Pioneer Investments: Pioneer Strategic Income Fund


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Pioneer Strategic Income Fund

Monthly Portfolio Holdings as of 12/31/2014

Security Name Coupon Maturity Date Par / Shares Market Value($)
Verizon Communications, Inc., 6.55%, 9/15/43 6.55 09/15/2043 9,186,000 11,945,797
Rosneft Finance SA, 7.875%, 3/13/18 (144A) 7.875 03/13/2018 1,250,000 1,181,734
Kane Zero% 15jan16 0.0 01/15/2016 2,024,000 2,024,000
Virgin Media Investment Holdings, Ltd., B Facility, 6/8/20 3.5 06/08/2020 25,310,000 24,930,350
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 2.1108 03/16/2026 2,842,000 2,841,758
Fannie Mae, 4.5%, 5/1/41 4.5 05/01/2041 24,220,767 7,648,728
CEVA GROUP Plc     1,069 828,243
Federal National Mortgage Association, 5.0%, 12/1/41 5.0 12/01/2041 1,801,282 1,067,517
Prestige Brands, Inc., Term B-2 Loan, 8/18/21 4.5 08/18/2021 4,812,153 4,815,160
Federal Home Loan Mortgage Corp., 6.0%, 3/1/33 6.0 03/01/2033 563,857 11,360
Alternative Loan Trust 2003-21T1, 5.75%, 12/25/33 5.75 12/25/2033 14,250,000 5,874,172
Kane-Pi1 Flt% 07jul16 0.0 07/07/2016 7,017,560 7,025,279
Federal Home Loan Mortgage Corp., 6.0%, 8/1/34 6.0 08/01/2034 3,000,000 225,994
Fannie Mae, 6.0%, 3/1/33 6.0 03/01/2033 250,000 10,255
Navistar, Inc., Tranche B Term Loan, 8/17/17 5.75 08/17/2017 400,000 399,000
Government National Mortgage Association I, 6.0%, 6/15/33 6.0 06/15/2033 2,500,000 115,475
Government National Mortgage Association II, 4.5%, 1/20/35 4.5 01/20/2035 4,000,000 759,504
Government National Mortgage Association I, 6.0%, 5/15/33 6.0 05/15/2033 10,057,421 531,641
Government National Mortgage Association I, 6.5%, 7/15/32 6.5 07/15/2032 350,000 5,840
Prestige Brands, Inc., Term B-1 Loan, 1/31/19 4.125 01/31/2019 556,180 555,948
Government National Mortgage Association I, 5.5%, 3/15/37 5.5 03/15/2037 8,000,000 491,970
Kodiak Oil & Gas Corp., 5.5%, 1/15/21 5.5 01/15/2021 1,900,000 1,952,936
Expedia, Inc., 5.95%, 8/15/20 5.95 08/15/2020 7,110,000 8,105,057
IAMGOLD Corp., 6.75%, 10/1/20 (144A) 6.75 10/01/2020 2,475,000 1,905,936
CCO Holdings LLC, 6.625%, 1/31/22 6.625 01/31/2022 10,705,000 11,671,535
MGM Resorts International, 6.0%, 3/15/23 6.0 03/15/2023 11,815,000 11,944,965
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 1.0695 05/26/2037 6,250,000 5,570,760
Piedmont Operating Partnership LP, 3.4%, 6/1/23 3.4 06/01/2023 11,130,000 10,817,162
Far East Capital, Ltd. SA, 8.0%, 5/2/18 (144A) 8.0 05/02/2018 3,750,000 1,586,667
Government National Mortgage Association, Floating Rate Note, 9/16/52 1.0066 09/16/2052 55,000,000 3,824,605
Lorillard Tobacco Co., 3.75%, 5/20/23 3.75 05/20/2023 4,700,000 4,675,315
Fannie Mae, 5.5%, 4/1/36 5.5 04/01/2036 2,000,200 251,847
JP Morgan Mortgage Trust 2013-2, Floating Rate Note, 5/25/43 (144A) 3.7082 05/25/2043 3,983,000 3,872,518
Kleopatra Acquisition Corp., Term B-1 Loan, 12/21/16 4.75 12/21/2016 1,271,274 1,270,480
MetLife, Inc., 6.4%, 12/15/66 6.4 12/15/2066 5,875,000 6,567,336
Novelis, Inc., Initial Term Loan, 3/10/17 3.75 03/10/2017 1,716,725 1,703,314
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2003-A3, 5.5%, 8/25/33 (Step) 5.5 08/25/2033 43,853,000 3,023,777
Unifrax I LLC, New Euro Term Loan, 11/28/18 5.25 11/28/2018 3,895,444 4,729,194
Star Energy Geothermal Wayang Windu, Ltd., 6.125%, 3/27/20 (144A) 6.125 03/27/2020 7,850,000 7,856,460
Fannie Mae, 0.5%, 12/15/33 0.5 12/15/2033 5,160,000 4,890,247
Nevada Power Co., 6.5%, 8/1/18 6.5 08/01/2018 85,000 100,787
Wyle 1st Lien Tl-B L + 4% 22may21 5.0 05/22/2021 607,503 606,359
IRSA Inversiones y Representaciones SA, 8.5%, 2/2/17 (144A) 8.5 02/02/2017 50,000 51,709
Energy Transfer Partners LP, Floating Rate Note, 11/1/66 3.2499 11/01/2066 4,234,000 3,812,745
CoBank ACB, 7.875%, 4/16/18 (144A) 7.875 04/16/2018 1,500,000 1,786,670
Government National Mortgage Association I, 7.0%, 6/15/31 7.0 06/15/2031 245,234 478
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 2.25 08/20/2025 3,750,000 2,017,003
Banc of America Alternative Loan Trust 2003-2, 5.75%, 4/25/33 5.75 04/25/2033 30,900,000 3,270,660
Brazos Harbor Industrial Development Corp., Floating Rate Note, 5/1/38 5.9 05/01/2038 7,050,000 7,688,472
Fannie Mae, 6.0%, 4/1/38 6.0 04/01/2038 5,765,562 462,124
Government National Mortgage Association I, 5.0%, 9/15/33 5.0 09/15/2033 5,011,663 748,815
Chesapeake Energy Corp., 2.25%, 12/15/38 2.25 12/15/2038 4,800,000 4,315,800
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 REMICS, 2.979%, 4/17/47 2.979 04/17/2047 5,025,000 5,188,752
Cinedigm Digital Funding I LLC, Term Loan, 2/28/18 3.75 02/28/2018 1,955,102 1,957,545
Impac CMB Trust Series 2004-9, Floating Rate Note, 1/25/35 0.9295 01/25/2035 43,500,000 2,862,516
Samarco Mineracao SA, 5.75%, 10/24/23 (144A) 5.75 10/24/2023 3,000,000 2,897,104
The PNC Financial Services Group, Inc., Floating Rate Note (Perpetual) 6.75 12/31/2049 25,567,000 28,778,854
EnLink Midstream Partners LP, 4.4%, 4/1/24 4.4 04/01/2024 17,555,000 17,977,040
Kane-Pi1 Zero% 18jul16 0.0 07/18/2016 4,712,000 5,285,450
Windstream Corp., 6.375%, 8/1/23 6.375 08/01/2023 9,870,000 9,490,622
Vishay Intertechnology, Inc., 2.25%, 5/15/41 (144A) 2.25 05/15/2041 13,410,000 12,124,316
Government National Mortgage Association I, 5.75%, 10/15/38 5.75 10/15/2038 1,470,579 417,154
Nations Equipment Finance Funding II LLC, 3.276%, 1/22/19 (144A) 3.276 01/22/2019 3,800,000 3,803,804
Fannie Mae, 6.5%, 11/1/32 6.5 11/01/2032 400,000 9,504
Tesoro Corp., 5.375%, 10/1/22 5.375 10/01/2022 9,480,000 9,725,888
Carrizo Oil & Gas, Inc., 7.5%, 9/15/20 (144A) 7.5 09/15/2020 7,710,000 7,571,863
Spirit Master Funding LLC, 4.6291%, 1/20/45 (144A) 4.6291 01/20/2045 11,000,000 11,076,753
AmeriCredit Automobile Receivables Trust 2013-1, 1.57%, 1/8/19 1.57 01/08/2019 3,350,000 3,345,659
Government National Mortgage Association I, 7.0%, 6/15/29 7.0 06/15/2029 75,078 1,100
Instituto Costarricense de Electricidad, 6.375%, 5/15/43 (144A) 6.375 05/15/2043 6,100,000 5,143,190
FREMF Mortgage Trust 2012-K501, Floating Rate Note, 11/26/46 (144A) 3.4575 11/26/2046 2,750,000 2,823,044
Fannie Mae, 5.0%, 1/14/15 5.0 01/14/2015 190,000,000 210,259,654
Aquarius + Investments Plc for Swiss Reinsurance Co, Ltd., Floating Rate Note, 9/1/24 6.375 09/01/2024 7,500,000 7,958,813
Crowne Group Llc 1st Lien Tl-B L + 5% 29sep20 6.0 09/29/2020 1,800,000 1,773,000
Marfrig Holding Europe BV, 8.375%, 5/9/18 (144A) 8.375 05/09/2018 4,150,000 4,137,953
Countrywide Asset-Backed Certificates, Floating Rate Note, 10/25/34 0.3353 10/25/2034 12,298,000 2,453,537
W&T Offshore, Inc., 8.5%, 6/15/19 8.5 06/15/2019 3,170,000 2,088,326
Windstream Corp., 8.125%, 9/1/18 8.125 09/01/2018 1,740,000 1,852,375
BM&FBovespa SA, 5.5%, 7/16/20 (144A) 5.5 07/16/2020 7,180,000 7,791,796
DTEK Finance Plc, 7.875%, 4/4/18 (144A) 7.875 04/04/2018 3,150,000 1,477,448
Interactive Data 1st Lien Tl-B L + 3.75% 24apr21 4.75 04/24/2021 3,521,328 3,504,602
Fifth Third Bancorp, Floating Rate Note (Perpetual) 6.625 12/31/2049 127,200 3,476,376
CHS, 2021 Term D Loan, 1/27/21 4.25 01/27/2021 6,113,845 6,109,602
National Financial Partners 1st Lien Tl-B L + 3.5% 01jul20 3.7351 07/01/2020 2,723,175 2,709,559
Pelican Products, Inc., Term Loan (First Lien), 4/8/20 5.25 04/08/2020 2,703,849 2,690,330
Kinetic Concepts, Inc., Dollar Term E-1 Loan, 5/4/18 4.0 05/04/2018 6,066,465 6,010,854
Targus Group International, Inc., Term Loan, 5/24/16 12.0 05/24/2016 4,023,485 3,279,140
Univar, Inc., Term B Loan, 6/30/17 5.0 06/30/2017 6,412,029 6,220,816
Transportadora de Gas del Sur SA, 9.625%, 5/14/20 (144A) 9.625 05/14/2020 6,450,467 4,898,665
BBVA Bancomer SA Texas, 6.5%, 3/10/21 (144A) 6.5 03/10/2021 23,300,000 25,698,541
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 0.3595 05/25/2035 1,000,000 71,660
Mpg Holdco I Inc 1st Lien Tl-B L + 3.5% 13oct21 4.5 10/13/2021 7,622,338 7,595,660
Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A) 1.87 08/20/2029 3,200,000 1,036,163
Alliance One International, Inc., 9.875%, 7/15/21 9.875 07/15/2021 10,630,000 9,971,309
FREMF Mortgage Trust 2012-K708, Floating Rate Note, 2/27/45 (144A) 3.7586 02/27/2045 25,000 25,535
Metinvest BV, 8.75%, 2/14/18 (144A) 8.75 02/14/2018 5,675,000 3,310,220
Fannie Mae, 4.0%, 12/1/41 4.0 12/01/2041 45,515,613 26,869,108
Government National Mortgage Association I, 6.0%, 5/15/33 6.0 05/15/2033 4,328,222 222,210
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 8.7652 12/06/2016 7,100,000 7,306,137
Westgate Resorts 2014-1 LLC, 3.25%, 12/20/26 (144A) 3.25 12/20/2026 9,400,000 8,498,867
Government National Mortgage Association I, 4.5%, 11/15/40 4.5 11/15/2040 8,091,166 3,624,990
Government National Mortgage Association I, 6.5%, 5/15/32 6.5 05/15/2032 1,000,000 31,422
Federal Home Loan Mortgage Corp., 4.5%, 5/1/44 4.5 05/01/2044 204,050 197,186
Flextronics International, Ltd., 4.625%, 2/15/20 4.625 02/15/2020 4,615,000 4,764,859
Fannie Mae, 5.0%, 4/1/22 5.0 04/01/2022 327,117 16,080
Government National Mortgage Association I, 6.5%, 11/15/32 6.5 11/15/2032 2,258,707 85,621
WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21 1.2551 01/23/2021 277,667 276,626
Gulf Coast Waste Disposal Authority, Floating Rate Note, 5/1/28 5.2 05/01/2028 4,450,000 4,685,974
CWGS Group LLC, Term Loan, 2/20/20 5.75 02/20/2020 7,618,041 7,589,474
Fannie Mae, 4.5%, 11/1/40 4.5 11/01/2040 12,358,351 5,241,258
Eaton Vance Corp., 6.5%, 10/2/17 6.5 10/02/2017 19,000 21,623
SandRidge Energy, Inc., 7.5%, 3/15/21 7.5 03/15/2021 1,960,000 1,297,683
Alternative Loan Trust 2003-J1, 4.75%, 10/25/33 4.75 10/25/2033 20,470,000 864,265
DynCorp International, Inc., Term Loan, 7/7/16 6.25 07/07/2016 2,143,781 2,136,636
Fannie Mae, 5.5%, 7/1/33 5.5 07/01/2033 1,900,000 85,603
Government National Mortgage Association I, 7.0%, 5/15/29 7.0 05/15/2029 55,127 542
Expert Global Solutions, Inc., Term B Advance (First Lien), 4/3/18 8.5 04/03/2018 4,427,459 4,407,168
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 0.3308 04/16/2035 9,900,000 4,056,696
Fannie Mae, 6.5%, 2/1/32 6.5 02/01/2032 99,991 1,636
BioScrip, Inc., Delayed Draw Term Loan, 7/31/20 6.5 07/31/2020 2,589,552 2,602,499
Government National Mortgage Association I, 5.0%, 6/15/21 5.0 06/15/2021 1,048,281 183,750
Blackstone Holdings Finance Co LLC, 4.75%, 2/15/23 (144A) 4.75 02/15/2023 5,375,000 5,940,490
Brookfield Residential Properties, Inc., 6.125%, 7/1/22 (144A) 6.125 07/01/2022 5,880,000 6,295,275
TimberStar Trust 1, 7.5296%, 10/15/36 (144A) 7.5296 10/15/2036 6,646,000 6,978,165
Freeport-McMoran Oil & Gas LLC, 6.75%, 2/1/22 6.75 02/01/2022 107,000 120,709
Spirit Master Funding LLC, 5.74%, 3/20/42 (144A) 5.74 03/20/2042 1,250,704 1,401,398
Asciano Finance, Ltd., 5.0%, 4/7/18 (144A) 5.0 04/07/2018 4,200,000 4,564,248
Instituto Costarricense de Electricidad, 6.95%, 11/10/21 (144A) 6.95 11/10/2021 8,380,000 8,788,155
Morgan Stanley, 4.1%, 5/22/23 4.1 05/22/2023 13,200,000 13,422,812
Ardagh Packaging Finance Plc, 9.25%, 10/15/20 (144A) 9.25 10/15/2020 11,058,000 14,388,094
VTB Bank OJSC Via VTB Capital SA, 6.0%, 4/12/17 (144A) 6.0 04/12/2017 7,800,000 6,830,200
AmeriCredit Automobile Receivables Trust 2011-3, 4.04%, 7/10/17 4.04 07/10/2017 1,600,000 1,632,877
Kenya Government International Bond, 6.875%, 6/24/24 (144A) 6.875 06/24/2024 8,635,000 9,056,706
Government National Mortgage Association I, 6.0%, 7/15/17 6.0 07/15/2017 2,966,457 146,799
Prudential Financial, Inc., Floating Rate Note, 6/15/43 5.625 06/15/2043 11,240,000 11,518,752
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 2.6989 04/19/2034 4,875,000 217,217
TI Group Automotive Systems LLC, Term Loan Facility, 7/1/21 4.25 07/01/2021 7,496,560 7,402,853
UCFC Manufactured Housing Contract, Floating Rate Note, 4/15/29 6.995 04/15/2029 1,500,000 153,702
Bear Stearns ARM Trust 2003-5, Floating Rate Note, 8/25/33 2.325 08/25/2033 12,112,000 913,264
MSO of Puerto Rico, Inc., MSO Term Loan, 12/12/17 9.75 12/12/2017 1,507,036 1,491,965
Gibson Energy, Inc., 6.75%, 7/15/21 (144A) 6.75 07/15/2021 15,875,000 16,329,422
Platinum Underwriters Finance, Inc., 7.5%, 6/1/17 7.5 06/01/2017 12,025,000 13,508,103
Israel Electric Corp, Ltd., 5.625%, 6/21/18 (144A) 5.625 06/21/2018 5,000,000 5,292,813
Fannie Mae, 6.5%, 6/1/31 6.5 06/01/2031 25,095 355
Government National Mortgage Association I, 4.0%, 9/15/41 4.0 09/15/2041 4,195,406 2,154,254
Fannie Mae, 4.0%, 11/1/43 4.0 11/01/2043 3,398,541 3,173,950
GSR Mortgage Loan Trust 2005-AR1, Floating Rate Note, 1/25/35 2.6324 01/25/2035 19,862,000 3,859,565
Sanchez Energy Corp., 7.75%, 6/15/21 7.75 06/15/2021 250,000 233,361
International Finance Corp., 7.75%, 12/3/16 7.75 12/03/2016 1,036,140,000 17,146,790
Sappi Papier Holding GmbH, 6.625%, 4/15/21 (144A) 6.625 04/15/2021 1,100,000 1,142,885
Long Haul Holdings, Ltd., Facility B Loan, 11/17/13 6.0371 01/15/2015 1,066,849 426,740
Delta Air Lines 2010-2 Class A Pass Through Trust, 4.95%, 5/23/19 4.95 05/23/2019 3,100,000 2,260,810
Darling Ingredients, Inc., 5.375%, 1/15/22 5.375 01/15/2022 282,000 284,759
Fannie Mae, 5.0%, 5/1/41 5.0 05/01/2041 2,252,877 958,375
New York City Transitional Finance Authority Future Tax Secured Revenue, 5.0%, 11/1/33 5.0 11/01/2033 1,400,000 1,616,823
U.S. Treasury Bonds, 3.625%, 8/15/43 3.625 08/15/2043 25,000,000 29,742,706
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 6.0042 04/10/2015 400,000 407,257
Magnesita Finance, Ltd., 8.625% (Perpetual) (144A) 8.625 12/31/2049 4,200,000 4,118,538
Government National Mortgage Association I, 6.0%, 2/15/33 6.0 02/15/2033 1,085,291 149,823
AWAS Finance Luxembourg 2012 SA, Term Loan, 7/16/18 3.5 07/16/2018 3,351,873 3,309,974
Oxford Finance Funding Trust 2014-1, 3.475%, 12/15/22 (144A) 3.475 12/15/2022 5,400,000 5,395,002
Banco de Credito del Peru Panama, Floating Rate Note, 9/16/26 (144A) 6.875 09/16/2026 10,210,000 11,308,107
Ascentium Equipment Receivables 2014-1 LLC, 3.1%, 6/10/21 (144A) 3.1 06/10/2021 800,000 806,683
Bayview Opportunity Master Fund Trust, Floating Rate Note, 1/28/33 (144A) 2.9814 01/28/2033 2,500,000 683,759
RCMC LLC, 5.62346%, 12/17/18 (144A) 5.6235 12/17/2018 2,512,000 1,259,122
DAE Aviation Holdings, Inc., Replacement Tranche B-1 Loan, 11/2/18 5.0 11/02/2018 7,010,093 7,010,128
Sprint Corp., 7.25%, 9/15/21 7.25 09/15/2021 10,375,000 10,505,696
InterGen NV, 7.0%, 6/30/23 (144A) 7.0 06/30/2023 4,750,000 4,513,424
Banc of America Alternative Loan Trust 2003-7, 5.5%, 9/25/33 5.5 09/25/2033 17,910,000 3,568,882
Government National Mortgage Association I, 6.0%, 9/15/33 6.0 09/15/2033 2,000,000 160,549
Fannie Mae, 4.5%, 11/1/43 4.5 11/01/2043 1,435,575 1,486,479
Time Warner Cable, Inc., 8.75%, 2/14/19 8.75 02/14/2019 640,000 813,537
Norway Government Bond, 5.0%, 5/15/15 5.0 05/15/2015 467,360,000 65,692,101
Government National Mortgage Association I, 5.5%, 8/15/19 5.5 08/15/2019 711,545 90,761
Getty Images, Inc., Initial Term Loan, 10/18/19 4.75 10/18/2019 4,773,698 4,423,629
Williams Partners LP, 4.3%, 3/4/24 4.3 03/04/2024 13,440,000 13,603,121
Securus Technologies Holdings, Inc., Initial Term Loan (First Lien), 4/30/20 4.75 04/30/2020 1,736,811 1,717,996
Embarcadero Reinsurance, Ltd., Floating Rate Note, 2/7/17 (Cat Bond) (144A) 5.0203 02/07/2017 4,250,000 4,256,276
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 5.73 11/15/2035 1,500,000 646,631
Vers 2015-A Zero% 31dec17 0.0 12/31/2017 12,033,893 12,033,893
Permanent University Fund, 5.0%, 7/1/30 5.0 07/01/2030 2,550,000 3,199,281
FREMF Mortgage Trust 2011-K701, Floating Rate Note, 7/25/48 (144A) 4.286 07/25/2048 4,100,000 4,302,135
Federal Home Loan Mortgage Corp., 6.0%, 1/1/34 6.0 01/01/2034 1,000,000 106,473
Fannie Mae, 4.5%, 9/1/43 4.5 09/01/2043 17,709,372 14,970,375
JP Morgan Mortgage Trust 2014-1 REMICS, Floating Rate Note, 1/25/44 (144A) 3.5 01/25/2044 3,579,000 3,515,733
Government National Mortgage Association I, 4.5%, 9/15/40 4.5 09/15/2040 1,371,000 844,114
Spectra Energy Capital LLC, 6.75%, 7/15/18 6.75 07/15/2018 2,140,000 2,484,585
Reynolds Group Holdings, Inc., Incremental U.S. Term Loan, 12/31/18 4.0 12/31/2018 3,774,613 3,714,959
First Investors Auto Owner Trust 2013-1, 2.53%, 1/15/20 (144A) 2.53 01/15/2020 1,600,000 1,601,050
New Jersey Transportation Trust Fund Authority, 5.5%, 6/15/41 5.5 06/15/2041 10,540,000 11,930,062
First Horizon Mortgage Pass-Through Trust 2005-AR1, Floating Rate Note, 4/25/35 2.5727 04/25/2035 10,872,000 2,187,916
Seagate HDD Cayman, 4.75%, 6/1/23 4.75 06/01/2023 13,870,000 14,460,950
International Finance Corp., 8.25%, 6/10/21 8.25 06/10/2021 1,040,880,000 18,845,392
Monitronics International, Inc., Term B Loan (2013), 3/23/18 4.25 03/23/2018 7,503,892 7,428,853
Rural, Term Loan, 6/30/18 8.0 06/30/2018 1,548,807 1,452,006
Port Freeport Texas, 5.95%, 5/15/33 5.95 05/15/2033 15,970,000 17,860,892
Kane Flt% 14jul15 0.0 07/14/2015 3,056,160 2,968,143
Federal Home Loan Mortgage Corp., 4.5%, 7/1/40 4.5 07/01/2040 10,363,430 2,747,385
Government National Mortgage Association I, 4.0%, 3/15/44 4.0 03/15/2044 3,233,680 3,047,064
West Corp., Term B-10 Loan, 6/30/18 3.25 06/30/2018 1,939,592 1,905,649
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.5208 11/15/2018 9,525,000 3,076,964
MMC Norilsk Nickel OJSC via MMC Finance, Ltd., 5.55%, 10/28/20 (144A) 5.55 10/28/2020 8,500,000 7,783,556
LORENZO RE, Ltd., 0.0%, 12/31/49 (Cat Bond) (Perpetual) 0.0 12/31/2049 57,000 6,467,790
Indonesia Treasury Bond, 8.25%, 6/15/32 8.25 06/15/2032 222,011,000,000 18,039,032
Sotheby's, 5.25%, 10/1/22 (144A) 5.25 10/01/2022 525,000 503,016
Norway Government Bond, 2.0%, 5/24/23 2.0 05/24/2023 63,500,000 8,985,394
Government National Mortgage Association I, 6.5%, 3/15/32 6.5 03/15/2032 205,947 3,050
Government National Mortgage Association I, 4.5%, 12/15/34 4.5 12/15/2034 326,420 50,200
Phosagro OAO via Phosagro Bond Funding, Ltd., 4.204%, 2/13/18 (144A) 4.204 02/13/2018 5,550,000 4,862,440
Chaparral Energy, Inc., 7.625%, 11/15/22 7.625 11/15/2022 3,475,000 2,309,982
Government National Mortgage Association, Floating Rate Note, 3/16/53 0.9632 03/16/2053 35,900,000 2,270,041
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 0.4195 02/25/2030 34,198,591 4,692,236
Dolphin Energy, Ltd., 5.5%, 12/15/21 (144A) 5.5 12/15/2021 3,780,000 4,263,630
Fannie Mae, 3.5%, 11/1/40 3.5 11/01/2040 10,200,000 5,589,655
Dycom Investments, Inc., 7.125%, 1/15/21 7.125 01/15/2021 3,500,000 3,789,990
RAIT 2014-FL2 Trust, Floating Rate Note, 5/15/31 (144A) 2.3078 05/15/2031 4,000,000 3,952,341
Government National Mortgage Association I, 4.5%, 8/15/41 4.5 08/15/2041 17,565,000 7,582,356
La Hipotecaria Panamanian Mortgage Trust 2010-1, Floating Rate Note, 9/8/39 (144A) 2.4905 09/08/2039 2,150,000 1,486,003
The University of Texas System, 5.0%, 8/15/43 5.0 08/15/2043 2,210,000 2,567,001
American Homes 4 Rent 2014-SFR3 Trust, 5.04%, 12/18/36 (144A) 5.04 12/18/2036 6,100,000 6,233,281
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1.7601 01/07/2019 950,000 933,729
Fannie Mae, 6.0%, 1/1/34 6.0 01/01/2034 1,800,000 124,606
Government National Mortgage Association I, 6.0%, 10/15/37 6.0 10/15/2037 4,575,221 575,546
Fannie Mae, 4.0%, 11/1/41 4.0 11/01/2041 7,857,077 3,141,501
Fannie Mae, 4.5%, 3/1/35 4.5 03/01/2035 2,520,000 329,145
MASTR Adjustable Rate Mortgages Trust 2003-3, Floating Rate Note, 9/25/33 2.0411 09/25/2033 2,950,000 847,006
Protection One, Inc., Term Loan (2012), 3/21/19 4.25 03/21/2019 2,288,177 2,273,876
Fixed Income Trust Series 2013-A, 0.0%, 10/15/97 (Step) (144A) 0.0   6,250,000 4,497,092
Comstock Resources, Inc., 7.75%, 4/1/19 7.75 04/01/2019 9,120,000 6,651,900
Calpine Corp., Term Loan (3/11), 4/1/18 4.0 04/01/2018 5,385,188 5,344,799
The Goodyear Tire & Rubber Co., Loan (Second Lien), 4/30/19 4.75 04/30/2019 9,925,000 9,902,669
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 3.53 05/05/2017 3,000,000 3,007,933
BBVA Bancomer SA Texas, 4.375%, 4/10/24 (144A) 4.375 04/10/2024 2,500,000 2,537,109
Hospitality Properties Trust, 5.0%, 8/15/22 5.0 08/15/2022 3,738,000 4,009,636
Norway Government Bond, 4.25%, 5/19/17 4.25 05/19/2017 234,080,000 34,771,479
CHL Mortgage Pass-Through Trust 2003-42, Floating Rate Note, 9/25/33 2.9027 09/25/2033 2,550,000 13,971
NuVasive, Inc., 2.75%, 7/1/17 2.75 07/01/2017 14,319,000 18,399,915
FREMF Mortgage Trust 2013-K713, Floating Rate Note, 4/25/46 (144A) 3.2737 04/25/2046 3,400,000 3,381,560
Government National Mortgage Association I, 5.0%, 10/15/18 5.0 10/15/2018 402,294 28,818
US Bancorp, Floating Rate Note (Perpetual) 6.0 12/31/2049 759,762 20,604,745
CenturyLink, Inc., 7.65%, 3/15/42 7.65 03/15/2042 3,100,000 3,154,328
Banco Internacional del Peru SAA, 5.75%, 10/7/20 (144A) 5.75 10/07/2020 6,843,000 7,550,680
Albertsons LLC, Term B-2 Loan, 3/21/19 4.75 03/21/2019 1,995,000 1,986,687
Banco Nacional de Costa Rica, 4.875%, 11/1/18 (144A) 4.875 11/01/2018 5,000,000 4,990,625
Romania Government Bond, 5.95%, 6/11/21 5.95 06/11/2021 34,800,000 11,170,517
Fannie Mae, 4.5%, 2/1/44 4.5 02/01/2044 49,392,410 47,704,163
Fannie Mae, 5.0%, 7/1/41 5.0 07/01/2041 1,681,264 916,049
Fannie Mae, 3.5%, 8/1/42 3.5 08/01/2042 48,680,354 42,676,440
Sanders Re, Ltd., Floating Rate Note, 5/25/18 (Cat Bond) (144A) 3.0152 05/25/2018 3,500,000 3,489,733
Banc of America Mortgage Trust 2005-9, 4.75%, 10/25/20 4.75 10/25/2020 14,530,000 103,527
Alfa Bank OJSC Via Alfa Bond Issuance Plc, 7.875%, 9/25/17 (144A) 7.875 09/25/2017 843,000 802,106
Massachusetts Development Finance Agency, 5.375%, 4/1/41 5.375 04/01/2041 2,075,000 2,377,322
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.7601 04/30/2018 925,000 954,266
International Equipment Solutions LLC, Initial Loan, 8/16/19 6.75 08/16/2019 5,288,301 5,275,081
CEVA GROUP Plc, 0.0%, 12/31/14 0.0 03/31/2015 2,313 1,908,596
PHH Mortgage Capital LLC, 6.6%, 12/25/27 (Step) (144A) 6.6 12/25/2027 14,800,000 983,133
WCA Waste Corp., Term Loan, 3/23/18 4.0 03/23/2018 3,666,325 3,629,662
On Assignment, Inc., Initial Term B Loan, 5/15/20 3.5 05/15/2020 1,994,750 1,972,309
Inter-American Development Bank, 7.2%, 11/14/17 7.2 11/14/2017 17,080,000,000 1,375,645
Protective Life Corp., 7.375%, 10/15/19 7.375 10/15/2019 4,460,000 5,436,581
Government National Mortgage Association I, 6.5%, 12/15/31 6.5 12/15/2031 50,173 522
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 3.0 06/25/2043 4,155,000 3,724,361
Arcelik AS, 5.0%, 4/3/23 (144A) 5.0 04/03/2023 8,100,000 7,900,110
GTP Acquisition Partners I LLC, 7.628%, 6/15/41 (144A) 7.628 06/15/2041 10,580,000 11,110,039
Republic of Ghana, 7.875%, 8/7/23 (144A) 7.875 08/07/2023 16,455,000 15,739,208
Mentor Graphics Corp., 4.0%, 4/1/31 4.0 04/01/2031 12,418,000 14,994,735
Liberty Tire Recycling LLC, 11.0%, 10/1/16 (144A) 11.0 10/01/2016 6,050,000 5,203,000
FREMF Mortgage Trust 2012-K20, Floating Rate Note, 5/25/45 (144A) 3.8689 05/25/2045 6,500,000 6,679,648
WFRBS Commercial Mortgage Trust 2011-C4, Floating Rate Note, 6/17/44 (144A) 5.2453 06/17/2044 2,000,000 2,183,884
Fannie Mae, 4.5%, 10/1/43 4.5 10/01/2043 6,481,868 5,342,126
Sequoia Mortgage Trust, Floating Rate Note, 9/25/42 3.0 09/25/2042 3,930,000 2,365,668
Government National Mortgage Association I, 5.5%, 10/15/19 5.5 10/15/2019 300,000 41,223
Navios Maritime Partners LP, Term Loan, 6/27/18 5.25 06/27/2018 1,979,987 1,950,288
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 20,000,000 20,766,190
Rovi Solutions Corp 1st Lien Tl-B L + 3% 02jul21 3.75 07/02/2021 2,385,993 2,346,226
JPMorgan Chase & Co., Floating Rate Note (Perpetual) 7.9 12/31/2049 7,626,000 8,309,946
Fannie Mae, 3.5%, 12/1/42 3.5 12/01/2042 50,000 45,026
Intesa Sanpaolo S.p.A., 3.625%, 8/12/15 (144A) 3.625 08/12/2015 5,643,000 5,798,197
Bayview Opportunity Master Fund Trust IIIa 2014-12RPL, 3.6225%, 7/28/19 (Step) (144A) 3.6225 07/28/2019 4,000,000 2,474,811
Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37 0.3195 03/25/2037 2,350,000 1,386,038
Univision Communications, Inc., Replacement First-Lien Term Loan, 3/1/20 4.0 03/01/2020 6,949,965 6,810,966
Gentiva Health Services, Inc., Initial Term B Loan, 10/10/19 6.5 10/10/2019 8,829,336 8,840,373
Mondelez International, Inc., 6.5%, 2/9/40 6.5 02/09/2040 2,290,000 3,110,676
Fannie Mae, 5.0%, 2/1/22 5.0 02/01/2022 6,603,277 364,344
Ozburn-Hessey Holding Co LLC, Term Loan, 5/23/19 6.7525 05/23/2019 2,600,400 2,593,899
Oak Hill Advisors Residential Loan Trust 2014-NPL1, 2.8828%, 5/25/54 (Step) (144A) 2.8828 05/25/2054 5,870,000 4,182,749
Bear Stearns ARM Trust 2004-12, Floating Rate Note, 2/25/35 3.8566 02/25/2035 7,000,000 1,014,494
Par Pharmaceutical Companies, Inc., Term B-2 Loan, 9/28/19 4.0 09/28/2019 9,153,155 8,951,026
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 2.35 10/25/2035 4,594,419 1,142,252
Confie seguros Holding II Co., Term B Loan (First Lien), 11/9/18 5.75 11/09/2018 3,140,779 3,134,237
Rosneft Finance SA, 7.25%, 2/2/20 (144A) 7.25 02/02/2020 1,770,000 1,584,162
Rosetta Resources, Inc., 5.875%, 6/1/24 5.875 06/01/2024 2,100,000 1,879,281
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 11/10/16 (Cat Bond) (144A) 11.7874 11/10/2016 250,000 271,436
Fannie Mae, 4.5%, 9/1/41 4.5 09/01/2041 2,700,000 1,429,767
Liberty Mutual Group, Inc., 5.0%, 6/1/21 (144A) 5.0 06/01/2021 6,970,000 7,621,477
Mexican Bonos, 6.5%, 6/9/22 6.5 06/09/2022 272,040,000 19,394,755
Tidewater Auto Receivables Trust 2012-A, 2.83%, 10/15/19 2.83 10/15/2019 600,000 606,080
Fannie Mae, 4.5%, 10/1/43 4.5 10/01/2043 11,002,820 10,106,287
CFG Investment SAC, 9.75%, 7/30/19 (144A) 9.75 07/30/2019 6,385,000 5,816,070
Delta Air Lines 2010-1 Class B Pass Through Trust, 6.375%, 1/2/16 (144A) 6.375 01/02/2016 50,000 53,585
Scientific Games International Inc 1st Lien Tl-B2 L + 5% 17sep21 6.0 09/17/2021 8,750,000 8,640,625
Banc of America Commercial Mortgage Trust 2007-3, Floating Rate Note, 6/10/49 5.547 06/10/2049 1,400,000 1,453,668
Fannie Mae, 6.0%, 1/1/33 6.0 01/01/2033 502,267 18,385
Fannie Mae, 5.0%, 7/1/40 5.0 07/01/2040 11,275,000 3,429,507
Government National Mortgage Association I, 6.5%, 10/15/31 6.5 10/15/2031 316,324 6,848
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 11/25/33 2.5827 11/25/2033 40,000,000 2,078,301
Citigroup, Inc., Floating Rate Note (Perpetual) 7.125 12/31/2049 642,000 17,411,040
Federal Home Loan Mortgage Corp., 3.5%, 11/1/44 3.5 11/01/2044 725,000 755,689
Cummins, Inc., 6.75%, 2/15/27 6.75 02/15/2027 1,385,000 1,816,574
Government National Mortgage Association I, 5.5%, 9/15/19 5.5 09/15/2019 2,037,648 97,488
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18 (144A) 8.75 05/15/2018 3,750,000 4,709,429
Fannie Mae, 6.0%, 12/1/33 6.0 12/01/2033 2,000,000 135,866
American Home Mortgage Investment Trust 2004-4, 5.09642%, 2/25/45 (Step) 5.0964 02/25/2045 3,390,000 2,882,922
Government National Mortgage Association I, 6.0%, 1/15/33 6.0 01/15/2033 1,500,000 32,789
Residential Asset Securitization Trust 2004-A7, Floating Rate Note, 10/25/34 0.6195 10/25/2034 28,000,000 1,881,744
LSTAR Commercial Mortgage Trust, Floating Rate Note, 6/25/43 (144A) 5.3544 06/25/2043 4,920,000 3,132,447
Sequoia Mortgage Trust 2004-8, Floating Rate Note, 9/20/34 0.8655 09/20/2034 11,000,000 978,137
Indianapolis Airport Authority, 5.1%, 1/15/17 5.1 01/15/2017 3,450,000 3,810,962
COMM 2012-CCRE4 Mortgage Trust, 3.251%, 10/17/45 3.251 10/17/2045 2,365,416 2,389,442
AEP Industries, Inc., 8.25%, 4/15/19 8.25 04/15/2019 1,824,000 1,874,008
Fannie Mae, 4.5%, 12/1/41 4.5 12/01/2041 60,000 41,582
New Jersey Economic Development Authority, 0.0%, 2/15/18 0.0 02/15/2018 19,893,000 18,373,573
Icon Brand Holdings LLC, 4.229%, 1/25/43 (144A) 4.229 01/25/2043 7,276,000 6,396,920
WireCo WorldGroup, Inc., 9.5%, 5/15/17 9.5 05/15/2017 3,500,000 3,568,736
Rosneft Finance SA, 6.625%, 3/20/17 (144A) 6.625 03/20/2017 1,395,000 1,323,279
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 3.5 10/18/2018 5,276,904 5,202,700
JBS Investments GmbH, 7.75%, 10/28/20 (144A) 7.75 10/28/2020 5,100,000 5,350,219
Government National Mortgage Association I, 5.5%, 1/15/35 5.5 01/15/2035 2,028,000 224,323
Continental Airlines 1999-1 Class B Pass Through Trust, 6.795%, 8/2/18 6.795 08/02/2018 3,500,000 416,396
Rain CII Carbon LLC, 8.0%, 12/1/18 (144A) 8.0 12/01/2018 3,875,000 3,939,583
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 4/25/37 0.2453 04/25/2037 5,678,000 1,222,615
Government National Mortgage Association I, 6.0%, 11/15/16 6.0 11/15/2016 1,500,000 14,346
Fannie Mae, 4.0%, 2/1/44 4.0 02/01/2044 3,344,903 3,314,202
Fannie Mae, 6.5%, 8/1/32 6.5 08/01/2032 340,598 4,010
Fitness International Llc 1st Lien Tl-B L + 4.5% 25jun20 5.5 06/25/2020 4,022,942 3,882,139
Cobalt International Energy, Inc., 2.625%, 12/1/19 2.625 12/01/2019 11,835,000 7,171,270
Turkiye Garanti Bankasi AS, 7.375%, 3/7/18 (144A) 7.375 03/07/2018 14,400,000 5,658,229
Alexandria Real Estate Equities, Inc., 4.6%, 4/1/22 4.6 04/01/2022 11,010,000 11,837,523
Cme: (Cdx.Na.Hy.23.V1) Usd 20dec19 Z91mw60e6 500.0 12/20/2019 137,300,000 8,778,755
Government National Mortgage Association I, 5.5%, 9/15/19 5.5 09/15/2019 2,338,171 123,231
Viterra, Inc., 5.95%, 8/1/20 (144A) 5.95 08/01/2020 12,880,000 14,539,609
FREMF Mortgage Trust 2011-K11 REMICS, Floating Rate Note, 12/25/48 (144A) 4.4208 12/25/2048 3,300,000 3,526,200
Kane Zero% 19feb16 0.0 02/19/2016 8,064,000 8,064,000
Carnow Auto Receivables Trust 2013-1, 2.98%, 11/15/17 (144A) 2.98 11/15/2017 2,797,000 2,805,191
Indonesia Treasury Bond, 6.125%, 5/15/28 6.125 05/15/2028 26,365,000,000 1,782,112
Federal Home Loan Mortgage Corp., 5.0%, 11/1/39 5.0 11/01/2039 39,051,129 12,021,017
Government National Mortgage Association II, 5.5%, 10/20/37 5.5 10/20/2037 50,000 13,420
Louisiana Local Government Environmental Facilities & Community Development Authority, 6.75%, 11/1/3 6.75 11/01/2032 7,370,000 8,533,207
New Albertsons Inc 1st Lien Tl L + 3.75% 24jun21 4.75 06/24/2021 1,845,375 1,821,732
Standard Aero, Ltd., Replacement Tranche B-2 Loan, 11/2/18 5.0 11/02/2018 3,177,845 3,169,901
Sector Re V, Ltd., 0.0%, 12/1/19 (Cat Bond) (144A) 0.0 12/01/2019 2,900,000 2,915,080
Government National Mortgage Association I, 6.0%, 1/15/34 6.0 01/15/2034 1,135,007 68,917
Fly Leasing, Ltd., 6.375%, 10/15/21 6.375 10/15/2021 1,750,000 1,751,021
EverBank Mortgage Loan Trust REMICS, Floating Rate Note, 4/25/43 (144A) 3.5071 04/25/2043 6,762,000 6,378,303
Air Canada 2013-1 Class A Pass Through Trust, 4.125%, 11/15/26 (144A) 4.125 11/15/2026 2,000,000 1,933,696
PQ Corp., 2014 Term Loan, 8/7/17 4.0 08/07/2017 6,223,000 6,110,986
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 0.4695 05/25/2036 6,500,000 496,668
Croatia Government International Bond, 5.5%, 4/4/23 (144A) 5.5 04/04/2023 7,900,000 8,289,404
Calumet Specialty Products Partners LP, 6.5%, 4/15/21 (144A) 6.5 04/15/2021 6,735,000 6,086,569
Federal Home Loan Mortgage Corp., 4.5%, 9/1/43 4.5 09/01/2043 3,677,099 3,009,639
Fannie Mae, 6.0%, 11/1/32 6.0 11/01/2032 350,000 9,702
Garda World Security Corp., Term B Loan, 11/1/20 4.0 11/01/2020 3,556,421 3,480,847
Government National Mortgage Association I, 6.5%, 6/15/32 6.5 06/15/2032 150,000 7,771
FREMF Mortgage Trust 2013-K502, Floating Rate Note, 3/27/45 (144A) 3.1954 03/27/2045 1,000,000 995,058
FREMF Mortgage Trust 2011-K10 , Floating Rate Note, 11/25/49 (144A) 4.6154 11/25/2049 5,600,000 6,036,675
RALI Series 2004-QS4 Trust, Floating Rate Note, 3/25/34 0.6695 03/25/2034 19,206,500 1,586,196
Government National Mortgage Association, 3.0%, 4/20/41 3.0 04/20/2041 8,800,000 7,442,016
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 0.4195 09/25/2030 11,903,557 1,987,881
FREMF Mortgage Trust 2012-K710, Floating Rate Note, 6/25/47 (144A) 3.8187 06/25/2047 3,661,000 3,786,383
Federal Home Loan Mortgage Corp., 5.0%, 12/1/34 5.0 12/01/2034 4,668,054 420,498
Kane Ilw Zero% 02feb16 0.0 02/02/2016 2,550,000 2,329,935
Energy XXI Gulf Coast, Inc., 7.5%, 12/15/21 7.5 12/15/2021 17,200,000 9,345,333
Government National Mortgage Association I, 5.5%, 10/15/34 5.5 10/15/2034 2,500,000 331,496
Russian Federal Bond - OFZ, 7.6%, 7/20/22 7.6 07/20/2022 25,000 318
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 1/25/35 2.3726 01/25/2035 11,606,000 2,693,991
Nortek Inc 1st Lien Tl-B L + 3% 31dec20 3.75 12/31/2020 1,955,088 1,931,261
Fannie Mae, 4.0%, 7/1/42 4.0 07/01/2042 424,314 297,980
Government National Mortgage Association I, 4.0%, 10/15/44 4.0 10/15/2044 3,000,000 3,269,023
JP Morgan Mortgage Trust 2013-1, Floating Rate Note, 3/25/43 (144A) 2.5 03/25/2043 23,395,000 16,250,855
C&S Group Enterprises LLC, 5.375%, 7/15/22 (144A) 5.375 07/15/2022 391,000 398,050
Government National Mortgage Association I, 6.0%, 6/15/33 6.0 06/15/2033 3,345,634 345,946
Federal Home Loan Mortgage Corp., 5.0%, 11/1/34 5.0 11/01/2034 750,000 82,518
Mcron Finance Sub LLC, 8.375%, 5/15/19 (144A) 8.375 05/15/2019 120,000 128,484
Government National Mortgage Association I, 7.5%, 8/15/29 7.5 08/15/2029 100,063 124
Government National Mortgage Association I, 5.5%, 2/15/37 5.5 02/15/2037 172 24
Alfa Bank OJSC Via Alfa Bond Issuance Plc, 8.625%, 4/26/16 (144A) 8.625 04/26/2016 246,800,000 3,669,575
Metalloinvest Finance, Ltd., 5.625%, 4/17/20 (144A) 5.625 04/17/2020 6,200,000 4,776,372
Government National Mortgage Association, Floating Rate Note, 8/16/52 0.9755 08/16/2052 55,500,000 2,902,630
Mexican Udibonos, 2.0%, 6/9/22 2.0 06/09/2022 61,080,000 21,483,785
Reynolds Group Issuer, Inc., 9.875%, 8/15/19 9.875 08/15/2019 5,795,000 6,358,886
Springleaf Mortgage Loan Trust 2012-3, Floating Rate Note, 12/26/59 (144A) 5.3 12/26/2059 1,100,000 1,139,468
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 8.0059 05/07/2015 10,950,000 11,336,877
VimpelCom Holdings BV, 7.5043%, 3/1/22 (144A) 7.5043 03/01/2022 11,600,000 9,686,166
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 300,000 16,309
inVentiv Health, Inc., Term B-3 Loan, 5/15/18 7.7517 05/15/2018 384,532 383,570
City Center Trust 2011-CCHP, Floating Rate Note, 7/17/28 (144A) 4.65 07/17/2028 4,500,000 4,505,840
ConvaTec, Inc., Dollar Term Loan, 12/22/16 4.0 12/22/2016 3,954,363 3,919,762
OMNOVA Solutions, Inc., Term B-1 Loan, 5/31/18 4.25 05/31/2018 1,395,000 1,381,050
Government National Mortgage Association I, 6.0%, 11/15/18 6.0 11/15/2018 197,092 2,078
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/26/46 (144A) 3.4575 11/26/2046 3,600,000 3,664,821
Sabine Pass Liquefaction LLC, 5.625%, 2/1/21 5.625 02/01/2021 12,650,000 12,725,109
NuStar Logistics LP, Floating Rate Note, 1/15/43 7.625 01/15/2043 279,823 7,219,433
SM Energy Co., 6.5%, 1/1/23 6.5 01/01/2023 1,080,000 1,071,900
Alkermes, Inc., 2019 Term Loan, 9/25/19 3.5 09/25/2019 686,000 682,570
FREMF Mortgage Trust 2011-K12, Floating Rate Note, 1/25/46 (144A) 4.3471 01/25/2046 3,953,000 4,198,640
Mid-State Capital Trust 2010-1, 7.0%, 12/15/45 (144A) 7.0 12/15/2045 3,050,000 2,448,790
Provincia de Neuquen Argentina, 7.875%, 4/26/21 (144A) 7.875 04/26/2021 2,300,000 1,806,495
Arysta Lifescience SPC LLC, Initial Term Loan (First Lien), 5/29/20 4.5 05/29/2020 5,332,493 5,310,272
Vertafore, Inc., Term Loan (2013), 10/3/19 4.25 10/03/2019 5,768,666 5,722,996
KazMunayGas National Co JSC, 4.4%, 4/30/23 (144A) 4.4 04/30/2023 3,500,000 3,135,844
Tradewynd Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 6.25 01/08/2015 250,000 253,843
The Bank of New York Mellon Corp., Floating Rate Note (Perpetual) 4.5 12/31/2049 5,450,000 5,031,713
State Street Corp., Floating Rate Note, 12/31/73 5.9 12/31/2073 236,600 6,118,476
RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35 5.25 07/25/2035 3,999,380 2,105,432
Telesat Canada, U.S. Term B-2 Loan, 3/28/19 3.5 03/28/2019 6,648,899 6,549,166
Fannie Mae, 4.0%, 4/1/41 4.0 04/01/2041 450,000 329,606
Zebra Technologies Corporation 1st Lien Tl-B L + 4% 30sep21 4.75 09/30/2021 1,625,000 1,637,696
Weatherford International, Ltd. Bermuda, 9.625%, 3/1/19 9.625 03/01/2019 4,070,000 4,957,925
Universal Hospital Services, Inc., 7.625%, 8/15/20 7.625 08/15/2020 171,000 151,986
CEMEX Espana SA, 9.875%, 4/30/19 (144A) 9.875 04/30/2019 5,098,000 5,680,358
Scds: (Do) Usd 20dec19 Buy Bnr1c3dt1 100.0 12/20/2019 10,480,000 -998,780
Advanced Micro Devices, Inc., 7.0%, 7/1/24 7.0 07/01/2024 15,160,000 13,422,917
FPL Energy Wind Funding LLC, 6.876%, 6/27/17 (144A) 6.876 06/27/2017 4,665,000 442,161
ONEOK, Inc., 6.875%, 9/30/28 6.875 09/30/2028 9,425,000 10,870,460
Ardagh Glass Finance Plc, 8.75%, 2/1/20 (144A) 8.75 02/01/2020 100,000 129,306
Government National Mortgage Association I, 6.0%, 7/15/33 6.0 07/15/2033 2,789,309 276,668
JPMorgan Chase & Co., Floating Rate Note, 8/29/49 6.75 08/29/2049 13,825,000 14,974,203
Hawaiian Airlines 2013-1 Class A Pass Through Certificates, 3.9%, 1/15/26 3.9 01/15/2026 2,795,000 2,796,351
Truven Health Analytics, Inc., New Tranche B Term Loan, 6/6/19 4.5 06/06/2019 7,370,887 7,177,402
Golar LNG Partners LP, Floating Rate Note, 10/12/17 6.84 10/12/2017 32,000,000 4,307,500
Federal Home Loan Mortgage Corp., 4.5%, 11/1/43 4.5 11/01/2043 4,841,006 4,046,951
Government National Mortgage Association I, 4.5%, 10/15/33 4.5 10/15/2033 2,387,368 246,490
Fannie Mae, 4.0%, 11/1/41 4.0 11/01/2041 55,000 21,147
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 7.405 01/09/2019 6,150,000 6,440,075
Leaf Receivables Funding 8 LLC, 2.67%, 9/15/20 (144A) 2.67 09/15/2020 3,139,702 3,157,902
Citicorp Residential Mortgage Trust Series 2007-2, 5.66213%, 6/25/37 (Step) 5.6621 06/25/2037 4,155,000 4,285,691
Ziggo Bv 1st Lien Tl-B2 L + 2.75% 15jan22 3.5 01/15/2022 1,668,085 1,626,383
Samson Investment Co., 9.75%, 2/15/20 9.75 02/15/2020 4,710,000 2,125,191
JP Morgan Mortgage Trust 2004-A2, Floating Rate Note, 5/25/34 2.6088 05/25/2034 8,822,000 593,948
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 8.0152 06/06/2016 4,500,000 4,838,300
Bear Stearns ARM Trust 2003-6, Floating Rate Note, 8/25/33 2.5826 08/25/2033 44,701,000 2,298,524
Empresas ICA SAB de CV, 8.375%, 7/24/17 (144A) 8.375 07/24/2017 3,400,000 3,490,183
Alternative Loan Trust 2005-J4, Floating Rate Note, 7/25/35 1.1295 07/25/2035 6,900,000 6,175,051
Federal Home Loan Mortgage Corp., 6.0%, 12/1/37 6.0 12/01/2037 5,000,000 311,762
American Homes 4 Rent 2014-SFR2 Trust, 5.149%, 10/17/36 (144A) 5.149 10/17/2036 2,200,000 2,272,571
Wells Fargo Commercial Mortgage Trust 2014-LC16 REMICS, 2.819%, 8/17/50 2.819 08/17/2050 3,525,000 3,616,161
Government National Mortgage Association I, 6.0%, 7/15/17 6.0 07/15/2017 6,000,000 111,814
DBUBS 2011-LC3 Mortgage Trust, Floating Rate Note, 8/12/44 (144A) 5.4189 08/12/2044 6,767,000 7,692,615
DCT Industrial Operating Partnership LP, 4.5%, 10/15/23 4.5 10/15/2023 7,300,000 7,671,504
Linn Energy LLC, 6.5%, 5/15/19 6.5 05/15/2019 9,200,000 7,942,411
Springleaf Funding Trust 2014-A, 2.41%, 12/15/22 (144A) 2.41 12/15/2022 5,000,000 5,001,216
Apex Tool Group LLC, Term Loan, 1/31/20 4.5 01/31/2020 1,339,773 1,302,929
Digital Realty Trust, Inc., 5.875% (Perpetual) 5.875 12/31/2049 100,000 2,302,000
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5, 4.1712%, 8/17/46 4.1712 08/17/2046 5,200,000 5,635,854
Equity One Mortgage Pass-Through Trust 2004-1, 4.205%, 4/25/34 (Step) 4.205 04/25/2034 1,250,000 86,462
GMAC Capital Trust I, Floating Rate Note, 2/15/40 8.125 02/15/2040 465,150 12,270,657
Government National Mortgage Association I, 6.5%, 7/15/32 6.5 07/15/2032 800,000 10,659
Offshore Group Investment, Ltd., 7.5%, 11/1/19 7.5 11/01/2019 2,845,000 2,155,088
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 3.5152 01/06/2019 1,000,000 998,219
ATKORE INTERNATIONAL INC, Term Loan (First Lien), 3/27/21 4.5 03/27/2021 1,691,500 1,664,013
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 3.9752 05/18/2016 50,000 50,988
Government National Mortgage Association I, 5.125%, 10/15/38 5.125 10/15/2038 1,865,279 1,073,821
Constellation Brands, Inc., 4.75%, 11/15/24 4.75 11/15/2024 2,560,000 2,611,591
Federal Home Loan Mortgage Corp., 6.0%, 1/1/33 6.0 01/01/2033 2,610,000 124,788
Urbi Desarrollos Urbanos SAB de CV, 0.0%, 1/21/20 (144A) 0.0 01/21/2020 2,275,000 647,743
Altrl Zero% 30jun16 0.0 06/30/2016 8,128,729 8,906,649
Sempra Energy, 9.8%, 2/15/19 9.8 02/15/2019 50,000 66,056
FREMF Mortgage Trust 2010-K7, Floating Rate Note, 5/25/29 (144A) 5.4347 05/25/2029 3,900,000 4,361,381
Government National Mortgage Association I, 6.0%, 1/15/33 6.0 01/15/2033 4,325,436 175,008
Federal Home Loan Mortgage Corp., 4.5%, 9/1/41 4.5 09/01/2041 324,372 292,402
JBS USA LLC, 8.25%, 2/1/20 (144A) 8.25 02/01/2020 4,650,000 5,053,969
TimberStar Trust 1 REMICS, 5.668%, 10/15/36 (144A) 5.668 10/15/2036 750,000 801,974
Arlington Flt% 01aug15 0.0 08/01/2015 3,033,000 3,279,886
BioScrip, Inc., Initial Term B Loan, 7/31/20 6.5 07/31/2020 4,315,919 4,337,499
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC16, 5.623%, 5/12/45 5.623 05/12/2045 4,000,000 4,117,835
Bear Stearns ARM Trust 2004-6, Floating Rate Note, 9/25/34 2.6611 09/25/2034 27,589,800 3,136,694
Bank of America Corp., 7.25% (Perpetual) 7.25 12/31/2049 5,330 6,198,630
Fannie Mae, 4.5%, 7/1/41 4.5 07/01/2041 39,417,029 22,883,879
Government National Mortgage Association I, 6.5%, 9/15/32 6.5 09/15/2032 500,414 48,614
Conseco Financial Corp., Floating Rate Note, 12/1/28 6.24 12/01/2028 4,121,000 204,468
European Bank for Reconstruction & Development, 7.65%, 2/18/15 7.65 02/18/2015 213,800,000 3,624,260
DuPont Fabros Technology LP, 5.875%, 9/15/21 5.875 09/15/2021 9,205,000 9,536,827
Fannie Mae, 7.5%, 1/1/28 7.5 01/01/2028 115,000 1,222
Lightstream Resources, Ltd., 8.625%, 2/1/20 (144A) 8.625 02/01/2020 2,760,000 2,031,188
Alpha Natural Resources, Inc., 6.0%, 6/1/19 6.0 06/01/2019 4,260,000 1,341,900
Government National Mortgage Association I, 6.0%, 9/15/33 6.0 09/15/2033 1,501,891 83,315
Sequoia Mortgage Trust 2004-9, Floating Rate Note, 10/20/34 0.8455 10/20/2034 25,450,610 2,412,277
Schaeffler (Aka Ina Beteiligungsge 1st Lien Tl-B L + 3.5% 15may20 4.25 05/15/2020 1,100,000 1,101,834
BRF SA, 3.95%, 5/22/23 (144A) 3.95 05/22/2023 3,500,000 3,250,727
Wells Fargo Home Equity Asset-Backed Securities 2005-2 Trust, Floating Rate Note, 11/25/35 0.5795 11/25/2035 1,483,000 504,526
Government National Mortgage Association I, 5.5%, 3/15/37 5.5 03/15/2037 2,000,000 213,392
Fannie Mae, 4.0%, 12/1/42 4.0 12/01/2042 46,000 14,919
Vedanta Resources Plc, 8.25%, 6/7/21 (144A) 8.25 06/07/2021 2,585,000 2,573,368
VOLT XIX LLC, 3.875%, 4/26/55 (Step) 3.875 04/26/2055 5,300,000 5,301,344
The Allstate Corp., Floating Rate Note, 1/15/53 5.1 01/15/2053 631,450 15,994,629
Antero Resources Corp., 5.125%, 12/1/22 (144A) 5.125 12/01/2022 8,000,000 7,574,167
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 0.9695 10/25/2034 51,794,000 2,697,613
Denbury Resources, Inc., 4.625%, 7/15/23 4.625 07/15/2023 11,796,000 10,484,596
Capital Auto Receivables Asset Trust/ Ally, 2.19%, 9/20/21 2.19 09/20/2021 3,165,000 3,172,312
New Residential Mortgage Loan Trust 2014-3, Floating Rate Note, 11/25/54 (144A) 3.75 11/25/2054 7,093,312 7,308,204
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 4.0203 06/28/2016 3,850,000 3,936,839
JP Morgan Mortgage Trust 2014-1 REMICS, Floating Rate Note, 1/25/44 (144A) 3.9929 01/25/2044 2,749,964 2,416,556
SM Energy Co., 5.0%, 1/15/24 5.0 01/15/2024 1,160,000 1,030,144
Electricite de France SA, 6.0%, 1/22/14 (144A) 6.0   23,175,000 27,611,668
Sector Re V, Ltd., 0.0%, 3/1/18 (Cat Bond) (144A) 0.0 03/01/2018 6,086 153,694
Government National Mortgage Association II, 4.5%, 12/20/34 4.5 12/20/2034 8,150,000 1,526,320
GrupoSura Finance SA, 5.7%, 5/18/21 (144A) 5.7 05/18/2021 4,710,000 5,001,117
E*TRADE Financial Corp., 5.375%, 11/15/22 5.375 11/15/2022 6,560,000 6,750,696
Fresnillo Plc, 5.5%, 11/13/23 (144A) 5.5 11/13/2023 7,550,000 7,454,367
Government National Mortgage Association I, 5.5%, 4/15/33 5.5 04/15/2033 184,273 6,755
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 5.46 11/15/2035 2,000,000 1,654,820
Government National Mortgage Association I, 6.5%, 2/15/32 6.5 02/15/2032 417,022 5,699
CVS Pass-Through Trust, 6.036%, 12/10/28 6.036 12/10/2028 1,300,000 1,176,870
Washington Suburban Sanitary Commission, 4.0%, 6/1/43 4.0 06/01/2043 5,440,000 5,736,438
IASIS Healthcare LLC, Term B-2 Loan, 5/3/18 4.5 05/03/2018 4,638,166 4,603,380
LDK Solar Co, Ltd., 5.535%, 12/31/18 (PIK) 5.535 12/31/2018 1,942,800 4,182
Fannie Mae, 6.0%, 12/1/37 6.0 12/01/2037 7,118,373 325,306
Aguila 3 SA, 7.875%, 1/31/18 (144A) 7.875 01/31/2018 1,100,000 1,100,584
Freeport-McMoRan, Inc., 3.875%, 3/15/23 3.875 03/15/2023 8,860,000 8,454,617
Romania Government Bond, 5.85%, 4/26/23 5.85 04/26/2023 83,320,000 27,073,095
Government National Mortgage Association II, 6.0%, 5/20/32 6.0 05/20/2032 3,000,000 91,683
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 2.4195 03/25/2032 7,961,000 2,741,325
Nn Inc 1st Lien Tl-B L + 5% 18jul21 6.0 07/18/2021 3,326,786 3,324,706
DigitalGlobe, Inc., Term Loan, 1/31/20 3.75 01/31/2020 7,986,358 7,933,952
Minerva Luxembourg SA, 12.25%, 2/10/22 (144A) 12.25 02/10/2022 5,000,000 5,994,896
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 2,000,000 2,127,067
First Data Corp., 2018 New Dollar Term Loan, 3/24/18 3.7291 03/24/2018 1,528,214 1,499,560
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 3.75 08/20/2025 1,250,000 676,074
Kronos, Inc., Incremental Term Loan (First Lien), 10/30/19 4.5 10/30/2019 736,022 732,342
Credit Suisse First Boston Mortgage Securities Corp., 5.0%, 8/25/20 5.0 08/25/2020 7,662,500 520,946
Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 6.03 06/12/2015 1,495,000 1,525,099
Fannie Mae, 4.0%, 11/1/43 4.0 11/01/2043 8,931,305 9,246,314
Accudyne Industries Borrower SCA, Refinancing Term Loan, 12/13/19 4.0161 12/13/2019 2,324,094 2,163,829
JLL, Initial Dollar Term Loan, 1/23/21 4.2531 01/23/2021 2,447,700 2,382,684
Kiowa Power Partners LLC, 5.737%, 3/30/21 (144A) 5.737 03/30/2021 3,775,000 3,435,492
Federal Home Loan Mortgage Corp., 4.5%, 10/1/35 4.5 10/01/2035 8,240,814 806,146
Government National Mortgage Association I, 6.5%, 9/15/32 6.5 09/15/2032 1,709,146 117,725
USI, Inc. New York, Initial Term Loan 2013, 12/30/19 4.25 12/30/2019 26,340,020 25,895,532
Si Organization Inc 1st Lien Tl L + 4.75% 19nov19 5.75 11/19/2019 4,587,433 4,575,965
Standard Chartered Plc, 3.95%, 1/11/23 (144A) 3.95 01/11/2023 18,802,000 18,495,373
CS Intermediate Holdco 2 LLC, Term Loan, 3/28/21 4.0 03/28/2021 1,343,250 1,328,978
Carrington Mortgage Loan Trust Series 2006-FRE1, Floating Rate Note, 7/25/35 0.2795 07/25/2035 5,500,000 927,108
Government National Mortgage Association I, 5.0%, 11/15/16 5.0 11/15/2016 1,229,667 41,324
Tufts University, 5.017%, 4/15/12 5.017   14,800,000 16,296,657
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 1.6374 03/25/2044 22,479,999 3,136,589
Alta Wind Holdings LLC, 7.0%, 6/30/35 (144A) 7.0 06/30/2035 1,600,000 1,468,524
Service Corp International United States, 8.0%, 11/15/21 8.0 11/15/2021 3,322,000 3,879,173
Government National Mortgage Association I, 6.0%, 5/15/33 6.0 05/15/2033 1,292,064 63,253
JobsOhio Beverage System, 3.985%, 1/1/29 3.985 01/01/2029 17,600,000 18,605,576
GS Mortgage Securities Trust 2014-GSFL, Floating Rate Note, 7/15/31 (144A) 1.9108 07/15/2031 4,775,000 4,775,290
Fannie Mae, 5.0%, 6/1/40 5.0 06/01/2040 3,027,156 831,879
Agrokor dd, 8.875%, 2/1/20 (144A) 8.875 02/01/2020 50,000 55,799
Mexican Bonos, 7.5%, 6/3/27 7.5 06/03/2027 46,890,000 3,558,799
Sirius International Group, Ltd., 6.375%, 3/20/17 (144A) 6.375 03/20/2017 6,200,000 6,920,126
Massachusetts Development Finance Agency, 5.25%, 4/1/37 5.25 04/01/2037 6,550,000 7,644,341
EP Energy LLC, Tranche B-3 Loan, 5/24/18 3.5 05/24/2018 3,656,667 3,482,975
Metinvest BV, 10.5%, 11/28/17 (144A) 10.5 11/28/2017 -500 1,209,510
Home Equity Loan Trust 2003-HS4, Floating Rate Note, 1/25/29 0.4295 01/25/2029 735,000 7,228
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 750,000 111,392
SBP DPR Finance Co., Floating Rate Note, 3/15/17 (144A) 2.9906 03/15/2017 3,900,000 1,847,743
Allegheny Technologies, Inc., 9.375%, 6/1/19 9.375 06/01/2019 3,645,000 4,269,215
MarkWest Energy Partners LP, 4.875%, 12/1/24 4.875 12/01/2024 15,495,000 15,230,294
Fannie Mae, 4.0%, 2/1/44 4.0 02/01/2044 30,000,000 29,513,630
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 9.0152 06/06/2015 4,250,000 4,389,825
JG Wentworth XXII LLC, 3.82%, 12/15/48 (144A) 3.82 12/15/2048 3,250,000 2,183,212
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 1.6 06/19/2031 2,435,000 2,390,336
MASTR Alternative Loan Trust 2004-6, 6.0%, 7/25/34 6.0 07/25/2034 33,875,000 6,820,341
Mashantucket Western Pequot Tribe, 6.5%, 7/1/36 (PIK) 6.5 07/01/2036 26,147 691
Sequoia Mortgage Trust 2013-5, Floating Rate Note, 5/25/43 (144A) 3.536 05/25/2043 5,370,000 5,092,809
Australia & New Zealand Banking Group, Ltd., 4.5%, 3/19/24 (144A) 4.5 03/19/2024 8,110,000 8,382,261
STORE Master Funding LLC, 4.16%, 3/20/43 (144A) 4.16 03/20/2043 1,100,000 1,093,604
Eden Re II, Ltd., 0.0%, 4/19/18 (Cat Bond) (144A) 0.0 04/19/2018 7,200,000 7,200,000
CNO Financial Group, Inc., 6.375%, 10/1/20 (144A) 6.375 10/01/2020 125,000 133,867
Valeant Pharmaceuticals International, Inc., 7.5%, 7/15/21 (144A) 7.5 07/15/2021 8,085,000 9,011,406
U.S. Treasury Bonds, 4.375%, 11/15/39 4.375 11/15/2039 3,290,000 4,332,701
STORE Master Funding LLC, 4.21%, 4/20/44 (144A) 4.21 04/20/2044 165,000 170,023
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/30 5.0 12/15/2030 4,585,000 5,062,400
Wilton Re Finance LLC, Floating Rate Note, 3/30/33 (144A) 5.875 03/30/2033 6,215,000 6,629,912
Six Flags Theme Parks, Inc., Tranche B Term Loan, 12/20/18 3.5037 12/20/2018 1,065,639 1,064,752
The Priceline Group, Inc., 0.9%, 9/15/21 (144A) 0.9 09/15/2021 7,740,000 7,397,699
Linn Energy LLC, 8.625%, 4/15/20 8.625 04/15/2020 3,374,000 2,996,815
FREMF Mortgage Trust 20-, Floating Rate Note, 11/25/47 (144A) 3.6302 11/25/2047 3,150,000 3,023,535
Fannie Mae, 5.0%, 5/1/38 5.0 05/01/2038 9,123,173 898,255
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 3.5 09/06/2019 4,034,508 4,008,284
Rosetta Resources, Inc., 5.625%, 5/1/21 5.625 05/01/2021 1,395,000 1,289,643
Axalta Coating Systems US Holdings, Inc., Refinanced Term B Loan, 2/1/20 4.0 02/01/2020 5,495,451 5,368,369
Fannie Mae, 5.5%, 12/1/35 5.5 12/01/2035 2,799,824 301,591
Asciano Finance, Ltd., 4.625%, 9/23/20 (144A) 4.625 09/23/2020 1,602,000 1,693,071
Allied Security Holdings LLC, Closing Date Term Loan (First Lien), 2/12/21 4.25 02/12/2021 1,307,436 1,288,369
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 5.25 04/25/2032 6,500,000 1,868,315
Appvion, Inc., Term Commitment, 6/28/19 5.7526 06/28/2019 14,026,563 13,877,530
CNO Financial Group, Inc., Tranche B-2 Term Loan, 9/28/18 3.75 09/28/2018 4,782,432 4,674,827
Ibis Re II, Ltd., Floating Rate Note, 2/5/15 (Cat Bond) (144A) 8.3703 02/05/2015 3,700,000 3,735,309
Bway Holding Co 1st Lien Tl-B L + 4.5% 08aug20 5.5545 08/08/2020 1,157,100 1,152,400
BBVA Bancomer SA Texas, Floating Rate Note, 11/12/29 (144A) 5.35 11/12/2029 2,270,000 2,258,380
Cronos Containers Program I, Ltd., 3.81%, 9/18/27 (144A) 3.81 09/18/2027 3,500,000 2,717,499
Government National Mortgage Association I, 6.0%, 7/15/38 6.0 07/15/2038 8,868,732 876,136
Minerva Luxembourg SA, 7.75%, 1/31/23 (144A) 7.75 01/31/2023 8,100,000 8,201,306
WMG Acquisition Corp., Tranche B Refinancing Term Loan, 7/1/20 3.75 07/01/2020 4,890,594 4,719,423
Newhall Land Development LLC     269,588 943,558
Federal Home Loan Mortgage Corp., 4.0%, 5/1/44 4.0 05/01/2044 13,500,000 14,160,429
Digicel, Ltd., 8.25%, 9/1/17 (144A) 8.25 09/01/2017 6,600,000 6,864,000
Neuberger Berman Group LLC, 5.625%, 3/15/20 (144A) 5.625 03/15/2020 4,350,000 4,617,797
Fannie Mae, 4.0%, 5/1/42 4.0 05/01/2042 530,000 466,060
Activision Blizzard, Inc., 5.625%, 9/15/21 (144A) 5.625 09/15/2021 6,015,000 6,415,373
Government National Mortgage Association II, 6.0%, 10/20/33 6.0 10/20/2033 3,655,000 301,704
Aircastle, Ltd., 7.625%, 4/15/20 7.625 04/15/2020 2,900,000 3,258,432
Kindred Healthcare Inc Bridge L + 6% 09oct15 7.0 10/09/2015 15,910,000 15,910,000
U.S. Treasury Inflation Indexed Bonds, 0.125%, 7/15/24 0.125 07/15/2024 73,725,000 71,014,810
Electricite de France SA, Floating Rate Note (Perpetual) (144A) 5.25 12/31/2049 5,285,000 5,534,276
Government National Mortgage Association, 4.5%, 9/20/39 4.5 09/20/2039 9,820,000 10,647,325
Government National Mortgage Association I, 6.5%, 10/15/32 6.5 10/15/2032 302,974 17,525
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 5.2652 03/07/2016 4,433,000 4,549,865
Akbank TAS, 7.5%, 2/5/18 (144A) 7.5 02/05/2018 11,000,000 4,457,801
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.3895 04/25/2031 8,695,768 1,531,161
Israel Electric Corp, Ltd., 6.7%, 2/10/17 (144A) 6.7 02/10/2017 4,150,000 4,559,778
Endo Finance LLC & Endo Finco, Inc., 5.375%, 1/15/23 (144A) 5.375 01/15/2023 8,169,000 8,226,382
Entercom Radio LLC, Term B-2 Loan, 11/23/18 4.0 11/23/2018 1,344,410 1,339,369
Summit Materials LLC, Term B Loan, 1/30/19 5.0 01/30/2019 976,353 976,760
BTA Bank JSC (G.D.R.) (144A)     4,633 2,538
Ardent Medical Services, Inc., Term Loan (First Lien), 7/2/18 6.75 07/02/2018 1,740,076 1,743,883
Building Materials Corp of America, 5.375%, 11/15/24 (144A) 5.375 11/15/2024 9,250,000 9,297,310
Davita Healthcare Partners Inc 1st Lien Tl-B L + 2.75% 19jun21 3.5 06/19/2021 5,905,639 5,858,182
Fannie Mae, 4.0%, 1/1/42 4.0 01/01/2042 2,795,670 1,347,828
CenturyLink, Inc., 6.45%, 6/15/21 6.45 06/15/2021 4,100,000 4,409,003
Wells Fargo & Co., 7.5% (Perpetual) 7.5 12/31/2049 31,527 38,226,330
Senior Housing Properties Trust, 6.75%, 4/15/20 6.75 04/15/2020 11,518,000 13,179,379
Fannie Mae, 3.5%, 11/1/42 3.5 11/01/2042 1,335,000 1,342,234
JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2, Floating Rate Note, 11/15/43 (144A) 5.5083 11/15/2043 1,300,000 1,452,853
HOA Funding LLC, 4.846%, 8/22/44 (144A) 4.846 08/22/2044 13,800,000 13,537,627
Mexican Udibonos, 3.5%, 12/14/17 3.5 12/14/2017 44,360,000 17,268,910
Cummins, Inc., 5.65%, 3/1/98 5.65   14,150,000 17,668,501
Fannie Mae, 4.0%, 8/1/42 4.0 08/01/2042 25,000,000 20,315,866
Hexion US Finance Corp., 8.875%, 2/1/18 8.875 02/01/2018 3,590,000 3,327,855
Wells Fargo Mortgage Backed Securities 2005-AR6 Trust, Floating Rate Note, 4/25/35 4.6207 04/25/2035 4,996,000 351,192
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/34 5.0 06/15/2034 8,360,000 120,825
Consolidated Edison Co of New York, Inc., 4.625%, 12/1/54 4.625 12/01/2054 18,225,000 20,046,470
Nakilat, Inc., 6.067%, 12/31/33 (144A) 6.067 12/31/2033 1,965,000 2,255,827
Fannie Mae, 4.5%, 3/1/41 4.5 03/01/2041 3,179,532 1,656,665
Controladora Mabe SA de CV, 7.875%, 10/28/19 (144A) 7.875 10/28/2019 9,539,000 10,600,512
Government National Mortgage Association I, 6.0%, 6/15/17 6.0 06/15/2017 2,359,004 39,918
Fannie Mae, 4.0%, 4/1/42 4.0 04/01/2042 9,200,000 4,445,716
WireCo WorldGroup, Inc., Term Loan, 2/15/17 6.0 02/15/2017 953,722 955,510
Ursa Re, Ltd., Floating Rate Note, 12/7/17 (Cat Bond) (144A)   12/07/2017 2,750,000 2,747,250
Spectrum Brands, Inc., Tranche C Term Loan, 8/13/19 3.5038 08/13/2019 197,147 195,324
Irwin Whole Loan Home Equity Trust 2005-C, Floating Rate Note, 3/25/25 1.2195 03/25/2025 1,900,000 598,011
Outerwall, Inc., 6.0%, 3/15/19 6.0 03/15/2019 5,420,000 5,434,453
Government National Mortgage Association I, 5.5%, 3/15/37 5.5 03/15/2037 5,905,797 143,125
Gentiva Health Services, Inc., 11.5%, 9/1/18 11.5 09/01/2018 1,328,000 1,463,899
Audio Visual Services Corp., Initial Term Loan (First Lien), 1/24/21 4.5 01/24/2021 1,255,513 1,250,804
Government National Mortgage Association I, 6.0%, 8/15/32 6.0 08/15/2032 6,200,000 258,313
American Credit Acceptance Receivables Trust 2012-2, 4.05%, 2/15/18 (144A) 4.05 02/15/2018 1,839,000 1,851,148
Fannie Mae, 4.5%, 3/1/41 4.5 03/01/2041 2,414,394 1,464,566
JPMorgan Chase & Co., 4.25%, 11/2/18 4.25 11/02/2018 15,300,000 11,918,304
Pro Mach Group, Inc., Dollar Term Loan (First Lien), 10/20/21   10/20/2021 1,043,771 1,046,055
Tasc Inc/Va 1st Lien Tl-B L + 5.5% 12may20 6.5 05/12/2020 4,045,600 3,946,988
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2.58 09/15/2021 10,000,000 10,040,257
Alterra Finance LLC, 6.25%, 9/30/20 6.25 09/30/2020 9,380,000 11,037,405
President and Fellows of Harvard College, 2.3%, 10/1/23 2.3 10/01/2023 5,600,000 5,444,589
Trust F, 5.25%, 12/15/24 (144A) 5.25 12/15/2024 5,270,000 5,440,924
Holcim US Finance Sarl & Cie SCS, 6.0%, 12/30/19 (144A) 6.0 12/30/2019 1,900,000 2,174,990
Virtual Radiologic Corp., Term Loan A, 12/22/16 7.2502 12/22/2016 4,689,972 3,728,528
Fannie Mae, 7.0%, 5/1/28 7.0 05/01/2028 200,000 1,624
Empresa Electrica Angamos SA, 4.875%, 5/25/29 (144A) 4.875 05/25/2029 9,485,000 9,365,252
Israel Electric Corp, Ltd., 7.25%, 1/15/19 (144A) 7.25 01/15/2019 2,725,000 3,126,203
Inversiones Alsacia SA, 0.0%, 8/18/18 (144A) 0.0 08/18/2018 8,635,000 4,744,580
Rentech Nitrogen Partners LP, 6.5%, 4/15/21 (144A) 6.5 04/15/2021 1,375,000 1,242,618
The Goldman Sachs Group, Inc., 6.45%, 5/1/36 6.45 05/01/2036 7,400,000 9,023,960
Government National Mortgage Association I, 4.0%, 1/21/15 4.0 01/21/2015 72,045,000 77,450,034
Federal Home Loan Mortgage Corp., 3.5%, 8/1/43 3.5 08/01/2043 6,782,428 6,651,853
Government National Mortgage Association I, 3.5%, 1/21/15 3.5 01/21/2015 49,056,000 51,588,857
Vedanta Resources Plc, 9.5%, 7/18/18 (144A) 9.5 07/18/2018 4,040,000 4,516,776
Health Care Real Estate Investment Trust, Inc., 5.25%, 1/15/22 5.25 01/15/2022 3,150,000 3,576,480
Tank Holding Corp., Initial Term Loan, 7/9/19 4.25 07/09/2019 1,575,211 1,549,614
Berkeley-Kane Flt% 12jun15   06/12/2015 2,646,751 2,734,623
Mohawk Industries, Inc., 3.85%, 2/1/23 3.85 02/01/2023 3,450,000 3,506,731
Cequel Communications LLC, Term Loan, 2/14/19 3.5 02/14/2019 1,882,565 1,858,641
Molina Healthcare, Inc., 1.625%, 8/15/44 1.625 08/15/2044 6,470,000 7,231,753
Select Medical Corp., Series E Tranche B Term Loan, 6/1/18 3.7502 06/01/2018 2,064,028 2,012,427
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 3.0806 07/15/2023 3,250,000 3,128,277
Government National Mortgage Association I, 5.5%, 6/15/35 5.5 06/15/2035 2,028,692 209,902
Hilcorp Energy I LP, 7.625%, 4/15/21 (144A) 7.625 04/15/2021 5,768,000 5,889,689
Aspen Insurance Holdings, Ltd., Floating Rate Note (Perpetual) 5.95 12/31/2049 250,000 6,315,000
Hercules Capital Funding Trust 2012-1, 3.32%, 12/16/17 (144A) 3.32 12/16/2017 2,700,000 336,853
Westgate Resorts 2012-2 LLC, 4.5%, 1/21/25 (144A) 4.5 01/21/2025 3,725,000 1,172,851
Cantor Fitzgerald LP, 7.875%, 10/15/19 (144A) 7.875 10/15/2019 12,855,000 14,257,802
Fx Vanilla Option Call Usd/Put Try 2.95 12 01 2015 Tr   01/12/2015 -19,969,960 0
NCR Corp., 6.375%, 12/15/23 6.375 12/15/2023 5,595,000 5,834,653
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 2.02 01/15/2019 500,000 498,763
Bosphorus Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 2.5608 05/03/2016 1,400,000 1,401,641
Bank of America Corp., 7.75%, 5/14/38 7.75 05/14/2038 17,800,000 25,319,113
Fannie Mae, 4.5%, 12/1/41 4.5 12/01/2041 6,923,896 4,272,729
Blue Danube II, Ltd., Floating Rate Note, 5/23/18 (Cat Bond) (144A) 4.2787 05/23/2018 5,400,000 5,465,429
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 1.8608 06/15/2029 6,750,000 6,731,132
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/27/29 (144A) 4.403 08/27/2029 1,301,000 1,308,122
VTB Bank OJSC Via VTB Capital SA, 6.95%, 10/17/22 (144A) 6.95 10/17/2022 7,400,000 5,581,717
Kenya Government International Bond, 5.875%, 6/24/19 (144A) 5.875 06/24/2019 4,385,000 4,444,822
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 0.7855 09/20/2033 145,256,444 6,536,814
Fannie Mae, 3.5%, 1/14/15 3.5 01/14/2015 63,352,000 66,119,588
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 1.0695 10/25/2028 5,273,350 954,709
RegionalCare Hospital Partners, Inc., Term Loan (First Lien), 4/21/19 6.0 04/21/2019 3,201,433 3,193,429
Fannie Mae, 5.5%, 6/1/33 5.5 06/01/2033 852,000 40,728
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 8.5355 05/09/2016 2,000,000 2,119,522
Fannie Mae, 3.5%, 7/1/26 3.5 07/01/2026 23,914,523 9,084,795
Tempur Sealy International, Inc., New Term B Loan, 3/18/20 3.5038 03/18/2020 1,055,337 1,042,145
Government National Mortgage Association I, 4.0%, 3/15/44 4.0 03/15/2044 3,460,942 3,231,382
Eastman Chemical Co., 4.8%, 9/1/42 4.8 09/01/2042 4,140,000 4,252,869
Lehman Brothers Small Balance Commercial Mortgage Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 0.3695 09/25/2036 8,954,321 1,914,827
Fannie Mae, 4.5%, 8/1/41 4.5 08/01/2041 71,193,582 29,323,796
Foundation Re III, Ltd., Floating Rate Note, 2/25/15 (Cat Bond) (144A) 5.0152 02/25/2015 6,000,000 6,066,267
Scientific Games International, Inc., 10.0%, 12/1/22 (144A) 10.0 12/01/2022 18,000,000 16,692,500
Exeter Automobile Receivables Trust 2012-2, 3.06%, 7/16/18 (144A) 3.06 07/16/2018 3,000,000 3,026,229
State of Washington, 3.0%, 7/1/28 3.0 07/01/2028 2,550,000 2,617,856
FREMF Mortgage Trust 2011-K703, Floating Rate Note, 7/25/44 (144A) 4.8839 07/25/2044 5,450,000 5,841,103
Government National Mortgage Association I, 4.0%, 12/18/14 4.0 12/18/2014 5,000,000 5,385,636
Baylor University, 4.313%, 3/1/42 4.313 03/01/2042 4,550,000 4,892,827
Transunion Llc 1st Lien Tl-B L + 3% 21mar21 4.0 03/21/2021 2,276,469 2,249,436
Credit Agricole SA, Floating Rate Note, 12/31/64 (144A) 6.625 12/31/2064 18,500,000 17,958,361
Fannie Mae, 5.0%, 7/1/35 5.0 07/01/2035 42,393,553 4,483,936
Fannie Mae, 3.5%, 12/1/42 3.5 12/01/2042 2,047,400 1,729,110
Livingston International, Inc., Initial Term B-1 Loan (First Lien), 4/18/19 5.0 04/18/2019 1,280,500 1,242,085
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 (144A) 0.4395 04/25/2032 84,170,000 7,559,874
Fannie Mae, 6.0%, 3/1/33 6.0 03/01/2033 350,000 8,937
Federal Home Loan Mortgage Corp., 3.5%, 10/1/40 3.5 10/01/2040 6,700,000 3,434,156
Government National Mortgage Association I, 6.0%, 8/15/16 6.0 08/15/2016 43,573 326
TD Ameritrade Holding Corp., 3.625%, 4/1/25 3.625 04/01/2025 13,475,000 13,750,711
Stanley Black & Decker, Inc., Floating Rate Note, 12/15/53 5.75 12/15/2053 8,525,000 9,207,474
Macquarie Group, Ltd., 6.0%, 1/14/20 (144A) 6.0 01/14/2020 5,945,000 6,899,216
Fannie Mae, 4.0%, 12/1/40 4.0 12/01/2040 9,810,000 6,869,046
Novatek OAO via Novatek Finance, Ltd., 4.422%, 12/13/22 (144A) 4.422 12/13/2022 15,700,000 11,652,713
Fannie Mae, 4.0%, 8/1/43 4.0 08/01/2043 4,563,130 4,635,474
CSM Bakery Solutions LLC, Term Loan (First Lien), 7/3/20 5.0 07/03/2020 3,234,078 3,177,481
WP Carey, Inc., 4.6%, 4/1/24 4.6 04/01/2024 6,680,000 7,090,820
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 4.5152 12/06/2016 2,300,000 2,378,890
Federal Home Loan Mortgage Corp., 6.0%, 6/1/35 6.0 06/01/2035 4,500,000 182,686
Volcan Cia Minera SAA, 5.375%, 2/2/22 (144A) 5.375 02/02/2022 3,360,000 3,392,748
CoBank ACB, Floating Rate Note (Perpetual) (144A) 6.25 12/31/2049 87,500 8,862,114
Aviation Capital Group Corp., 6.75%, 4/6/21 (144A) 6.75 04/06/2021 12,763,000 14,657,508
Government National Mortgage Association I, 6.0%, 2/15/33 6.0 02/15/2033 3,907,246 131,149
Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A) 3.765 11/25/2019 6,590,000 6,566,935
JPMorgan Chase & Co., Floating Rate Note (Perpetual) 5.15 12/31/2049 11,735,000 11,155,095
Bank of America Corp., Floating Rate Note, 9/29/49 6.25 09/29/2049 22,475,000 22,667,743
Sector Re V, Ltd., 0.0%, 3/30/19 (Cat Bond) (144A) 0.0 03/30/2019 1,900,000 2,221,290
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/31 5.0 12/15/2031 9,165,000 10,079,321
The Goldman Sachs Group, Inc., 6.75%, 10/1/37 6.75 10/01/2037 5,400,000 6,880,950
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 250,000 5,361
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 1.3655 11/20/2036 1,000,000 235,571
Pride International, Inc., 6.875%, 8/15/20 6.875 08/15/2020 2,250,000 2,582,875
European Bank for Reconstruction & Development, 6.0%, 3/3/16 6.0 03/03/2016 259,300,000 4,193,066
Government National Mortgage Association I, 6.0%, 6/15/17 6.0 06/15/2017 6,900,000 105,974
Alexandria Real Estate Equities, Inc., 3.9%, 6/15/23 3.9 06/15/2023 4,802,000 4,825,839
Irvine Core Office Trust 2013-IRV, Floating Rate Note, 5/15/48 (144A) 3.1731 05/15/2048 6,944,736 7,064,017
Applebee's/IHOP Funding LLC, 4.277%, 9/5/44 (144A) 4.277 09/05/2044 10,363,000 10,508,956
Houghton Mifflin Harcourt Publishing Co., Term Loan, 5/22/18 4.25 05/22/2018 2,261,063 2,255,410
SUAM Finance BV, 4.875%, 4/17/24 (144A) 4.875 04/17/2024 5,300,000 5,353,110
Government National Mortgage Association II, 7.0%, 1/20/29 7.0 01/20/2029 500,000 6,963
LDK Solar Co, Ltd. (A.D.R.)     136,114 13,611
Vedanta Resources Jersey, Ltd., 5.5%, 7/13/16 5.5 07/13/2016 11,800,000 11,719,367
Weatherford International, Ltd. Bermuda, 5.95%, 4/15/42 5.95 04/15/2042 3,825,000 3,286,773
RJS Power Holdings LLC, 5.125%, 7/15/19 (144A) 5.125 07/15/2019 6,320,000 6,394,853
Nordea Bank AB, 4.25%, 9/21/22 (144A) 4.25 09/21/2022 17,800,000 18,692,342
DBUBS 2011-LC1 Mortgage Trust, Floating Rate Note, 11/13/46 (144A) 5.5574 11/13/2046 2,950,000 3,323,653
FREMF Mortgage Trust 2012-K709, Floating Rate Note, 4/25/45 (144A) 3.8721 04/25/2045 5,000,000 5,158,049
Masco Corp., 7.125%, 3/15/20 7.125 03/15/2020 14,465,000 17,010,539
CVS Pass-Through Trust, 5.773%, 1/10/33 (144A) 5.773 01/10/2033 6,090,000 6,330,061
IndyMac INDX Mortgage Loan Trust 2005-AR3, Floating Rate Note, 4/25/35 2.7176 04/25/2035 12,532,000 2,393,800
FREMF Mortgage Trust 2011-K701, Floating Rate Note, 7/25/48 (144A) 4.286 07/25/2048 4,775,000 4,924,402
Oversea-Chinese Banking Corp, Ltd., Floating Rate Note, 10/15/24 (144A) 4.0 10/15/2024 4,000,000 4,129,498
Scotiabank Peru SAA, Floating Rate Note, 12/13/27 (144A) 4.5 12/13/2027 11,145,000 10,846,871
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-D REMICS, Floating Rate Note, 9/25/29 0.9495 09/25/2029 6,295,000 1,034,607
COMM 2012-CCRE2 Mortgage Trust REMICS, 3.791%, 8/17/45 3.791 08/17/2045 1,900,000 2,000,353
Federal Home Loan Mortgage Corp., 3.5%, 11/1/28 3.5 11/01/2028 10,730,077 10,252,987
Government National Mortgage Association I, 5.75%, 10/15/38 5.75 10/15/2038 711,536 117,152
Banc of America Mortgage Trust 2004-7, 4.5%, 8/25/19 4.5 08/25/2019 5,418,000 382,150
GTECH S.p.A., Floating Rate Note, 3/31/66 (144A) 8.25 03/31/2066 7,630,000 10,668,085
Indonesia Treasury Bond, 7.0%, 5/15/22 7.0 05/15/2022 34,113,000,000 2,669,325
Boardwalk Pipelines LP, 4.95%, 12/15/24 4.95 12/15/2024 9,375,000 9,365,630
Government National Mortgage Association I, 4.5%, 6/15/41 4.5 06/15/2041 4,610,835 3,276,088
MedAssets, Inc., Term B Loan, 12/13/19 4.0 12/13/2019 1,718,400 1,710,324
Government National Mortgage Association I, 5.5%, 10/15/19 5.5 10/15/2019 3,000,000 390,691
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 0.3195 05/25/2036 2,125,362 557,544
Fieldwood Energy LLC, Closing Date Loan (Second Lien), 9/30/20 8.375 09/30/2020 5,710,000 4,205,415
Sensus USA, Inc., Term Loan (First Lien), 5/9/17 4.5026 05/09/2017 1,435,356 1,406,649
Nordion 1st Lien Tl-B L + 3.5% 30jul21   07/30/2021 1,945,125 1,936,210
California Republic Auto Receivables Trust 2012-1, 3.0%, 1/15/20 (144A) 3.0 01/15/2020 3,026,000 3,110,293
Morgan Stanley, Floating Rate Note (Perpetual) 7.125 12/31/2049 324,400 8,930,732
ZIGGO BV, (USD) TLB3, 1/15/22 3.5 01/15/2022 2,743,404 2,674,819
Golar LNG, Ltd., 3.75%, 3/7/17 3.75 03/07/2017 1,700,000 1,746,866
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 4.0 11/08/2020 174,694 170,981
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 4.0101 05/05/2017 7,650,000 7,709,840
Capella Healthcare Inc 1st Lien Tl-B L + 4.25% 31dec21 5.25 12/31/2021 980,000 975,100
Banco do Estado do Rio Grande do Sul SA, 7.375%, 2/2/22 (144A) 7.375 02/02/2022 2,400,000 2,513,194
Government National Mortgage Association I, 5.5%, 2/15/35 5.5 02/15/2035 7,341,300 686,429
Transnet SOC, Ltd., 4.0%, 7/26/22 (144A) 4.0 07/26/2022 2,050,000 1,972,556
Government National Mortgage Association I, 6.5%, 6/15/32 6.5 06/15/2032 124,988 4,552
Government National Mortgage Association I, 6.5%, 10/15/31 6.5 10/15/2031 463,882 8,319
HLSS Servicer Advance Receivables Trust, 1.2437%, 1/17/45 1.2437 01/17/2045 6,500,000 6,503,593
Fannie Mae, 7.0%, 7/1/31 7.0 07/01/2031 306,031 672
Banc of America Mortgage Trust 2004-11, 5.75%, 1/25/35 5.75 01/25/2035 36,821,000 3,415,673
Terex Corp., U.S. Term Loan, 8/13/21 2.9832 08/13/2021 1,643,220 1,626,788
Inter-American Development Bank, 7.25%, 7/17/17 7.25 07/17/2017 22,600,000,000 1,882,751
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 0.8095 09/25/2034 73,742,000 3,055,156
Kindred Healthcare 1st Lien Tl-B L + 3% 10apr21 4.0 04/10/2021 8,660,727 8,422,557
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2.0152 04/07/2017 3,800,000 3,807,473
Syniverse Holdings, Inc., Initial Term Loan, 4/23/19 4.0 04/23/2019 1,487,731 1,445,579
BBVA Banco Continental SA, 5.0%, 8/26/22 (144A) 5.0 08/26/2022 50,000 52,963
Tronox Pigments BV, New Term Loan, 3/19/20 4.0 03/19/2020 1,729,724 1,705,940
Federal Home Loan Mortgage Corp., 5.0%, 12/1/21 5.0 12/01/2021 6,525,000 532,319
Fannie Mae, 4.5%, 2/1/44 4.5 02/01/2044 52,511,691 47,566,996
Ardagh Packaging Finance Plc, 7.0%, 11/15/20 (144A) 7.0 11/15/2020 6,400,000 1,150,808
Accredited Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 0.3053 09/25/2036 9,396,000 3,797,308
Sequoia Mortgage Trust 2013-4, Floating Rate Note, 4/27/43 2.5 04/27/2043