.0%, 5/15/43 4.0 05/15/2043 358,526 226,983
AccentCare, Inc., Term Loan, 12/22/16 6.5 12/22/2016 2,118,726 2,065,758
Charter Communications Operating L 1st Lien Bridge L + 6.625% 26may16   05/26/2016 10,715,000 10,715,000
Government National Mortgage Association I, 4.0%, 11/15/40 4.0 11/15/2040 42,850 23,102
Government National Mortgage Association I, 4.0%, 12/15/41 4.0 12/15/2041 33,303 20,611
Oversea-Chinese Banking Corp, Ltd., Floating Rate Note, 10/15/24 (144A) 4.0 10/15/2024 4,000,000 4,151,539
Fannie Mae, 7.5%, 1/1/28 7.5 01/01/2028 115,000 1,040
EverBank Mortgage Loan Trust REMICS, Floating Rate Note, 4/25/43 (144A) 3.5032 04/25/2043 6,762,000 6,313,155
Fly Leasing, Ltd., 6.375%, 10/15/21 6.375 10/15/2021 1,750,000 1,809,099
Prudential Financial, Inc., Floating Rate Note, 6/15/68 8.875 06/15/2068 5,969,000 7,043,959
Fannie Mae, 4.0%, 11/1/44 4.0 11/01/2044 857,810 907,403
TD Ameritrade Holding Corp., 3.625%, 4/1/25 3.625 04/01/2025 7,599,000 7,830,577
Government National Mortgage Association I, 4.0%, 10/15/41 4.0 10/15/2041 73,982 33,145
Fieldwood Energy LLC, Closing Date Loan (Second Lien), 9/30/20 8.375 09/30/2020 2,802,372 1,550,062
Panoche Energy Center LLC, 6.885%, 7/31/29 (144A) 6.885 07/31/2029 3,015,000 3,030,546
Bayview Opportunity Master Fund IIA Trust 2012-4NPL Series III, Floating Rate Note, 2/28/35 (144A) 3.721 02/28/2035 2,100,000 1,347,994
Federal Home Loan Mortgage Corp., 5.0%, 5/1/34 5.0 05/01/2034 1,278,937 57,530
JP Morgan Mortgage Trust 2015-4, Floating Rate Note, 6/25/45 (144A) 3.5 06/25/2045 3,025,000 3,044,980
Macquarie Bank, Ltd., 4.875%, 6/10/25 (144A) 4.875 06/10/2025 11,800,000 11,826,647
Government National Mortgage Association I, 6.0%, 1/15/17 6.0 01/15/2017 5,010,192 29,098
Altisource Solutions Sarl, Term B Loan, 12/9/20 4.5 12/09/2020 3,860,728 3,474,655
Fannie Mae, 5.5%, 3/1/36 5.5 03/01/2036 900,090 107,995
Frontier Communications Corp., 8.5%, 4/15/20 8.5 04/15/2020 9,555,000 10,128,565
Advanced Micro Devices, Inc., 7.0%, 7/1/24 7.0 07/01/2024 7,530,000 5,051,375
T-Mobile USA, Inc., 6.542%, 4/28/20 6.542 04/28/2020 4,150,000 4,373,872
Noble Energy, Inc., 5.625%, 5/1/21 5.625 05/01/2021 5,530,000 5,938,410
Red de Carreteras de Occidente SAPIB de CV, 9.0%, 6/10/28 (144A) 9.0 06/10/2028 87,500,000 5,369,073
The Williams Companies, Inc., 7.75%, 6/15/31 7.75 06/15/2031 8,880,000 9,823,489
Calpine Corp 1st Lien Tl-B5 L + 2.75% 28may22 3.5 05/28/2022 5,375,000 5,364,551
U.S. Treasury Bonds, 2.5%, 2/15/45 2.5 02/15/2045 110,200,000 101,742,387
Government National Mortgage Association I, 4.0%, 12/15/40 4.0 12/15/2040 45,640 20,012
Fannie Mae, 5.0%, 7/1/35 5.0 07/01/2035 17,501,965 1,584,110
Fannie Mae, 4.0%, 12/1/44 4.0 12/01/2044 1,624,874 1,548,089
Crown Castle Towers LLC, 6.113%, 1/15/20 (144A) 6.113 01/15/2020 3,135,000 3,503,243
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 0.4605 04/25/2032 84,170,000 6,190,344
Brookfield Residential Properties, Inc., 6.125%, 7/1/22 (144A) 6.125 07/01/2022 5,880,000 5,763,013
Bear Stearns ALT-A Trust 2004-10, Floating Rate Note, 9/25/34 1.0905 09/25/2034 6,300,000 3,493,449
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 379,505 354,734
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1.7653 01/07/2019 950,000 944,497
VTB Bank OJSC Via VTB Capital SA, 6.95%, 10/17/22 (144A) 6.95 10/17/2022 7,400,000 6,842,838
Inter-American Development Bank, 7.25%, 7/17/17 7.25 07/17/2017 22,600,000,000 1,613,027
Fannie Mae, 5.0%, 6/1/35 5.0 06/01/2035 77,359,128 6,445,122
Federal Home Loan Mortgage Corp., 6.0%, 1/1/34 6.0 01/01/2034 1,000,000 95,619
LDK Solar Co, Ltd., 5.535%, 12/31/18 (PIK) 5.535 12/31/2018 1,996,566 412,820
Federal Home Loan Mortgage Corp., 4.5%, 11/1/40 4.5 11/01/2040 2,993,000 1,294,089
ONEOK, Inc., 6.875%, 9/30/28 6.875 09/30/2028 9,425,000 10,505,743
Government National Mortgage Association I, 4.0%, 8/15/44 4.0 08/15/2044 368,090 325,180
US Airways, Inc., Tranche B-2 Term Loan (Consenting), 11/23/16 3.0 11/23/2016 354,375 354,560
Government National Mortgage Association I, 6.0%, 9/15/19 6.0 09/15/2019 1,044,422 14,975
Government National Mortgage Association I, 7.0%, 5/15/29 7.0 05/15/2029 135,001 808
Fannie Mae, 4.0%, 12/1/40 4.0 12/01/2040 9,810,000 6,296,796
Sabre GLBL, Inc., Incremental Term Loan, 2/19/19 4.0 02/19/2019 3,850,669 3,871,848
Federal National Mortgage Association REMICS, 3.5%, 1/25/29 3.5 01/25/2029 6,000,000 80,467
Russian Federal Bond - OFZ, 7.0%, 8/16/23 7.0 08/16/2023 1,335,681,000 18,281,668
Federal Home Loan Mortgage Corp., 6.0%, 6/1/35 6.0 06/01/2035 4,500,000 179,910
Federal Home Loan Mortgage Corp., 2.5%, 1/1/30 2.5 01/01/2030 1,090,059 1,074,607
RPI Finance Trust, Term B-3 Term Loan, 11/9/18 3.25 11/09/2018 7,799,518 7,842,415
Massachusetts Health & Educational Facilities Authority, 5.5%, 7/1/32 5.5 07/01/2032 4,550,000 6,096,424
Six Flags Theme Parks, Inc., 12/20/18 3.5007 12/20/2018 0 0
Approach Resources, Inc., 7.0%, 6/15/21 7.0 06/15/2021 1,080,000 924,960
Government National Mortgage Association I, 4.0%, 8/15/44 4.0 08/15/2044 503,572 407,928
Nationstar Mortgage LLC, 6.5%, 6/1/22 6.5 06/01/2022 4,695,000 4,323,313
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 3.25 10/18/2018 5,249,981 5,250,800
Government National Mortgage Association I, 6.0%, 7/15/33 6.0 07/15/2033 3,367,971 92,539
Leaf Receivables Funding 8 LLC, 5.5%, 9/15/20 (144A) 5.5 09/15/2020 2,141,566 2,168,133
Government National Mortgage Association I, 5.5%, 1/15/35 5.5 01/15/2035 2,028,000 171,802
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 2.7 08/15/2018 3,700,000 3,741,170
Towd Point Mortgage Trust 2015-1, Floating Rate Note, 11/25/57 (144A) 3.75 11/25/2057 4,461,000 4,446,939
Government National Mortgage Association I, 4.0%, 8/15/43 4.0 08/15/2043 2,615,205 1,745,866
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-D REMICS, Floating Rate Note, 9/25/29 0.9705 09/25/2029 6,410,000 1,004,002
Crown Castle Towers LLC, 3.222%, 5/15/42 (144A) 3.222 05/15/2042 3,750,000 3,717,870
MacDermid, Inc., Tranche B Term Loan (First Lien), 6/7/20 4.5 06/07/2020 5,055,125 5,082,655
Rain CII Carbon LLC, 8.0%, 12/1/18 (144A) 8.0 12/01/2018 3,875,000 3,839,479
Flextronics International, Ltd., 5.0%, 2/15/23 5.0 02/15/2023 15,200,000 15,759,444
Lehman Brothers Small Balance Commercial Mortgage Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 0.3905 09/25/2036 8,954,321 1,645,137
Silverton RE, Ltd., 0.0%, 9/18/17 (Cat Bond) (144A) 0.0 09/18/2017 4,500,000 4,990,500
JP Morgan Mortgage Trust 2014-IVR3, Floating Rate Note, 9/26/44 (144A) 3.1966 09/26/2044 8,399,600 6,291,040
CHS, Incremental 2019 Term G Loan, 12/31/19 3.0318 12/31/2019 2,147,346 2,154,503
Government National Mortgage Association I, 4.0%, 4/15/39 4.0 04/15/2039 90,132 21,380
WinWater Mortgage Loan Trust 2015-1 REMICS, Floating Rate Note, 1/20/45 (144A) 3.5 01/20/2045 8,530,000 7,217,661
Springleaf Mortgage Loan Trust 2012-3, Floating Rate Note, 12/26/59 (144A) 5.3 12/26/2059 1,100,000 1,135,650
Enterprise Products Operating LLC, Floating Rate Note, 8/1/66 8.375 08/01/2066 3,683,000 3,910,886
Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A) 3.763 11/25/2019 6,190,000 6,110,949
Selma Industrial Development Board, 6.25%, 11/1/33 6.25 11/01/2033 3,700,000 4,308,299
Vencore 1st Lien Tl L + 4.75% 19nov19 5.75 11/19/2019 5,077,052 5,104,819
JP Morgan Mortgage Trust 2013-2, Floating Rate Note, 5/25/43 (144A) 3.6946 05/25/2043 3,983,000 3,826,772
Xerium Technologies, Inc., Initial Term Loan, 5/17/19 5.75 05/17/2019 784,010 790,870
Wyle 1st Lien Tl-B L + 4% 22may21 5.0 05/22/2021 1,182,829 1,183,065
FREMF Mortgage Trust 2010-K8, Floating Rate Note, 9/25/43 (144A) 5.4054 09/25/2043 1,980,000 2,212,894
14112z Zero% 01feb19 0.0 02/01/2019 14,100,000 15,141,990
Israel Electric Corp, Ltd., 6.7%, 2/10/17 (144A) 6.7 02/10/2017 4,150,000 4,553,899
Fannie Mae, 4.0%, 7/1/18 4.0 07/01/2018 75,000 3,008
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 0.3573 04/16/2035 11,600,000 4,200,274
Government National Mortgage Association I, 6.5%, 10/15/32 6.5 10/15/2032 302,974 16,738
Petroleos Mexicanos, 7.19%, 9/12/24 (144A) 7.19 09/12/2024 14,965,000 935,448
Bayview Opportunity Master Fund Trust IIIa 2014-12RPL, 3.6225%, 7/28/19 (Step) (144A) 3.6225 07/28/2019 4,000,000 1,266,357
Government National Mortgage Association I, 5.5%, 10/15/19 5.5 10/15/2019 300,000 31,797
Fannie Mae, 4.5%, 4/1/41 4.5 04/01/2041 25,000 9,876
Australia Government Bond, 3.25%, 4/21/25 3.25 04/21/2025 86,500,000 66,342,570
China Government Bond, 3.0%, 11/21/19 3.0 11/21/2019 62,500,000 10,100,901
Government National Mortgage Association I, 4.0%, 10/15/41 4.0 10/15/2041 543,395 241,106
Electricite de France SA, 6.0%, 1/22/14 (144A) 6.0   23,175,000 25,956,742
Springleaf Funding Trust 2014-A, 2.41%, 12/15/22 (144A) 2.41 12/15/2022 5,000,000 5,020,016
GSR Mortgage Loan Trust 2005-AR1, Floating Rate Note, 1/25/35 2.6373 01/25/2035 19,862,000 3,626,769
LSTAR Commercial Mortgage Trust 2015-3, Floating Rate Note, 4/20/48 (144A) 3.447 04/20/2048 8,410,000 8,231,998
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 0.6905 09/25/2035 3,997,000 3,588,263
Government National Mortgage Association I, 4.0%, 7/15/41 4.0 07/15/2041 42,737 19,324
Nakilat, Inc., 6.067%, 12/31/33 (144A) 6.067 12/31/2033 1,965,000 2,294,578
Enel S.p.A., Floating Rate Note, 9/24/73 (144A) 8.133 09/24/2073 10,830,000 13,029,769
Morgan Stanley, 4.1%, 5/22/23 4.1 05/22/2023 13,200,000 13,504,766
RENT-A-CENTER, INC, Term Loan (2014), 2/6/21 3.75 02/06/2021 1,790,932 1,790,932
Cengage Learning Holdings II LP     90,687 2,554,381
Gulf Coast Waste Disposal Authority, Floating Rate Note, 5/1/28 5.2 05/01/2028 4,450,000 4,637,434
Blue Danube II, Ltd., Floating Rate Note, 5/23/18 (Cat Bond) (144A) 4.3682 05/23/2018 5,650,000 5,667,682
Wells Fargo Commercial Mortgage Trust 2014-LC16 REMICS, 3.477%, 8/17/50 3.477 08/17/2050 7,000,000 7,310,860
Sequoia Mortgage Trust 2015-3, Floating Rate Note, 7/25/45 (144A) 3.5 07/25/2045 7,535,000 7,624,006
Zero% 30nov19 0.0 11/30/2019 14,520,000 14,749,416
WCA Waste Corp., Term Loan, 3/23/18 4.0 03/23/2018 3,647,475 3,636,077
Aspen Insurance Holdings, Ltd., Floating Rate Note (Perpetual) 5.95 12/31/2049 234,249 5,996,774
Croatia Government International Bond, 5.5%, 4/4/23 (144A) 5.5 04/04/2023 7,900,000 8,262,444
JPMorgan Chase & Co., 1.0%, 9/20/17 5.0 12/20/2017 7,000,000 739,592
Cummins, Inc., 5.65%, 3/1/98 5.65   14,150,000 15,697,185
Government National Mortgage Association I, 4.0%, 6/15/41 4.0 06/15/2041 15,464,981 5,836,137
Sequoia Mortgage Trust 2013-4, Floating Rate Note, 4/27/43 2.5 04/27/2043 9,720,000 7,776,492
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 3.9651 05/18/2016 50,000 50,518
Government National Mortgage Association II, 4.5%, 3/20/35 4.5 03/20/2035 4,250,000 622,168
Vedanta Resources Plc, 6.0%, 1/31/19 (144A) 6.0 01/31/2019 5,850,000 5,500,326
Fannie Mae, 4.0%, 10/1/43 4.0 10/01/2043 6,376,304 5,678,239
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 2.02 01/15/2019 500,000 500,552
PHH Mortgage Capital LLC, 6.600001%, 12/25/27 (Step) (144A) 6.6 12/25/2027 14,800,000 320,692
CSMC Trust 2014-IVR3 REMICS, Floating Rate Note, 7/25/44 (144A) 3.5 07/25/2044 12,205,000 7,599,490
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/31 5.0 12/15/2031 9,165,000 9,930,634
EnLink Midstream Partners LP, 4.4%, 4/1/24 4.4 04/01/2024 16,448,000 16,336,872
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/20 (Cat Bond) (144A) 6.8551 04/07/2020 5,300,000 5,393,751
Rovi Solutions Corp 1st Lien Tl-B L + 3% 02jul21 3.75 07/02/2021 3,244,606 3,179,714
Dolphin Energy, Ltd., 5.5%, 12/15/21 (144A) 5.5 12/15/2021 3,780,000 4,328,205
Valeant Pharmaceuticals International, Inc., Series E1 Tranche B Term Loan, 8/5/20 3.5 08/05/2020 6,238,200 6,252,124
American Homes 4 Rent 2014-SFR3 Trust, 4.596%, 12/18/36 (144A) 4.596 12/18/2036 5,000,000 5,064,270
COMM 2012-CCRE2 Mortgage Trust, 4.393%, 8/17/45 4.393 08/17/2045 1,275,000 1,373,872
Government National Mortgage Association I, 4.5%, 4/15/35 4.5 04/15/2035 1,135,738 162,194
Revlon Consumer Products Corp., Replacement Term Loan, 11/19/17 3.25 11/19/2017 2,689,539 2,692,900
Qwest Corp., 7.375%, 6/1/51 7.375 06/01/2051 572,600 14,910,504
LSTAR Securities Investment Trust 2015-4, Floating Rate Note, 4/1/20 (144A) 3.6803 04/01/2020 5,000,000 4,899,927
Electricite de France SA, Floating Rate Note (Perpetual) (144A) 5.25 12/31/2049 5,285,000 5,418,666
Fannie Mae, 4.0%, 3/1/39 4.0 03/01/2039 57,519 33,613
Buckeye Partners LP, 6.05%, 1/15/18 6.05 01/15/2018 1,770,000 1,923,731
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 1/25/35 2.4014 01/25/2035 11,606,000 2,443,016
Government National Mortgage Association I, 5.5%, 6/15/35 5.5 06/15/2035 2,028,692 163,351
KB Home, 1.375%, 2/1/19 1.375 02/01/2019 7,875,000 7,658,438
Cobalt International Energy, Inc., 2.625%, 12/1/19 2.625 12/01/2019 10,040,000 6,783,275
Government National Mortgage Association I, 4.0%, 10/15/43 4.0 10/15/2043 28,158 16,223
Fannie Mae, 5.5%, 7/1/33 5.5 07/01/2033 1,900,000 74,172
Newfield Exploration Co., 5.625%, 7/1/24 5.625 07/01/2024 6,125,000 6,031,211
Asciano Finance, Ltd., 5.0%, 4/7/18 (144A) 5.0 04/07/2018 4,200,000 4,553,637
U.S. Treasury Inflation Indexed Bonds, 0.125%, 7/15/24 0.125 07/15/2024 148,075,000 144,080,899
Virgin Media 1st Lien Tl-F L + 2.75% 30jun23 3.5 06/30/2023 17,041,760 17,007,149
The Priceline Group, Inc., 0.9%, 9/15/21 (144A) 0.9 09/15/2021 7,740,000 7,543,791
Government National Mortgage Association I, 4.0%, 12/15/41 4.0 12/15/2041 100,000 27,339
State of Washington, 3.0%, 7/1/28 3.0 07/01/2028 2,550,000 2,569,482
Massachusetts Institute of Technology, 5.6%, 7/1/11 5.6   4,025,000 5,072,022
Government National Mortgage Association I, 5.5%, 7/15/33 5.5 07/15/2033 1,500,000 135,951
Bayview Commercial Asset Trust 2007-2, 0.0%, 7/27/37 (Step) (144A) 0.0 07/27/2037 49,000,000 0
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 3.1388 07/15/2023 3,250,000 2,858,955
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 871,367 492,261
Government National Mortgage Association I, 6.0%, 7/15/17 6.0 07/15/2017 2,966,457 105,925
Government National Mortgage Association I, 6.0%, 11/15/33 6.0 11/15/2033 3,200,000 300,296
WF-RBS Commercial Mortgage Trust 2011-C2, Floating Rate Note, 2/15/44 (144A) 5.392 02/15/2044 1,200,000 1,316,230
Antero Resources Corp., 5.125%, 12/1/22 5.125 12/01/2022 8,000,000 7,628,333
Transnet SOC, Ltd., 4.0%, 7/26/22 (144A) 4.0 07/26/2022 2,050,000 1,960,234
Spirit Master Funding LLC, 5.74%, 3/20/42 (144A) 5.74 03/20/2042 1,250,704 1,371,143
Vers 2015-A Zero% 31dec17 0.0 12/31/2017 12,033,893 12,859,418
Fannie Mae, 4.5%, 11/1/43 4.5 11/01/2043 3,906,562 3,876,079
BRF SA, 3.95%, 5/22/23 (144A) 3.95 05/22/2023 3,500,000 3,263,998
Citicorp Residential Mortgage Trust Series 2007-1, 5.87546%, 3/25/37 (Step) 5.8556 03/25/2037 5,893,000 5,231,280
Long Haul Holdings, Ltd., Facility B Loan, 11/17/13 8.152 01/15/2015 1,392,235 522,088
Government National Mortgage Association I, 4.0%, 9/15/43 4.0 09/15/2043 43,512 35,575
The Medicines Co., 2.5%, 1/15/22 (144A) 2.5 01/15/2022 6,350,000 7,301,618
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 0.3605 08/25/2036 7,062,778 1,426,817
Bayview Commercial Asset Trust 2007-4, 3.485463%, 9/25/37 (Step) (144A) 3.4855 09/25/2037 77,809,000 1,205,673
Flt% 15jun16 0.0 06/15/2016 2,260,378 2,218,561
Fannie Mae, 4.0%, 7/1/42 4.0 07/01/2042 424,314 273,466
RALI Series 2003-QS11 Trust, 5.25%, 6/25/33 5.25 06/25/2033 1,413,328 605,280
TAM Capital 3, Inc., 8.375%, 6/3/21 (144A) 8.375 06/03/2021 4,965,000 5,174,737
Continental Airlines 1999-1 Class B Pass Through Trust, 6.795%, 8/2/18 6.795 08/02/2018 3,500,000 248,278
Government National Mortgage Association I, 4.5%, 4/15/35 4.5 04/15/2035 864,262 104,407
Government National Mortgage Association I, 4.0%, 7/15/41 4.0 07/15/2041 67,258 35,896
Capital Automotive Real Estate Investment Trust, 3.66%, 10/17/44 (144A) 3.66 10/17/2044 11,000,000 11,053,522
JPMorgan Chase & Co., 4.25%, 11/2/18 4.25 11/02/2018 15,300,000 10,361,055
Indonesia Treasury Bond, 7.0%, 5/15/22 7.0 05/15/2022 34,113,000,000 2,354,278
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 1,500,000 1,546,618
UBS AG, 7.625%, 8/17/22 7.625 08/17/2022 16,775,000 20,286,714
Fannie Mae, 7.0%, 5/1/28 7.0 05/01/2028 200,000 1,512
Garda World Security Corp., Term B Loan, 11/1/20 4.0 11/01/2020 4,078,284 4,062,990
Government National Mortgage Association I, 5.5%, 9/15/19 5.5 09/15/2019 2,338,171 67,748
Wells Fargo & Co., 7.5% (Perpetual) 7.5 12/31/2049 31,527 37,583,652
Arcelik AS, 5.0%, 4/3/23 (144A) 5.0 04/03/2023 8,100,000 7,774,452
Banco Continental SA via Continental Trustees Cayman, Ltd., Floating Rate Note, 10/7/40 (144A) 7.375 10/07/2040 6,400,000 7,198,139
Zebra Technologies Corporation 1st Lien Tl-B L + 4% 30sep21 4.75 09/30/2021 1,528,977 1,549,258
Macquarie Group, Ltd., 6.25%, 1/14/21 (144A) 6.25 01/14/2021 7,750,000 8,855,866
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 0.5605 10/25/2035 1,725,000 1,521,870
Fannie Mae, 4.0%, 11/1/44 4.0 11/01/2044 382,861 362,009
Energy Transfer Partners LP, Floating Rate Note, 11/1/66 3.2957 11/01/2066 4,234,000 3,549,880
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 750,000 99,880
Sequoia Mortgage Trust 2013-3, Floating Rate Note, 3/25/43 3.5363 03/25/2043 5,090,000 4,791,230
VOLT XXXIII LLC, 3.5%, 3/25/55 (Step) (144A) 3.5 03/25/2055 3,500,000 3,330,849
Washington Suburban Sanitary Commission, 4.0%, 6/1/43 4.0 06/01/2043 5,440,000 5,643,601
National Financial Partners 1st Lien Tl-B L + 3.5% 01jul20 4.5 07/01/2020 2,709,530 2,712,240
Alkermes, Inc., 2019 Term Loan, 9/25/19 3.5 09/25/2019 1,824,868 1,827,910
Viterra, Inc., 5.95%, 8/1/20 (144A) 5.95 08/01/2020 12,880,000 14,366,442
Fannie Mae, 4.0%, 8/1/44 4.0 08/01/2044 1,790,911 1,264,619
Banco Nacional de Costa Rica, 4.875%, 11/1/18 (144A) 4.875 11/01/2018 5,000,000 5,135,938
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 3.0 06/25/2043 4,155,000 3,362,903
Fannie Mae, 6.0%, 7/1/38 6.0 07/01/2038 2,040,000 167,816
Aircastle, Ltd., 7.625%, 4/15/20 7.625 04/15/2020 2,900,000 3,414,609
Digital Realty Trust, Inc., 5.875% (Perpetual) 5.875 12/31/2049 27,458 665,857
Government National Mortgage Association I, 4.0%, 11/15/44 4.0 11/15/2044 27,967 29,650
Fannie Mae, 5.0%, 7/1/39 5.0 07/01/2039 2,516,008 805,053
Fannie Mae, 3.5%, 7/1/43 3.5 07/01/2043 17,883,284 16,447,344
Novatek OAO via Novatek Finance, Ltd., 4.422%, 12/13/22 (144A) 4.422 12/13/2022 15,700,000 13,698,972
Morgan Stanley, Floating Rate Note (Perpetual) 5.55 12/31/2049 1,750,000 1,745,567
Macdermid Incorporated 1st Lien Tl-B2 L + 3.75% 07jun20 4.75 06/07/2020 1,318,375 1,326,306
Alexandria Real Estate Equities, Inc., 3.9%, 6/15/23 3.9 06/15/2023 4,802,000 4,808,580
FREMF Mortgage Trust 2012-K710, Floating Rate Note, 6/25/47 (144A) 3.9495 06/25/2047 3,661,000 3,826,622
UnitedHealth Group, Inc., 3.35%, 7/15/22 3.35 07/15/2022 21,300,000 21,750,036
Fannie Mae, 0.5%, 12/15/33 0.5 12/15/2033 7,290,000 6,966,608
Worthington Industries, Inc., 4.55%, 4/15/26 4.55 04/15/2026 3,875,000 4,024,649
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 5.73 11/15/2035 1,500,000 581,218
Fannie Mae, 2.5%, 7/1/30 2.5 07/01/2030 4,210,000 4,244,144
Poland Government International Bond, 4.0%, 1/22/24 4.0 01/22/2024 6,700,000 7,085,116
PDC Energy, Inc., 7.75%, 10/15/22 7.75 10/15/2022 8,425,000 8,880,535
IRSA Inversiones y Representaciones SA, 8.5%, 2/2/17 (144A) 8.5 02/02/2017 50,000 52,113
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 667,424 592,470
Sector Re V, Ltd., 0.0%, 3/30/19 (Cat Bond) (144A) 0.0 03/30/2019 3,270 451,762
Fannie Mae, 5.0%, 6/1/40 5.0 06/01/2040 11,550,000 3,658,277
Rentech Nitrogen Partners LP, 6.5%, 4/15/21 (144A) 6.5 04/15/2021 1,375,000 1,370,378
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/30 5.0 12/15/2030 4,585,000 4,983,340
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 3.25 11/05/2020 1,141,332 1,148,019
Immucor, Inc., Term B-2 Loan, 8/19/18 5.0 08/19/2018 8,304,559 8,335,701
Southern California Edison Co., Floating Rate Note (Perpetual) 6.25 12/31/2049 8,675,000 9,846,125
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 2.4405 03/25/2032 7,961,000 1,006,729
Government National Mortgage Association I, 4.0%, 9/15/41 4.0 09/15/2041 47,082 14,803
Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37 0.3405 03/25/2037 2,350,000 1,048,303
DBUBS 2011-LC1 Mortgage Trust, Floating Rate Note, 11/13/46 (144A) 5.7349 11/13/2046 2,950,000 3,312,537
Nakilat, Inc., 6.267%, 12/31/33 (144A) 6.267 12/31/2033 4,240,000 4,397,835
State Street Corp., Floating Rate Note, 12/31/73 5.9 12/31/2073 236,600 6,144,502
Sterigenics-Nordion Holdings Llc 1st Lien Tl-B L + 3.25% 27apr22 4.25 04/27/2022 1,645,000 1,657,338
Empresas ICA SAB de CV, 8.375%, 7/24/17 (144A) 8.375 07/24/2017 3,400,000 3,235,537
Fannie Mae, 4.0%, 2/1/44 4.0 02/01/2044 3,344,903 3,185,402
Bear Stearns ALT-A Trust 2005-2, Floating Rate Note, 3/25/35 0.9405 03/25/2035 7,373,000 6,325,314
Endo, Ltd., 6.0%, 2/1/25 (144A) 6.0 02/01/2025 1,975,000 2,094,817
Government National Mortgage Association I, 4.0%, 10/15/41 4.0 10/15/2041 48,381 22,582
Microsemi Corp., Term Loan (2014), 3/14/21 3.25 03/14/2021 1,642,408 1,645,077
Citigroup, Inc., Floating Rate Note (Perpetual) 5.95 12/31/2049 15,280,000 15,148,825
Fannie Mae, 4.0%, 6/1/42 4.0 06/01/2042 408,899 276,775
Government National Mortgage Association I, 4.0%, 8/15/41 4.0 08/15/2041 62,481 17,416
Remy International, Inc., Term B Loan 2013, 3/5/20 4.25 03/05/2020 8,497,376 8,523,930
Government National Mortgage Association I, 6.0%, 9/15/33 6.0 09/15/2033 2,000,000 124,667
BBVA Bancomer SA Texas, 6.5%, 3/10/21 (144A) 6.5 03/10/2021 23,300,000 26,339,679
VOLT XIX LLC, 3.875%, 4/26/55 (Step) 3.875 04/26/2055 5,300,000 2,711,234
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 5.25 04/25/2032 6,500,000 1,664,951
Outerwall, Inc., 6.0%, 3/15/19 6.0 03/15/2019 5,420,000 5,597,053
Government National Mortgage Association I, 4.0%, 5/15/43 4.0 05/15/2043 25,254 22,226
Government National Mortgage Association I, 4.5%, 8/15/41 4.5 08/15/2041 17,565,000 6,732,722
Velocity Commercial Capital Loan Trust 2015-1, Floating Rate Note, 6/25/45 (144A) 5.28 06/25/2045 5,565,000 5,612,303
Rosneft Finance SA, 6.625%, 3/20/17 (144A) 6.625 03/20/2017 1,395,000 1,473,968
Equity One Mortgage Pass-Through Trust 2004-1, 4.205%, 4/25/34 (Step) 4.205 04/25/2034 1,250,000 59,486
Ship Midco, Ltd., Facility B2A-II, 11/29/19 5.25 11/29/2019 1,807,218 1,820,772
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 5,825,133 5,958,529
Fannie Mae, 3.5%, 6/1/42 3.5 06/01/2042 2,314,862 1,827,951
Russian Federal Bond - OFZ, 7.6%, 7/20/22 7.6 07/20/2022 25,000 363
Activision Blizzard, Inc., 5.625%, 9/15/21 (144A) 5.625 09/15/2021 6,015,000 6,443,569
BioScrip, Inc., Delayed Draw Term Loan, 7/31/20 6.5 07/31/2020 2,589,552 2,578,222
DaVita HealthCare Partners, Inc., Tranche B Term Loan, 6/19/21 3.5 06/19/2021 5,875,963 5,896,776
Government National Mortgage Association I, 6.0%, 8/15/16 6.0 08/15/2016 43,573 210
Fannie Mae, 4.0%, 10/1/44 4.0 10/01/2044 231,617 223,701
New Residential Mortgage Loan Trust 2014-1, Floating Rate Note, 1/25/54 (144A) 3.75 01/25/2054 13,750,000 10,774,712
Liberty Tire Recycling Llc     185,819 1,858
Fannie Mae, 5.0%, 10/1/40 5.0 10/01/2040 1,617,334 926,847
Monitronics International, Inc., Term B Loan (2013), 3/23/18 4.25 03/23/2018 3,372,987 3,388,800
Audatex North America, Inc., 6.0%, 6/15/21 (144A) 6.0 06/15/2021 13,230,000 13,612,568
Six Flags Theme Parks Inc 1st Lien Tl-B L + 2.75% 30jun22 3.5 06/30/2022 1,435,000 1,442,624
Fannie Mae, 4.0%, 11/1/42 4.0 11/01/2042 1,510,120 962,223
Fitness International Llc 1st Lien Tl-B L + 4.5% 25jun20 5.5 06/25/2020 4,898,204 4,719,116
Federal Home Loan Mortgage Corp., 5.5%, 10/1/16 5.5 10/01/2016 1,152,073 3,666
Univision Communications, Inc., 2013 Incremental Term Loan, 3/1/20 4.0 03/01/2020 2,198,743 2,198,743
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 1.0905 10/25/2028 5,273,350 939,093
Vanguard Natural Resources LLC, 7.875%, 4/1/20 7.875 04/01/2020 3,650,000 3,354,627
Noranda Aluminum Acquisition Corp., Term B Loan, 2/28/19 5.75 02/28/2019 1,044,900 734,042
Fannie Mae, 4.0%, 5/1/44 4.0 05/01/2044 16,300,000 12,859,019
Weatherford International, Ltd. Bermuda, 9.625%, 3/1/19 9.625 03/01/2019 4,070,000 4,809,100
Fannie Mae, 4.0%, 6/1/44 4.0 06/01/2044 1,896,658 1,391,518
Government National Mortgage Association I, 4.0%, 2/15/42 4.0 02/15/2042 158,615 21,943
Capital Auto Receivables Asset Trust 2013-1, 2.19%, 9/20/21 2.19 09/20/2021 3,165,000 3,187,997
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 4.0153 05/05/2017 7,650,000 7,551,655
Glenn Pool Oil & Gas Trust, Term Loan, 5/2/16 4.5 05/02/2016 2,030,680 2,025,603
Government National Mortgage Association I, 4.0%, 5/15/44 4.0 05/15/2044 362,947 234,200
Ascentium Equipment Receivables 2014-1 LLC, 3.1%, 6/10/21 (144A) 3.1 06/10/2021 800,000 813,356
Fannie Mae, 6.0%, 10/1/32 6.0 10/01/2032 200,552 3,708
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 3.513 05/05/2017 3,000,000 2,951,442
Government National Mortgage Association I, 6.0%, 11/15/18 6.0 11/15/2018 197,092 1,659
Virginia Commonwealth Transportation Board, 4.0%, 5/15/32 4.0 05/15/2032 7,500,000 7,931,508
Federal Home Loan Mortgage Corp., 4.5%, 3/1/44 4.5 03/01/2044 87,965 59,686
Progreso Receivables Funding LLC, 3.0%, 7/8/20 3.0 07/08/2020 4,000,000 4,009,659
Fannie Mae, 4.0%, 9/1/37 4.0 09/01/2037 1,307,922 844,376
The Hanover Insurance Group, Inc., 6.375%, 6/15/21 6.375 06/15/2021 12,600,000 14,579,924
Fannie Mae, 5.0%, 5/1/38 5.0 05/01/2038 9,123,173 729,183
USI, Inc. New York, Initial Term Loan, 12/30/19 4.25 12/30/2019 26,206,652 26,244,862
Government National Mortgage Association I, 6.5%, 9/15/32 6.5 09/15/2032 1,709,146 115,455
AdvancePierre Foods, Inc., Term Loan (First Lien), 7/10/17 5.75 07/10/2017 1,349,820 1,355,219
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 2/25/34 2.551 02/25/2034 1,200,000 21,694
Voya Financial, Inc., Floating Rate Note, 5/15/53 5.65 05/15/2053 2,700,000 2,790,525
WireCo WorldGroup, Inc., Term Loan, 2/15/17 6.0 02/15/2017 2,641,861 2,651,768
Government National Mortgage Association I, 6.0%, 7/15/33 6.0 07/15/2033 2,789,309 220,375
Conseco Financial Corp., Floating Rate Note, 12/1/28 6.24 12/01/2028 4,121,000 175,461
Seagate HDD Cayman, 4.875%, 6/1/27 (144A) 4.875 06/01/2027 6,400,000 6,223,309
Government National Mortgage Association I, 4.0%, 12/15/41 4.0 12/15/2041 50,000 31,142
Mexican Udibonos, 3.5%, 12/14/17 3.5 12/14/2017 44,360,000 15,480,224
Government National Mortgage Association I, 5.5%, 12/15/35 5.5 12/15/2035 2,360,900 235,928
Securus Technologies Holdings Inc 1st Lien Tl-B2 L + 4.25% 17apr20 5.25 04/17/2020 3,150,000 3,104,719
JLL, Initial Dollar Term Loan, 1/23/21 4.25 01/23/2021 2,435,400 2,430,398
Golar LNG, Ltd., 3.75%, 3/7/17 3.75 03/07/2017 1,700,000 1,975,316
Star West Generation LLC, Term B Advance, 3/13/20 3.5 03/13/2020 2,059,259 2,064,407
Government National Mortgage Association I, 3.5%, 8/20/15 3.5 08/20/2015 34,025,000 35,587,061
Bowdoin College, 4.693%, 7/1/12 4.693   4,550,000 3,944,472
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 3.4737 01/17/2019 500,000 509,747
FREMF Mortgage Trust 2012-K709, Floating Rate Note, 4/25/45 (144A) 3.8722 04/25/2045 5,000,000 5,156,662
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2003-A3, 5.5%, 8/25/33 (Step) 5.5 08/25/2033 43,853,000 2,500,902
On Assignment Inc 1st Lien Tl-B L + 3% 05jun22 3.75 06/05/2022 2,401,221 2,411,726
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A) 9.0 03/16/2016 850,000 876,605
Fannie Mae, 3.5%, 4/1/29 3.5 04/01/2029 7,000,000 6,290,595
Government National Mortgage Association I, 5.5%, 10/15/19 5.5 10/15/2019 3,000,000 306,937
DigitalGlobe, Inc., Term Loan, 1/31/20 3.75 01/31/2020 8,535,608 8,557,835
Sabre GLBL, Inc., Term B Loan, 2/19/19 4.0 02/19/2019 2,984,694 2,999,307
Inter-American Development Bank, 6.0%, 9/5/17 6.0 09/05/2017 208,750,000 3,403,791
Permanent University Fund, 5.0%, 7/1/30 5.0 07/01/2030 2,550,000 3,033,701
National Mentor Holdings, Inc., Tranche B Term Loan, 1/31/21 4.25 01/31/2021 1,295,021 1,299,068
Enterprise Products Operating LLC, 3.7%, 2/15/26 3.7 02/15/2026 10,750,000 10,501,969
New Hampshire Health and Education Facilities Authority Act, 6.5%, 1/1/41 6.5 01/01/2041 4,250,000 4,931,006
Fannie Mae, 4.0%, 1/1/45 4.0 01/01/2045 249,941 251,672
Fannie Mae, 5.5%, 5/1/33 5.5 05/01/2033 750,000 42,158
FREMF Mortgage Trust 2011-K12, Floating Rate Note, 1/25/46 (144A) 4.3452 01/25/2046 3,953,000 4,259,745
Government National Mortgage Association I, 6.5%, 8/15/32 6.5 08/15/2032 300,000 4,217
The Goldman Sachs Group, Inc., 6.75%, 10/1/37 6.75 10/01/2037 5,400,000 6,583,653
WFRBS Commercial Mortgage Trust 2014-LC14, 2.862%, 3/15/47 2.862 03/15/2047 3,450,000 3,558,730
Government National Mortgage Association I, 6.0%, 8/15/32 6.0 08/15/2032 6,200,000 230,630
The Allstate Corp., Floating Rate Note, 1/15/53 5.1 01/15/2053 624,582 16,239,132
Volcan Cia Minera SAA, 5.375%, 2/2/22 (144A) 5.375 02/02/2022 3,360,000 3,252,398
Bombardier Recreational Products, Inc., Term B-2 Loan, 1/30/19 3.75 01/30/2019 4,000,000 4,013,572
Seagate HDD Cayman, 4.75%, 1/1/25 4.75 01/01/2025 3,900,000 3,876,750
KB Home, 8.0%, 3/15/20 8.0 03/15/2020 1,500,000 1,702,833
PetSmart, Inc., Tranche B-1 Loan, 3/10/22 4.25 03/10/2022 5,493,063 5,520,841
WPX Energy, Inc., 7.5%, 8/1/20 7.5 08/01/2020 9,625,000 9,787,422
C&S Group Enterprises LLC, 5.375%, 7/15/22 (144A) 5.375 07/15/2022 391,000 366,519
Government National Mortgage Association I, 4.5%, 7/15/41 4.5 07/15/2041 2,197,000 978,050
Nordea Bank AB, 4.25%, 9/21/22 (144A) 4.25 09/21/2022 17,800,000 18,609,904
Government National Mortgage Association I, 6.0%, 7/15/17 6.0 07/15/2017 6,000,000 71,255
Public Service Co of New Mexico, 7.95%, 5/15/18 7.95 05/15/2018 3,725,000 4,384,758
Banc of America Alternative Loan Trust 2004-10, 6.0%, 11/25/34 6.0 11/25/2034 8,860,000 1,680,175
Structured Asset Investment Loan Trust 2006-1, Floating Rate Note, 1/25/36 0.3905 01/25/2036 8,100,000 1,543,096
FREMF Mortgage Trust 2013-K713, Floating Rate Note, 4/25/46 (144A) 3.1649 04/25/2046 3,400,000 3,453,317
Fannie Mae, 5.0%, 2/1/22 5.0 02/01/2022 6,603,277 296,938
Talen Energy Supply LLC, 4.625%, 7/15/19 (144A) 4.625 07/15/2019 10,935,000 10,629,428
JBS USA LLC, 5.75%, 6/15/25 (144A) 5.75 06/15/2025 2,235,000 2,235,110
Fannie Mae, 4.0%, 11/1/44 4.0 11/01/2044 219,297 204,212
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 1,912,482 1,645,958
Fannie Mae, 6.5%, 8/1/32 6.5 08/01/2032 340,598 3,482
International Paper Co., 3.8%, 1/15/26 3.8 01/15/2026 2,725,000 2,676,716
Glencore Funding LLC, 4.125%, 5/30/23 (144A) 4.125 05/30/2023 5,175,000 4,931,002
WMG Acquisition Corp., Tranche B Refinancing Term Loan, 7/1/20 3.75 07/01/2020 4,865,831 4,825,513
Comstock Resources, Inc., 7.75%, 4/1/19 7.75 04/01/2019 9,120,000 3,518,800
IndyMac INDX Mortgage Loan Trust 2005-AR3, Floating Rate Note, 4/25/35 2.7401 04/25/2035 12,532,000 2,029,091
Hilcorp Energy I LP, 7.625%, 4/15/21 (144A) 7.625 04/15/2021 5,768,000 6,070,540
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 3.0 03/27/2024 6,435,000 2,888,278
Fannie Mae, 4.0%, 1/1/45 4.0 01/01/2045 2,225,464 2,228,707
Fannie Mae, 6.0%, 7/1/17 6.0 07/01/2017 4,000,000 26,155
Dynegy, Inc., Tranche B-2 Term Loan, 4/23/20 4.0 04/23/2020 2,832,019 2,842,345
Massachusetts Development Finance Agency, 5.375%, 4/1/41 5.375 04/01/2041 2,075,000 2,340,303
Pilot Travel Centers Llc 1st Lien Tl-B L + 3.25% 01oct21 4.25 10/01/2021 2,673,438 2,709,481
Seagate HDD Cayman, 4.75%, 6/1/23 4.75 06/01/2023 13,870,000 14,149,712
Wells Fargo Commercial Mortgage Trust 2012-LC5, Floating Rate Note, 10/17/45 4.693 10/17/2045 1,775,000 1,877,257
The Goldman Sachs Group, Inc., 5.2%, 12/17/19 5.2 12/17/2019 13,855,000 9,609,761
Fannie Mae, 6.0%, 4/1/38 6.0 04/01/2038 5,765,562 400,723
Weatherford International, Ltd. Bermuda, 5.95%, 4/15/42 5.95 04/15/2042 3,825,000 3,118,643
Government National Mortgage Association I, 4.0%, 2/15/42 4.0 02/15/2042 55,746 32,827
JBS USA LLC, 8.25%, 2/1/20 (144A) 8.25 02/01/2020 4,650,000 5,120,813
Federal Home Loan Mortgage Corp., 6.0%, 12/1/37 6.0 12/01/2037 5,000,000 250,726
Reynolds Group Issuer, Inc., 9.875%, 8/15/19 9.875 08/15/2019 5,795,000 6,359,489
Sanders Re, Ltd., Floating Rate Note, 5/25/18 (Cat Bond) (144A) 3.0153 05/25/2018 3,500,000 3,404,042
Sempra Energy, 9.8%, 2/15/19 9.8 02/15/2019 50,000 64,824
Samarco Mineracao SA, 5.75%, 10/24/23 (144A) 5.75 10/24/2023 3,000,000 2,995,479
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/26/46 (144A) 3.4206 11/26/2046 3,600,000 3,673,503
AXA SA, 8.6%, 12/15/30 8.6 12/15/2030 10,060,000 13,616,098
Government National Mortgage Association I, 4.5%, 9/15/40 4.5 09/15/2040 1,371,000 706,660
Fannie Mae, 4.0%, 1/1/42 4.0 01/01/2042 8,038,832 3,190,464
Scds: (Do) Usd 20dec19 Buy Bnr1c3dt1 1.0 12/20/2019 10,480,000 -956,124
Expert Global Solutions, Inc., Term B Advance (First Lien), 4/3/18 8.5 04/03/2018 4,427,459 4,438,528
Bear Stearns ARM Trust 2004-12, Floating Rate Note, 2/25/35 3.1751 02/25/2035 7,000,000 889,130
Government National Mortgage Association I, 5.0%, 10/15/18 5.0 10/15/2018 2,975,000 113,057
Pacific Rubiales Energy Corp., 5.375%, 1/26/19 (144A) 5.375 01/26/2019 3,760,000 2,672,407
WFRBS Commercial Mortgage Trust 2011-C3, 3.998%, 3/15/44 (144A) 3.998 03/15/2044 2,885,000 3,053,945
Sequoia Mortgage Trust 2013-7, Floating Rate Note, 6/25/43 3.0 06/25/2043 7,399,368 6,130,025
Desarrolladora Homex SAB de CV, 9.75%, 3/25/20 (144A) 9.75 03/25/2020 3,865,000 1,242,723
JP Morgan Mortgage Trust 2014-1 REMICS, Floating Rate Note, 1/25/44 (144A) 3.9534 01/25/2044 2,749,964 2,057,029
Unifrax I LLC, New Term Euro Loan, 11/28/18 4.5 11/28/2018 3,875,793 4,278,274
Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33 2.7457 09/25/2033 34,229,000 2,488,247
Inter-American Development Bank, 4.5%, 2/4/16 4.5 02/04/2016 92,300,000,000 6,757,531
Aguila 3 SA, 7.875%, 1/31/18 (144A) 7.875 01/31/2018 3,375,000 3,597,223
Government National Mortgage Association I, 4.5%, 11/15/40 4.5 11/15/2040 8,091,166 3,121,627
CVS Pass-Through Trust, 5.773%, 1/10/33 (144A) 5.773 01/10/2033 6,090,000 6,116,509
Government National Mortgage Association I, 5.5%, 4/15/34 5.5 04/15/2034 3,032,660 238,352
University of Southern California, 5.25%, 10/1/11 5.25   2,800,000 3,452,406
Continental Airlines 2012-3 Class C Pass Thru Certificates, 6.125%, 4/29/18 (144A) 6.125 04/29/2018 200,000 212,131
Government National Mortgage Association I, 5.5%, 3/15/37 5.5 03/15/2037 8,000,000 446,156
IASIS Healthcare LLC, Term B-2 Loan, 5/3/18 4.5 05/03/2018 6,181,466 6,204,647
Port Freeport Texas, 5.95%, 5/15/33 5.95 05/15/2033 15,970,000 18,036,855
International Finance Corp., 6.3%, 11/25/24 6.3 11/25/2024 358,950,000 5,350,311
Citigroup Capital XIII, Floating Rate Note, 10/30/40 7.875 10/30/2040 391,543 9,972,600
Alliance One International, Inc., 9.875%, 7/15/21 9.875 07/15/2021 10,630,000 9,374,479
Dole Food Co, Inc., Tranche B Term Loan, 10/25/18 4.5001 10/25/2018 3,219,614 3,236,720
Mohawk Industries, Inc., 3.85%, 2/1/23 3.85 02/01/2023 3,450,000 3,548,387
Inter-American Development Bank, 7.2%, 1/22/18 7.2 01/22/2018 114,720,000,000 8,409,340
Morgan Stanley, Floating Rate Note (Perpetual) 7.125 12/31/2049 324,400 9,076,712
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 0.3805 05/25/2035 1,000,000 61,926
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 11,510,100 11,706,923
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2.0051 04/07/2017 3,800,000 3,786,996
Government National Mortgage Association II, 4.0%, 10/20/44 4.0 10/20/2044 15,115,000 12,646,199
Government National Mortgage Association II, 6.0%, 5/20/32 6.0 05/20/2032 3,000,000 80,214
Aviation Capital Group Corp., 4.625%, 1/31/18 (144A) 4.625 01/31/2018 3,200,000 3,388,264
Vedanta Resources Jersey, Ltd., 5.5%, 7/13/16 5.5 07/13/2016 7,900,000 7,664,975
Federal Home Loan Mortgage Corp., 4.5%, 11/1/43 4.5 11/01/2043 5,934,035 3,703,624
Fannie Mae, 4.5%, 11/1/43 4.5 11/01/2043 1,435,575 1,406,066
Sequoia Mortgage Trust, Floating Rate Note, 11/25/42 3.9193 11/25/2042 2,923,000 2,804,910
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 1.23 03/15/2019 1,000,000 293,603
SBP DPR Finance Co., Floating Rate Note, 3/15/17 (144A) 3.0359 03/15/2017 3,900,000 1,442,117
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 2.336 06/15/2016 4,950,000 4,967,347
Commercial Vehicle Group, Inc., 7.875%, 4/15/19 7.875 04/15/2019 1,125,000 1,184,836
Federal Home Loan Mortgage Corp., 4.5%, 9/1/43 4.5 09/01/2043 147,265 109,804
Fannie Mae, 6.0%, 1/1/34 6.0 01/01/2034 1,800,000 109,050
Oasis Petroleum, Inc., 6.875%, 3/15/22 6.875 03/15/2022 7,870,000 7,444,801
Pelican Products, Inc., Term Loan (First Lien), 4/8/20 5.25 04/08/2020 2,690,228 2,703,679
Embarcadero Reinsurance, Ltd., Floating Rate Note, 2/7/17 (Cat Bond) (144A) 5.0101 02/07/2017 3,750,000 3,797,753
Government National Mortgage Association II, 5.5%, 10/20/37 5.5 10/20/2037 50,000 13,332
Wash Multifamily Acq 1st Lien 1st Lien Tl-B L + 3.25% 15may22   05/15/2022 52,160 52,095
Fannie Mae, 6.0%, 12/1/32 6.0 12/01/2032 3,234,929 67,022
Dollar Tree Inc 1st Lien Tl-B1 L + 2.75% 09mar22 3.5 03/09/2022 2,111,111 2,119,467
Fannie Mae, 6.5%, 6/1/31 6.5 06/01/2031 25,095 314
MCC Iowa LLC, Tranche H Term Loan, 1/29/21 3.25 01/29/2021 3,763,200 3,749,856
Fannie Mae, 4.0%, 8/13/15 4.0 08/13/2015 33,900,000 36,108,973
AWAS Finance Luxembourg 2012 SA, Term Loan, 7/16/18 3.5 07/16/2018 3,179,710 3,201,570
Federal Home Loan Mortgage Corp., 6.0%, 6/1/17 6.0 06/01/2017 14,424,315 96,994
Revlon Consumer Products Corp., Acquisition Term Loan, 8/19/19 4.0 08/19/2019 1,831,983 1,836,105
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates Series 20, Floating Rate Note 0.6705 07/25/2035 6,674,000 5,697,668
Spectrum Brands Inc 1st Lien Tl L + 3% 16jun22 3.75 06/16/2022 125,517 126,223
Fannie Mae, 2.5%, 7/1/30 2.5 07/01/2030 6,980,000 7,078,413
The Goodyear Tire & Rubber Co., Loan (Second Lien), 4/30/19 3.75 04/30/2019 8,270,833 8,321,236
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 3.75 06/30/2019 5,498,414 4,519,581
Fannie Mae, 4.0%, 12/1/41 4.0 12/01/2041 220,620 106,467
Calpine Corp., Term Loan (10/12), 10/9/19 4.0 10/09/2019 1,069,750 1,074,263
Government National Mortgage Association I, 4.0%, 11/15/42 4.0 11/15/2042 51,024 17,940
RegionalCare Hospital Partners, Inc., Term Loan (First Lien), 4/21/19 5.25 04/21/2019 3,177,362 3,181,333
DBUBS 2011-LC3 Mortgage Trust, Floating Rate Note, 8/12/44 (144A) 5.5824 08/12/2044 6,767,000 7,704,655
Government National Mortgage Association I, 6.5%, 2/15/32 6.5 02/15/2032 417,022 5,291
Bear Stearns ARM Trust 2003-9, Floating Rate Note, 2/25/34 2.6901 02/25/2034 7,754,500 3,360,530
Instituto Costarricense de Electricidad, 6.375%, 5/15/43 (144A) 6.375 05/15/2043 6,100,000 5,160,346
US Residential Opportunity Fund III Trust 2015-1, 3.7213%, 1/29/35 (144A) 3.7213 01/29/2035 5,300,000 4,987,722
JBS Investments GmbH, 7.75%, 10/28/20 (144A) 7.75 10/28/2020 4,600,000 5,060,096
Fannie Mae, 4.0%, 12/1/44 4.0 12/01/2044 1,536,140 1,367,864
Appvion, Inc., Term Commitment, 6/28/19 5.75 06/28/2019 14,872,666 13,998,897
Magnesita Finance, Ltd., 8.625% (Perpetual) (144A) 8.625 12/31/2049 4,200,000 3,417,663
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 3.5102 01/06/2019 1,000,000 980,936
Indianapolis Airport Authority, 5.1%, 1/15/17 5.1 01/15/2017 3,450,000 3,662,819
Fannie Mae, 7.0%, 2/1/29 7.0 02/01/2029 43,569 536
Fannie Mae, 4.5%, 8/1/40 4.5 08/01/2040 1,000,000 274,236
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 0.3405 05/25/2036 2,125,362 433,162
Fannie Mae, 4.5%, 3/1/41 4.5 03/01/2041 3,179,532 1,357,541
Banc of America Mortgage Trust 2004-11, 5.75%, 1/25/35 5.75 01/25/2035 36,821,000 2,545,890
Government National Mortgage Association I, 4.0%, 1/15/40 4.0 01/15/2040 44,880 22,574
FREMF Mortgage Trust 2010-K9 REMICS, Floating Rate Note, 9/25/45 (144A) 5.1937 09/25/2045 4,160,000 4,603,635
EP Energy LLC, 9.375%, 5/1/20 9.375 05/01/2020 11,320,000 11,953,213
Government National Mortgage Association I, 4.0%, 3/15/39 4.0 03/15/2039 50,000 14,907
Ally Financial, Inc., 7.0% (Perpetual) (144A) 7.0 12/31/2049 7,978 8,140,801
Audio Visual Services Corp., Initial Term Loan (First Lien), 1/24/21 4.5 01/24/2021 1,249,188 1,250,749
Kinder Morgan, Inc. Delaware, 5.55%, 6/1/45 5.55 06/01/2045 23,385,000 21,492,522
Freddie Mac Whole Loan Securities Trust 2015-SC01, 3.5%, 5/25/45 3.5 05/25/2045 5,572,000 5,680,535
Piedmont Operating Partnership LP, 3.4%, 6/1/23 3.4 06/01/2023 11,130,000 10,676,939
Fannie Mae, 4.0%, 10/1/44 4.0 10/01/2044 787,106 707,764
WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21 2.75 01/23/2021 276,279 276,378
Tufts University, 5.017%, 4/15/12 5.017   14,800,000 15,608,765
Fannie Mae, 4.0%, 10/1/44 4.0 10/01/2044 267,357 242,206
Skopos Auto Receivables Trust 2015-1, 3.1%, 12/15/23 (144A) 3.1 12/15/2023 3,100,000 2,678,507
FREMF Mortgage Trust 2010-K7, Floating Rate Note, 5/25/29 (144A) 5.4406 05/25/2029 3,900,000 4,386,146
China Government Bond, 3.38%, 11/21/24 3.38 11/21/2024 42,500,000 6,861,288
Fannie Mae, 3.5%, 11/1/42 3.5 11/01/2042 1,050,000 905,595
Government National Mortgage Association I, 4.0%, 2/15/42 4.0 02/15/2042 45,422 25,125
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 6/25/34 2.7772 06/25/2034 38,089,920 4,825,596
Icon Brand Holdings LLC, 4.229%, 1/26/43 (144A) 4.229 01/26/2043 7,276,000 6,014,594
Verizon Communications, Inc., 6.55%, 9/15/43 6.55 09/15/2043 9,186,000 11,079,909
Aviation Capital Group Corp., 6.75%, 4/6/21 (144A) 6.75 04/06/2021 12,763,000 14,796,152
Government National Mortgage Association I, 5.5%, 9/15/19 5.5 09/15/2019 2,522,582 212,422
Wells Fargo Mortgage Backed Securities 2005-AR7 Trust, Floating Rate Note, 5/25/35 2.7382 05/25/2035 5,258,000 4,413,391
Government National Mortgage Association II, 4.5%, 9/20/41 4.5 09/20/2041 17,265,000 7,447,600
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 1,027,097 74,073
Government National Mortgage Association I, 6.0%, 6/15/17 6.0 06/15/2017 6,900,000 64,264
Univar Inc 1st Lien Tl-B L + 3.25% 25jun22 4.25 06/25/2022 6,390,000 6,409,969
Countrywide Asset-Backed Certificates, Floating Rate Note, 10/25/34 0.3705 10/25/2034 12,298,000 2,050,990
Firstar Realty LLC, 8.875% (Perpetual) (144A) 8.875 12/31/2049 3,250 4,038,125
Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36 1.5905 05/25/2036 2,084,000 1,569,271
Government National Mortgage Association I, 3.5%, 10/15/44 3.5 10/15/2044 16,072,517 16,252,177
Calpine Construction Finance Co LP, Term B-1 Loan, 5/3/20 3.0 05/03/2020 1,398,839 1,388,639
Government National Mortgage Association I, 6.0%, 7/15/38 6.0 07/15/2038 8,868,732 725,328
Israel Electric Corp, Ltd., 9.375%, 1/28/20 (144A) 9.375 01/28/2020 1,330,000 1,658,552
DR Horton, Inc., 5.75%, 8/15/23 5.75 08/15/2023 7,780,000 8,491,978
Expedia, Inc., 5.95%, 8/15/20 5.95 08/15/2020 7,110,000 8,113,243
Kindred Healthcare, Inc., 6.375%, 4/15/22 6.375 04/15/2022 3,200,000 3,336,067
Allison Transmission, Inc., Term B-3 Loan, 8/23/19 3.5 08/23/2019 2,927,181 2,940,292
Equinix, Inc., 5.75%, 1/1/25 5.75 01/01/2025 6,275,000 6,336,443
JP Morgan Mortgage Trust 2013-2, Floating Rate Note, 5/25/43 (144A) 3.5 05/25/2043 8,923,000 6,246,304
Credit Suisse First Boston Mortgage Securities Corp., 5.0%, 8/25/20 5.0 08/25/2020 7,662,500 381,361
Government National Mortgage Association I, 4.0%, 8/20/15 4.0 08/20/2015 66,550,000 70,995,481
Samarco Mineracao SA, 4.125%, 11/1/22 (144A) 4.125 11/01/2022 7,600,000 7,024,775
Progress Residential 2015-SFR2 Trust, 3.684%, 6/14/32 3.684 06/14/2032 2,500,000 2,427,980
JPMorgan Chase & Co., Floating Rate Note, 8/29/49 6.75 08/29/2049 31,786,000 34,746,071
Government National Mortgage Association I, 4.0%, 4/15/44 4.0 04/15/2044 4,910,088 3,303,261
Fannie Mae, 4.0%, 8/1/42 4.0 08/01/2042 25,000,000 17,869,512
Methanex Corp., 4.25%, 12/1/24 4.25 12/01/2024 6,750,000 6,749,577
Albertsons Llc 1st Lien Term Loa L + 5.2669% 11aug21 5.5 08/11/2021 1,496,250 1,504,327
Sequoia Mortgage Trust 2004-8, Floating Rate Note, 9/20/34 0.888 09/20/2034 11,000,000 852,733
Language Line Llc 1st Lien Tl-B L + 5.5% 02jul21 6.5 07/02/2021 2,237,082 2,235,684
American Homes 4 Rent 2015-SFR1, 4.11%, 4/17/45 (144A) 4.11 04/17/2045 2,950,000 2,869,447
Liberty Mutual Insurance Co., 8.5%, 5/15/25 (144A) 8.5 05/15/2025 3,800,000 4,853,970
Reliance Holding USA, Inc., 4.5%, 10/19/20 (144A) 4.5 10/19/2020 3,125,000 3,375,269
Flextronics International, Ltd., 4.625%, 2/15/20 4.625 02/15/2020 4,615,000 4,863,409
Fannie Mae, 3.5%, 4/1/29 3.5 04/01/2029 8,000,000 6,813,744
Accredited Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 0.3405 09/25/2036 9,396,000 2,968,274
Fannie Mae, 4.0%, 12/1/30 4.0 12/01/2030 50,000 19,762
BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros, 5.5%, 7/16/20 (144A) 5.5 07/16/2020 7,180,000 7,609,304
Legg Mason, Inc., 5.625%, 1/15/44 5.625 01/15/2044 6,310,000 6,690,449
COMM 2012-CCRE2 Mortgage Trust REMICS, 3.791%, 8/17/45 3.791 08/17/2045 1,900,000 2,006,858
FPL Energy Wind Funding LLC, 6.876%, 6/27/17 (144A) 6.876 06/27/2017 4,665,000 306,456
Delta Air Lines 2010-2 Class A Pass Through Trust, 4.95%, 5/23/19 4.95 05/23/2019 3,100,000 2,092,920
International Finance Corp., 8.25%, 6/10/21 8.25 06/10/2021 1,040,880,000 17,466,912
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 1.0905 05/26/2037 6,250,000 4,132,681
Government National Mortgage Association I, 4.0%, 12/15/44 4.0 12/15/2044 25,739 23,564
Wells Fargo & Co., Floating Rate Note (Perpetual) 5.875 12/31/2049 2,130,000 2,196,925
Del Monte Foods, Inc., Initial Loan (First Lien), 11/26/20 4.2576 11/26/2020 489,163 475,711
Government National Mortgage Association I, 6.0%, 5/15/33 6.0 05/15/2033 4,328,222 202,880
HCA, Inc., 6.5%, 2/15/20 6.5 02/15/2020 3,800,000 4,362,769
Government National Mortgage Association I, 7.5%, 8/15/29 7.5 08/15/2029 100,063 116
Sequoia Mortgage Trust, Floating Rate Note, 9/25/42 3.0 09/25/2042 3,930,000 1,901,170
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 1.888 06/15/2029 6,750,000 6,725,788
Indonesia Treasury Bond, 7.0%, 5/15/27 7.0 05/15/2027 23,752,000,000 1,567,235
Federal Home Loan Mortgage Corp., 6.0%, 1/1/33 6.0 01/01/2033 2,610,000 98,258
RAIT 2014-FL2 Trust, Floating Rate Note, 5/15/31 (144A) 2.335 05/15/2031 4,000,000 3,968,167
Targus Group International, Inc., Term Loan, 5/24/16 14.75 05/24/2016 1,898,161 1,552,942
Leaf Receivables Funding 10 LLC, 3.74%, 5/17/21 (144A) 3.74 05/17/2021 1,600,000 1,585,402
Federal Home Loan Mortgage Corp., 5.0%, 4/1/23 5.0 04/01/2023 3,790,330 320,937
VimpelCom Holdings BV, 7.5043%, 3/1/22 (144A) 7.5043 03/01/2022 11,600,000 12,049,708
The Hertz Corp., Tranche B-1 Term Loan, 3/11/18 4.0 03/11/2018 1,218,750 1,221,987
Government National Mortgage Association I, 5.0%, 10/15/18 5.0 10/15/2018 402,294 20,771
Alternative Loan Trust 2003-21T1, 5.75%, 12/25/33 5.75 12/25/2033 14,250,000 5,289,615
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 0.6805 11/25/2035 10,936,000 8,864,607
Aircastle, Ltd., 6.25%, 12/1/19 6.25 12/01/2019 3,775,000 4,224,854
Carnow Auto Receivables Trust 2013-1, 2.98%, 11/15/17 (144A) 2.98 11/15/2017 2,797,000 2,567,937
Kenya Government International Bond, 5.875%, 6/24/19 (144A) 5.875 06/24/2019 4,385,000 4,439,103
Inter-American Development Bank, 7.2%, 11/14/17 7.2 11/14/2017 17,080,000,000 1,272,094
MMC Norilsk Nickel OJSC via MMC Finance, Ltd., 5.55%, 10/28/20 (144A) 5.55 10/28/2020 8,500,000 8,615,494
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 2,943,500 3,045,639
Controladora Mabe SA de CV, 7.875%, 10/28/19 (144A) 7.875 10/28/2019 9,539,000 10,877,739
Australia & New Zealand Banking Group, Ltd., 4.5%, 3/19/24 (144A) 4.5 03/19/2024 8,110,000 8,361,110
Atlantic Power LP, Term Loan, 2/20/21 4.75 02/20/2021 3,745,006 3,761,391
COMM 2015-CCRE23 Mortgage Trust, Floating Rate Note, 5/12/48 3.6845 05/12/2048 7,500,000 7,178,998
Government National Mortgage Association I, 4.0%, 8/15/44 4.0 08/15/2044 54,280 56,942
Government National Mortgage Association I, 6.5%, 7/15/32 6.5 07/15/2032 350,000 5,733
Government National Mortgage Association I, 4.0%, 5/15/43 4.0 05/15/2043 514,545 311,079
Government National Mortgage Association I, 4.0%, 5/15/41 4.0 05/15/2041 29,985 20,273
Ensco Plc, 4.5%, 10/1/24 4.5 10/01/2024 17,750,000 16,531,729
Government National Mortgage Association I, 7.0%, 5/15/29 7.0 05/15/2029 55,127 524
TerraForm Power Operating LLC, 5.875%, 2/1/23 (144A) 5.875 02/01/2023 4,130,000 4,292,080
Fannie Mae, 4.5%, 2/1/44 4.5 02/01/2044 52,511,691 37,069,546
Fannie Mae, 4.0%, 8/1/43 4.0 08/01/2043 4,563,130 4,571,212
Government National Mortgage Association I, 4.5%, 9/15/33 4.5 09/15/2033 2,256,215 313,117
Delta Air Lines 2010-1 Class B Pass Through Trust, 6.375%, 1/2/16 (144A) 6.375 01/02/2016 50,000 51,319
NCI Building Systems, Inc., Tranche B Term Loan, 6/24/19 4.25 06/24/2019 2,086,759 2,085,021
Platform Specialty Products Corp., 6.5%, 2/1/22 (144A) 6.5 02/01/2022 3,395,000 3,623,550
Verizon Communications, Inc., 5.012%, 8/21/54 5.012 08/21/2054 9,215,000 8,723,284
Federal Home Loan Mortgage Corp., 5.0%, 12/1/34 5.0 12/01/2034 4,668,054 320,330
MarkWest Energy Partners LP, 4.875%, 12/1/24 4.875 12/01/2024 17,410,000 17,116,206
Government National Mortgage Association, 4.5%, 9/20/39 4.5 09/20/2039 9,820,000 9,501,980
Israel Electric Corp, Ltd., 5.625%, 6/21/18 (144A) 5.625 06/21/2018 5,000,000 5,422,150
Fannie Mae, 4.0%, 12/1/41 4.0 12/01/2041 17,790,000 6,454,305
Government National Mortgage Association I, 4.0%, 10/15/40 4.0 10/15/2040 90,862 21,135
Government National Mortgage Association I, 6.5%, 7/15/32 6.5 07/15/2032 800,000 10,423
Fannie Mae, 4.0%, 10/1/44 4.0 10/01/2044 27,510 26,549
The Allstate Corp., 5.95%, 4/1/36 5.95 04/01/2036 4,700,000 5,832,899
Par Pharmaceutical Cos Inc 1st Lien Tl-B3 L + 3.25% 28sep19 4.25 09/28/2019 1,990,000 1,991,658
STORE Master Funding LLC, 4.16%, 3/20/43 (144A) 4.16 03/20/2043 1,100,000 1,089,023
CEMEX Espana SA, 9.875%, 4/30/19 (144A) 9.875 04/30/2019 5,098,000 5,709,565
Drillships Financing Holding, Inc., Tranche B-1 Term Loan, 3/31/21 6.0 03/31/2021 4,040,831 3,160,940
Tronox Pigments Holland BV, New Term Loan, 3/19/20 4.25 03/19/2020 1,720,944 1,649,955
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.8605 11/25/2035 1,854,000 1,474,524
Valmont Industries, Inc., 6.625%, 4/20/20 6.625 04/20/2020 1,291,000 1,505,116
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 3.5 09/06/2019 4,034,508 4,042,577
Government National Mortgage Association I, 6.5%, 1/15/29 6.5 01/15/2029 577,201 12,977
Norway Government Bond, 2.0%, 5/24/23 2.0 05/24/2023 63,500,000 8,146,563
JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16, 3.07%, 12/17/46 3.07 12/17/2046 10,620,000 11,016,522
New York City Transitional Finance Authority Future Tax Secured Revenue, 5.0%, 11/1/33 5.0 11/01/2033 1,400,000 1,617,126
Government National Mortgage Association I, 6.0%, 2/15/33 6.0 02/15/2033 3,907,246 120,696
Federal National Mortgage Association REMICS, 5.0%, 9/25/39 5.0 09/25/2039 3,078,000 311,978
Hyperion Insurance Group Ltd 1st Lien Tl-B L + 4.5% 26mar22 5.5 03/26/2022 1,695,750 1,716,947
Fannie Mae, 5.0%, 7/1/35 5.0 07/01/2035 42,393,553 3,586,638
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 2.138 03/16/2026 2,842,000 2,837,861
Government National Mortgage Association I, 5.5%, 2/15/35 5.5 02/15/2035 5,109,070 289,940
CeramTec Acquisition Corp., Initial Dollar Term B-2 Loan, 8/30/20 4.25 08/30/2020 532,865 534,697
Government National Mortgage Association I, 4.0%, 2/15/41 4.0 02/15/2041 63,917 35,304
FREMF Mortgage Trust 20-, Floating Rate Note, 11/25/47 (144A) 3.7544 11/25/2047 3,150,000 3,130,429
FREMF Mortgage Trust 2011-K14, Floating Rate Note, 2/25/47 (144A) 5.333 02/25/2047 2,200,000 2,460,631
Cantor Fitzgerald LP, 7.875%, 10/15/19 (144A) 7.875 10/15/2019 12,855,000 14,685,533
GS Mortgage Securities Corp II, 3.682%, 2/12/46 (144A) 3.682 02/12/2046 4,500,000 4,565,067
Minerva Luxembourg SA, 7.75%, 1/31/23 (144A) 7.75 01/31/2023 9,770,000 10,196,610
T-Mobile USA, Inc., 6.625%, 11/15/20 6.625 11/15/2020 4,915,000 5,180,342
Province of Salta Argentina, 9.5%, 3/16/22 (144A) 9.5 03/16/2022 4,900,000 3,898,877
Fannie Mae, 6.5%, 4/1/29 6.5 04/01/2029 40,000 388
WireCo WorldGroup, Inc., 9.5%, 5/15/17 9.5 05/15/2017 3,500,000 3,307,694
Marfrig Holding Europe BV, 8.375%, 5/9/18 (144A) 8.375 05/09/2018 4,150,000 4,187,667
Federal Home Loan Mortgage Corp., 5.0%, 11/1/34 5.0 11/01/2034 750,000 68,370
Amherst College, 3.794%, 11/1/42 3.794 11/01/2042 2,300,000 2,241,249
Blackstone Holdings Finance Co LLC, 5.0%, 6/15/44 (144A) 5.0 06/15/2044 7,925,000 8,193,252
Fannie Mae, 4.0%, 10/1/44 4.0 10/01/2044 916,768 724,819
Sunoco Logistics Partners Operations LP, 6.1%, 2/15/42 6.1 02/15/2042 10,390,000 10,682,216
Fannie Mae, 4.5%, 12/1/41 4.5 12/01/2041 60,000 41,007
Government National Mortgage Association I, 4.0%, 4/15/39 4.0 04/15/2039 80,758 24,975
STORE Master Funding LLC, 4.21%, 4/20/44 (144A) 4.21 04/20/2044 165,000 167,431
WFRBS Commercial Mortgage Trust 2011-C4, Floating Rate Note, 6/17/44 (144A) 5.4334 06/17/2044 2,000,000 2,169,478
Unifrax I LLC, New Term B Dollar Loan, 11/28/18 4.25 11/28/2018 1,158,418 1,158,418
Avg Technologies Nv 1st Lien Tl-B L + 4.75% 07oct20 5.75 10/07/2020 1,756,175 1,769,346
FREMF Mortgage Trust 2011-K703, Floating Rate Note, 7/25/44 (144A) 4.881 07/25/2044 5,450,000 5,796,999
Government National Mortgage Association I, 4.0%, 11/15/40 4.0 11/15/2040 127,425 96,479
Entercom Radio LLC, Term B-2 Loan, 11/23/18 4.0048 11/23/2018 1,336,713 1,342,004
Store Master Funding I LLC, 3.75%, 4/20/45 (144A) 3.75 04/20/2045 6,500,000 6,433,437
Dycom Investments, Inc., 7.125%, 1/15/21 7.125 01/15/2021 3,500,000 3,677,333
Bumi Resources Tbk PT, Loan, 11/7/15 18.153 11/07/2015 1,135,833 425,938
Service Corp International United States, 8.0%, 11/15/21 8.0 11/15/2021 3,322,000 3,926,235
Morgan Stanley, 4.875%, 11/1/22 4.875 11/01/2022 4,400,000 4,720,406
HOA Funding LLC, 4.846%, 8/22/44 (144A) 4.846 08/22/2044 13,800,000 13,541,760
Fannie Mae, 4.5%, 10/1/43 4.5 10/01/2043 6,481,868 4,529,089
Par Pharmaceutical Companies, Inc., Term B-2 Loan, 9/28/19 4.0 09/28/2019 9,611,881 9,616,888
LSTAR Securities Investment Trust 2015-2, Floating Rate Note, 1/2/20 (144A) 2.1866 01/02/2020 8,135,000 7,741,883
Navistar, Inc., Tranche B Term Loan, 8/17/17 6.75 08/17/2017 400,000 400,750
Cardtronics, Inc., 1.0%, 12/1/20 1.0 12/01/2020 2,585,000 2,599,002
Fannie Mae, 4.5%, 8/1/41 4.5 08/01/2041 71,193,582 24,232,678
Brocade Communications Systems, Inc., 4.625%, 1/15/23 4.625 01/15/2023 1,500,000 1,454,333
Government National Mortgage Association I, 4.0%, 12/15/44 4.0 12/15/2044 1,826,616 1,810,844
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 3.9102 06/07/2017 3,500,000 3,482,500
Government National Mortgage Association I, 7.0%, 5/15/31 7.0 05/15/2031 138,853 1,709
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 2.7653 01/09/2017 2,200,000 2,230,122
Reynolds Group Holdings, Inc., Incremental U.S. Term Loan, 12/31/18 4.5 12/31/2018 3,679,008 3,704,293
RCMC LLC, 5.62346%, 12/17/18 (144A) 5.6235 12/17/2018 2,512,000 1,019,600
FREMF Mortgage Trust 2011-K11 REMICS, Floating Rate Note, 12/25/48 (144A) 4.4209 12/25/2048 3,300,000 3,562,050
Engility Holdings Inc 1st Lien Tl-B L + 5.5% 12may20 7.0 05/12/2020 1,434,894 1,446,552
Wynn Macau, Ltd., 5.25%, 10/15/21 (144A) 5.25 10/15/2021 16,415,000 15,868,517
Ozburn-Hessey Holding Co LLC, Term Loan, 5/23/19 6.75 05/23/2019 2,587,200 2,589,627
Government National Mortgage Association, 4.973%, 4/16/42 4.973 04/16/2042 1,575,000 68,287
Government National Mortgage Association I, 4.0%, 10/15/43 4.0 10/15/2043 76,551 8,437
California Republic Auto Receivables Trust 2012-1, 3.0%, 1/15/20 (144A) 3.0 01/15/2020 3,026,000 3,071,403
Government National Mortgage Association I, 4.0%, 3/15/44 4.0 03/15/2044 10,452,106 6,297,486
Fannie Mae, 4.0%, 4/1/42 4.0 04/01/2042 9,200,000 3,788,705
Fifth Third Bancorp, Floating Rate Note (Perpetual) 6.625 12/31/2049 114,431 3,212,078
JobsOhio Beverage System, 4.532%, 1/1/35 4.532 01/01/2035 4,480,000 4,762,583
Acorn Re, Ltd., Floating Rate Note, 7/17/18 (Cat Bond) (144A)   07/17/2018 3,350,000 3,364,834
Government National Mortgage Association I, 6.0%, 9/15/33 6.0 09/15/2033 1,501,891 67,781
Ardagh Packaging Finance Plc, 9.125%, 10/15/20 (144A) 9.125 10/15/2020 7,250,000 7,834,481
MASTR Adjustable Rate Mortgages Trust 2003-3, Floating Rate Note, 9/25/33 2.109 09/25/2033 2,950,000 789,905
Norway Government Bond, 4.5%, 5/22/19 4.5 05/22/2019 118,980,000 16,688,706
Citigroup, Inc., Floating Rate Note (Perpetual) 7.125