Pioneer Investments: Pioneer Strategic Income Fund


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Pioneer Strategic Income Fund

Monthly Portfolio Holdings as of 12/31/2015

Security Name Coupon Maturity Date Par / Shares Market Value($)
Scotiabank Peru SAA, Floating Rate Note, 12/13/27 (144A) 4.5 12/13/2027 11,145,000 10,724,276
The Goldman Sachs Group, Inc., 5.2%, 12/17/19 5.2 12/17/2019 13,855,000 9,800,444
STORE Master Funding LLC, 4.16%, 3/20/43 (144A) 4.16 03/20/2043 1,100,000 1,077,600
CoBank ACB, 7.875%, 4/16/18 (144A) 7.875 04/16/2018 1,500,000 1,704,084
Federal Home Loan Mortgage Corp., 6.0%, 6/1/35 6.0 06/01/2035 4,500,000 176,963
Government National Mortgage Association I, 6.0%, 10/15/37 6.0 10/15/2037 4,575,221 492,267
Government National Mortgage Association II, 4.5%, 12/20/34 4.5 12/20/2034 8,150,000 1,126,994
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 4.5558 06/28/2016 500,000 508,150
EQTY 2014-INNS Mortgage Trust, Floating Rate Note, 5/8/31 (144A) 3.726 05/08/2031 5,200,000 5,164,568
Government National Mortgage Association I, 4.0%, 1/15/40 4.0 01/15/2040 44,880 21,099
Israel Electric Corp, Ltd., 5.625%, 6/21/18 (144A) 5.625 06/21/2018 5,000,000 5,273,213
CSMC Trust 2015-2, 3.5%, 2/25/45 (144A) 3.5 02/25/2045 5,000,000 4,301,344
Fannie Mae, 6.5%, 10/1/32 6.5 10/01/2032 511,093 15,479
Firstar Realty LLC, 8.875% (Perpetual) (144A) 8.875 12/31/2049 3,250 4,012,734
MASTR Adjustable Rate Mortgages Trust 2003-3, Floating Rate Note, 9/25/33 2.2421 09/25/2033 2,950,000 689,755
Sequoia Mortgage Trust 2013-4, Floating Rate Note, 4/27/43 2.5 04/27/2043 10,220,000 7,724,434
GSR Mortgage Loan Trust 2004-15F, 6.0%, 12/26/34 6.0 12/26/2034 35,000,000 3,516,969
Government National Mortgage Association I, 4.0%, 2/15/45 4.0 02/15/2045 2,507,462 1,814,294
Prudential Financial, Inc., Floating Rate Note, 6/15/68 8.875 06/15/2068 5,969,000 6,738,669
GrupoSura Finance SA, 5.7%, 5/18/21 (144A) 5.7 05/18/2021 4,710,000 4,948,130
Fannie Mae, 4.5%, 2/1/44 4.5 02/01/2044 15,392,410 9,705,192
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-D REMICS, Floating Rate Note, 9/25/29 1.2016 09/25/2029 6,410,000 967,291
JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8, Floating Rate Note, 10/17/45 (144A) 3.9767 10/17/2045 4,000,000 4,064,690
Government National Mortgage Association II, 3.5%, 3/20/45 3.5 03/20/2045 2,818,193 2,833,883
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 658,411 458,197
JPMorgan Chase & Co., Floating Rate Note, 8/29/49 6.75 08/29/2049 31,786,000 35,540,721
Post Holdings, Inc., 6.75%, 12/1/21 (144A) 6.75 12/01/2021 6,890,000 7,066,556
Government National Mortgage Association I, 4.0%, 2/15/42 4.0 02/15/2042 842,541 366,758
Government National Mortgage Association I, 4.0%, 8/15/44 4.0 08/15/2044 368,090 321,652
UDR, Inc., 4.0%, 10/1/25 4.0 10/01/2025 13,058,000 13,326,015
DCP Midstream Operating LP, 5.6%, 4/1/44 5.6 04/01/2044 3,975,000 2,469,755
Royal Bank of Scotland Group Plc, Floating Rate Note (Perpetual) 7.5 12/31/2049 13,500,000 14,312,813
Fannie Mae, 5.0%, 7/1/35 5.0 07/01/2035 17,501,965 1,320,012
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 1.0616 09/25/2034 73,742,000 2,657,027
Tufts University, 5.017%, 4/15/12 5.017   14,800,000 15,384,222
Government National Mortgage Association I, 4.0%, 6/15/43 4.0 06/15/2043 354,866 173,362
CEVA GROUP Plc, 0.0%, 12/31/14 0.0 06/30/2015 2,313 1,041,053
Fannie Mae, 5.0%, 8/1/35 5.0 08/01/2035 24,222,081 2,113,422
FREMF Mortgage Trust 2012-K501, Floating Rate Note, 11/26/46 (144A) 3.3972 11/26/2046 2,750,000 2,776,173
Aguila 3 SA, 7.875%, 1/31/18 (144A) 7.875 01/31/2018 3,375,000 3,494,918
Sotheby's, 5.25%, 10/1/22 (144A) 5.25 10/01/2022 525,000 484,641
Banco Nacional de Costa Rica, 4.875%, 11/1/18 (144A) 4.875 11/01/2018 5,000,000 5,003,125
SUAM Finance BV, 4.875%, 4/17/24 (144A) 4.875 04/17/2024 5,300,000 5,432,610
Government National Mortgage Association II, 6.0%, 5/20/32 6.0 05/20/2032 3,000,000 73,985
Springleaf Mortgage Loan Trust 2013-1, Floating Rate Note, 6/25/58 (144A) 2.0959 06/25/2058 2,000,000 1,054,647
Fannie Mae, 4.0%, 2/1/42 4.0 02/01/2042 6,625,000 2,799,470
Velocity Commercial Capital Loan Trust 2015-1, Floating Rate Note, 6/25/45 (144A) 5.28 06/25/2045 5,565,000 5,533,836
Government National Mortgage Association I, 4.0%, 3/15/41 4.0 03/15/2041 178,607 120,453
Noble Energy, Inc., 5.625%, 5/1/21 5.625 05/01/2021 5,530,000 5,461,218
Freddie Mac Whole Loan Securities Trust 2015-SC01, 3.5%, 5/25/45 3.5 05/25/2045 7,530,900 7,055,132
Australia & New Zealand Banking Group, Ltd., 4.5%, 3/19/24 (144A) 4.5 03/19/2024 8,110,000 8,242,209
BioScrip, Inc., Delayed Draw Term Loan, 7/31/20 6.5 07/31/2020 2,589,552 2,372,677
FREMF Mortgage Trust 2012-K709, Floating Rate Note, 4/25/45 (144A) 3.8722 04/25/2045 5,000,000 5,105,727
JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2, Floating Rate Note, 11/15/43 (144A) 5.7273 11/15/2043 1,300,000 1,391,064
Government National Mortgage Association I, 6.5%, 6/15/32 6.5 06/15/2032 124,988 4,353
Micron Technology, Inc., 5.25%, 8/1/23 (144A) 5.25 08/01/2023 14,145,000 13,004,559
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 3.5155 01/17/2019 500,000 513,493
Concho Resources, Inc., 6.5%, 1/15/22 6.5 01/15/2022 5,125,000 5,073,608
Sector Re V, Ltd., 0.0%, 3/30/19 (Cat Bond) (144A) 0.0 03/30/2019 3,270 33,505
Government National Mortgage Association I, 6.5%, 2/15/32 6.5 02/15/2032 417,022 4,841
Mexican Bonos, 6.5%, 6/9/22 6.5 06/09/2022 272,040,000 16,312,783
Bumi Resources Tbk PT, Loan, 11/4/16 18.153 11/04/2016 1,135,833 244,204
Government National Mortgage Association I, 4.0%, 11/15/41 4.0 11/15/2041 389,492 285,306
Fannie Mae, 7.5%, 1/1/28 7.5 01/01/2028 115,000 994
OMNOVA Solutions, Inc., Term B-1 Loan, 5/31/18 4.25 05/31/2018 1,380,469 1,362,350
Leaf Receivables Funding 10 LLC, 3.74%, 5/17/21 (144A) 3.74 05/17/2021 1,600,000 1,558,770
Government National Mortgage Association I, 5.5%, 7/15/34 5.5 07/15/2034 4,540,000 351,630
Fannie Mae, 5.5%, 4/1/34 5.5 04/01/2034 2,750,000 144,894
STG-Fairway Acquisitions, Inc., Term Loan (First Lien), 3/4/19 6.25 03/04/2019 455,809 444,414
Tasc Inc 1st Lien Tl-B L + 6% 23may20 7.0 05/23/2020 2,397,969 2,404,942
Crestwood Midstream Partners LP, 6.25%, 4/1/23 (144A) 6.25 04/01/2023 11,925,000 8,504,016
New Residential Mortgage Loan Trust 2014-3, Floating Rate Note, 11/25/54 (144A) 3.75 11/25/2054 7,793,312 5,842,419
Trans Union Llc 1st Lien Tl-B2 L + 3% 09apr21 3.5 04/09/2021 5,718,268 5,565,304
Fannie Mae, 6.0%, 5/1/33 6.0 05/01/2033 1,200,000 95,194
Washington Suburban Sanitary Commission, 4.0%, 6/1/44 4.0 06/01/2044 5,240,000 5,580,408
Romania Government Bond, 5.85%, 4/26/23 5.85 04/26/2023 41,660,000 11,963,827
Brookfield Residential Properties, Inc., 6.5%, 12/15/20 (144A) 6.5 12/15/2020 295,000 285,158
Government National Mortgage Association I, 4.0%, 8/15/41 4.0 08/15/2041 25,000 3,839
Crown Castle Towers LLC, 4.883%, 8/15/20 (144A) 4.883 08/15/2020 6,850,000 7,337,663
DCP Midstream LLC, 9.75%, 3/15/19 (144A) 9.75 03/15/2019 4,290,000 4,491,447
Expedia, Inc., 4.5%, 8/15/24 4.5 08/15/2024 9,810,000 9,634,892
Minerva Luxembourg SA, 12.25%, 2/10/22 (144A) 12.25 02/10/2022 5,000,000 5,289,896
Carlyle Holdings II Finance LLC, 5.625%, 3/30/43 (144A) 5.625 03/30/2043 18,835,000 20,273,161
United Airlines, Inc., Class B Term Loan, 4/1/19 3.25 04/01/2019 972,500 967,638
Government National Mortgage Association I, 4.0%, 12/15/44 4.0 12/15/2044 1,826,616 1,236,717
Expert Global Solutions, Inc., Term B Advance (First Lien), 4/3/18 8.5 04/03/2018 4,427,459 4,405,322
Sequoia Mortgage Trust 2015-3, Floating Rate Note, 7/25/45 (144A) 3.5 07/25/2045 8,585,000 8,264,100
SM Energy Co., 5.0%, 1/15/24 5.0 01/15/2024 1,160,000 780,744
Fannie Mae, 4.0%, 5/1/42 4.0 05/01/2042 530,000 356,373
CFG Investment SAC, 9.75%, 7/30/19 (144A) 9.75 07/30/2019 6,385,000 3,262,070
Rovi Solutions Corp., Term B Loan, 7/2/21 3.75 07/02/2021 3,228,219 3,066,808
Affinion Group, Inc., Tranche B Term Loan, 4/30/18 6.75 04/30/2018 7,389,067 6,844,123
Government National Mortgage Association I, 4.5%, 8/15/41 4.5 08/15/2041 17,565,000 5,547,956
Vencore 1st Lien Tl L + 4.75% 19nov19 5.75 11/19/2019 5,050,982 5,041,511
Government National Mortgage Association I, 4.0%, 8/15/44 4.0 08/15/2044 419,333 264,906
Pangaea Zero% 01jul18 0.0 07/01/2018 11,730,000 211,140
Fannie Mae, 5.0%, 5/1/38 5.0 05/01/2038 9,123,173 638,339
Fannie Mae, 5.5%, 6/1/33 5.5 06/01/2033 852,000 28,247
Indianapolis Airport Authority, 5.1%, 1/15/17 5.1 01/15/2017 3,450,000 3,676,550
Government National Mortgage Association I, 3.5%, 10/15/44 3.5 10/15/2044 1,060,699 800,643
Transnet SOC, Ltd., 4.0%, 7/26/22 (144A) 4.0 07/26/2022 2,050,000 1,843,160
GTP Acquisition Partners I LLC, 2.35%, 6/15/45 (144A) 2.35 06/15/2045 11,000,000 10,678,629
Fannie Mae, 5.0%, 7/1/35 5.0 07/01/2035 42,393,553 3,401,901
Tronox Pigments Holland BV, New Term Loan, 3/19/20 4.5 03/19/2020 1,712,164 1,527,036
Vat 1st Lien Tl-B L + 3.25% 11feb21 4.25 02/11/2021 1,414,833 1,399,801
Virginia Commonwealth Transportation Board, 4.0%, 5/15/32 4.0 05/15/2032 7,500,000 8,188,208
Kane Zero% 22jan16 0.0 01/22/2016 7,246,500 8,157,385
Government National Mortgage Association I, 6.5%, 7/15/32 6.5 07/15/2032 350,000 5,667
Federal National Mortgage Association, 4.0%, 2/1/44 4.0 02/01/2044 29,000 22,388
Government National Mortgage Association I, 6.0%, 7/15/33 6.0 07/15/2033 3,367,971 90,092
VimpelCom Holdings BV, 9.0%, 2/13/18 (144A) 9.0 02/13/2018 193,400,000 2,609,063
Government National Mortgage Association I, 4.0%, 12/15/40 4.0 12/15/2040 550,167 173,644
Kane-Pi1 Flt% 07jul16 0.0 07/07/2016 7,017,560 7,034,402
Government National Mortgage Association I, 6.0%, 11/15/16 6.0 11/15/2016 1,500,000 6,318
Tower Automotive Holdings USA LLC, Initial Term Loan (2014), 4/23/20 4.0 04/23/2020 1,018,929 978,171
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 2.02 01/15/2019 500,000 497,746
Government National Mortgage Association, 4.5%, 9/20/39 4.5 09/20/2039 9,820,000 8,401,514
Ally Financial, Inc., 3.6%, 5/21/18 3.6 05/21/2018 3,500,000 3,514,000
VimpelCom Holdings BV, 7.5043%, 3/1/22 (144A) 7.5043 03/01/2022 11,600,000 11,890,166
Macdermid Incorporated 1st Lien Tl-B2 L + 3.75% 07jun20 5.5 06/07/2020 1,311,750 1,270,758
Government National Mortgage Association I, 4.0%, 2/15/42 4.0 02/15/2042 45,422 21,461
Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33 2.8739 09/25/2033 34,229,000 2,420,406
Government National Mortgage Association I, 4.0%, 12/15/44 4.0 12/15/2044 231,066 160,978
International Finance Corp., 6.3%, 11/25/24 6.3 11/25/2024 358,950,000 5,097,276
Fannie Mae, 4.5%, 8/1/40 4.5 08/01/2040 1,000,000 244,501
Government National Mortgage Association I, 6.5%, 1/15/29 6.5 01/15/2029 577,201 12,666
Unifrax I LLC, New Term Dollar Loan, 11/28/18 4.25 11/28/2018 1,151,283 1,110,988
Fannie Mae, 4.5%, 12/1/41 4.5 12/01/2041 6,923,896 3,189,710
Government National Mortgage Association I, 4.0%, 11/15/41 4.0 11/15/2041 55,926 17,629
Fannie Mae, 4.0%, 7/1/44 4.0 07/01/2044 24,645,000 20,301,468
City Center Trust 2011-CCHP, Floating Rate Note, 7/17/28 (144A) 4.65 07/17/2028 4,500,000 4,532,749
Mid-State Capital Trust 2010-1, 5.25%, 12/15/45 (144A) 5.25 12/15/2045 3,000,000 2,087,288
VOLT XXXVI LLC, 3.625%, 7/25/45 (Step) (144A) 3.625 07/25/2045 6,500,000 5,841,273
Sanders Re, Ltd., Floating Rate Note, 5/25/18 (Cat Bond) (144A) 2.99 05/25/2018 3,500,000 3,444,933
Government National Mortgage Association I, 5.5%, 1/15/35 5.5 01/15/2035 2,028,000 157,647
Toll Brothers Finance Corp., 4.875%, 11/15/25 4.875 11/15/2025 3,270,000 3,239,787
Enbridge Energy Partners LP, 7.375%, 10/15/45 7.375 10/15/2045 19,500,000 19,022,059
Novatek OAO via Novatek Finance, Ltd., 4.422%, 12/13/22 (144A) 4.422 12/13/2022 15,700,000 13,912,728
AWAS Finance Luxembourg 2012 SA, Term Loan, 7/16/18 3.5 07/16/2018 2,873,766 2,864,785
Norway Government Bond, 4.5%, 5/22/19 4.5 05/22/2019 118,980,000 15,493,247
ATKORE INTERNATIONAL INC, Term Loan (First Lien), 3/27/21 4.5 03/27/2021 1,674,500 1,569,844
Pacific Exploration and Production Corp., 5.375%, 1/26/19 (144A) 5.375 01/26/2019 3,760,000 801,415
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/20 (Cat Bond) (144A) 6.9924 04/07/2020 5,300,000 5,516,302
Massachusetts Development Finance Agency, 5.375%, 4/1/41 5.375 04/01/2041 2,075,000 2,408,945
Fannie Mae, 6.5%, 2/1/32 6.5 02/01/2032 99,991 1,365
Silvre Zero% 18sep18 144a 0.0 09/18/2018 4,500,000 4,500,000
Fannie Mae, 4.5%, 8/1/41 4.5 08/01/2041 71,193,582 21,238,073
Kane Zero% 22jan16 0.0 01/22/2016 2,753,000 3,211,375
Government National Mortgage Association I, 4.0%, 9/15/40 4.0 09/15/2040 384,588 132,029
Sri Lanka Government International Bond, 6.85%, 11/3/25 (144A) 6.85 11/03/2025 9,470,000 9,025,034
Government National Mortgage Association I, 4.0%, 10/15/44 4.0 10/15/2044 500,291 380,962
Panoche Energy Center LLC, 6.885%, 7/31/29 (144A) 6.885 07/31/2029 3,015,000 2,929,231
SBP DPR Finance Co., Floating Rate Note, 3/15/17 (144A) 3.262 03/15/2017 3,900,000 1,027,269
Kinder Morgan, Inc. Delaware, 5.55%, 6/1/45 5.55 06/01/2045 23,385,000 18,363,188
Inversiones Alsacia SA, 8.0%, 12/31/18 (144A) 8.0 12/31/2018 6,782,041 1,754,873
Micro Focus Us Inc 1st Lien Tl-B L + 4.25% 07oct21 5.25 10/07/2021 2,399,560 2,377,964
Microsemi Corp., Term Loan (2014), 3/14/21 3.25 03/14/2021 1,642,408 1,640,355
The Medicines Co., 2.5%, 1/15/22 (144A) 2.5 01/15/2022 885,000 1,131,940
American Airlines 2015-2 Class AA Pass Through Trust, 3.6%, 9/22/27 3.6 09/22/2027 9,200,000 9,381,240
PetSmart, Inc., Tranche B-1 Loan, 3/10/22 4.25 03/10/2022 5,479,296 5,353,442
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5, Floating Rate Note, 7/15/31 (144A) 1.6805 07/15/2031 4,800,000 4,784,369
Desarrolladora Homex SAB de CV, 0.0%, 12/11/19 (144A) 0.0 12/11/2019 3,140,000 958,572
Government National Mortgage Association I, 4.0%, 11/15/44 4.0 11/15/2044 2,263,866 1,870,669
Fannie Mae, 3.5%, 11/1/42 3.5 11/01/2042 1,335,000 1,145,716
Intesa Sanpaolo S.p.A., 6.5%, 2/24/21 (144A) 6.5 02/24/2021 3,925,000 4,542,099
Alliant Holdings I LLC, Initial Term Loan, 7/28/22 4.5 07/28/2022 501,988 492,420
AXA SA, 8.6%, 12/15/30 8.6 12/15/2030 10,060,000 13,556,566
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 2.25 08/20/2025 3,750,000 1,199,348
Alfa Bank AO Via Alfa Bond Issuance Plc, 7.5%, 9/26/19 (144A) 7.5 09/26/2019 12,500,000 12,949,521
La Hipotecaria Panamanian Mortgage Trust 2010-1, Floating Rate Note, 9/8/39 (144A) 2.5 09/08/2039 2,150,000 1,300,378
Frontier Communications Corp., 8.75%, 4/15/22 8.75 04/15/2022 10,355,000 9,769,655
Fannie Mae, 6.5%, 5/1/31 6.5 05/01/2031 392,161 1,513
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 2,000,000 1,901,162
JBS USA LLC, 2015 Incremental Term Loan, 9/18/22 4.0 09/18/2022 4,875,000 4,806,384
Government National Mortgage Association I, 4.5%, 7/15/41 4.5 07/15/2041 2,197,000 850,586
Russian Federal Bond - OFZ, 7.6%, 7/20/22 7.6 07/20/2022 25,000 323
Calpine Construction Finance Co LP, Term B-1 Loan, 5/3/20 3.0 05/03/2020 1,391,702 1,320,958
Equinix, Inc., 5.875%, 1/15/26 5.875 01/15/2026 2,575,000 2,663,596
Zero% 30nov19 0.0 11/30/2019 14,520,000 15,385,392
Store Master Funding I LLC, 3.75%, 4/20/45 (144A) 3.75 04/20/2045 6,500,000 6,434,680
Altisource Solutions Sarl, Term B Loan, 12/9/20 4.5 12/09/2020 3,850,510 3,369,196
Carrizo Oil & Gas, Inc., 7.5%, 9/15/20 7.5 09/15/2020 4,655,000 4,170,104
Star Energy Geothermal Wayang Windu, Ltd., 6.125%, 3/27/20 (144A) 6.125 03/27/2020 7,850,000 7,550,310
On Assignment, Inc., Initial Term B Loan, 6/5/22 3.75 06/05/2022 2,243,205 2,235,728
Government National Mortgage Association I, 4.0%, 9/15/43 4.0 09/15/2043 43,512 33,093
Fannie Mae, 7.0%, 5/1/28 7.0 05/01/2028 200,000 1,387
Security National Mortgage Loan Trust 2007-1, Floating Rate Note, 4/25/37 (144A) 6.55 04/25/2037 2,500,000 1,376,355
Plains All American Pipeline LP, 4.65%, 10/15/25 4.65 10/15/2025 18,500,000 16,453,071
Blue Cube Spinco, Inc., 9.75%, 10/15/23 (144A) 9.75 10/15/2023 1,265,000 1,395,453
Liberty Mutual Insurance Co., 7.697% (Perpetual) (144A) 7.697   11,050,000 13,818,635
Kane Zero% 15jan16 0.0 01/15/2016 2,024,000 2,061,849
Weatherford International, Ltd. Bermuda, 9.625%, 3/1/19 9.625 03/01/2019 4,070,000 4,093,742
Government National Mortgage Association II, 4.5%, 1/20/35 4.5 01/20/2035 4,000,000 589,854
Standard Chartered Plc, 3.95%, 1/11/23 (144A) 3.95 01/11/2023 18,802,000 18,438,196
MGM Resorts International, 6.0%, 3/15/23 6.0 03/15/2023 11,815,000 11,935,119
NextGear Floorplan Master Owner Trust, 2.61%, 10/15/19 (144A) 2.61 10/15/2019 1,150,000 1,132,061
Fannie Mae, 0.5%, 12/15/33 0.5 12/15/2033 7,290,000 6,772,207
Government National Mortgage Association I, 6.0%, 2/15/33 6.0 02/15/2033 1,085,291 139,995
JP Morgan Mortgage Trust 2013-2, Floating Rate Note, 5/25/43 (144A) 3.5 05/25/2043 8,923,000 5,731,101
Permanent University Fund, 5.0%, 7/1/30 5.0 07/01/2030 2,550,000 3,164,295
HOA Funding LLC, 4.846%, 8/22/44 (144A) 4.846 08/22/2044 13,800,000 12,305,274
Citigroup, Inc., Floating Rate Note (Perpetual) 5.95 12/31/2049 15,280,000 15,332,822
International Finance Corp., 8.25%, 6/10/21 8.25 06/10/2021 1,040,880,000 16,550,000
Minerva Luxembourg SA, 7.75%, 1/31/23 (144A) 7.75 01/31/2023 9,770,000 9,501,393
China Government Bond, 3.38%, 11/21/24 3.38 11/21/2024 42,500,000 6,388,282
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 11,510,100 12,600,106
Golar LNG Partners LP, Floating Rate Note, 10/12/17 6.31 10/12/2017 33,000,000 3,802,231
Expedia, Inc., 5.95%, 8/15/20 5.95 08/15/2020 7,110,000 7,917,638
Irvine Core Office Trust 2013-IRV, Floating Rate Note, 5/15/48 (144A) 3.1731 05/15/2048 6,944,736 6,916,405
Government National Mortgage Association I, 4.0%, 12/15/40 4.0 12/15/2040 45,640 17,983
Newhall Land Development LLC     269,588 831,275
Israel Electric Corp, Ltd., 6.7%, 2/10/17 (144A) 6.7 02/10/2017 4,150,000 4,440,673
Fannie Mae, 4.0%, 8/1/44 4.0 08/01/2044 898,373 790,052
Federal National Mortgage Association REMICS, 3.5%, 1/25/29 3.5 01/25/2029 6,000,000 66,492
Latam Airlines 2015-1 Pass Through Trust A, 4.2%, 8/15/29 (144A) 4.2 08/15/2029 16,375,000 15,439,442
Gold Key Resorts 2014-A LLC, 5.87%, 5/17/31 (144A) 5.87 05/17/2031 2,100,000 1,720,569
Government National Mortgage Association II, 3.5%, 4/20/45 3.5 04/20/2045 1,307,438 1,288,417
Government National Mortgage Association I, 4.0%, 11/15/40 4.0 11/15/2040 570,479 308,388
JP Morgan Mortgage Trust 2015-4, Floating Rate Note, 6/26/45 (144A) 3.5 06/26/2045 3,025,000 2,915,802
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.3716 10/25/2037 4,690,000 751,855
Fannie Mae, 4.0%, 8/1/42 4.0 08/01/2042 25,000,000 16,598,183
Fannie Mae, 4.5%, 12/1/41 4.5 12/01/2041 60,000 40,402
Government National Mortgage Association I, 6.0%, 8/15/32 6.0 08/15/2032 6,200,000 208,139
Bonanza Creek Energy, Inc., 5.75%, 2/1/23 5.75 02/01/2023 4,665,000 2,537,566
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 1/25/35 2.4717 01/25/2035 11,606,000 2,229,382
Wells Fargo Commercial Mortgage Trust 2014-LC16 REMICS, 2.819%, 8/17/50 2.819 08/17/2050 3,525,000 3,587,828
Bank of America Corp., Floating Rate Note, 10/23/49 6.5 10/23/2049 18,775,000 20,014,672
Fannie Mae, 6.0%, 6/1/37 6.0 06/01/2037 4,500,000 284,651
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 2.75 01/23/2021 763,864 759,089
FREMF Mortgage Trust 2012-K710, Floating Rate Note, 6/25/47 (144A) 3.9496 06/25/2047 3,661,000 3,746,970
Zambia Government International Bond, 5.375%, 9/20/22 (144A) 5.375 09/20/2022 5,135,000 3,782,851
Charter Communications Operating L 1st Lien Bridge L + 6.625% 26may16   05/26/2016 10,715,000 10,715,000
Far East Capital, Ltd. SA, 8.0%, 5/2/18 8.0 05/02/2018 3,150,000 1,962,800
Linn Energy LLC, 8.625%, 4/15/20 8.625 04/15/2020 3,374,000 639,232
EP Energy LLC, 9.375%, 5/1/20 9.375 05/01/2020 6,435,000 4,202,859
Government National Mortgage Association I, 5.0%, 10/15/18 5.0 10/15/2018 2,975,000 91,597
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 1.2216 10/25/2034 54,308,000 2,395,178
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A) 9.226 03/16/2016 850,000 863,048
WinWater Mortgage Loan Trust 2015-5, Floating Rate Note, 8/20/45 (144A) 3.5 08/20/2045 5,124,000 4,858,187
Six Flags Theme Parks, Inc., Tranche B Term Loan, 6/30/22 3.5 06/30/2022 1,427,825 1,425,445
Fannie Mae, 4.0%, 12/1/41 4.0 12/01/2041 220,620 91,148
Consumer Credit Origination Loan Trust 2015-1, 2.82%, 3/15/21 (144A) 2.82 03/15/2021 3,000,000 1,516,126
Government National Mortgage Association I, 4.0%, 10/15/41 4.0 10/15/2041 40,383 13,313
Fannie Mae, 5.0%, 7/1/39 5.0 07/01/2039 17,025,069 1,263,022
Kilimanjaro Re, Ltd., Floating Rate Note, 12/6/19 (Cat Bond) (144A) 9.25 12/06/2019 3,400,000 3,413,260
Government National Mortgage Association I, 5.75%, 10/15/38 5.75 10/15/2038 1,470,579 316,419
Acorn Re, Ltd., Floating Rate Note, 7/17/18 (Cat Bond) (144A) 3.6634 07/17/2018 3,350,000 3,380,909
Hexion, Inc., 8.875%, 2/1/18 8.875 02/01/2018 1,575,000 1,168,617
Fannie Mae, 6.0%, 3/1/33 6.0 03/01/2033 250,000 8,083
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 2.25 06/25/2043 3,748,000 2,476,409
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 5.0 07/25/2018 8,600,000 297,394
Brocade Communications Systems, Inc., 4.625%, 1/15/23 4.625 01/15/2023 1,500,000 1,456,990
Fannie Mae, 5.0%, 11/1/44 5.0 11/01/2044 57,000,000 46,238,421
Univar Inc 1st Lien Tl-B L + 3.25% 25jun22 4.25 06/25/2022 6,374,025 6,191,339
Pinnacle Entertainment, Inc., Tranche B-2 Term Loan, 8/13/20 3.75 08/13/2020 1,981,129 1,978,183
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 2,323,967 2,255,305
Macquarie Bank, Ltd., 4.875%, 6/10/25 (144A) 4.875 06/10/2025 11,800,000 11,679,637
ConvaTec, Inc., Dollar Term Loan, 12/22/16 4.25 12/22/2016 4,154,125 4,096,142
DriveTime Automotive Group, Inc., 8.0%, 6/1/21 (144A) 8.0 06/01/2021 3,955,000 3,546,317
DBUBS 2011-LC1 Mortgage Trust, Floating Rate Note, 11/13/46 (144A) 5.8345 11/13/2046 2,950,000 3,260,561
Westgate Resorts 2015-1 LLC, 2.75%, 5/20/27 (144A) 2.75 05/20/2027 7,250,000 5,410,553
Golden State RE II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A) 2.2 01/08/2019 3,900,000 3,892,178
Federal Home Loan Mortgage Corp., 5.0%, 5/1/34 5.0 05/01/2034 1,278,937 52,693
Federal Home Loan Mortgage Corp., 4.0%, 12/1/44 4.0 12/01/2044 7,100,000 6,415,249
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 2.5874 10/25/2033 28,400,000 2,241,417
Government National Mortgage Association I, 4.5%, 12/15/34 4.5 12/15/2034 326,420 26,966
OneBeacon US Holdings, Inc., 4.6%, 11/9/22 4.6 11/09/2022 8,965,000 9,070,325
International Finance Corp., 7.75%, 12/3/16 7.75 12/03/2016 1,036,140,000 15,802,322
Reynolds Group Holdings, Inc., Incremental U.S. Term Loan, 12/31/18 4.5 12/31/2018 3,679,008 3,647,677
Government National Mortgage Association I, 6.0%, 7/15/17 6.0 07/15/2017 6,000,000 49,933
Government National Mortgage Association I, 6.0%, 5/15/16 6.0 05/15/2016 192,300 124
Bayview Commercial Asset Trust 2007-2, 0.0%, 7/27/37 (Step) (144A) 0.0 07/27/2037 49,000,000 0
Endo Finance LLC, 5.375%, 1/15/23 (144A) 5.375 01/15/2023 8,169,000 8,226,920
Pride International, Inc., 6.875%, 8/15/20 6.875 08/15/2020 2,250,000 2,147,572
The Hertz Corp., Tranche B-1 Term Loan, 3/11/18 3.75 03/11/2018 1,212,500 1,211,237
Queensland Treasury Corp., 5.5%, 6/21/21 5.5 06/21/2021 20,665,000 17,164,076
Government National Mortgage Association I, 3.5%, 9/15/44 3.5 09/15/2044 16,575,713 14,054,932
EverBank Mortgage Loan Trust, Floating Rate Note, 4/25/43 (144A) 2.5 04/25/2043 10,928,000 7,238,926
Government National Mortgage Association I, 5.5%, 9/15/19 5.5 09/15/2019 2,037,648 73,067
Pilot Travel Centers LLC, Refinancing Tranche B Term Loan, 10/3/21 3.75 10/03/2021 1,903,136 1,910,273
Government National Mortgage Association I, 4.0%, 9/15/43 4.0 09/15/2043 452,015 220,767
COMM 2012-CCRE4 Mortgage Trust, 2.436%, 10/17/45 2.436 10/17/2045 4,047,000 4,035,797
ZIGGO BV, (USD) TLB3, 1/15/22 3.5 01/15/2022 2,743,404 2,669,461
Bear Stearns ARM Trust 2003-6, Floating Rate Note, 8/25/33 2.7305 08/25/2033 44,701,000 1,794,520
Sensata Technologies 1st Lien L + 2.25% 14oct21 2.8567 10/14/2021 1,975,075 1,943,474
Norway Government Bond, 4.25%, 5/19/17 4.25 05/19/2017 610,000,000 74,038,667
Ormat Funding Corp., 8.25%, 12/30/20 8.25 12/30/2020 6,405,000 2,588,233
Pelabuhan Indonesia II PT, 4.25%, 5/5/25 (144A) 4.25 05/05/2025 10,840,000 9,701,378
Government National Mortgage Association I, 4.0%, 10/15/44 4.0 10/15/2044 2,889,550 1,768,182
Fannie Mae, 4.0%, 12/1/40 4.0 12/01/2040 9,810,000 5,867,760
New Hampshire Health and Education Facilities Authority Act, 6.5%, 1/1/41 6.5 01/01/2041 4,250,000 5,080,450
Fannie Mae, 4.0%, 9/1/37 4.0 09/01/2037 1,307,922 829,965
EuroChem Mineral & Chemical Co OJSC via EuroChem Global Investments, Ltd., 5.125%, 12/12/17 (144A) 5.125 12/12/2017 3,650,000 3,668,998
Vedanta Resources Plc, 9.5%, 7/18/18 (144A) 9.5 07/18/2018 4,040,000 3,163,174
Israel Electric Corp, Ltd., 9.375%, 1/28/20 (144A) 9.375 01/28/2020 1,330,000 1,673,597
Velocity Commercial Capital Loan Trust 2015-1, Floating Rate Note, 6/25/45 (144A) 5.88 06/25/2045 2,274,000 2,251,033
Countrywide Asset-Backed Certificates, Floating Rate Note, 12/25/35 4.7502 12/25/2035 6,561,000 1,284,590
Government National Mortgage Association I, 4.0%, 11/15/44 4.0 11/15/2044 27,967 28,782
Government National Mortgage Association I, 6.0%, 9/15/33 6.0 09/15/2033 1,501,891 62,063
Government National Mortgage Association I, 6.5%, 8/15/32 6.5 08/15/2032 300,000 3,593
Government National Mortgage Association I, 3.5%, 7/15/42 3.5 07/15/2042 22,710,107 13,658,650
C&S Group Enterprises LLC, 5.375%, 7/15/22 (144A) 5.375 07/15/2022 391,000 361,591
Government National Mortgage Association I, 4.0%, 2/15/45 4.0 02/15/2045 3,761,677 3,229,709
CCO Safari II LLC, 6.384%, 10/23/35 (144A) 6.384 10/23/2035 23,530,000 24,056,829
RALI Series 2003-QS13 Trust, Floating Rate Note, 7/25/33 0.9716 07/25/2033 29,527,860 2,602,856
RALI Series 2004-QS4 Trust, Floating Rate Note, 3/25/34 0.9216 03/25/2034 19,206,500 1,136,265
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 3.75 12/12/2019 4,599,670 4,588,170
Welltower, Inc., 5.25%, 1/15/22 5.25 01/15/2022 3,150,000 3,483,331
Federal Home Loan Mortgage Corp., 3.5%, 7/1/45 3.5 07/01/2045 550,000 564,652
Scientific Games International, Inc., Initial Term B-2 Loan, 9/17/21 6.0 09/17/2021 10,345,500 9,479,064
Fannie Mae, 6.5%, 4/1/29 6.5 04/01/2029 40,000 379
Emi Music 1st Lien Tl-B L + 0% 14aug22 4.0 08/14/2022 1,062,410 1,050,900
VOLT XIX LLC, 3.875%, 4/26/55 (Step) 3.875 04/26/2055 5,300,000 2,127,387
BBVA Bancomer SA Texas, 6.5%, 3/10/21 (144A) 6.5 03/10/2021 23,300,000 25,164,971
RMAT 2015-1 LLC, 4.09%, 7/27/20 (Step) (144A) 4.09 07/27/2020 4,000,000 3,731,220
Federal Home Loan Mortgage Corp., 2.5%, 1/1/30 2.5 01/01/2030 1,090,059 1,012,694
RAMP Series 2004-RS1 Trust, 5.665%, 1/25/34 (Step) 5.665 01/25/2034 2,204,000 1,002,460
Tempur Sealy International, Inc., New Term B Loan, 3/18/20 3.5 03/18/2020 340,868 340,815
Highwoods Realty LP, 3.625%, 1/15/23 3.625 01/15/2023 9,060,000 8,928,968
Alkermes, Inc., 2019 Term Loan, 9/25/19 3.5 09/25/2019 1,815,485 1,809,812
Government National Mortgage Association II, 6.5%, 1/20/28 6.5 01/20/2028 32,371 357
Federal Home Loan Mortgage Corp., 5.0%, 12/1/34 5.0 12/01/2034 4,668,054 293,659
JPMorgan Chase & Co., 1.0%, 9/20/17 5.0 12/20/2017 7,000,000 688,486
Government National Mortgage Association I, 4.0%, 9/15/41 4.0 09/15/2041 4,247,615 1,576,479
Fannie Mae, 3.5%, 8/1/42 3.5 08/01/2042 48,680,354 37,777,718
Sunoco Logistics Partners Operations LP, 6.1%, 2/15/42 6.1 02/15/2042 10,390,000 8,537,457
Towd Point Mortgage Trust 2015-1, Floating Rate Note, 11/25/57 (144A) 3.75 11/25/2057 4,461,000 4,465,392
Fannie Mae, 5.0%, 1/1/39 5.0 01/01/2039 27,744,910 1,979,415
Nn Inc 1st Lien Tl-B L + 4.75% 02oct22   10/02/2022 13,095,679 12,964,722
Bway Holding Co 1st Lien Tl-B L + 4.5% 08aug20 5.5 08/08/2020 3,331,489 3,225,991
Government National Mortgage Association I, 6.5%, 6/15/32 6.5 06/15/2032 150,000 3,687
Cengage Learning Holdings II, Inc.     90,687 2,131,598
Metalloinvest Finance, Ltd., 5.625%, 4/17/20 (144A) 5.625 04/17/2020 3,400,000 3,307,461
QVC, Inc., 4.45%, 2/15/25 4.45 02/15/2025 18,100,000 17,090,818
Fannie Mae, 4.0%, 4/1/42 4.0 04/01/2042 9,200,000 3,730,271
Government National Mortgage Association I, 4.0%, 2/15/42 4.0 02/15/2042 854,217 355,686
Garda World Security Corp., Term B Loan, 11/1/20 4.0038 11/01/2020 4,067,906 3,898,836
Government National Mortgage Association I, 4.0%, 1/15/41 4.0 01/15/2041 137,728 68,474
CEVA GROUP Plc     1,069 480,915
Government National Mortgage Association I, 4.0%, 8/15/43 4.0 08/15/2043 379,787 253,835
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/31 5.0 12/15/2031 9,165,000 10,086,744
CHS, Incremental 2019 Term G Loan, 12/31/19 3.3567 12/31/2019 2,136,609 2,086,198
CS Intermediate Holdco 2 LLC, Term Loan, 3/28/21 4.0 03/28/2021 5,359,921 5,290,687
Agate Bay Mortgage Trust 2015-1, Floating Rate Note, 1/25/45 (144A) 3.5 01/25/2045 15,485,000 11,767,272
SandRidge Energy, Inc., 8.125%, 10/16/22 8.125 10/16/2022 1,526,000 318,976
Fannie Mae, 4.0%, 11/1/44 4.0 11/01/2044 857,810 734,574
TerraForm Power Operating LLC, 5.875%, 2/1/23 (144A) 5.875 02/01/2023 4,130,000 3,518,674
Federal Home Loan Mortgage Corp., 4.5%, 9/1/43 4.5 09/01/2043 147,265 101,702
USI, Inc. New York, Initial Term Loan, 12/30/19 4.25 12/30/2019 26,073,285 25,201,473
Wash Multifamily Acq 1st Lien 1st Lien Tl-B L + 3.25% 15may22 4.25 05/15/2022 51,900 50,699
Applebee's Funding LLC/ IHOP Funding LLC, 4.277%, 9/5/44 (144A) 4.277 09/05/2044 10,363,000 10,526,041
Activision Blizzard, Inc., 5.625%, 9/15/21 (144A) 5.625 09/15/2021 6,015,000 6,400,336
Fannie Mae, 4.0%, 11/1/44 4.0 11/01/2044 382,861 327,943
Government National Mortgage Association I, 4.5%, 3/15/38 4.5 03/15/2038 15,595,138 2,662,394
Government National Mortgage Association I, 4.0%, 3/15/44 4.0 03/15/2044 555,005 327,119
Methanol Holdings Trinidad Ltd 1st Lien Tl-B L + 3.5% 02jun22 4.25 06/02/2022 4,264,313 3,912,507
Rosneft Finance SA, 6.625%, 3/20/17 (144A) 6.625 03/20/2017 1,395,000 1,453,708
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 5.25 04/25/2032 6,500,000 1,509,012
GCI Holdings, Inc., New Term B Loan, 2/2/22 4.0 02/02/2022 3,260,363 3,266,476
GLC Trust 2013-1, 3.0%, 7/15/21 (144A) 3.0 07/15/2021 7,000,000 2,918,562
CeramTec Acquisition Corp., Initial Dollar Term B-2 Loan, 8/30/20 4.25 08/30/2020 530,160 527,067
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 12,213,075 8,067,563
Hawaiian Airlines 2013-1 Class A Pass Through Certificates, 3.9%, 1/15/26 3.9 01/15/2026 2,795,000 2,592,333
Fannie Mae, 4.5%, 11/1/43 4.5 11/01/2043 14,886,677 6,410,505
Government National Mortgage Association I, 6.0%, 1/15/33 6.0 01/15/2033 1,500,000 31,539
American Homes 4 Rent 2014-SFR3 Trust, 4.596%, 12/18/36 (144A) 4.596 12/18/2036 5,000,000 4,874,800
Federal Home Loan Mortgage Corp., 5.0%, 11/1/34 5.0 11/01/2034 750,000 60,201
Altrl Zero% 30jun16 0.0 06/30/2016 8,128,729 569,011
NSG Holdings LLC, New Term Loan, 12/11/19 3.75 12/11/2019 3,654,375 3,599,559
Fannie Mae, 4.0%, 2/1/44 4.0 02/01/2044 4,875,746 4,777,257
TI Group Automotive Systems LLC, Initial US Term Loan, 6/25/22 4.5 06/25/2022 5,910,099 5,791,897
Government National Mortgage Association I, 6.0%, 1/15/34 6.0 01/15/2034 1,135,007 65,093
Fannie Mae, 4.5%, 5/1/41 4.5 05/01/2041 24,220,767 5,311,814
Romania Government Bond, 5.95%, 6/11/21 5.95 06/11/2021 17,400,000 4,979,088
Banco Santander SA, Floating Rate Note (Perpetual) 6.375 12/31/2049 2,400,000 2,297,850
Federal Home Loan Mortgage Corp., 6.0%, 8/1/34 6.0 08/01/2034 3,000,000 190,996
WFRBS Commercial Mortgage Trust 2011-C3, 3.998%, 3/15/44 (144A) 3.998 03/15/2044 2,885,000 3,009,386
Government National Mortgage Association I, 4.0%, 12/15/40 4.0 12/15/2040 40,000 15,484
Government National Mortgage Association I, 5.5%, 3/15/17 5.5 03/15/2017 251,260 5,269
Leaf Receivables Funding 8 LLC, 5.5%, 9/15/20 (144A) 5.5 09/15/2020 2,141,566 2,156,312
CSMC Trust 2013-6, Floating Rate Note, 8/25/43 (144A) 3.2978 08/25/2043 6,051,000 5,372,755
Cequel Communications LLC, Term Loan, 2/14/19 3.5 02/14/2019 1,867,694 1,842,014
Government National Mortgage Association I, 5.5%, 1/15/34 5.5 01/15/2034 3,238,092 239,982
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2003-A3, 5.5%, 8/25/33 (Step) 5.5 08/25/2033 43,853,000 2,183,036
COMM 2006-C8 Mortgage Trust, 5.377%, 12/10/46 5.377 12/10/2046 3,500,000 3,487,942
Brazil Minas SPE via State of Minas Gerais, 5.333%, 2/15/28 (144A) 5.333 02/15/2028 17,900,000 13,830,379
Nakilat, Inc., 6.067%, 12/31/33 (144A) 6.067 12/31/2033 1,965,000 2,217,509
Spirit Master Funding VII LLC, 3.8868%, 12/21/43 (144A) 3.8868 12/21/2043 1,000,000 1,023,061
Steward Health Care System LLC, Term Loan, 4/10/20 6.75 04/10/2020 2,199,375 2,144,391
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 8.665 05/09/2016 14,500,000 14,840,710
Government National Mortgage Association I, 4.0%, 2/15/45 4.0 02/15/2045 445,520 399,898
B2R Mortgage Trust 2015-1, Floating Rate Note, 5/15/48 (144A) 4.831 05/15/2048 1,054,000 986,424
Audatex North America, Inc., 6.0%, 6/15/21 (144A) 6.0 06/15/2021 13,230,000 13,364,505
Bayview Opportunity Master Fund IIa Trust 2014-20NPL, 3.721%, 8/28/44 (Step) (144A) 3.721 08/28/2044 4,150,000 2,145,209
Zebra Technologies Corporation 1st Lien Tl-B L + 4% 30sep21 4.75 09/30/2021 1,503,125 1,506,766
The Williams Companies, Inc., 7.75%, 6/15/31 7.75 06/15/2031 8,880,000 6,319,465
Federal Home Loan Mortgage Corp., 6.5%, 9/1/32 6.5 09/01/2032 100,000 2,655
William Marsh Rice University, 4.626%, 5/15/63 4.626 05/15/2063 5,100,000 5,378,705
Top Co     217,467 51,273
Nationstar Mortgage LLC, 6.5%, 6/1/22 6.5 06/01/2022 4,695,000 4,086,606
Wachovia Capital Trust III, Floating Rate Note (Perpetual) 5.5698 12/31/2049 660,000 637,481
Fannie Mae, 6.0%, 12/1/33 6.0 12/01/2033 2,000,000 111,851
Eastman Chemical Co., 4.8%, 9/1/42 4.8 09/01/2042 4,140,000 3,867,269
Government National Mortgage Association I, 4.0%, 1/15/45 4.0 01/15/2045 478,684 311,513
Government National Mortgage Association I, 4.0%, 1/15/42 4.0 01/15/2042 5,790,059 1,840,057
Md 5.25% 01dec23 144a 5.25 12/01/2023 2,500,000 2,520,885
Government National Mortgage Association I, 4.0%, 3/15/44 4.0 03/15/2044 390,180 303,207
Macquarie Group, Ltd., 6.0%, 1/14/20 (144A) 6.0 01/14/2020 5,945,000 6,726,894
Wells Fargo Mortgage Backed Securities 2005-AR7 Trust, Floating Rate Note, 5/25/35 2.7378 05/25/2035 5,258,000 4,344,555
BRF SA, 3.95%, 5/22/23 (144A) 3.95 05/22/2023 3,500,000 3,173,727
LORENZO RE, Ltd., 0.0%, 12/31/49 (Cat Bond) (Perpetual) 0.0 12/31/2049 57,000 142,500
Controladora Mabe SA de CV, 7.875%, 10/28/19 (144A) 7.875 10/28/2019 9,539,000 10,433,579
Domino's Pizza Master Issuer LLC, 5.216%, 1/27/42 (144A) 5.216 01/27/2042 14,228,000 9,029,035
VOLT XXV LLC, 3.5%, 6/26/45 (Step) (144A) 3.5 06/26/2045 4,000,000 3,469,771
Windstream Services LLC, 7.75%, 10/15/20 7.75 10/15/2020 8,680,000 7,454,914
Gazprom OAO Via Gaz Capital SA, 8.146%, 4/11/18 (144A) 8.146 04/11/2018 765,000 837,101
Government National Mortgage Association I, 4.0%, 4/15/39 4.0 04/15/2039 90,132 18,574
Government National Mortgage Association I, 4.0%, 4/15/41 4.0 04/15/2041 78,634 34,460
Bear Stearns ARM Trust 2004-12, Floating Rate Note, 2/25/35 3.1689 02/25/2035 7,000,000 810,346
Federal Home Loan Mortgage Corp., 2.5%, 4/1/30 2.5 04/01/2030 610,000 585,803
GCAT 2015-1 LLC, 3.625%, 5/26/20 (Step) (144A) 3.625 05/26/2020 2,000,000 1,537,639
Federal Home Loan Mortgage Corp., 3.5%, 11/1/28 3.5 11/01/2028 10,730,077 8,785,664
FREMF Mortgage Trust 2011-K10 , Floating Rate Note, 11/25/49 (144A) 4.79 11/25/2049 5,600,000 5,890,281
Albertsons Llc 1st Lien Term Loa L + 5.2669% 11aug21 5.5 08/11/2021 1,488,750 1,478,515
T-Mobile USA, Inc., 6.625%, 11/15/20 6.625 11/15/2020 4,915,000 5,150,700
Government National Mortgage Association I, 5.5%, 2/15/35 5.5 02/15/2035 5,109,070 162,252
inVentiv Health, Inc., Term B-3 Loan, 5/15/18 7.75 05/15/2018 383,644 378,529
The Williams Companies, Inc., 5.75%, 6/24/44 5.75 06/24/2044 31,000,000 18,441,096
CVS Pass-Through Trust, 6.036%, 12/10/28 6.036 12/10/2028 1,300,000 1,055,853
Fannie Mae, 4.0%, 7/1/18 4.0 07/01/2018 75,000 2,349
Fannie Mae, 4.0%, 1/1/42 4.0 01/01/2042 8,038,832 2,980,132
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 0.9216 09/25/2035 3,997,000 3,621,151
Government National Mortgage Association I, 4.0%, 11/15/40 4.0 11/15/2040 127,425 85,525
Gilead Sciences, Inc., 4.6%, 9/1/35 4.6 09/01/2035 10,275,000 10,588,441
Government National Mortgage Association I, 6.5%, 5/15/29 6.5 05/15/2029 169,368 2,279
Public Service Co of New Mexico, 7.95%, 5/15/18 7.95 05/15/2018 3,725,000 4,206,316
Federal Home Loan Mortgage Corp., 6.0%, 1/1/34 6.0 01/01/2034 1,000,000 88,091
Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A) 3.74 11/25/2019 6,190,000 6,191,754
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 4,957,680 2,902,821
Mirion Technologies Finance Llc 1st Lien Tl-B L + 4.75% 26jan22 5.75 01/26/2022 5,248,625 5,187,389
Government National Mortgage Association I, 4.0%, 10/15/41 4.0 10/15/2041 73,982 29,691
Cemex SAB de CV, 7.25%, 1/15/21 (144A) 7.25 01/15/2021 3,400,000 3,386,164
Fannie Mae, 5.5%, 7/1/33 5.5 07/01/2033 1,900,000 67,570
ONEOK, Inc., 6.875%, 9/30/28 6.875 09/30/2028 9,425,000 6,947,992
President and Fellows of Harvard College, 2.3%, 10/1/23 2.3 10/01/2023 5,600,000 5,324,463
US Airways, Inc., Tranche B-1 Term Loan (Consenting), 5/23/19 3.5 05/23/2019 1,103,534 1,094,050
GS Mortgage Securities Corp II, 3.682%, 2/12/46 (144A) 3.682 02/12/2046 4,500,000 4,456,814
Teachers Insurance & Annuity Association of America, 6.85%, 12/16/39 (144A) 6.85 12/16/2039 3,470,000 4,300,139
Altrl Zero% 30jun17 0.0 06/30/2017 5,287,778 6,272,362
Maryland Health & Higher Educational Facilities Authority, 5.0%, 7/1/41 5.0 07/01/2041 3,700,000 4,350,941
Commercial Vehicle Group, Inc., 7.875%, 4/15/19 7.875 04/15/2019 1,059,000 944,231
Fannie Mae, 6.0%, 11/1/32 6.0 11/01/2032 350,000 6,539
Grupo Bimbo SAB de CV, 3.875%, 6/27/24 (144A) 3.875 06/27/2024 9,641,000 9,374,123
Ardagh Packaging Finance Plc, 9.125%, 10/15/20 (144A) 9.125 10/15/2020 7,250,000 7,607,163
Fannie Mae, 5.5%, 3/1/21 5.5 03/01/2021 5,000,000 416,770
GMAC Capital Trust I, Floating Rate Note, 2/15/40 8.125 02/15/2040 465,150 11,796,204
Government National Mortgage Association I, 6.5%, 7/15/35 6.5 07/15/2035 161,566 26,623
Federal Home Loan Mortgage Corp., 6.0%, 12/1/36 6.0 12/01/2036 1,820,000 115,533
Bayview Opportunity Master Fund Trust IIIa 2014-12RPL, 3.6225%, 7/28/19 (Step) (144A) 3.6225 07/28/2019 4,000,000 617,806
Navistar, Inc., Tranche B Term Loan, 8/17/17 6.5 08/17/2017 400,000 354,000
Fannie Mae, 4.5%, 3/1/41 4.5 03/01/2041 3,179,532 1,246,479
Ziggo Bv Us 1st Lien Tl-B1 L + 2.75% 15jan22 3.5 01/15/2022 2,588,511 2,518,743
Kiowa Power Partners LLC, 5.737%, 3/30/21 (144A) 5.737 03/30/2021 3,775,000 2,701,533
Voya Financial, Inc., Floating Rate Note, 5/15/53 5.65 05/15/2053 5,025,000 4,985,903
WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21 2.75 01/23/2021 274,891 273,173
Darling Ingredients, Inc., 5.375%, 1/15/22 5.375 01/15/2022 282,000 284,759
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 4.25 06/30/2019 5,470,433 4,106,621
Banc of America Alternative Loan Trust 2004-10, 6.0%, 11/25/34 6.0 11/25/2034 8,860,000 1,549,116
Scds: (Do) Usd 20dec19 Buy Bnr1c3dt1 1.0 12/20/2019 10,480,000 -1,439,447
Fresenius US Finance II, Inc., 4.5%, 1/15/23 (144A) 4.5 01/15/2023 3,700,000 3,781,400
Milea Flt% 15jul17 3.2 07/15/2017 603,196,780 5,011,752
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 1.23 03/15/2019 1,000,000 177,737
AdvancePierre Foods, Inc., Term Loan (First Lien), 7/10/17 5.75 07/10/2017 1,342,897 1,342,562
SRAM LLC, Term Loan (First Lien), 4/10/20 4.0159 04/10/2020 3,055,019 2,535,666
Linn Energy LLC, 12.0%, 12/15/20 (144A) 12.0 12/15/2020 4,600,000 2,362,867
Government National Mortgage Association II, 4.5%, 9/20/41 4.5 09/20/2041 17,265,000 6,631,192
Government National Mortgage Association I, 4.0%, 7/15/41 4.0 07/15/2041 66,145 28,137
Rowan Companies, Inc., 5.85%, 1/15/44 5.85 01/15/2044 24,347,000 15,348,860
Government National Mortgage Association I, 4.5%, 6/15/40 4.5 06/15/2040 6,803,817 1,813,579
Valero Energy Corp., 9.375%, 3/15/19 9.375 03/15/2019 4,414,000 5,336,677
Alternative Loan Trust 2003-16T1, 5.25%, 9/25/33 5.25 09/25/2033 7,855,000 2,712,325
Government National Mortgage Association I, 6.0%, 11/15/18 6.0 11/15/2018 197,092 1,326
Adjustable Rate Mortgage Trust 2005-9, Floating Rate Note, 11/25/35 0.7416 11/25/2035 45,820,000 4,243,252
DR Horton, Inc., 5.75%, 8/15/23 5.75 08/15/2023 7,780,000 8,462,479
PQ Corp., 2014 Term Loan, 8/7/17 4.0 08/07/2017 6,159,500 6,121,003
Provincia de Neuquen Argentina, 7.875%, 4/26/21 (144A) 7.875 04/26/2021 2,300,000 1,559,059
Federal Home Loan Mortgage Corp., 4.5%, 3/1/44 4.5 03/01/2044 87,965 51,097
Government National Mortgage Association I, 4.0%, 12/15/44 4.0 12/15/2044 335,845 266,421
Prudential Financial, Inc., Floating Rate Note, 9/15/42 5.875 09/15/2042 7,575,000 8,005,249
Fannie Mae, 5.0%, 1/1/45 5.0 01/01/2045 41,000,000 35,368,353
Government National Mortgage Association I, 4.0%, 10/15/40 4.0 10/15/2040 350,000 143,681
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 2,943,500 3,500,116
Southern California Edison Co., Floating Rate Note (Perpetual) 6.25 12/31/2049 8,675,000 9,783,593
Flextronics International, Ltd., 5.0%, 2/15/23 5.0 02/15/2023 15,200,000 15,696,111
JobsOhio Beverage System, 4.532%, 1/1/35 4.532 01/01/2035 4,480,000 4,842,477
RALI Series 2004-QS3 Trust, 5.0%, 3/25/19 5.0 03/25/2019 7,800,000 269,388
Sequoia Mortgage Trust 2013-6, Floating Rate Note, 5/26/43 2.5 05/26/2043 20,110,000 15,372,237
Federal Home Loan Mortgage Corp., 5.0%, 12/1/21 5.0 12/01/2021 6,525,000 385,144
TIG FINCO Plc, 8.75%, 4/2/20 8.75 04/02/2020 1,263,147 1,659,263
Federal National Mortgage Association REMICS, 4.5%, 6/25/29 4.5 06/25/2029 4,635,000 2,698,352
Fannie Mae, 4.0%, 1/1/45 4.0 01/01/2045 47,503 45,889
Government National Mortgage Association II, 4.0%, 10/20/44 4.0 10/20/2044 15,115,000 10,827,848
Government National Mortgage Association I, 5.5%, 9/15/19 5.5 09/15/2019 2,338,171 58,905
Government National Mortgage Association I, 4.0%, 2/15/41 4.0 02/15/2041 63,917 31,238
Government National Mortgage Association I, 6.5%, 10/15/32 6.5 10/15/2032 302,974 16,374
BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros, 5.5%, 7/16/20 (144A) 5.5 07/16/2020 7,180,000 7,235,346
Coveris Holdings SA, USD Term Loan, 4/14/19 4.5 04/14/2019 3,315,834 3,232,938
Government National Mortgage Association I, 4.0%, 11/15/44 4.0 11/15/2044 161,099 94,854
Sector Re V, Ltd., 0.0%, 3/1/20 (Cat Bond) (144A) 0.0 03/01/2020 2,500,000 2,999,500
Red de Carreteras de Occidente SAPIB de CV, 9.0%, 6/10/28 (144A) 9.0 06/10/2028 87,500,000 4,919,140
Fannie Mae, 6.0%, 1/1/33 6.0 01/01/2033 502,267 14,450
Government National Mortgage Association I, 6.0%, 6/15/33 6.0 06/15/2033 3,345,634 295,098
DBUBS 2011-LC3 Mortgage Trust, Floating Rate Note, 8/12/44 (144A) 5.5827 08/12/2044 6,767,000 7,569,555
Owens Corning, 4.2%, 12/1/24 4.2 12/01/2024 5,975,000 5,836,081
Government National Mortgage Association I, 4.5%, 6/15/41 4.5 06/15/2041 4,610,835 2,790,088
Fannie Mae, 4.0%, 1/1/45 4.0 01/01/2045 104,052 93,801
Fannie Mae, 5.0%, 7/1/39 5.0 07/01/2039 2,516,008 722,548
Axis Equipment Finance Receivables III LLC, 4.05%, 5/20/20 (144A) 4.05 05/20/2020 1,400,000 1,396,323
Ever Flt% 25apr43 13-1-A1 2.25 04/25/2043 1,400,000 947,381
Antero Resources Corp., 5.625%, 6/1/23 (144A) 5.625 06/01/2023 1,600,000 1,255,500
Westgate Resorts 2014-1 LLC, 2.15%, 12/20/26 (144A) 2.15 12/20/2026 5,000,000 3,256,648
Virgin Media 1st Lien Tl-F L + 2.75% 30jun23 3.5 06/30/2023 17,041,760 16,708,032
State Street Corp., Floating Rate Note, 12/31/73 5.9 12/31/2073 236,600 6,549,088
Immucor, Inc., Term B-2 Loan, 8/19/18 5.0 08/19/2018 7,470,780 7,115,918
Fannie Mae, 4.0%, 11/1/43 4.0 11/01/2043 8,931,305 8,151,892
Government National Mortgage Association I, 4.0%, 10/15/41 4.0 10/15/2041 543,395 221,056
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 2,050,000 2,027,553
Albertsons LLC, Term B-2 Loan, 3/21/19 5.5 03/21/2019 1,980,038 1,972,749
Enel S.p.A., Floating Rate Note, 9/24/73 (144A) 8.133 09/24/2073 10,830,000 12,587,995
Government National Mortgage Association I, 4.0%, 7/15/45 4.0 07/15/2045 91,415 91,541
Magnesita Finance, Ltd., 8.625% (Perpetual) (144A) 8.625 12/31/2049 4,200,000 2,354,538
Macquarie Group, Ltd., 6.25%, 1/14/21 (144A) 6.25 01/14/2021 7,750,000 8,874,556
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 3.5 09/06/2019 4,034,508 4,023,413
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 0.0 01/15/2017 18,400,000 18,689,261
Blackstone Holdings Finance Co LLC, 5.0%, 6/15/44 (144A) 5.0 06/15/2044 7,925,000 8,108,901
American Airlines 2015-2 Class B Pass Through Trust, 4.4%, 9/22/25 4.4 09/22/2025 5,550,000 5,574,173
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 3.0 06/25/2043 4,155,000 3,144,842
Univision Communications, Inc., Replacement First-Lien Term Loan, 3/1/20 4.0 03/01/2020 6,877,128 6,746,751
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 2.7388 04/19/2034 4,875,000 203,862
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/26/46 (144A) 3.3972 11/26/2046 2,000,000 2,011,207
Bank of America Corp., 7.25% (Perpetual) 7.25 12/31/2049 5,330 5,827,129
Government National Mortgage Association I, 5.0%, 9/15/33 5.0 09/15/2033 5,011,663 634,546
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 2.4294 07/25/2033 12,475,000 1,204,997
Summit Materials Llc 1st Lien Tl-B L + 3.25% 26jun22 4.25 06/26/2022 970,125 961,334
Citicorp Residential Mortgage Trust Series 2006-2, 5.918%, 9/25/36 (Step) 5.918 09/25/2036 5,595,000 5,357,395
Golar LNG, Ltd., 3.75%, 3/7/17 3.75 03/07/2017 1,700,000 1,506,146
Griffon Corp., 5.25%, 3/1/22 5.25 03/01/2022 312,000 303,030
Government National Mortgage Association I, 5.5%, 10/15/34 5.5 10/15/2034 2,500,000 322,652
Federal Home Loan Mortgage Corp., 6.0%, 10/1/37 6.0 10/01/2037 250,000 10,531
FREMF Mortgage Trust 2011-K703, Floating Rate Note, 7/25/44 (144A) 4.881 07/25/2044 5,450,000 5,707,387
Government National Mortgage Association I, 5.5%, 8/15/19 5.5 08/15/2019 711,545 70,676
Fannie Mae, 4.5%, 3/1/35 4.5 03/01/2035 2,520,000 215,339
FREMF Mortgage Trust 2010-K9 REMICS, Floating Rate Note, 9/25/45 (144A) 5.2001 09/25/2045 4,160,000 4,506,612
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 2/25/34 2.5908 02/25/2034 1,200,000 20,268
Ineos Finance Plc, 4.0%, 5/1/23 4.0 05/01/2023 14,095,000 14,716,555
Masco Corp., 7.125%, 3/15/20 7.125 03/15/2020 14,465,000 17,010,539
Exeter Automobile Receivables Trust 2012-2, 3.06%, 7/16/18 (144A) 3.06 07/16/2018 3,000,000 3,008,185
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 1,027,097 62,037
Fannie Mae, 3.5%, 6/1/42 3.5 06/01/2042 2,314,862 1,707,560
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 2.5 01/07/2019 800,000 809,431
Government National Mortgage Association I, 4.0%, 2/15/44 4.0 02/15/2044 474,636 385,900
Government National Mortgage Association I, 6.0%, 10/15/33 6.0 10/15/2033 3,000,000 83,984
JP Morgan Mortgage Trust 2014-5, Floating Rate Note, 10/25/29 (144A) 3.0 10/25/2029 2,200,000 1,835,300
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 25,078 20,211
Alpha Natural Resources, Inc., 6.25%, 6/1/21 6.25 06/01/2021 1,860,000 72,463
Fannie Mae, 3.5%, 12/1/42 3.5 12/01/2042 2,047,400 1,540,575
Verizon Communications, Inc., 5.012%, 8/21/54 5.012 08/21/2054 9,215,000 8,603,952
Fannie Mae, 4.5%, 3/1/41 4.5 03/01/2041 2,414,394 1,093,031
Albany Molecular Research, Inc., Term Loan, 7/14/21 5.75 07/14/2021 3,550,000 3,532,250
Velocity Commercial Capital Loan Trust 2014-1, Floating Rate Note, 9/25/44 (144A) 2.4216 09/25/2044 6,300,000 3,679,472
Port Freeport Texas, 5.95%, 5/15/33 5.95 05/15/2033 15,970,000 17,656,157
Crown Castle Towers LLC, 3.222%, 5/15/42 (144A) 3.222 05/15/2042 3,750,000 3,705,345
American Homes 4 Rent 2015-SFR1, 4.11%, 4/18/52 (144A) 4.11 04/18/2052 2,950,000 2,761,963
Sabine Pass Liquefaction LLC, 5.625%, 3/1/25 (144A) 5.625 03/01/2025 3,155,000 2,729,075
Appvion, Inc., Term Commitment, 6/28/19 5.75 06/28/2019 7,171,316 6,705,180
Darling Global Finance BV, 4.75%, 5/30/22 4.75 05/30/2022 4,485,000 4,721,562
Trade MAPS 1, Ltd., Floating Rate Note, 12/10/18 (144A) 5.2931 12/10/2018 2,610,000 2,676,054
JG Wentworth XXII LLC, 3.82%, 12/15/48 (144A) 3.82 12/15/2048 3,250,000 1,873,971
Intel Corp., 4.9%, 7/29/45 4.9 07/29/2045 25,090,000 27,038,261
Alexandria Real Estate Equities, Inc., 3.9%, 6/15/23 3.9 06/15/2023 4,802,000 4,750,990
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 667,424 370,093
Government National Mortgage Association I, 4.0%, 4/15/45 4.0 04/15/2045 730,564 433,323
Kindred Healthcare, Inc., New Term Loan, 4/10/21 4.25 04/10/2021 8,573,902 8,273,816
Government National Mortgage Association I, 6.0%, 6/15/17 6.0 06/15/2017 6,900,000 43,294
Service Corp International United States, 8.0%, 11/15/21 8.0 11/15/2021 3,322,000 3,937,308
Government National Mortgage Association I, 4.0%, 2/15/45 4.0 02/15/2045 558,953 451,403
Government National Mortgage Association I, 5.125%, 10/15/38 5.125 10/15/2038 1,865,279 742,492
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 2.5005 06/15/2016 4,950,000 825,096
Sector Re V, Ltd., 0.0%, 12/1/18 (Cat Bond) (144A) 0.0 12/01/2018 20,917 90,652
Government National Mortgage Association I, 4.0%, 6/15/40 4.0 06/15/2040 96,329 40,836
Fannie Mae, 4.0%, 9/1/44 4.0 09/01/2044 286,008 231,974
Government National Mortgage Association I, 4.0%, 12/15/44 4.0 12/15/2044 1,046,830 730,723
BBVA Bancomer SA Texas, Floating Rate Note, 11/12/29 (144A) 5.35 11/12/2029 2,270,000 2,241,130
Cummins, Inc., 5.65%, 3/1/98 5.65   14,150,000 15,039,601
KKR Group Finance Co II LLC, 5.5%, 2/1/43 (144A) 5.5 02/01/2043 21,530,000 22,939,627
TIG FINCO Plc, Floating Rate Note, 3/2/20 (144A) 8.5 03/02/2020 222,908 342,990
Pelican Products, Inc., Term Loan (First Lien), 4/8/20 5.25 04/08/2020 2,676,607 2,633,112
MSO of Puerto Rico, Inc., MSO Term Loan, 12/12/17 9.75 12/12/2017 1,374,168 905,233
COMM 2012-CCRE2 Mortgage Trust, 4.393%, 8/17/45 4.393 08/17/2045 1,275,000 1,350,749
Marfrig Holdings Europe BV, 8.375%, 5/9/18 (144A) 8.375 05/09/2018 4,150,000 4,034,203
Fannie Mae, 3.5%, 11/1/42 3.5 11/01/2042 500,000 397,251
Protection One (Aka Apollo Securit 1st Lien Tl-B L + 4% 19jun21 5.0 06/19/2021 1,436,408 1,416,657
Fannie Mae, 4.0%, 12/1/43 4.0 12/01/2043 1,800,000 1,509,805
Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A) 1.87 08/20/2029 3,200,000 674,776
Asciano Finance, Ltd., 4.625%, 9/23/20 (144A) 4.625 09/23/2020 1,602,000 1,637,204
Kane Zero% 29apr16 0.0 04/29/2016 16,776,500 19,093,335
Fannie Mae, 4.0%, 8/1/43 4.0 08/01/2043 6,883,801 4,576,972
Cinedigm Digital Funding 1 LLC, Term Loan, 2/28/18 3.75 02/28/2018 1,091,564 1,088,836
Fannie Mae, 4.0%, 6/1/44 4.0 06/01/2044 1,896,658 1,286,428
Fannie Mae, 4.0%, 12/1/30 4.0 12/01/2030 50,000 18,275
California Republic Auto Receivables Trust 2012-1, 3.0%, 1/15/20 (144A) 3.0 01/15/2020 3,026,000 3,057,736
Government National Mortgage Association I, 4.0%, 9/15/41 4.0 09/15/2041 300,440 167,738
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 0.6916 04/25/2032 84,170,000 5,319,793
WireCo WorldGroup, Inc., Term Loan, 2/15/17 6.0 02/15/2017 2,628,278 2,529,717
CubeSmart LP, 4.8%, 7/15/22 4.8 07/15/2022 3,205,000 3,483,868
Phosagro OAO via Phosagro Bond Funding, Ltd., 4.204%, 2/13/18 (144A) 4.204 02/13/2018 5,550,000 5,568,678
Fannie Mae, 4.0%, 10/1/44 4.0 10/01/2044 916,768 716,421
Fannie Mae, 6.0%, 3/1/32 6.0 03/01/2032 100,000 1,966
Telesat Canada, U.S. Term B-2 Loan, 3/28/19 3.5 03/28/2019 6,581,226 6,498,961
The Allstate Corp., 5.95%, 4/1/36 5.95 04/01/2036 4,700,000 5,736,660
Sabine Pass Liquefaction LLC, 5.625%, 2/1/21 5.625 02/01/2021 12,650,000 11,934,484
KazMunayGas National Co JSC, 4.4%, 4/30/23 (144A) 4.4 04/30/2023 3,500,000 3,280,604
Liberty Mutual Insurance Co., 8.5%, 5/15/25 (144A) 8.5 05/15/2025 3,800,000 4,761,568
Fannie Mae, 5.5%, 3/1/36 5.5 03/01/2036 900,090 106,039
Gold Fields Orogen Holdings BVI, Ltd., 4.875%, 10/7/20 (144A) 4.875 10/07/2020 18,840,000 14,250,105
COMM 2012-CCRE2 Mortgage Trust, 3.147%, 8/15/45 3.147 08/15/2045 3,650,000 3,693,465
Mplx 4.875% 01dec24 144a 4.875 12/01/2024 17,410,000 15,696,203
Continental Airlines 2012-2 Class A Pass Through Trust, 4.0%, 10/29/24 4.0 10/29/2024 5,475,000 5,067,522
CSMC Trust 2015-3, Floating Rate Note, 3/25/45 (144A) 3.9504 03/25/2045 9,028,000 8,742,339
Citigroup Mortgage Loan Trust, Inc., 6.75%, 9/25/34 6.75 09/25/2034 400,000 67,185
Legg Mason, Inc., 5.625%, 1/15/44 5.625 01/15/2044 6,310,000 6,431,433
Blackstone Holdings Finance Co LLC, 6.25%, 8/15/42 (144A) 6.25 08/15/2042 10,425,000 12,564,107
Longpoint Re, Ltd. III, Floating Rate Note, 5/23/18 (Cat Bond) (144A) 3.75 05/23/2018 5,950,000 6,039,845
Government National Mortgage Association I, 4.0%, 1/15/42 4.0 01/15/2042 637,441 20,668
Neuberger Berman Group LLC, 4.875%, 4/15/45 (144A) 4.875 04/15/2045 10,150,000 8,662,717
Morgan Stanley Capital I Trust 2015-XLF1, Floating Rate Note, 8/14/31 (144A) 2.5305 08/14/2031 3,000,000 2,987,405
Noble Energy, Inc., 5.875%, 6/1/22 5.875 06/01/2022 503,000 480,967
Del Monte Foods, Inc., Initial Loan (First Lien), 11/26/20 4.2553 11/26/2020 487,922 470,031
Equinix, Inc., 5.375%, 1/1/22 5.375 01/01/2022 5,075,000 5,338,266
Schaeffler (Aka Ina Beteiligungsge 1st Lien Tl-B L + 3.5% 15may20 4.25 05/15/2020 372,308 373,425
Flextronics International, Ltd., 4.625%, 2/15/20 4.625 02/15/2020 4,615,000 4,852,244
China Government Bond, 3.0%, 11/21/19 3.0 11/21/2019 62,500,000 9,342,847
Fannie Mae, 5.0%, 6/1/40 5.0 06/01/2040 3,027,156 566,098
Frontier Communications Corp., 8.875%, 9/15/20 (144A) 8.875 09/15/2020 285,000 295,308
Government National Mortgage Association I, 4.0%, 8/15/40 4.0 08/15/2040 911,552 367,478
Fannie Mae, 6.5%, 8/1/32 6.5 08/01/2032 340,598 3,236
Federal Home Loan Mortgage Corp., 5.5%, 6/1/41 5.5 06/01/2041 5,055,000 4,636,939
Virginia Commonwealth Transportation Board, 4.0%, 5/15/31 4.0 05/15/2031 7,500,000 8,229,083
Fannie Mae, 4.0%, 8/1/44 4.0 08/01/2044 10,525,000 9,587,597
Ensco Plc, 4.5%, 10/1/24 4.5 10/01/2024 17,750,000 12,418,273
Verizon Communications, Inc., 6.55%, 9/15/43 6.55 09/15/2043 25,616,000 30,905,604
CSMLT 2015-2 Trust, Floating Rate Note, 8/25/45 (144A) 3.5 08/25/2045 10,420,000 9,860,398
Government National Mortgage Association I, 4.0%, 7/15/41 4.0 07/15/2041 256,115 105,328
Government National Mortgage Association I, 5.5%, 2/15/35 5.5 02/15/2035 7,341,300 527,710
Ascentium Equipment Receivables 2014-1 LLC, 3.1%, 6/10/21 (144A) 3.1 06/10/2021 800,000 807,956
The Hanover Insurance Group, Inc., 6.375%, 6/15/21 6.375 06/15/2021 12,600,000 14,312,899
Government National Mortgage Association I, 4.0%, 8/15/43 4.0 08/15/2043 2,615,205 1,247,732
Government National Mortgage Association I, 5.5%, 7/15/33 5.5 07/15/2033 1,500,000 131,884
Government National Mortgage Association I, 4.0%, 1/15/41 4.0 01/15/2041 150,255 76,753
Wells Fargo Commercial Mortgage Trust 2010-C1, Floating Rate Note, 11/18/43 (144A) 5.7987 11/18/2043 4,800,000 5,163,768
KP Germany Erste GmbH, Initial German Borrower Dollar Term Loan, 4/22/20 5.0 04/22/2020 124,351 123,600
STORE Master Funding LLC, 4.21%, 4/20/44 (144A) 4.21 04/20/2044 165,000 167,567
Government National Mortgage Association I, 7.5%, 8/15/29 7.5 08/15/2029 100,063 111
Eaton Vance Corp., 6.5%, 10/2/17 6.5 10/02/2017 19,000 20,594
RAMP Series 2004-RS10 Trust, 5.28%, 10/25/34 (Step) 5.28 10/25/2034 4,161,000 3,466,232
Pro Mach Group, Inc., Dollar Term Loan (First Lien), 10/20/21 4.7538 10/20/2021 1,035,943 1,034,000
Numericable-SFR SAS, 6.0%, 5/15/22 (144A) 6.0 05/15/2022 5,350,000 5,310,767
Air Canada 2013-1 Class A Pass Through Trust, 4.125%, 11/15/26 (144A) 4.125 11/15/2026 2,000,000 1,816,497
Government National Mortgage Association I, 4.0%, 8/15/44 4.0 08/15/2044 1,072,177 808,217
Government National Mortgage Association I, 4.0%, 3/15/44 4.0 03/15/2044 936,492 968,710
Fannie Mae, 6.0%, 1/1/34 6.0 01/01/2034 1,800,000 99,276
Africa Finance Corp., 4.375%, 4/29/20 (144A) 4.375 04/29/2020 10,915,000 11,027,585
Liberty Tire Recycling LLC, 11.0%, 3/31/21 (144A) (PIK) 11.0 03/31/2021 3,908,160 2,663,628
Dolphin Energy, Ltd., 5.5%, 12/15/21 (144A) 5.5 12/15/2021 3,780,000 4,166,333
Mexican Udibonos, 3.5%, 12/14/17 3.5 12/14/2017 44,360,000 14,327,558
FCA US LLC, Term Loan B, 5/24/17 3.5 05/24/2017 18,036,372 18,004,357
Fannie Mae, 4.0%, 12/1/44 4.0 12/01/2044 165,188 148,821
Apex Tool Group LLC, Term Loan, 1/31/20 4.5 01/31/2020 1,326,136 1,268,671
Government National Mortgage Association I, 4.0%, 3/15/44 4.0 03/15/2044 645,336 271,052
Wells Fargo & Co., Floating Rate Note (Perpetual) 5.875 12/31/2049 555,000 585,587
UCFC Manufactured Housing Contract, Floating Rate Note, 4/15/29 6.995 04/15/2029 1,500,000 72,385
CWGS Group LLC, Term Loan, 2/20/20 5.75 02/20/2020 7,227,373 7,182,202
Ziggo Bv Us 1st Lien Tl-B2 L + 2.75% 15jan22 3.5 01/15/2022 1,668,085 1,623,125
Hilcorp Energy I LP, 7.625%, 4/15/21 (144A) 7.625 04/15/2021 5,768,000 5,630,129
Government National Mortgage Association I, 4.0%, 12/15/41 4.0 12/15/2041 50,000 28,233
Xerium Technologies, Inc., Initial Term Loan, 5/17/19 6.25 05/17/2019 780,017 778,554
PSPC Escrow Corp., 6.0%, 2/1/23 (144A) 6.0 02/01/2023 1,045,000 998,946
Envision Healthcare Corp., Initial Term Loan, 5/25/18 4.25 05/25/2018 1,939,053 1,932,994
KB Home, 8.0%, 3/15/20 8.0 03/15/2020 1,500,000 1,660,958
Gulf Coast Waste Disposal Authority, Floating Rate Note, 5/1/28 5.2 05/01/2028 4,450,000 4,573,364
Equinix, Inc., 5.75%, 1/1/25 5.75 01/01/2025 6,275,000 6,596,594
Government National Mortgage Association I, 6.0%, 5/15/33 6.0 05/15/2033 10,057,421 510,752
Confie Seguros Holding II Co., Term B Loan (First Lien), 11/9/18 5.75 11/09/2018 3,108,596 3,069,738
Entercom Radio LLC, Term B-2 Loan, 11/23/18 4.0 11/23/2018 1,245,632 1,239,404
OneMain Financial Issuance Trust 2015-1, 3.19%, 3/18/26 (144A) 3.19 03/18/2026 3,700,000 3,681,322
Government National Mortgage Association I, 4.0%, 4/15/43 4.0 04/15/2043 30,219 21,220
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 2.5 03/20/2025 2,450,000 424,642
Post Holdings, Inc., 7.75%, 3/15/24 (144A) 7.75 03/15/2024 3,500,000 3,766,462
Nordea Bank AB, 4.25%, 9/21/22 (144A) 4.25 09/21/2022 17,800,000 18,443,925
Federal Home Loan Mortgage Corp., 4.5%, 11/1/43 4.5 11/01/2043 5,934,035 3,014,984
Owens-Brockway Glass Container, Inc., 5.875%, 8/15/23 (144A) 5.875 08/15/2023 2,010,000 2,081,809
IPIC GMTN, Ltd., 5.5%, 3/1/22 (144A) 5.5 03/01/2022 11,820,000 13,467,511
Sabre GLBL, Inc., Term B Loan, 2/19/19 4.0 02/19/2019 2,969,388 2,943,406
American Homes 4 Rent 2014-SFR3 Trust, 5.04%, 12/18/36 (144A) 5.04 12/18/2036 6,100,000 6,058,008
Alexandria Real Estate Equities, Inc., 2.75%, 1/15/20 2.75 01/15/2020 100,000 99,577
UBS Commercial Mortgage Trust 2012-C1, 3.4%, 5/12/45 3.4 05/12/2045 4,200,000 4,288,773
Progreso Receivables Funding LLC, 3.0%, 7/8/20 (144A) 3.0 07/08/2020 4,000,000 3,961,800
Aviation Capital Group Corp., 4.625%, 1/31/18 (144A) 4.625 01/31/2018 3,200,000 3,326,078
Oxford Finance Funding Trust 2014-1, 3.475%, 12/15/22 (144A) 3.475 12/15/2022 5,400,000 5,381,016
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 0.7916 10/25/2035 1,725,000 1,384,656
Fannie Mae, 4.0%, 12/1/42 4.0 12/01/2042 46,000 14,374
Fannie Mae, 6.0%, 4/1/38 6.0 04/01/2038 5,765,562 369,032
Vedanta Resources Jersey, Ltd., 5.5%, 7/13/16 5.5 07/13/2016 7,900,000 6,601,767
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 3.25 10/18/2018 5,223,058 5,214,900
Residential Reinsurance 2013, Ltd., Floating Rate Note, 12/6/17 (Cat Bond) (144A) 5.2956 12/06/2017 250,000 249,448
Drillships Financing Holding, Inc., Tranche B-1 Term Loan, 3/31/21 6.0 03/31/2021 4,030,522 1,605,490
Government National Mortgage Association I, 4.0%, 2/15/45 4.0 02/15/2045 269,204 158,925
FPL Energy Wind Funding LLC, 6.876%, 6/27/17 (144A) 6.876 06/27/2017 4,665,000 315,356
Fannie Mae, 4.0%, 8/1/43 4.0 08/01/2043 4,563,130 4,352,564
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 506,535 306,352
Tesoro Corp., 5.375%, 10/1/22 5.375 10/01/2022 9,480,000 9,631,088
Bear Stearns ALT-A Trust 2005-1, Floating Rate Note, 1/25/35 1.1716 01/25/2035 8,350,000 7,047,608
Ardagh Packaging Finance Plc, 7.0%, 11/15/20 (144A) 7.0 11/15/2020 6,400,000 1,119,749
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 1.0916 11/25/2035 1,854,000 1,485,664
Conseco Financial Corp., Floating Rate Note, 12/1/28 6.24 12/01/2028 4,121,000 156,524
Mexican Udibonos, 2.0%, 6/9/22 2.0 06/09/2022 61,080,000 17,885,027
Everglades Re, Ltd., Floating Rate Note, 3/28/18 (Cat Bond) (144A) 10.216 03/28/2016 7,100,000 7,270,850
Fannie Mae, 4.0%, 7/1/42 4.0 07/01/2042 424,314 241,859
Syniverse Holdings, Inc., Initial Term Loan, 4/23/19 4.0 04/23/2019 2,821,064 2,094,640
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 2.0305 06/15/2029 6,750,000 6,683,723
Continental Airlines 2012-3 Class C Pass Thru Certificates, 6.125%, 4/29/18 (144A) 6.125 04/29/2018 200,000 206,110
U.S. Treasury Inflation Indexed Bonds, 0.125%, 7/15/24 0.125 07/15/2024 178,075,000 169,459,023
ContourGlobal Power Holdings SA, 7.125%, 6/1/19 (144A) 7.125 06/01/2019 6,625,000 6,333,086
Vebbnk 5.942% 21nov23 144a 5.942 11/21/2023 2,200,000 2,068,797
Valeant Pharmaceuticals Internatio 1st Lien Tl-Bf1 L + 3.25% 13mar22 4.0 03/13/2022 471,438 455,428
Silverton RE, Ltd., 0.0%, 9/18/17 (Cat Bond) (144A) 0.0 09/18/2017 4,500,000 5,805,000
AT&T, Inc., 4.75%, 5/15/46 4.75 05/15/2046 7,100,000 6,543,825
Fannie Mae, 5.0%, 5/1/41 5.0 05/01/2041 2,252,877 639,182
WPX Energy, Inc., 7.5%, 8/1/20 7.5 08/01/2020 9,625,000 8,115,078
Weight Watchers International, Inc., Initial Tranche B-2 Term Loan, 4/2/20 4.0 04/02/2020 1,129,336 831,473
GSR Mortgage Loan Trust 2005-AR1, Floating Rate Note, 1/25/35 2.8641 01/25/2035 19,862,000 3,434,566
Bear Stearns ALT-A Trust 2005-2, Floating Rate Note, 3/25/35 1.1716 03/25/2035 7,373,000 6,365,714
Fannie Mae, 4.0%, 1/1/42 4.0 01/01/2042 2,795,670 1,078,459
ING Groep NV, Floating Rate Note, 12/29/49 6.5 12/29/2049 24,604,000 24,368,212
NRP Mortgage Trust 2013-1, Floating Rate Note, 7/25/43 (144A) 3.25 07/25/2043 5,514,000 4,520,089
Government National Mortgage Association I, 6.0%, 9/15/19 6.0 09/15/2019 1,044,422 13,272
Resolute Forest Products, Inc., 5.875%, 5/15/23 5.875 05/15/2023 11,110,000 8,165,927
Kane Zero% 19feb16 0.0 02/19/2016 10,280,000 11,960,780
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2.26 04/07/2017 3,800,000 3,811,273
Government National Mortgage Association I, 6.0%, 5/15/33 6.0 05/15/2033 1,292,064 48,080
Monitronics International, Inc., Term B Loan (2013), 3/23/18 4.25 03/23/2018 3,372,987 3,280,230
University of Southern California, 5.25%, 10/1/11 5.25   2,800,000 3,201,562
Sequoia Mortgage Trust, Floating Rate Note, 9/25/42 3.0 09/25/2042 3,930,000 1,720,308
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.6905 11/15/2018 9,525,000 3,149,324
Fannie Mae, 6.0%, 12/1/37 6.0 12/01/2037 7,118,373 259,993
Oversea-Chinese Banking Corp, Ltd., Floating Rate Note, 10/15/24 (144A) 4.0 10/15/2024 4,000,000 4,103,198
MMC Norilsk Nickel OJSC via MMC Finance, Ltd., 6.625%, 10/14/22 (144A) 6.625 10/14/2022 3,500,000 3,612,595
Government National Mortgage Association I, 4.0%, 3/15/44 4.0 03/15/2044 16,960,100 9,397,750
Government National Mortgage Association I, 6.0%, 7/15/38 6.0 07/15/2038 8,868,732 665,667
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.74 04/30/2018 925,000 930,586
Government National Mortgage Association I, 7.0%, 5/15/29 7.0 05/15/2029 135,001 692
Government National Mortgage Association I, 4.0%, 12/15/44 4.0 12/15/2044 25,739 21,467
Vanguard Natural Resources LLC, 7.875%, 4/1/20 7.875 04/01/2020 3,650,000 1,039,109
Fannie Mae, 3.5%, 11/1/42 3.5 11/01/2042 2,205,966 1,809,305
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 20,000,000 15,842,742
Fannie Mae, 5.0%, 6/1/40 5.0 06/01/2040 11,550,000 3,297,687
NOVA Chemicals Corp., 5.0%, 5/1/25 (144A) 5.0 05/01/2025 3,605,000 3,508,867
Building Materials Corp of America, 5.375%, 11/15/24 (144A) 5.375 11/15/2024 9,250,000 9,290,405
NCR Corp., 6.375%, 12/15/23 6.375 12/15/2023 10,635,000 10,505,608
Federal Home Loan Mortgage Corp., 5.0%, 7/1/35 5.0 07/01/2035 2,600,000 233,332
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2.9295 03/25/2034 16,200,000 714,591
Government National Mortgage Association I, 4.0%, 2/15/42 4.0 02/15/2042 158,615 15,912
New Zealand Government Bond, 4.5%, 4/15/27 4.5 04/15/2027 47,070,000 35,111,265
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/30 5.0 12/15/2030 4,585,000 5,061,071
Government National Mortgage Association I, 4.0%, 5/15/43 4.0 05/15/2043 358,526 209,836
Government National Mortgage Association I, 4.5%, 11/15/40 4.5 11/15/2040 8,091,166 2,792,028
JP Morgan Mortgage Trust 2014-1 REMICS, Floating Rate Note, 1/25/44 (144A) 3.9402 01/25/2044 2,749,964 1,853,481
COMM 2014-FL4 Mortgage Trust, Floating Rate Note, 7/15/31 (144A) 2.2805 07/15/2031 5,070,000 3,128,693
Government National Mortgage Association II, 5.5%, 3/20/34 5.5 03/20/2034 1,800,000 173,605
Fannie Mae, 4.5%, 4/1/41 4.5 04/01/2041 25,000 9,060
Endo International 1st Lien Tl-B1 L + 3% 24jun22 3.75 06/24/2022 2,493,757 2,465,184
Government National Mortgage Association I, 6.0%, 5/15/33 6.0 05/15/2033 4,328,222 183,123
Ivory Coast Government International Bond, 6.375%, 3/3/28 (144A) 6.375 03/03/2028 4,865,000 4,529,197
Government National Mortgage Association I, 4.0%, 11/15/40 4.0 11/15/2040 42,850 20,920
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 1.6805 06/19/2031 2,435,000 2,373,878
West Corp., Term B-10 Loan, 6/30/18 3.25 06/30/2018 1,939,592 1,910,498
FREMF Mortgage Trust 2013-K502, Floating Rate Note, 3/27/45 (144A) 3.2959 03/27/2045 1,000,000 1,010,304
Government National Mortgage Association I, 4.0%, 4/15/43 4.0 04/15/2043 4,914,965 3,412,703
Fannie Mae, 6.5%, 3/1/32 6.5 03/01/2032 124,988 4,217
Fannie Mae, 4.0%, 12/1/41 4.0 12/01/2041 45,515,613 21,915,626
Frontier Communications Corp., 7.125%, 1/15/23 7.125 01/15/2023 1,535,000 1,374,369
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 5.73 11/15/2035 1,500,000 546,962
Telenet Finance III Luxembourg SCA, 6.625%, 2/15/21 (144A) 6.625 02/15/2021 2,625,000 3,015,309
Government National Mortgage Association I, 4.0%, 10/15/41 4.0 10/15/2041 48,381 20,352
First Data Corp., 2018 New Dollar Term Loan, 3/24/18 3.9175 03/24/2018 1,528,214 1,511,021
NCI Building Systems, Inc., Tranche B Term Loan, 6/24/19 4.25 06/24/2019 1,882,322 1,868,794
The Goodyear Tire & Rubber Co., Loan (Second Lien), 4/30/19 3.75 04/30/2019 4,962,500 4,972,797
Ardagh Packaging Finance Plc, 9.25%, 10/15/20 (144A) 9.25 10/15/2020 10,958,000 12,666,753
MMM Holdings, Inc., MMM Term Loan, 12/12/17 9.75 12/12/2017 1,890,203 1,245,171
Banco de Credito del Peru Panama, Floating Rate Note, 9/16/26 (144A) 6.875 09/16/2026 10,210,000 11,257,057
Banco Internacional del Peru SAA Panama, 5.75%, 10/7/20 (144A) 5.75 10/07/2020 6,843,000 7,396,713
Government National Mortgage Association II, 5.5%, 10/20/37 5.5 10/20/2037 50,000 11,800
Empresas ICA SAB de CV, 8.9%, 2/4/21 (144A) 8.9 02/04/2021 6,425,000 1,598,808
RALI Series 2003-QS1 Trust, 5.0%, 1/25/33 5.0 01/25/2033 20,000,000 5,206
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 0.6116 05/25/2035 1,000,000 49,596
Axalta Coating Systems US Holdings, Inc., Refinanced Term B Loan, 2/1/20 3.75 02/01/2020 5,183,311 5,149,065
IASIS Healthcare LLC, Term B-2 Loan, 5/3/18 4.5 05/03/2018 6,149,766 6,048,295
BNP Paribas SA, 4.375%, 9/28/25 (144A) 4.375 09/28/2025 16,875,000 16,716,781
UBS AG, 7.625%, 8/17/22 7.625 08/17/2022 16,775,000 19,599,607
Bayview Opportunity Master Fund IIA Trust 2012-4NPL Seri