Pioneer Investments: Pioneer Strategic Income Fund


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Pioneer Strategic Income Fund

Monthly Portfolio Holdings as of 6/30/2015

Security Name Coupon Maturity Date Par / Shares Market Value($)
Owens Corning, 4.2%, 12/1/24 4.2 12/01/2024 5,975,000 5,885,781
Government National Mortgage Association I, 6.5%, 8/15/32 6.5 08/15/2032 344,471 4,324
Capital Auto Receivables Asset Trust 2013-1, 2.19%, 9/20/21 2.19 09/20/2021 3,165,000 3,189,485
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 1,027,097 74,583
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 8.9051 06/06/2017 3,250,000 3,218,755
Government National Mortgage Association I, 6.0%, 11/15/33 6.0 11/15/2033 3,200,000 302,546
Fannie Mae, 4.0%, 11/1/44 4.0 11/01/2044 725,000 734,242
Federal Home Loan Mortgage Corp., 4.5%, 5/1/44 4.5 05/01/2044 204,050 162,780
LDK Solar Co, Ltd., 5.535%, 12/31/18 (PIK) 5.535 12/31/2018 1,996,566 457,378
Government National Mortgage Association I, 4.0%, 8/15/44 4.0 08/15/2044 503,572 423,528
Vencore 1st Lien Tl L + 4.75% 19nov19 5.75 11/19/2019 5,077,052 5,101,646
Buckeye Partners LP, 6.05%, 1/15/18 6.05 01/15/2018 1,770,000 1,959,290
Federal Home Loan Mortgage Corp., 4.5%, 10/1/43 4.5 10/01/2043 1,083,224 893,284
FREMF Mortgage Trust 2011-K11 REMICS, Floating Rate Note, 12/25/48 (144A) 4.5703 12/25/2048 3,300,000 3,551,846
Government National Mortgage Association II, 5.5%, 10/20/37 5.5 10/20/2037 50,000 13,375
SUAM Finance BV, 4.875%, 4/17/24 (144A) 4.875 04/17/2024 5,300,000 5,392,860
Federal Home Loan Mortgage Corp., Floating Rate Note, 9/26/44 (144A) 4.3034 09/26/2044 5,065,000 5,277,897
Government National Mortgage Association I, 4.0%, 2/15/42 4.0 02/15/2042 45,422 25,326
Federal Home Loan Mortgage Corp., 6.0%, 6/1/35 6.0 06/01/2035 4,500,000 180,592
United Airlines, Inc., Class B Term Loan, 4/1/19 3.5 04/01/2019 980,000 980,204
Fannie Mae, 4.0%, 12/1/42 4.0 12/01/2042 46,000 14,571
Sector Re V, Ltd., 0.0%, 12/1/18 (Cat Bond) (144A) 0.0 12/01/2018 20,917 150,697
Seagate HDD Cayman, 4.875%, 6/1/27 (144A) 4.875 06/01/2027 6,400,000 6,261,956
Banco Santander SA, Floating Rate Note (Perpetual) 6.375 12/31/2049 2,400,000 2,358,455
Fannie Mae, 3.5%, 3/1/29 3.5 03/01/2029 19,717,033 15,990,820
Valeant Pharmaceuticals Internatio 1st Lien Tl-Bf1 L + 3.25% 13mar22 4.0 03/13/2022 473,813 474,136
Carrington Mortgage Loan Trust Series 2005-NC4, Floating Rate Note, 9/25/35 0.587 09/25/2035 1,025,000 84,363
Baylor University, 4.313%, 3/1/42 4.313 03/01/2042 4,550,000 4,571,051
Rosneft Finance SA, 6.625%, 3/20/17 (144A) 6.625 03/20/2017 1,395,000 1,468,010
Fannie Mae, 4.0%, 5/1/44 4.0 05/01/2044 16,300,000 13,183,644
CEMEX Espana SA, 9.875%, 4/30/19 (144A) 9.875 04/30/2019 5,098,000 5,663,535
State of Washington, 3.0%, 7/1/28 3.0 07/01/2028 2,550,000 2,575,424
Government National Mortgage Association I, 6.0%, 8/15/32 6.0 08/15/2032 6,200,000 235,797
Bank of America Corp., 7.25% (Perpetual) 7.25 12/31/2049 5,330 5,926,960
Government National Mortgage Association I, 4.0%, 12/15/41 4.0 12/15/2041 100,000 27,377
Bayview Opportunity Master Fund IIa Trust 2014-20NPL, 3.475%, 8/28/44 (Step) (144A) 3.475 08/28/2044 4,150,000 3,014,255
MacDermid, Inc., Tranche B Term Loan (First Lien), 6/7/20 4.5 06/07/2020 5,055,125 5,073,556
Telenet Finance III Luxembourg SCA, 6.625%, 2/15/21 (144A) 6.625 02/15/2021 2,625,000 3,138,228
Fitness International Llc 1st Lien Tl-B L + 4.5% 25jun20 5.5 06/25/2020 4,898,204 4,728,300
Boardwalk Pipelines LP, 4.95%, 12/15/24 4.95 12/15/2024 13,775,000 13,538,938
Griffon Corp., 5.25%, 3/1/22 5.25 03/01/2022 312,000 315,900
Ardent Medical Services, Inc., Term Loan (First Lien), 7/2/18 6.75 07/02/2018 1,730,526 1,736,294
Firstar Realty LLC, 8.875% (Perpetual) (144A) 8.875 12/31/2049 3,250 4,013,750
Springleaf Mortgage Loan Trust 2013-1, Floating Rate Note, 6/25/58 (144A) 2.0036 06/25/2058 2,000,000 1,230,478
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 3.5102 01/06/2019 1,000,000 973,822
OneBeacon US Holdings, Inc., 4.6%, 11/9/22 4.6 11/09/2022 12,255,000 12,575,915
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 0.487 05/25/2036 6,500,000 372,223
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 5.0 07/25/2018 8,600,000 398,665
Bear Stearns ALT-A Trust 2005-2, Floating Rate Note, 3/25/35 0.937 03/25/2035 7,373,000 6,312,143
Electricite de France SA, Floating Rate Note (Perpetual) (144A) 5.25 12/31/2049 5,285,000 5,408,757
Fannie Mae, 4.0%, 10/1/44 4.0 10/01/2044 267,357 244,215
Fannie Mae, 4.0%, 1/1/42 4.0 01/01/2042 8,038,832 3,282,487
DynCorp International, Inc., Term Loan, 7/7/16 6.25 07/07/2016 3,943,781 3,905,988
Glenn Pool Oil & Gas Trust, Term Loan, 5/2/16 4.5 05/02/2016 2,237,770 2,232,175
Sequoia Mortgage Trust 2013-9, 3.5%, 7/27/43 (144A) 3.5 07/27/2043 4,856,000 4,352,851
United States Treasury Floating Rate Note, Floating Rate Note, 1/31/17 0.099 01/31/2017 38,340,000 38,366,700
Pangaea Zero% 01jul18 0.0 07/01/2018 11,730,000 211,140
Fannie Mae, 3.5%, 7/1/26 3.5 07/01/2026 23,914,523 7,989,690
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 3.9669 08/25/2053 8,507,000 5,176,469
MMC Norilsk Nickel OJSC via MMC Finance, Ltd., 5.55%, 10/28/20 (144A) 5.55 10/28/2020 8,500,000 8,507,161
Xerium Technologies, Inc., New Term Loan, 5/17/19 5.75 05/17/2019 784,010 789,400
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 3.0 06/25/2043 4,155,000 3,410,825
Government National Mortgage Association I, 6.0%, 11/15/16 6.0 11/15/2016 1,500,000 10,360
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/20 (Cat Bond) (144A) 6.8551 04/07/2020 5,300,000 5,408,679
Fannie Mae, 4.5%, 12/1/41 4.5 12/01/2041 60,000 40,943
Frontier Communications Corp., 8.5%, 4/15/20 8.5 04/15/2020 11,090,000 11,793,599
WaMu Mortgage Pass-Through Certificates Series 2004-AR2 Trust, Floating Rate Note, 4/25/44 1.5558 04/25/2044 67,298,755 2,903,152
Federal Home Loan Mortgage Corp., 5.0%, 12/1/21 5.0 12/01/2021 6,525,000 452,610
Fannie Mae, 3.5%, 11/1/42 3.5 11/01/2042 1,050,000 900,386
Lehman Brothers Small Balance Commercial Mortgage Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 0.387 09/25/2036 8,954,321 1,683,456
Federal Home Loan Mortgage Corp., 3.5%, 10/1/40 3.5 10/01/2040 6,700,000 2,977,958
Sequoia Mortgage Trust 2013-9, 3.5%, 7/27/43 (144A) 3.5 07/27/2043 4,196,000 3,868,651
Liberty Tire Recycling Llc     185,819 1,858
TimberStar Trust I, 7.5296%, 10/15/36 (144A) 7.5296 10/15/2036 6,671,000 6,882,969
Fannie Mae, 5.0%, 5/1/38 5.0 05/01/2038 9,123,173 755,401
Fannie Mae, 5.0%, 6/1/35 5.0 06/01/2035 77,359,128 6,632,117
CKE Restaurant Holdings, Inc., 4.474%, 3/20/43 (144A) 4.474 03/20/2043 17,857,000 17,544,873
Cme: (Cdx.Na.Hy.23.V4) Usd 20dec19 Z91mw60e6 5.0 12/20/2019 -19,031,857 -1,757,704
Washington Suburban Sanitary Commission, 4.0%, 6/1/44 4.0 06/01/2044 5,240,000 5,355,874
Government National Mortgage Association I, 3.5%, 7/15/42 3.5 07/15/2042 22,710,107 15,181,820
Liberty Mutual Insurance Co., 8.5%, 5/15/25 (144A) 8.5 05/15/2025 3,800,000 4,790,375
Tidewater Auto Receivables Trust 2012-A, 2.83%, 10/15/19 2.83 10/15/2019 600,000 602,447
Far East Capital, Ltd. SA, 8.0%, 5/2/18 8.0 05/02/2018 3,150,000 1,986,425
Windstream Services LLC, 6.375%, 8/1/23 6.375 08/01/2023 9,870,000 8,293,884
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 0.987 10/25/2034 54,308,000 2,559,899
Fannie Mae, 4.0%, 8/1/44 4.0 08/01/2044 1,790,911 1,283,314
MSO of Puerto Rico, Inc., MSO Term Loan, 12/12/17 9.75 12/12/2017 1,418,457 1,156,043
Del Monte Foods, Inc., Initial Loan (First Lien), 11/26/20 4.25 11/26/2020 490,405 468,950
Kane Sac Zero% 15jun16 0.0 06/15/2016 3,189,193 3,060,987
Federal Home Loan Mortgage Corp., 6.0%, 12/1/37 6.0 12/01/2037 5,000,000 264,546
Emdeon, Inc., Term B-2 Loan, 11/2/18 3.75 11/02/2018 2,979,103 2,983,199
Leaf Receivables Funding 10 LLC, 3.74%, 5/17/21 (144A) 3.74 05/17/2021 1,600,000 1,590,714
Government National Mortgage Association I, 4.0%, 7/15/39 4.0 07/15/2039 76,956 35,112
Concho Resources, Inc., 6.5%, 1/15/22 6.5 01/15/2022 5,125,000 5,496,420
Univision Communications, Inc., Replacement First-Lien Term Loan, 3/1/20 4.0 03/01/2020 6,913,547 6,878,018
Oasis Petroleum, Inc., 6.875%, 3/15/22 6.875 03/15/2022 7,870,000 8,147,363
Resolute Forest Products, Inc., 5.875%, 5/15/23 5.875 05/15/2023 11,110,000 10,193,502
Government National Mortgage Association I, 5.5%, 10/15/19 5.5 10/15/2019 300,000 32,715
Macquarie Group, Ltd., 6.25%, 1/14/21 (144A) 6.25 01/14/2021 7,750,000 9,061,200
Government National Mortgage Association I, 4.0%, 11/15/40 4.0 11/15/2040 42,850 23,512
Wells Fargo Commercial Mortgage Trust 2014-LC16 REMICS, 2.819%, 8/17/50 2.819 08/17/2050 3,525,000 3,630,447
Piedmont Operating Partnership LP, 3.4%, 6/1/23 3.4 06/01/2023 11,130,000 10,545,078
Government National Mortgage Association I, 5.5%, 2/15/35 5.5 02/15/2035 7,341,300 614,874
Government National Mortgage Association I, 4.0%, 3/15/44 4.0 03/15/2044 936,492 980,453
Fannie Mae, 4.5%, 11/1/43 4.5 11/01/2043 14,886,677 7,959,045
Fannie Mae, 4.5%, 5/1/41 4.5 05/01/2041 24,220,767 6,446,396
Massachusetts Institute of Technology, 5.6%, 7/1/11 5.6   4,025,000 4,946,532
Outerwall, Inc., 6.0%, 3/15/19 6.0 03/15/2019 5,420,000 5,529,303
Ormat Funding Corp., 8.25%, 12/30/20 8.25 12/30/2020 6,405,000 2,932,394
Oak Hill Advisors Residential Loan Trust 2014-NPL1, 2.8828%, 5/25/54 (Step) (144A) 2.8828 05/25/2054 5,870,000 3,025,280
Marfrig Overseas, Ltd., 9.5%, 5/4/20 (144A) 9.5 05/04/2020 3,750,000 3,887,781
Darling Ingredients, Inc., 5.375%, 1/15/22 5.375 01/15/2022 282,000 288,989
FREMF Mortgage Trust 2010-K8, Floating Rate Note, 9/25/43 (144A) 5.4054 09/25/2043 1,980,000 2,209,592
Countrywide Asset-Backed Certificates, Floating Rate Note, 12/25/35 4.8142 12/25/2035 6,561,000 1,299,817
Accudyne Industries Borrower SCA, Refinancing Term Loan, 12/13/19 4.0 12/13/2019 2,294,168 2,224,387
Revlon Consumer Products Corp., Replacement Term Loan, 11/19/17 3.25 11/19/2017 2,689,539 2,690,660
TerraForm Power Operating LLC, 5.875%, 2/1/23 (144A) 5.875 02/01/2023 4,130,000 4,295,071
Sensata Technologies 1st Lien L + 2.25% 14oct21 2.5318 10/14/2021 1,990,000 1,999,062
Fannie Mae, 4.0%, 4/1/41 4.0 04/01/2041 450,000 302,583
PSPC Escrow Corp., 6.0%, 2/1/23 (144A) 6.0 02/01/2023 1,045,000 1,205,444
Government National Mortgage Association I, 5.5%, 7/15/33 5.5 07/15/2033 1,500,000 136,023
Government National Mortgage Association I, 6.0%, 5/15/33 6.0 05/15/2033 10,057,421 526,103
Fixed Income Trust Series 2013-A, 0.0%, 10/15/97 (Step) (144A) 0.0   6,250,000 4,319,094
Government National Mortgage Association I, 4.0%, 3/15/44 4.0 03/15/2044 16,960,100 11,301,128
Fannie Mae, 4.5%, 7/1/41 4.5 07/01/2041 12,477,165 4,532,539
Brazos Harbor Industrial Development Corp., Floating Rate Note, 5/1/38 5.9 05/01/2038 7,050,000 7,727,952
Virginia Commonwealth Transportation Board, 4.0%, 5/15/31 4.0 05/15/2031 7,500,000 7,886,183
FPL Energy Wind Funding LLC, 6.876%, 6/27/17 (144A) 6.876 06/27/2017 4,665,000 291,784
Gazprom OAO Via Gaz Capital SA, 8.146%, 4/11/18 (144A) 8.146 04/11/2018 765,000 831,442
Government National Mortgage Association II, 4.5%, 1/20/35 4.5 01/20/2035 4,000,000 660,965
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 3.0 03/27/2024 6,435,000 3,098,030
CoBank ACB, 7.875%, 4/16/18 (144A) 7.875 04/16/2018 1,500,000 1,755,990
Credit Acceptance Auto Loan Trust 2012-2, 2.21%, 9/15/20 (144A) 2.21 09/15/2020 2,500,000 2,513,506
CFG Investment SAC, 9.75%, 7/30/19 (144A) 9.75 07/30/2019 6,385,000 6,460,955
Aquarius + Investments Plc for Swiss Reinsurance Co, Ltd., Floating Rate Note, 9/1/24 6.375 09/01/2024 7,500,000 8,153,498
COMM 2012-CCRE4 Mortgage Trust, 3.251%, 10/17/45 3.251 10/17/2045 2,365,416 2,397,910
Wells Fargo Commercial Mortgage Trust 2010-C1, Floating Rate Note, 11/18/43 (144A) 5.5816 11/18/2043 4,800,000 5,323,192
MASTR Alternative Loan Trust 2004-13, Floating Rate Note, 1/25/35 6.0153 01/25/2035 6,500,000 1,038,797
Alliance One International, Inc., 9.875%, 7/15/21 9.875 07/15/2021 10,630,000 9,785,284
Controladora Mabe SA de CV, 7.875%, 10/28/19 (144A) 7.875 10/28/2019 9,539,000 10,894,933
Government National Mortgage Association I, 5.5%, 12/15/18 5.5 12/15/2018 76,282 708
Government National Mortgage Association II, 4.0%, 10/20/44 4.0 10/20/2044 15,115,000 13,347,708
Delta Air Lines 2010-2 Class A Pass Through Trust, 4.95%, 5/23/19 4.95 05/23/2019 3,100,000 2,082,509
Worthington Industries, Inc., 4.55%, 4/15/26 4.55 04/15/2026 3,875,000 4,014,541
Novelis Inc 1st Lien Tl-B L + 3.25% 28may22 4.0 05/28/2022 3,575,000 3,561,594
Enterprise Products Operating LLC, Floating Rate Note, 8/1/66 8.375 08/01/2066 3,683,000 3,986,464
Fannie Mae, 6.5%, 8/1/32 6.5 08/01/2032 340,598 3,520
Pacific Rubiales Energy Corp., 5.375%, 1/26/19 (144A) 5.375 01/26/2019 3,760,000 3,175,855
Federal Home Loan Mortgage Corp., 6.0%, 6/1/17 6.0 06/01/2017 14,424,315 103,483
Blackstone Holdings Finance Co LLC, 6.25%, 8/15/42 (144A) 6.25 08/15/2042 5,050,000 6,014,056
New Albertsons Inc 1st Lien Tl L + 3.75% 24jun21 4.75 06/24/2021 1,836,125 1,840,945
Nord Anglia Education Finance Llc 1st Lien Tl-B L + 3.5% 21mar21 4.5 03/21/2021 2,371,851 2,377,781
Language Line LLC, Tranche B Term Loan, 6/20/16 6.25 06/20/2016 2,223,712 2,224,639
Health Care Real Estate Investment Trust, Inc., 5.25%, 1/15/22 5.25 01/15/2022 3,150,000 3,521,922
Denbury Resources, Inc., 5.5%, 5/1/22 5.5 05/01/2022 4,965,000 4,476,775
Weatherford International, Ltd. Bermuda, 5.95%, 4/15/42 5.95 04/15/2042 3,825,000 3,281,311
NRP Mortgage Trust 2013-1, Floating Rate Note, 7/25/43 (144A) 3.25 07/25/2043 5,514,000 4,949,452
New Jersey Economic Development Authority, 0.0%, 2/15/18 0.0 02/15/2018 19,893,000 18,360,642
International Paper Co., 3.8%, 1/15/26 3.8 01/15/2026 2,725,000 2,679,990
Government National Mortgage Association I, 4.0%, 3/15/44 4.0 03/15/2044 390,180 319,550
Government National Mortgage Association II, 6.0%, 5/20/32 6.0 05/20/2032 3,000,000 82,715
Sanchez Energy Corp., 7.75%, 6/15/21 7.75 06/15/2021 1,825,000 1,822,161
Axalta Coating Systems US Holdings, Inc., Refinanced Term B Loan, 2/1/20 3.75 02/01/2020 5,466,267 5,466,612
Citigroup, Inc., Floating Rate Note (Perpetual) 7.125 12/31/2049 642,000 17,571,540
Government National Mortgage Association I, 4.0%, 9/15/41 4.0 09/15/2041 40,375 18,381
Federal Home Loan Mortgage Corp., 5.0%, 7/1/35 5.0 07/01/2035 2,600,000 279,981
Fannie Mae, 6.0%, 4/1/38 6.0 04/01/2038 5,765,562 409,989
Government National Mortgage Association I, 6.5%, 5/15/29 6.5 05/15/2029 169,368 2,591
Valeant Pharmaceuticals International, Inc., Series E1 Tranche B Term Loan, 8/5/20 3.5 08/05/2020 6,238,200 6,224,944
Fannie Mae, 5.0%, 2/1/22 5.0 02/01/2022 6,603,277 301,208
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18 (144A) 8.75 05/15/2018 3,750,000 3,054,667
Fannie Mae, 4.0%, 12/1/41 4.0 12/01/2041 17,790,000 6,871,735
Eden Re II, Ltd., 0.0%, 4/19/18 (Cat Bond) (144A) 0.0 04/19/2018 7,200,000 7,336,800
Government National Mortgage Association I, 5.5%, 8/15/19 5.5 08/15/2019 711,545 81,065
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 5.2551 03/07/2016 4,433,000 4,407,362
California Republic Auto Receivables Trust 2012-1, 3.0%, 1/15/20 (144A) 3.0 01/15/2020 3,026,000 3,074,750
Wells Fargo & Co., 7.5% (Perpetual) 7.5 12/31/2049 31,527 37,044,225
Crowne Group Llc 1st Lien Tl-B L + 5% 29sep20 6.0 09/29/2020 1,786,500 1,782,034
Government National Mortgage Association II, 7.0%, 1/20/29 7.0 01/20/2029 500,000 6,545
Government National Mortgage Association I, 4.0%, 8/15/41 4.0 08/15/2041 25,000 3,893
Pelican Products, Inc., Term Loan (First Lien), 4/8/20 5.25 04/08/2020 2,690,228 2,690,228
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 1.087 10/25/2028 5,273,350 943,178
JPMorgan Chase & Co., 1.0%, 9/20/17 5.0 12/20/2017 7,000,000 727,158
Government National Mortgage Association I, 4.0%, 7/15/41 4.0 07/15/2041 42,737 20,073
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 1,500,000 1,543,158
Fannie Mae, 4.0%, 7/1/44 4.0 07/01/2044 24,645,000 22,175,168
CubeSmart LP, 4.8%, 7/15/22 4.8 07/15/2022 3,205,000 3,518,120
Tank Holding Corp., Initial Term Loan, 7/9/19 5.2528 07/09/2019 1,527,270 1,533,318
DAE Aviation Holdings, Inc., Replacement Tranche B-1 Loan, 11/2/18 6.25 11/02/2018 6,293,251 6,310,558
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 5,825,133 5,871,734
Government National Mortgage Association I, 4.0%, 4/15/44 4.0 04/15/2044 2,076,178 1,588,410
JPMorgan Chase & Co., Floating Rate Note, 8/29/49 6.75 08/29/2049 31,786,000 34,855,097
Albertsons LLC, Term B-2 Loan, 3/21/19 5.375 03/21/2019 1,990,013 2,000,585
Bayview Commercial Asset Trust 2007-4, 3.491129%, 9/25/37 (Step) (144A) 3.4903 09/25/2037 77,809,000 1,187,054
Fannie Mae, 3.5%, 7/1/43 3.5 07/01/2043 17,883,284 16,369,062
Government National Mortgage Association I, 6.0%, 5/15/16 6.0 05/15/2016 192,300 432
Government National Mortgage Association I, 4.0%, 3/15/41 4.0 03/15/2041 178,607 122,367
Fannie Mae, 3.5%, 4/1/29 3.5 04/01/2029 8,000,000 6,850,142
Fannie Mae, 6.0%, 3/1/32 6.0 03/01/2032 100,000 2,210
The Hanover Insurance Group, Inc., 6.375%, 6/15/21 6.375 06/15/2021 12,600,000 14,586,205
Endo Finance LLC, 6.0%, 2/1/25 (144A) 6.0 02/01/2025 1,975,000 2,057,785
Provincia de Neuquen Argentina, 7.875%, 4/26/21 (144A) 7.875 04/26/2021 2,300,000 1,728,058
Methanol Holdings Trinidad Ltd 1st Lien Tl-B L + 3.5% 02jun22 4.25 06/02/2022 4,275,000 4,272,328
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP6, Floating Rate Note, 4/15/43 5.565 04/15/2043 2,392,000 2,447,020
Bayview Opportunity Master Fund Trust IIIa 2014-12RPL, 3.6225%, 7/28/19 (Step) (144A) 3.6225 07/28/2019 4,000,000 1,610,946
Sotheby's, 5.25%, 10/1/22 (144A) 5.25 10/01/2022 525,000 521,391
Fannie Mae, 4.0%, 2/1/45 4.0 02/01/2045 1,006,175 1,044,962
Fannie Mae, 4.0%, 11/1/44 4.0 11/01/2044 597,673 583,348
Ineos Finance Plc, 4.0%, 5/1/23 (144A) 4.0 05/01/2023 14,095,000 15,022,225
COMM 2012-CCRE2 Mortgage Trust, 3.147%, 8/15/45 3.147 08/15/2045 3,650,000 3,727,991
Syniverse Holdings, Inc., Initial Term Loan, 4/23/19 4.0 04/23/2019 2,821,064 2,672,958
Hexion, Inc., 8.875%, 2/1/18 8.875 02/01/2018 3,590,000 3,372,730
14112z Zero% 01feb19 0.0 02/01/2019 14,100,000 14,919,210
Sensus USA, Inc., Term Loan (First Lien), 5/9/17 4.5026 05/09/2017 1,427,939 1,421,692
Federal Home Loan Mortgage Corp., 4.5%, 11/1/40 4.5 11/01/2040 2,993,000 1,324,112
Scientific Games International, Inc., 10.0%, 12/1/22 10.0 12/01/2022 18,000,000 17,385,000
International Game Technology, 7.5%, 6/15/19 7.5 06/15/2019 120,000 128,200
Fannie Mae, 4.5%, 3/1/35 4.5 03/01/2035 2,520,000 260,285
Government National Mortgage Association I, 4.0%, 8/15/41 4.0 08/15/2041 68,643 31,720
Sunoco Logistics Partners Operations LP, 6.1%, 2/15/42 6.1 02/15/2042 10,390,000 10,886,958
COMM 2015-CCRE23 Mortgage Trust, 3.807%, 5/12/48 3.807 05/12/2048 7,500,000 7,143,688
Government National Mortgage Association I, 6.5%, 12/15/31 6.5 12/15/2031 50,173 425
Government National Mortgage Association I, 5.5%, 9/15/19 5.5 09/15/2019 2,037,648 85,784
Government National Mortgage Association I, 5.0%, 9/15/33 5.0 09/15/2033 5,011,663 696,470
Inversiones CMPC SA, 4.5%, 4/25/22 (144A) 4.5 04/25/2022 8,625,000 8,877,161
MTL Publishing LLC, Term B-2 Loan, 6/29/18 3.75 06/29/2018 1,065,072 1,065,442
Government National Mortgage Association I, 7.0%, 5/15/29 7.0 05/15/2029 135,001 810
Alpha Natural Resources, Inc., 6.0%, 6/1/19 6.0 06/01/2019 4,260,000 298,200
Kronos, Inc., Incremental Term Loan (First Lien), 10/30/19 4.5 10/30/2019 728,455 729,821
Israel Electric Corp, Ltd., 6.7%, 2/10/17 (144A) 6.7 02/10/2017 4,150,000 4,518,278
Virgin Media 1st Lien Tl-F L + 2.75% 30jun23 3.5 06/30/2023 17,041,760 16,897,979
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 3.25 10/18/2018 5,249,981 5,243,009
COMM 2012-CCRE2 Mortgage Trust, 4.393%, 8/17/45 4.393 08/17/2045 1,275,000 1,375,842
GTP Acquisition Partners I LLC, 2.35%, 6/15/20 (144A) 2.35 06/15/2020 11,000,000 10,964,568
JP Morgan Mortgage Trust 2013-2, Floating Rate Note, 5/25/43 (144A) 3.5 05/25/2043 8,923,000 6,357,812
JP Morgan Mortgage Trust 2013-2, Floating Rate Note, 5/25/43 3.5 05/25/2043 5,615,000 3,777,346
Fannie Mae, 4.0%, 8/1/44 4.0 08/01/2044 898,373 842,000
Expedia, Inc., 5.95%, 8/15/20 5.95 08/15/2020 7,110,000 8,084,737
FREMF Mortgage Trust 2011-K14, Floating Rate Note, 2/25/47 (144A) 5.333 02/25/2047 2,200,000 2,452,557
Select Medical Corp., Series E Tranche B Term Loan, 6/1/18 3.7513 06/01/2018 1,992,902 1,993,500
Fannie Mae, 6.0%, 6/1/37 6.0 06/01/2037 4,500,000 356,511
Standard Chartered Plc, 3.95%, 1/11/23 (144A) 3.95 01/11/2023 18,802,000 18,699,318
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 4.5051 12/06/2016 2,300,000 2,329,153
Fannie Mae, 4.0%, 11/1/44 4.0 11/01/2044 960,611 970,462
Oversea-Chinese Banking Corp, Ltd., Floating Rate Note, 10/15/24 (144A) 4.0 10/15/2024 4,000,000 4,129,718
TAM Capital 3, Inc., 8.375%, 6/3/21 (144A) 8.375 06/03/2021 4,965,000 5,195,941
Reliance Holding USA, Inc., 4.5%, 10/19/20 (144A) 4.5 10/19/2020 3,125,000 3,338,022
FREMF Mortgage Trust 2012-K501, Floating Rate Note, 11/26/46 (144A) 3.5486 11/26/2046 2,750,000 2,815,935
Kiowa Power Partners LLC, 5.737%, 3/30/21 (144A) 5.737 03/30/2021 3,775,000 3,153,323
Spirit Master Funding LLC, 4.6291%, 1/20/45 (144A) 4.6291 01/20/2045 11,000,000 11,005,675
Highwoods Realty LP, 3.625%, 1/15/23 3.625 01/15/2023 9,060,000 9,090,082
Asciano Finance, Ltd., 5.0%, 4/7/18 (144A) 5.0 04/07/2018 4,200,000 4,550,140
Fannie Mae, 6.5%, 10/1/32 6.5 10/01/2032 511,093 15,816
SESI LLC, 7.125%, 12/15/21 7.125 12/15/2021 90,000 95,685
Service Corp International United States, 8.0%, 11/15/21 8.0 11/15/2021 3,322,000 3,904,088
JBS USA LLC, 5.75%, 6/15/25 (144A) 5.75 06/15/2025 2,235,000 2,218,824
Federal Home Loan Mortgage Corp., 4.5%, 9/1/43 4.5 09/01/2043 147,265 118,847
Fannie Mae, 5.0%, 7/1/39 5.0 07/01/2039 17,025,069 1,515,744
Swift Energy Co., 7.875%, 3/1/22 7.875 03/01/2022 3,625,000 1,527,031
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 0.377 05/25/2035 1,000,000 62,854
Fannie Mae, 6.0%, 7/1/38 6.0 07/01/2038 2,040,000 168,296
Springleaf Funding Trust 2014-A, 2.41%, 12/15/22 (144A) 2.41 12/15/2022 5,000,000 5,011,606
Fannie Mae, 4.0%, 3/1/44 4.0 03/01/2044 158,431 134,864
Alternative Loan Trust 2005-J4, Floating Rate Note, 7/25/35 1.147 07/25/2035 6,900,000 6,227,442
Standard Pacific Corp., 1.25%, 8/1/32 1.25 08/01/2032 6,735,000 8,226,522
Government National Mortgage Association I, 5.5%, 10/15/34 5.5 10/15/2034 2,500,000 330,896
Novatek OAO via Novatek Finance, Ltd., 4.422%, 12/13/22 (144A) 4.422 12/13/2022 15,700,000 13,558,693
Fannie Mae, 5.0%, 11/1/44 5.0 11/01/2044 57,000,000 54,585,120
Agrium, Inc., 5.25%, 1/15/45 5.25 01/15/2045 25,250,000 26,321,429
Expedia, Inc., 4.5%, 8/15/24 4.5 08/15/2024 9,810,000 10,061,391
Livingston International, Inc., Initial Term B-1 Loan (First Lien), 4/18/19 5.0 04/18/2019 1,274,000 1,262,853
Targus Group International, Inc., Term Loan, 5/24/16 14.75 05/24/2016 1,907,204 1,573,444
Agate Bay Mortgage Trust 2015-1, Floating Rate Note, 1/25/45 (144A) 3.5 01/25/2045 15,485,000 13,151,331
Government National Mortgage Association I, 4.0%, 10/15/40 4.0 10/15/2040 90,862 21,122
Macdermid Incorporated 1st Lien Tl-B2 L + 3.75% 07jun20 4.75 06/07/2020 1,318,375 1,325,320
Fannie Mae, 5.5%, 7/1/33 5.5 07/01/2033 1,900,000 78,176
DTEK Finance Plc, 7.875%, 4/4/18 (144A) 7.875 04/04/2018 1,350,000 633,192
The Goodyear Tire & Rubber Co., Loan (Second Lien), 4/30/19 3.75 04/30/2019 8,270,833 8,296,680
Aguila 3 SA, 7.875%, 1/31/18 (144A) 7.875 01/31/2018 3,375,000 3,452,730
GSR Mortgage Loan Trust 2005-AR1, Floating Rate Note, 1/25/35 2.6373 01/25/2035 19,862,000 3,635,425
Government National Mortgage Association I, 4.0%, 12/15/44 4.0 12/15/2044 747,832 794,780
JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16, 3.07%, 12/17/46 3.07 12/17/2046 10,620,000 11,046,216
Carrizo Oil & Gas, Inc., 7.5%, 9/15/20 7.5 09/15/2020 7,710,000 8,285,038
Building Materials Corp of America, 5.375%, 11/15/24 (144A) 5.375 11/15/2024 9,250,000 9,145,642
Government National Mortgage Association I, 6.5%, 6/15/32 6.5 06/15/2032 124,988 4,460
Cobalt International Energy, Inc., 2.625%, 12/1/19 2.625 12/01/2019 10,040,000 7,432,738
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 379,505 355,287
Government National Mortgage Association I, 4.0%, 10/15/41 4.0 10/15/2041 73,982 34,363
Truven Health Analytics, Inc., New Tranche B Term Loan, 6/6/19 4.5 06/06/2019 7,333,377 7,326,505
FCA US LLC, Term Loan B, 5/24/17 3.5 05/24/2017 18,130,803 18,132,362
Fannie Mae, 4.0%, 12/1/44 4.0 12/01/2044 989,497 1,023,781
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 2.4245 07/25/2033 12,475,000 1,451,583
Government National Mortgage Association I, 6.0%, 7/15/33 6.0 07/15/2033 2,789,309 238,057
COMM 2013-LC6 Mortgage Trust, 2.941%, 1/12/46 2.941 01/12/2046 8,000,000 8,013,007
TI Group Automotive Systems LLC, Term Loan Facility, 7/1/21 4.25 07/01/2021 9,148,516 9,137,080
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 8.5075 05/09/2016 2,000,000 2,038,850
Calpine Construction Finance Co LP, Term B-1 Loan, 5/3/20 3.0 05/03/2020 1,398,839 1,376,691
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 4.0 07/01/2044 20,000,000 17,437,855
Government National Mortgage Association I, 5.5%, 12/15/35 5.5 12/15/2035 2,360,900 237,283
Kinder Morgan Energy Partners LP, 4.15%, 3/1/22 4.15 03/01/2022 11,960,000 12,144,595
Federal Home Loan Mortgage Corp., 4.5%, 10/1/35 4.5 10/01/2035 8,240,814 696,140
Massachusetts Development Finance Agency, 5.25%, 4/1/37 5.25 04/01/2037 6,550,000 7,419,742
Bear Stearns ARM Trust 2003-9, Floating Rate Note, 2/25/34 2.6705 02/25/2034 7,754,500 3,035,555
The Goldman Sachs Group, Inc., 5.2%, 12/17/19 5.2 12/17/2019 13,855,000 9,714,009
Spirit Master Funding LLC, 5.74%, 3/20/42 (144A) 5.74 03/20/2042 1,250,704 1,362,949
Interactive Data 1st Lien Tl-B L + 3.75% 24apr21 4.75 04/24/2021 4,219,691 4,237,274
Tempur Sealy International, Inc., New Term B Loan, 3/18/20 3.5 03/18/2020 2,300,996 2,306,748
WireCo WorldGroup, Inc., 9.5%, 5/15/17 9.5 05/15/2017 3,500,000 3,330,316
The PNC Financial Services Group, Inc., Floating Rate Note (Perpetual) 6.75 12/31/2049 10,812,000 12,276,161
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 250,000 5,292
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 8.0051 06/06/2016 4,500,000 4,718,950
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 25,078 23,888
Government National Mortgage Association I, 4.0%, 10/15/41 4.0 10/15/2041 543,395 241,441
Ally Financial, Inc., 3.6%, 5/21/18 3.6 05/21/2018 3,500,000 3,519,075
Federal Home Loan Mortgage Corp., 6.0%, 10/1/37 6.0 10/01/2037 250,000 13,759
U.S. Treasury Bonds, 4.375%, 11/15/39 4.375 11/15/2039 3,290,000 4,065,083
Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33 2.7457 09/25/2033 34,229,000 2,598,635
Nations Equipment Finance Funding II LLC, 3.276%, 1/22/19 (144A) 3.276 01/22/2019 3,800,000 3,636,445
Coveris Holdings SA, USD Term Loan, 4/14/19 4.5 04/14/2019 3,332,751 3,345,942
Magnesita Finance, Ltd., 8.625% (Perpetual) (144A) 8.625 12/31/2049 4,200,000 3,488,118
Fannie Mae, 4.0%, 11/1/43 4.0 11/01/2043 8,931,305 8,622,381
Government National Mortgage Association I, 5.5%, 9/15/19 5.5 09/15/2019 2,522,582 217,468
Fannie Mae, 5.0%, 1/1/39 5.0 01/01/2039 27,744,910 2,335,227
SM Energy Co., 6.5%, 1/1/23 6.5 01/01/2023 1,080,000 1,142,100
Norway Government Bond, 2.0%, 5/24/23 2.0 05/24/2023 63,500,000 8,322,062
Alternative Loan Trust 2003-21T1, 5.75%, 12/25/33 5.75 12/25/2033 14,250,000 5,442,484
Essar Steel Algoma Inc 1st Lien Tl-B L + 6.5% 07aug19 7.5 08/07/2019 4,741,675 4,342,582
CHS, 6.875%, 2/1/22 6.875 02/01/2022 0 20,052
Ranpak Corp 1st Lien Tl-B L + 3.25% 01oct21 4.25 10/01/2021 2,288,500 2,285,639
Government National Mortgage Association I, 4.5%, 10/15/33 4.5 10/15/2033 2,387,368 221,651
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 0.437 09/25/2030 11,903,557 1,811,390
Government National Mortgage Association I, 6.5%, 8/15/32 6.5 08/15/2032 703,797 43,238
Government National Mortgage Association I, 4.5%, 11/15/40 4.5 11/15/2040 8,091,166 3,205,933
Pontis 4.843% 08jun25 144a 4.843 06/08/2025 4,005,000 3,997,367
Alliance HealthCare Services, Inc., Initial Term Loan, 6/3/19 4.25 06/03/2019 3,304,278 3,298,082
Government National Mortgage Association II, 4.5%, 9/20/41 4.5 09/20/2041 17,265,000 7,645,579
Gold Key Resorts 2014-A LLC, 5.87%, 5/17/31 (144A) 5.87 05/17/2031 2,100,000 1,919,404
Universal Hospital Services, Inc., 7.625%, 8/15/20 7.625 08/15/2020 171,000 163,101
Axis Equipment Finance Receivables III LLC, 4.05%, 5/20/20 (144A) 4.05 05/20/2020 1,400,000 1,395,272
Coveris Holdings Sa Us 1st Lien Tl-B1 L + 3.5% 08may19 4.5 05/08/2019 4,150,000 4,164,691
GCAT 2015-1 LLC, 3.625%, 5/26/20 (Step) (144A) 3.625 05/26/2020 2,000,000 1,933,268
Fly Leasing, Ltd., 6.75%, 12/15/20 6.75 12/15/2020 4,183,000 4,321,039
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 2.136 03/16/2026 2,842,000 2,841,987
Fannie Mae, 3.5%, 4/1/45 3.5 04/01/2045 24,210,000 24,892,043
Government National Mortgage Association I, 4.0%, 10/15/41 4.0 10/15/2041 25,034 17,181
US Airways, Inc., Tranche B-2 Term Loan (Consenting), 11/23/16 3.0 11/23/2016 354,375 354,043
American Homes 4 Rent 2014-SFR3 Trust, 4.596%, 12/18/36 (144A) 4.596 12/18/2036 5,000,000 5,199,080
Carlyle Holdings II Finance LLC, 5.625%, 3/30/43 (144A) 5.625 03/30/2043 18,835,000 19,835,850
Silverton RE, Ltd., 0.0%, 9/18/17 (Cat Bond) (144A) 0.0 09/18/2017 4,500,000 4,996,800
Intesa Sanpaolo S.p.A., 3.625%, 8/12/15 (144A) 3.625 08/12/2015 5,643,000 5,735,966
U.S. Treasury Bonds, 2.5%, 2/15/45 2.5 02/15/2045 110,200,000 98,019,844
Neuberger Berman Group LLC, 4.875%, 4/15/45 (144A) 4.875 04/15/2045 10,150,000 9,298,027
Fannie Mae, 6.0%, 1/1/33 6.0 01/01/2033 502,267 15,907
Alternative Loan Trust 2003-16T1, 5.25%, 9/25/33 5.25 09/25/2033 7,855,000 3,136,472
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5, Floating Rate Note, 7/15/31 (144A) 1.5355 07/15/2031 4,800,000 4,816,697
Building Materials Corp of America, 6.75%, 5/1/21 (144A) 6.75 05/01/2021 3,665,000 3,861,994
BioScrip, Inc., Delayed Draw Term Loan, 7/31/20 6.5 07/31/2020 2,589,552 2,572,287
The Williams Companies, Inc., 7.75%, 6/15/31 7.75 06/15/2031 8,880,000 9,942,008
JobsOhio Beverage System, 3.985%, 1/1/29 3.985 01/01/2029 17,600,000 18,550,136
UBS AG, 7.625%, 8/17/22 7.625 08/17/2022 16,775,000 20,136,390
PQ Corp., 2014 Term Loan, 8/7/17 4.0 08/07/2017 6,191,250 6,192,798
Fannie Mae, 4.0%, 1/1/45 4.0 01/01/2045 47,503 48,828
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 3.9102 06/07/2017 3,500,000 3,472,496
WireCo WorldGroup, Inc., Term Loan, 2/15/17 6.0 02/15/2017 2,641,861 2,646,814
International Finance Corp., 6.3%, 11/25/24 6.3 11/25/2024 358,950,000 5,392,815
Brookfield Residential Properties, Inc., 6.5%, 12/15/20 (144A) 6.5 12/15/2020 3,460,000 3,454,149
Government National Mortgage Association I, 4.0%, 12/15/40 4.0 12/15/2040 40,000 16,411
Red de Carreteras de Occidente SAPIB de CV, 9.0%, 6/10/28 (144A) 9.0 06/10/2028 87,500,000 5,474,230
PHH Mortgage Capital LLC, 6.0%, 12/25/27 (Step) (144A) 6.6 12/25/2027 14,800,000 410,016
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 0.687 09/25/2035 3,997,000 3,584,691
Federal Home Loan Mortgage Corp., 3.5%, 11/1/28 3.5 11/01/2028 10,730,077 9,578,430
Fannie Mae, 4.5%, 9/1/41 4.5 09/01/2041 2,700,000 1,135,504
Altrl Zero% 30jun17 0.0 06/30/2017 7,600,000 7,828,000
DynCorp International, Inc., 10.375%, 7/1/17 10.375 07/01/2017 1,025,000 791,172
AccentCare, Inc., Term Loan, 12/22/16 6.5132 12/22/2016 2,174,157 2,108,932
CHS, Incremental 2021 Term H Loan, 1/27/21 4.0 01/27/2021 3,951,060 3,961,210
Bowdoin College, 4.693%, 7/1/12 4.693   4,550,000 3,912,399
Vers 2015-A Zero% 31dec17 0.0 12/31/2017 12,033,893 12,609,113
MCC Iowa LLC, Tranche H Term Loan, 1/29/21 3.25 01/29/2021 3,763,200 3,733,802
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 2,943,500 2,979,116
Star Energy Geothermal Wayang Windu, Ltd., 6.125%, 3/27/20 (144A) 6.125 03/27/2020 7,850,000 7,620,960
Cinedigm Digital Funding I LLC, Term Loan, 2/28/18 3.75 02/28/2018 1,505,862 1,507,745
Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19 4.0 04/23/2019 4,048,090 3,835,565
B2R Mortgage Trust 2015-1, Floating Rate Note, 5/15/48 (144A) 4.831 05/15/2048 1,054,000 1,061,875
Monitronics International, Inc., Term B Loan (2013), 3/23/18 4.25 03/23/2018 3,372,987 3,380,718
Long Haul Holdings, Ltd., Facility B Loan, 11/17/13 8.152 01/15/2015 1,392,235 522,088
Government National Mortgage Association I, 4.0%, 2/15/41 4.0 02/15/2041 3,373,529 1,732,193
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 8,587,315 7,428,049
Government National Mortgage Association I, 6.0%, 10/15/33 6.0 10/15/2033 3,000,000 86,141
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 2.25 06/25/2043 3,748,000 2,840,156
Arlington Flt% 01aug15 0.0 08/01/2015 3,033,000 3,455,497
Federal Home Loan Mortgage Corp., 4.5%, 9/1/41 4.5 09/01/2041 324,372 250,708
NCI Building Systems, Inc., Tranche B Term Loan, 6/24/19 4.25 06/24/2019 2,188,991 2,187,167
GRIFOLS WORLDWIDE OPERATIONS USA INC, U.S. Tranche B Term Loam, 4/1/21 3.1866 04/01/2021 4,345,000 4,350,657
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 1/25/35 2.5932 01/25/2035 11,606,000 2,489,590
Adjustable Rate Mortgage Trust 2005-9, Floating Rate Note, 11/25/35 0.507 11/25/2035 45,820,000 4,516,381
AdvancePierre Foods, Inc., Term Loan (First Lien), 7/10/17 5.75 07/10/2017 1,349,820 1,353,363
Newfield Exploration Co., 5.625%, 7/1/24 5.625 07/01/2024 6,125,000 6,358,516
Fannie Mae, 4.0%, 11/1/41 4.0 11/01/2041 7,857,077 2,849,640
Virginia Commonwealth Transportation Board, 4.0%, 5/15/32 4.0 05/15/2032 7,500,000 7,845,308
Government National Mortgage Association I, 4.5%, 6/15/41 4.5 06/15/2041 9,828,676 2,528,687
Comstock Resources, Inc., 7.75%, 4/1/19 7.75 04/01/2019 9,120,000 4,007,100
Origen Manufactured Housing Contract Trust 2004-A, Floating Rate Note, 1/15/35 5.91 01/15/2035 4,650,000 1,781,308
Fannie Mae, 4.0%, 12/1/30 4.0 12/01/2030 50,000 20,069
CCO Holdings LLC, 6.625%, 1/31/22 6.625 01/31/2022 10,705,000 11,457,435
Fannie Mae, 4.5%, 8/1/40 4.5 08/01/2040 1,000,000 279,971
Crown Castle Towers LLC, 3.222%, 5/15/42 (144A) 3.222 05/15/2042 3,750,000 3,695,745
Vishay Intertechnology, Inc., 2.25%, 5/15/41 (144A) 2.25 05/15/2041 13,410,000 10,012,241
SRAM LLC, Term Loan (First Lien), 4/10/20 4.0307 04/10/2020 3,082,040 3,082,040
Government National Mortgage Association I, 5.125%, 10/15/38 5.125 10/15/2038 1,865,279 757,172
Westgate Resorts 2014-1 LLC, 2.15%, 12/20/26 (144A) 2.15 12/20/2026 5,000,000 3,873,197
New Residential Mortgage Loan Trust 2014-3, Floating Rate Note, 11/25/54 (144A) 3.75 11/25/2054 7,093,312 6,321,556
Morgan Stanley, Floating Rate Note (Perpetual) 6.375 12/31/2049 180,020 4,583,309
Government National Mortgage Association I, 7.5%, 8/15/29 7.5 08/15/2029 100,063 117
Government National Mortgage Association I, 4.0%, 11/15/42 4.0 11/15/2042 51,024 17,991
Indonesia Treasury Bond, 8.25%, 6/15/32 8.25 06/15/2032 222,011,000,000 16,328,991
American Energy - Utica LLC, 3.5%, 3/1/21 (144A) (PIK) 3.5 03/01/2021 4,620,000 1,994,300
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 0.3555 04/16/2035 11,600,000 4,345,598
Citigroup, Inc., Floating Rate Note (Perpetual) 5.9 12/31/2049 6,000,000 6,043,733
Government National Mortgage Association I, 6.0%, 1/15/33 6.0 01/15/2033 1,500,000 32,399
Verisk Analytics, Inc., 5.5%, 6/15/45 5.5 06/15/2045 12,600,000 12,480,625
New Jersey Transportation Trust Fund Authority, 5.5%, 6/15/41 5.5 06/15/2041 10,540,000 11,041,329
Calpine Corp., Term Loan (10/12), 10/9/19 4.0 10/09/2019 1,069,750 1,071,004
Federal National Mortgage Association, 4.0%, 2/1/44 4.0 02/01/2044 29,000 25,035
Univision Communications, Inc., 2013 Incremental Term Loan, 3/1/20 4.0 03/01/2020 2,198,743 2,189,467
Reynolds Group Holdings, Inc., Incremental U.S. Term Loan, 12/31/18 4.5 12/31/2018 3,679,008 3,693,264
Frontier Communications Corp., 8.75%, 4/15/22 8.75 04/15/2022 10,355,000 10,442,730
COMM 2014-FL4 Mortgage Trust, Floating Rate Note, 7/15/31 (144A) 2.0288 07/15/2031 5,070,000 5,033,099
RALI Series 2003-QS1 Trust, 5.0%, 1/25/33 5.0 01/25/2033 20,000,000 74,953
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/30 5.0 12/15/2030 4,585,000 4,955,707
Delphi Financial Group, Inc., 7.875%, 1/31/20 7.875 01/31/2020 10,110,000 12,315,236
Accredited Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 0.337 09/25/2036 9,396,000 3,111,804
Fannie Mae, 4.5%, 10/1/43 4.5 10/01/2043 6,481,868 4,568,550
Apex Tool Group LLC, Term Loan, 1/31/20 4.5 01/31/2020 1,332,955 1,311,294
LEAF Receivables Funding 9 LLC, 5.11%, 9/15/21 (144A) 5.11 09/15/2021 3,010,000 3,128,808
Province of Salta Argentina, 9.5%, 3/16/22 (144A) 9.5 03/16/2022 4,900,000 3,868,068
DaVita HealthCare Partners, Inc., Tranche B Term Loan, 6/19/21 3.5 06/19/2021 5,875,963 5,885,147
Government National Mortgage Association I, 4.5%, 7/15/41 4.5 07/15/2041 2,197,000 1,032,332
Eldorado Gold Corp., 6.125%, 12/15/20 (144A) 6.125 12/15/2020 2,400,000 2,382,533
LORENZO RE, Ltd., 0.0%, 12/31/49 (Cat Bond) (Perpetual) 0.0 12/31/2049 57,000 142,500
Scds: (Do) Usd 20dec19 Buy Bnr1c0954 1.0 12/20/2019 2,795,000 -202,946
CVS Pass-Through Trust, 6.036%, 12/10/28 6.036 12/10/2028 1,300,000 1,121,782
Whiting Canadian Holding Co ULC, 8.125%, 12/1/19 8.125 12/01/2019 85,000 89,560
UCI International, Inc., Term Loan, 7/26/17 5.5 07/26/2017 1,995,950 1,985,970
JLL, Initial Dollar Term Loan, 1/23/21 4.25 01/23/2021 2,435,400 2,424,092
Government National Mortgage Association I, 6.0%, 7/15/17 6.0 07/15/2017 6,000,000 74,831
Golar LNG Partners LP, Floating Rate Note, 10/12/17 6.62 10/12/2017 32,000,000 4,294,023
Wells Fargo & Co., Floating Rate Note (Perpetual) 5.875 12/31/2049 2,130,000 2,186,256
RAIT 2014-FL2 Trust, Floating Rate Note, 5/15/31 (144A) 2.333 05/15/2031 4,000,000 3,965,539
Fannie Mae, 6.5%, 3/1/32 6.5 03/01/2032 124,988 4,344
MASTR Alternative Loan Trust 2004-6, 6.0%, 7/25/34 6.0 07/25/2034 33,875,000 6,374,416
Flt% 15jun16 0.0 06/15/2016 2,260,378 2,203,643
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.5455 11/15/2018 9,525,000 3,101,110
MedAssets, Inc., Term B Loan, 12/13/19 4.0 12/13/2019 1,670,678 1,671,703
China Government Bond, 3.38%, 11/21/24 3.38 11/21/2024 42,500,000 6,857,600
The Medicines Co., 2.5%, 1/15/22 (144A) 2.5 01/15/2022 6,350,000 7,019,396
AES Corp. Virginia, 5.5%, 4/15/25 5.5 04/15/2025 10,000,000 9,629,861
First Data Corp., 2018 New Dollar Term Loan, 3/24/18 3.687 03/24/2018 1,528,214 1,525,229
TimberStar Trust I REMICS, 5.668%, 10/15/36 (144A) 5.668 10/15/2036 750,000 789,116
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 0.787 04/25/2034 13,200,000 519,389
Sequoia Mortgage Trust, Floating Rate Note, 9/25/42 3.0 09/25/2042 3,930,000 1,942,640
Fannie Mae, 6.5%, 6/1/31 6.5 06/01/2031 25,095 315
Government National Mortgage Association I, 4.0%, 1/15/40 4.0 01/15/2040 44,880 22,954
JP Morgan Mortgage Trust 2004-S1, 6.0%, 9/25/34 6.0 09/25/2034 15,700,000 2,812,634
Fannie Mae, 3.5%, 11/1/42 3.5 11/01/2042 500,000 413,734
Metalloinvest Finance, Ltd., 5.625%, 4/17/20 (144A) 5.625 04/17/2020 6,200,000 5,743,944
Wash Multifamily Acq 1st Lien 1st Lien Tl-B L + 3.25% 15may22   05/15/2022 52,160 51,965
University of Southern California, 5.25%, 10/1/11 5.25   2,800,000 3,328,296
MarkWest Energy Partners LP, 4.875%, 12/1/24 4.875 12/01/2024 17,410,000 17,089,003
Government National Mortgage Association I, 6.0%, 6/15/17 6.0 06/15/2017 2,359,004 31,434
Fannie Mae, 3.5%, 11/1/42 3.5 11/01/2042 2,205,966 1,885,980
CeramTec Acquisition Corp., Initial Dollar Term B-2 Loan, 8/30/20 4.25 08/30/2020 532,865 533,864
Government National Mortgage Association I, 4.0%, 4/15/44 4.0 04/15/2044 4,910,088 3,642,710
Valmont Industries, Inc., 6.625%, 4/20/20 6.625 04/20/2020 1,291,000 1,506,662
FREMF Mortgage Trust 2011-K702, Floating Rate Note, 4/25/44 (144A) 4.9311 04/25/2044 9,582,000 10,260,095
Fannie Mae, 6.0%, 12/1/33 6.0 12/01/2033 2,000,000 121,109
Fannie Mae, 4.5%, 7/1/41 4.5 07/01/2041 39,417,029 20,407,923
Brazil Minas SPE via State of Minas Gerais, 5.333%, 2/15/28 (144A) 5.333 02/15/2028 17,900,000 17,276,129
Sabine Pass Liquefaction LLC, 5.625%, 2/1/21 5.625 02/01/2021 12,650,000 13,199,484
EP Energy LLC, 9.375%, 5/1/20 9.375 05/01/2020 11,320,000 12,274,559
Nevada Power Co., 6.5%, 8/1/18 6.5 08/01/2018 85,000 99,299
EverBank Mortgage Loan Trust REMICS, Floating Rate Note, 4/25/43 (144A) 3.5032 04/25/2043 6,762,000 6,333,404
Nakilat, Inc., 6.267%, 12/31/33 (144A) 6.267 12/31/2033 4,240,000 4,469,684
The Williams Companies, Inc., 5.75%, 6/24/44 5.75 06/24/2044 13,440,000 12,486,984
Vedanta Resources Jersey, Ltd., 5.5%, 7/13/16 5.5 07/13/2016 7,900,000 8,023,767
Blackstone Holdings Finance Co LLC, 4.75%, 2/15/23 (144A) 4.75 02/15/2023 5,375,000 5,853,044
BBVA Bancomer SA Texas, 6.5%, 3/10/21 (144A) 6.5 03/10/2021 23,300,000 25,689,221
Mirror BidCo Corp., New Incremental Term Loan, 12/18/19 4.25 12/18/2019 7,006,453 7,000,616
EverBank Mortgage Loan Trust, Floating Rate Note, 4/25/43 (144A) 2.5 04/25/2043 10,928,000 7,985,274
Citigroup Capital XIII, Floating Rate Note, 10/30/40 7.875 10/30/2040 494,685 12,842,023
Fannie Mae, 4.0%, 10/1/44 4.0 10/01/2044 110,213 104,490
American Homes 4 Rent 2015-SFR1, 4.11%, 4/17/45 (144A) 4.11 04/17/2045 2,950,000 2,936,383
Federal Home Loan Mortgage Corp., 4.0%, 12/1/44 4.0 12/01/2044 7,100,000 7,054,960
Golden State RE II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A) 2.22 01/08/2019 3,900,000 3,889,600
USI, Inc. New York, Initial Term Loan 2013, 12/30/19 4.25 12/30/2019 26,206,652 26,255,790
LDK Solar Co, Ltd. (A.D.R.)     136,114 17,695
Banc of America Alternative Loan Trust 2003-2, 5.75%, 4/25/33 5.75 04/25/2033 30,900,000 2,997,532
Westgate Resorts 2014-1 LLC, 3.25%, 12/20/26 (144A) 3.25 12/20/2026 9,400,000 7,306,444
Chesapeake Energy Corp., 2.25%, 12/15/38 2.25 12/15/2038 4,800,000 4,168,800
Hilcorp Energy I LP, 5.75%, 10/1/25 (144A) 5.75 10/01/2025 8,470,000 8,167,727
GrupoSura Finance SA, 5.7%, 5/18/21 (144A) 5.7 05/18/2021 4,710,000 5,046,804
Fannie Mae, 3.5%, 4/1/29 3.5 04/01/2029 7,000,000 6,379,819
SBP DPR Finance Co., Floating Rate Note, 3/15/17 (144A) 3.0359 03/15/2017 3,900,000 1,438,239
On Assignment Inc 1st Lien Tl-B L + 3% 05jun22 3.75 06/05/2022 2,556,138 2,563,060
Sequoia Mortgage Trust 2013-1, Floating Rate Note, 2/25/43 3.6451 02/25/2043 5,605,000 5,169,316
Continental Airlines 2012-3 Class C Pass Thru Certificates, 6.125%, 4/29/18 (144A) 6.125 04/29/2018 200,000 210,610
Garda World Security Corp., Term B Loan, 11/1/20 4.0 11/01/2020 4,088,661 4,081,845
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 REMICS, 2.979%, 4/17/47 2.979 04/17/2047 5,025,000 5,202,179
Australia & New Zealand Banking Group, Ltd., 4.5%, 3/19/24 (144A) 4.5 03/19/2024 8,110,000 8,258,518
Transportadora de Gas del Peru SA, 4.25%, 4/30/28 (144A) 4.25 04/30/2028 6,200,000 6,136,149
CoBank ACB, Floating Rate Note (Perpetual) (144A) 6.25 12/31/2049 87,500 9,015,239
AWAS Finance Luxembourg 2012 SA, Term Loan, 7/16/18 3.5 07/16/2018 3,237,098 3,259,353
Government National Mortgage Association I, 3.5%, 10/15/44 3.5 10/15/2044 1,060,699 940,162
Mid-State Capital Trust 2010-1, 5.25%, 12/15/45 (144A) 5.25 12/15/2045 3,000,000 2,211,424
Fannie Mae, 4.0%, 12/1/44 4.0 12/01/2044 1,402,870 1,348,355
Citigroup Mortgage Loan Trust, Inc., 6.75%, 9/25/34 6.75 09/25/2034 400,000 74,526
FREMF Mortgage Trust 2011-K703, Floating Rate Note, 7/25/44 (144A) 5.0454 07/25/2044 5,450,000 5,863,631
Government National Mortgage Association I, 6.0%, 7/15/33 6.0 07/15/2033 3,367,971 93,222
Star West Generation LLC, Term B Advance, 3/13/20 4.25 03/13/2020 2,059,259 2,061,833
Exeter Automobile Receivables Trust 2012-2, 3.06%, 7/16/18 (144A) 3.06 07/16/2018 3,000,000 3,014,004
Fannie Mae, 3.5%, 8/1/42 3.5 08/01/2042 25,765,072 20,743,186
City Center Trust 2011-CCHP, Floating Rate Note, 7/17/28 (144A) 4.65 07/17/2028 4,500,000 4,511,973
Government National Mortgage Association I, 3.5%, 9/15/44 3.5 09/15/2044 16,575,713 15,165,669
WebMD Health Corp., 2.5%, 1/31/18 2.5 01/31/2018 6,433,000 6,617,055
Fannie Mae, 6.5%, 5/1/31 6.5 05/01/2031 392,161 2,034
Intesa Sanpaolo S.p.A., 6.5%, 2/24/21 (144A) 6.5 02/24/2021 3,925,000 4,567,599
TD Ameritrade Holding Corp., 3.625%, 4/1/25 3.625 04/01/2025 13,475,000 13,806,613
Massachusetts Health & Educational Facilities Authority, 5.5%, 7/1/32 5.5 07/01/2032 4,550,000 6,109,831
Structured Asset Investment Loan Trust 2006-1, Floating Rate Note, 1/25/36 0.387 01/25/2036 8,100,000 1,579,222
Unifrax I LLC, New Euro Term Loan, 11/28/18 4.5 11/28/2018 3,875,793 4,335,575
U.S. Treasury Inflation Indexed Bonds, 0.125%, 7/15/24 0.125 07/15/2024 148,075,000 144,001,872
Chaparral Energy, Inc., 7.625%, 11/15/22 7.625 11/15/2022 3,475,000 2,535,857
Nordea Bank AB, 4.25%, 9/21/22 (144A) 4.25 09/21/2022 17,800,000 18,440,810
MortgageIT Trust 2005-1, Floating Rate Note, 2/25/35 1.687 02/25/2035 10,000,000 1,504,558
The Goldman Sachs Group, Inc., 6.75%, 10/1/37 6.75 10/01/2037 5,400,000 6,425,044
Univar Inc 1st Lien Tl-B L + 3.25% 25jun22 4.25 06/25/2022 6,390,000 6,384,013
Vedanta Resources Plc, 9.5%, 7/18/18 (144A) 9.5 07/18/2018 4,040,000 4,486,476
Agrokor dd, 8.875%, 2/1/20 (144A) 8.875 02/01/2020 50,000 56,049
Senior Housing Properties Trust, 6.75%, 4/15/20 6.75 04/15/2020 6,463,000 7,421,964
Government National Mortgage Association I, 4.0%, 10/15/43 4.0 10/15/2043 76,551 8,452
Federal Home Loan Mortgage Corp., 6.5%, 9/1/32 6.5 09/01/2032 100,000 2,712
Air Canada 2013-1 Class A Pass Through Trust, 4.125%, 11/15/26 (144A) 4.125 11/15/2026 2,000,000 1,908,485
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 1.3868 11/20/2036 1,000,000 197,555
VTB Bank OJSC Via VTB Capital SA, 6.0%, 4/12/17 (144A) 6.0 04/12/2017 7,800,000 7,919,080
Capital One Financial Corp., Floating Rate Note (Perpetual) 5.55 12/31/2049 18,800,000 18,771,722
Government National Mortgage Association I, 4.5%, 6/15/40 4.5 06/15/2040 6,803,817 2,176,128
Charter Communications Operating L 1st Lien Bridge L + 6.625% 26may16   05/26/2016 10,715,000 10,715,000
Tufts University, 5.017%, 4/15/12 5.017   14,800,000 15,017,330
Fannie Mae, 4.0%, 2/1/42 4.0 02/01/2042 1,694,610 312,158
Fannie Mae, 5.5%, 4/1/36 5.5 04/01/2036 2,000,200 249,759
Entercom Radio LLC, Term B-2 Loan, 11/23/18 4.0096 11/23/2018 1,336,713 1,340,682
MortgageIT Trust 2005-1, Floating Rate Note, 2/25/35 1.072 02/25/2035 15,003,000 2,374,859
Bonanza Creek Energy, Inc., 5.75%, 2/1/23 5.75 02/01/2023 4,665,000 4,298,603
Government National Mortgage Association I, 6.0%, 7/15/17 6.0 07/15/2017 2,966,457 111,584
Kane Ilw Zero% 02feb16 0.0 02/02/2016 2,550,000 2,439,075
Latam Airlines 2015-1 Pass Through Trust A, 4.2%, 8/15/29 (144A) 4.2 08/15/2029 16,375,000 16,251,915
Sanders Re, Ltd., Floating Rate Note, 5/25/18 (Cat Bond) (144A) 3.0203 05/25/2018 3,500,000 3,399,492
Fannie Mae, 3.5%, 11/1/40 3.5 11/01/2040 10,200,000 5,045,895
Federal Home Loan Mortgage Corp., 6.0%, 3/1/33 6.0 03/01/2033 500,470 18,205
Mentor Graphics Corp., 4.0%, 4/1/31 4.0 04/01/2031 4,563,000 6,217,088
Compass Re II, Ltd., Floating Rate Note, 12/8/15 (Cat Bond) (144A) 0.0 12/08/2015 2,150,000 2,047,660
Altisource Solutions Sarl, Term B Loan, 12/9/20 4.5 12/09/2020 3,870,750 3,454,644
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 2.25 08/20/2025 3,750,000 1,588,452
CS Intermediate Holdco 2 LLC, Term Loan, 3/28/21 4.0 03/28/2021 3,904,384 3,903,572
Government National Mortgage Association I, 6.0%, 8/15/16 6.0 08/15/2016 43,573 227
Government National Mortgage Association I, 4.0%, 7/20/15 4.0 07/20/2015 33,550,000 35,770,125
Federal Home Loan Mortgage Corp., 6.0%, 1/1/34 6.0 01/01/2034 1,000,000 97,862
Government National Mortgage Association I, 4.0%, 8/15/44 4.0 08/15/2044 54,280 57,026
Fannie Mae, 6.0%, 3/1/33 6.0 03/01/2033 250,000 9,027
Fannie Mae, 4.0%, 2/1/42 4.0 02/01/2042 5,800,000 2,710,472
Fannie Mae, 4.0%, 4/1/42 4.0 04/01/2042 4,500,000 2,795,075
President and Fellows of Harvard College, 2.3%, 10/1/23 2.3 10/01/2023 5,600,000 5,294,397
SolarCity Corp., 1.625%, 11/1/19 (144A) 1.625 11/01/2019 1,984,000 1,820,733
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 3.5 09/06/2019 4,034,508 4,046,107
Fannie Mae, 6.0%, 5/1/33 6.0 05/01/2033 1,200,000 141,898
WFRBS Commercial Mortgage Trust 2011-C4, Floating Rate Note, 6/17/44 (144A) 5.2664 06/17/2044 2,000,000 2,126,626
Confie seguros Holding II Co., Term B Loan (First Lien), 11/9/18 5.75 11/09/2018 3,124,660 3,132,471
Houghton Mifflin Harcourt Publishe 1st Lien Tl-B L + 3% 11may21 4.0 05/11/2021 1,675,000 1,669,766
Nn Inc 1st Lien Tl-B L + 5% 18jul21 6.0 07/18/2021 3,242,411 3,258,584
Sequoia Mortgage Trust 2013-5, Floating Rate Note, 5/25/43 (144A) 3.5311 05/25/2043 5,370,000 5,033,486
Panoche Energy Center LLC, 6.885%, 7/31/29 (144A) 6.885 07/31/2029 3,015,000 2,991,073
AXA SA, 8.6%, 12/15/30 8.6 12/15/2030 10,060,000 13,520,411
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 1.087 05/26/2037 6,250,000 4,517,210
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 3.75 08/20/2025 1,250,000 534,659
Calpine Corp 1st Lien Tl-B5 L + 2.75% 28may22 3.5 05/28/2022 5,375,000 5,335,107
Russian Federal Bond - OFZ, 7.6%, 7/20/22 7.6 07/20/2022 25,000 395
Semt Flt% 25jul45 15-3-A1 3.5 07/25/2045 7,346,000 7,399,601
FREMF Mortgage Trust 2013-K502, Floating Rate Note, 3/27/45 (144A) 3.3015 03/27/2045 1,000,000 1,018,588
Fannie Mae, 4.0%, 12/1/41 4.0 12/01/2041 220,620 106,248
Government National Mortgage Association I, 5.5%, 3/15/37 5.5 03/15/2037 5,905,797 142,660
Fannie Mae, 4.5%, 9/1/43 4.5 09/01/2043 17,709,372 13,250,037
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 8.03 07/09/2015 6,250,000 6,365,903
International Paper Co., 6.0%, 11/15/41 6.0 11/15/2041 10,035,000 10,895,939
Windstream Services LLC, 7.75%, 10/15/20 7.75 10/15/2020 8,680,000 8,637,564
Equity One Mortgage Pass-Through Trust 2004-1, 4.205%, 4/25/34 (Step) 4.205 04/25/2034 1,250,000 59,549
Federal Home Loan Mortgage Corp., 5.0%, 9/1/38 5.0 09/01/2038 10,000,000 778,243
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 2.02 01/15/2019 500,000 500,628
Fannie Mae, 7.0%, 5/1/28 7.0 05/01/2028 200,000 1,588
Fannie Mae, 4.5%, 3/1/41 4.5 03/01/2041 2,414,394 1,250,761
Government National Mortgage Association I, 6.0%, 3/15/33 6.0 03/15/2033 300,000 13,171
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 5.25 04/25/2032 6,500,000 1,697,064
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 6,010,717 6,044,978
Brown & Brown, Inc., 4.2%, 9/15/24 4.2 09/15/2024 16,900,000 16,890,666
Russian Federal Bond - OFZ, 7.0%, 8/16/23 7.0 08/16/2023 1,335,681,000 19,778,533
Fannie Mae, 7.5%, 1/1/28 7.5 01/01/2028 115,000 1,055
C&S Group Enterprises LLC, 5.375%, 7/15/22 (144A) 5.375 07/15/2022 391,000 377,231
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.407 04/25/2031 8,695,768 1,286,818
Fannie Mae, 5.5%, 6/1/33 5.5 06/01/2033 852,000 33,607
Government National Mortgage Association I, 5.5%, 6/15/35 5.5 06/15/2035 2,028,692 177,302
Fannie Mae, 4.0%, 10/1/43 4.0 10/01/2043 6,376,304 5,840,262
Wells Fargo Home Equity Asset-Backed Securities 2005-2 Trust, Floating Rate Note, 11/25/35 0.597 11/25/2035 1,483,000 155,019
FREMF Mortgage Trust 2013-K713, Floating Rate Note, 4/25/46 (144A) 3.1649 04/25/2046 3,400,000 3,434,653
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 4.0 11/08/2020 1,045,936 1,044,193
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC16, 5.623%, 5/12/45 5.623 05/12/2045 4,000,000 4,056,455
Morgan Stanley, 4.875%, 11/1/22 4.875 11/01/2022 4,400,000 4,716,065
Citigroup, Inc., Floating Rate Note (Perpetual) 5.95 12/31/2049 15,280,000 15,432,142
Valero Energy Corp., 9.375%, 3/15/19 9.375 03/15/2019 4,414,000 5,554,093
US Airways, Inc., Tranche B-1 Term Loan (Consenting), 5/23/19 3.5 05/23/2019 1,103,534 1,102,549
Energy Transfer Partners LP, Floating Rate Note, 11/1/66 3.2957 11/01/2066 4,234,000 3,622,544
Government National Mortgage Association I, 6.0%, 2/15/33 6.0 02/15/2033 1,085,291 148,800
Public Service Co of New Mexico, 7.95%, 5/15/18 7.95 05/15/2018 3,725,000 4,372,533
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2.0051 04/07/2017 3,800,000 3,801,562
Federal Home Loan Mortgage Corp., 3.5%, 11/1/44 3.5 11/01/2044 725,000 721,945
Port Freeport Texas, 5.95%, 5/15/33 5.95 05/15/2033 15,970,000 17,980,188
MMM Holdings, Inc., MMM Term Loan, 12/12/17 9.75 12/12/2017 1,951,101 1,590,147
Leaf Receivables Funding 10 LLC, 3.16%, 3/15/21 (144A) 2.74 03/15/2021 1,200,000 1,195,274
KB Home, 1.375%, 2/1/19 1.375 02/01/2019 7,875,000 7,708,477
Bear Stearns ARM Trust 2003-6, Floating Rate Note, 8/25/33 2.6019 08/25/2033 44,701,000 1,988,335
AmeriCredit Automobile Receivables Trust 2013-1, 1.57%, 1/8/19 1.57 01/08/2019 3,350,000 3,358,409
Government National Mortgage Association I, 6.5%, 10/15/31 6.5 10/15/2031 316,324 6,733
Phosagro OAO via Phosagro Bond Funding, Ltd., 4.204%, 2/13/18 (144A) 4.204 02/13/2018 5,550,000 5,412,001
New Hampshire Health and Education Facilities Authority Act, 6.5%, 1/1/41 6.5 01/01/2041 4,250,000 5,025,880
HLSS Servicer Advance Receivables Trust, 3.96%, 10/15/45 (144A) 3.96 10/15/2045 976,000 976,839
SM Energy Co., 5.625%, 6/1/25 5.625 06/01/2025 3,905,000 3,889,575
Wynn Las Vegas LLC, 5.375%, 3/15/22 5.375 03/15/2022 345,000 355,635
Fifth Third Bancorp, Floating Rate Note (Perpetual) 6.625 12/31/2049 127,200 3,587,040
Government National Mortgage Association I, 4.0%, 3/15/39 4.0 03/15/2039 50,000 15,225
Fannie Mae, 4.0%, 7/1/18 4.0 07/01/2018 75,000 3,186
Government National Mortgage Association I, 5.0%, 10/15/18 5.0 10/15/2018 402,294 21,955
Irvine Core Office Trust 2013-IRV, Floating Rate Note, 5/15/48 (144A) 3.2789 05/15/2048 6,944,736 6,999,433
Minerva Luxembourg SA, 12.25%, 2/10/22 (144A) 12.25 02/10/2022 5,000,000 5,742,396
Government National Mortgage Association I, 7.0%, 5/15/31 7.0 05/15/2031 138,853 1,717
Fannie Mae, 6.5%, 11/1/32 6.5 11/01/2032 400,000 4,317
Fannie Mae, 4.0%, 10/1/44 4.0 10/01/2044 916,768 723,011
Federal Home Loan Mortgage Corp., 4.5%, 7/1/40 4.5 07/01/2040 10,363,430 2,348,851
Federal National Mortgage Association REMICS, 3.5%, 1/25/29 3.5 01/25/2029 6,000,000 91,087
Bayview Commercial Asset Trust 2007-2, 0.0%, 7/27/37 (Step) (144A) 0.0 07/27/2037 49,000,000 0
Ziggo Bv Us 1st Lien Tl-B2 L + 2.75% 15jan22 3.5 01/15/2022 1,668,085 1,651,509
West Corp., Term B-10 Loan, 6/30/18 3.25 06/30/2018 1,939,592 1,936,764
Alamo Re, Ltd., Floating Rate Note, 6/7/18 (Cat Bond) (144A) 5.9051 06/07/2018 2,200,000 2,192,850
Fannie Mae, 4.0%, 2/1/44 4.0 02/01/2044 4,875,746 4,917,032
Fannie Mae, 4.0%, 8/1/43 4.0 08/01/2043 4,563,130 4,553,160
Leaf Receivables Funding 8 LLC, 2.67%, 9/15/20 (144A) 2.67 09/15/2020 3,139,702 3,158,561
Embarcadero Reinsurance, Ltd., Floating Rate Note, 2/7/17 (Cat Bond) (144A) 5.0101 02/07/2017 3,750,000 3,780,044
Fannie Mae, 4.0%, 1/1/45 4.0 01/01/2045 2,225,464 2,254,756
Avg Technologies Nv 1st Lien Tl-B L + 4.75% 07oct20 5.75 10/07/2020 1,756,175 1,764,956
Bway Holding Co 1st Lien Tl-B L + 4.5% 08aug20 5.5 08/08/2020 1,148,400 1,155,757
Macquarie Group, Ltd., 6.0%, 1/14/20 (144A) 6.0 01/14/2020 5,945,000 6,845,592
Commercial Vehicle Group, Inc., 7.875%, 4/15/19 7.875 04/15/2019 1,125,000 1,171,828
Tronox Pigments Holland BV, New Term Loan, 3/19/20 4.25 03/19/2020 1,720,944 1,724,386
The University of Texas System, 5.0%, 8/15/43 5.0 08/15/2043 2,210,000 2,522,779
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 1.6 06/19/2031 2,435,000 2,422,696
Government National Mortgage Association I, 6.0%, 1/15/17 6.0 01/15/2017 5,010,192 31,451
Samarco Mineracao SA, 4.125%, 11/1/22 (144A) 4.125 11/01/2022 7,600,000 7,044,250
Government National Mortgage Association I, 4.0%, 11/15/44 4.0 11/15/2044 27,967 29,680
VTB Bank OJSC Via VTB Capital SA, 6.95%, 10/17/22 (144A) 6.95 10/17/2022 7,400,000 6,758,169
IASIS Healthcare LLC, Term B-2 Loan, 5/3/18 4.5 05/03/2018 6,181,466 6,197,884
Fannie Mae, 4.5%, 12/1/41 4.5 12/01/2041 6,923,896 3,599,463
RALI Series 2003-QS11 Trust, 5.25%, 6/25/33 5.25 06/25/2033 1,413,328 612,722
Structured Asset Securities Corp Mortgage Loan Trust 2007-BC2, Floating Rate Note, 3/25/37 0.317 03/25/2037 1,300,000 575,338
Fannie Mae, 4.0%, 10/1/44 4.0 10/01/2044 787,106 712,879
Government National Mortgage Association I, 4.0%, 10/15/40 4.0 10/15/2040 125,647 50,414
BRF SA, 3.95%, 5/22/23 (144A) 3.95 05/22/2023 3,500,000 3,326,852
Aviation Capital Group Corp., 4.625%, 1/31/18 (144A) 4.625 01/31/2018 3,200,000 3,376,225
Ship Midco, Ltd., Facility B2A-II, 11/29/19 5.25 11/29/2019 1,807,218 1,819,643
Nationstar Mortgage LLC, 6.5%, 6/1/22 6.5 06/01/2022 4,695,000 4,315,488
Noranda Aluminum Acquisition Corp., Term B Loan, 2/28/19 5.75 02/28/2019 1,044,900 877,716
Parish of St John the Baptist Louisiana, 5.125%, 6/1/37 5.125 06/01/2037 8,470,000 8,919,849
Government National Mortgage Association I, 4.0%, 1/15/41 4.0 01/15/2041 150,255 86,216
Government National Mortgage Association I, 4.0%, 9/15/41 4.0 09/15/2041 4,247,615 1,903,877
Enel Finance International NV, 5.125%, 10/7/19 (144A) 5.125 10/07/2019 215,000 238,274
Fannie Mae, 5.5%, 4/1/34 5.5 04/01/2034 2,750,000 165,409
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2.58 09/15/2021 10,000,000 5,888,891
Brookfield Residential Properties, Inc., 6.125%, 7/1/22 (144A) 6.125 07/01/2022 5,880,000 5,971,875
Unifrax I LLC, New Term B Dollar Loan, 11/28/18 4.25 11/28/2018 1,158,418 1,158,056
Six Flags Theme Parks, Inc., Tranche B Term Loan, 12/20/18 3.5007 12/20/2018 1,060,216 1,062,701
Qwest Corp., 7.375%, 6/1/51 7.375 06/01/2051 572,600 14,881,874
Volt Flt% 26jun45 15-Npl8 3.5 06/26/2045 4,000,000 3,997,933
Spirit Master Funding VII LLC, 3.8868%, 12/20/43 3.8868 12/21/2043 900,000 924,326
Federal National Mortgage Association REMICS, 5.0%, 9/25/39 5.0 09/25/2039 3,078,000 340,526
Denbury Resources, Inc., 4.625%, 7/15/23 4.625 07/15/2023 11,796,000 10,160,206
Government National Mortgage Association I, 4.0%, 7/15/41 4.0 07/15/2041 66,145 33,891
International Finance Corp., 7.75%, 12/3/16 7.75 12/03/2016 1,036,140,000 16,469,715
Federal Home Loan Mortgage Corp., 5.5%, 10/1/16 5.5 10/01/2016 1,152,073 3,901
Government National Mortgage Association I, 4.0%, 12/15/41 4.0 12/15/2041 33,303 20,654
Federal Home Loan Mortgage Corp., 4.5%, 11/1/43 4.5 11/01/2043 5,934,035 3,893,130
Rent-A-Center, Inc., 6.625%, 11/15/20 6.625 11/15/2020 1,995,000 1,967,001
Government National Mortgage Association I, 4.0%, 9/15/41 4.0 09/15/2041 26,673 19,181
Fannie Mae, 4.0%, 1/1/45 4.0 01/01/2045 104,052 104,601
Wilton Re Finance LLC, Floating Rate Note, 3/30/33 (144A) 5.875 03/30/2033 6,215,000 6,542,429
CCO Holdings LLC, 7.375%, 6/1/20 7.375 06/01/2020 3,775,000 4,010,544
Alterra Finance LLC, 6.25%, 9/30/20 6.25 09/30/2020 9,380,000 10,920,342
US Silica Co., Term Loan, 7/23/20 4.0 07/23/2020 1,887,186 1,843,937
Government National Mortgage Association I, 6.0%, 5/15/33 6.0 05/15/2033 1,292,064 49,719
Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A) 1.87 08/20/2029 3,200,000 847,623
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5, 4.1712%, 8/17/46 4.1712 08/17/2046 5,200,000 5,660,200
Federal Home Loan Mortgage Corp., 6.0%, 3/1/33 6.0 03/01/2033 563,857 11,172
Dolphin Energy, Ltd., 5.5%, 12/15/21 (144A) 5.5 12/15/2021 3,780,000 4,290,937
Wash Multifamily Laundry Systems L 1st Lien Tl-B L + 3.25% 05may22 4.25 05/05/2022 297,840 296,723
HOA Funding LLC, 4.846%, 8/22/44 (144A) 4.846 08/22/2044 13,800,000 13,507,596
The Ryland Group, Inc., 0.25%, 6/1/19 0.25 06/01/2019 6,805,000 6,568,243
Government National Mortgage Association I, 4.0%, 9/15/44 4.0 09/15/2044 11,865,000 9,181,930
NSG Holdings LLC, New Term Loan, 12/11/19 3.75 12/11/2019 3,776,339 3,766,898
Fannie Mae, 4.0%, 11/1/41 4.0 11/01/2041 55,000 18,334
Residential Reinsurance 2013, Ltd., Floating Rate Note, 12/6/17 (Cat Bond) (144A) 5.2956 12/06/2017 250,000 242,136
Cemex SAB de CV, 7.25%, 1/15/21 (144A) 7.25 01/15/2021 3,400,000 3,701,344
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 3.5052 01/15/2017 5,500,000 5,610,525
Cantor Fitzgerald LP, 7.875%, 10/15/19 (144A) 7.875 10/15/2019 12,855,000 14,356,413
Federal Home Loan Mortgage Corp., 5.0%, 5/1/34 5.0 05/01/2034 1,278,937 60,865
Scds: (Do) Usd 20dec19 Buy Bnr1c3dt1 1.0 12/20/2019 10,480,000 -760,957
Tesoro Corp., 5.375%, 10/1/22 5.375 10/01/2022 9,480,000 9,749,588
Reynolds Group Issuer, Inc., 9.875%, 8/15/19 9.875 08/15/2019 5,795,000 6,300,936
RegionalCare Hospital Partners, Inc., Term Loan (First Lien), 4/21/19 5.25 04/21/2019 3,185,385 3,187,376
MHP SA, 8.25%, 4/2/20 (144A) 8.25 04/02/2020 10,800,000 8,860,275
Fannie Mae, 4.0%, 1/1/42 4.0 01/01/2042 2,795,670 1,103,825
Alkermes, Inc., 2019 Term Loan, 9/25/19 3.5 09/25/2019 1,824,868 1,827,528
Fannie Mae, 4.0%, 6/1/44 4.0 06/01/2044 1,896,658 1,550,446
Fannie Mae, 5.0%, 10/1/40 5.0 10/01/2040 1,617,334 1,015,881
US Residential Opportunity Fund III Trust 2015-1, 3.7213%, 1/29/35 (144A) 3.7213 01/29/2035 1,000,000 962,033
Government National Mortgage Association I, 6.5%, 11/15/32 6.5 11/15/2032 2,258,707 75,699
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 0.827 09/25/2034 73,742,000 2,884,930
Gci Holdings Inc 1st Lien Tl-B L + 3.75% 22dec21 4.75 12/22/2021 3,285,000 3,305,531
Allegheny Technologies, Inc., 9.375%, 6/1/19 9.375 06/01/2019 3,645,000 4,311,352
Fannie Mae, 3.5%, 12/1/42 3.5 12/01/2042 50,000 42,550
Countrywide Asset-Backed Certificates, Floating Rate Note, 10/25/34 0.367 10/25/2034 12,298,000 2,083,262
Fannie Mae, 7.0%, 7/1/31 7.0 07/01/2031 306,031 661
Federal Home Loan Mortgage Corp., 6.0%, 8/1/34 6.0 08/01/2034 3,000,000 194,791
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 2.35 10/25/2035 4,594,419 1,041,397
Ensco Plc, 4.5%, 10/1/24 4.5 10/01/2024 17,750,000 17,157,274
Port Authority of New York & New Jersey, 4.458%, 10/1/62 4.458 10/01/2062 2,620,000 2,537,300
Government National Mortgage Association I, 4.0%, 8/15/44 4.0 08/15/2044 368,090 325,038
National Financial Partners 1st Lien Tl-B L + 3.5% 01jul20 4.5 07/01/2020 2,709,530 2,712,917
EnLink Midstream Partners LP, 4.4%, 4/1/24 4.4 04/01/2024 17,555,000 17,795,346
Transnet SOC, Ltd., 4.0%, 7/26/22 (144A) 4.0 07/26/2022 2,050,000 2,004,126
Kane-Pi1 Flt% 07jul16 0.0 07/07/2016 7,017,560 7,028,788
Sempra Energy, 9.8%, 2/15/19 9.8 02/15/2019 50,000 64,650
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 2.3355 06/15/2016 4,950,000 4,957,817
Romania Government Bond, 5.95%, 6/11/21 5.95 06/11/2021 34,800,000 9,851,344
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 3.75 06/30/2019 2,780,914 2,475,884
Liberty Mutual Insurance Co., 7.697% (Perpetual) (144A) 7.697   11,050,000 13,677,317
GLC Trust 2013-1, 3.0%, 7/15/21 (144A) 3.0 07/15/2021 7,000,000 4,280,541
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 4.0 06/28/2016 3,350,000 3,359,306
Aspen Insurance Holdings, Ltd., Floating Rate Note (Perpetual) 5.95 12/31/2049 250,000 6,300,000
Fannie Mae, 4.0%, 11/1/42 4.0 11/01/2042 1,510,120 961,439
Cincinnati Bell, Inc., 8.375%, 10/15/20 8.375 10/15/2020 7,371,000 7,888,301
RENT-A-CENTER, INC, Term Loan (2014), 2/6/21 3.75 02/06/2021 1,795,466 1,790,977
La Hipotecaria Panamanian Mortgage Trust 2010-1, Floating Rate Note, 9/8/39 (144A) 2.5 09/08/2039 2,150,000 1,400,077
AT&T, Inc., 4.75%, 5/15/46 4.75 05/15/2046 7,100,000 6,514,213
Fannie Mae, 4.0%, 9/1/44 4.0 09/01/2044 738,569 650,276
Government National Mortgage Association I, 5.75%, 10/15/38 5.75 10/15/2038 1,470,579 323,545
KB Home, 7.625%, 5/15/23 7.625 05/15/2023 5,985,000 6,312,637
Linn Energy LLC, 6.5%, 5/15/19 6.5 05/15/2019 9,200,000 7,505,411
Par Pharmaceutical Cos Inc 1st Lien Tl-B3 L + 3.25% 28sep19 4.25 09/28/2019 1,990,000 1,991,244
Inversiones Alsacia SA, 8.0%, 12/31/18 (144A) 8.0 12/31/2018 6,782,041 3,549,633
STORE Master Funding LLC, 4.21%, 4/20/44 (144A) 4.21 04/20/2044 165,000 167,044
Government National Mortgage Association I, 4.0%, 4/15/39 4.0 04/15/2039 90,132 21,945
Government National Mortgage Association I, 4.0%, 9/15/41 4.0 09/15/2041 47,168 22,312
Government National Mortgage Association I, 6.5%, 9/15/32 6.5 09/15/2032 1,709,146 115,752
Sequoia Mortgage Trust 2013-7, Floating Rate Note, 6/25/43 3.0 06/25/2043 7,399,368 6,110,166
Capital Automotive Real Estate Investment Trust, 3.66%, 10/17/44 (144A) 3.66 10/17/2044 11,000,000 10,978,513
Fannie Mae, 4.0%, 8/13/15 4.0 08/13/2015 33,900,000 35,882,132
Vat 1st Lien Tl-B L + 3.25% 11feb21 4.25 02/11/2021 1,593,955 1,593,955
Sector Re V, Ltd., 3/1/20 (Cat Bond) (144A) 0.0 03/01/2020 4,700,000 4,726,320
Kane Flt% 31jul15   07/31/2015 7,100,000 7,100,000
Albertsons Llc 1st Lien Term Loa L + 5.2669% 11aug21 5.5 08/11/2021 1,496,250 1,505,687
Fannie Mae, 5.0%, 7/1/40 5.0 07/01/2040 11,275,000 2,918,492
Newhall Land Development LLC     269,588 988,444
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 2.563 10/25/2033 28,400,000 2,292,697
Federal Home Loan Mortgage Corp., 5.0%, 11/1/34 5.0 11/01/2034 750,000 70,431
Government National Mortgage Association I, 6.0%, 6/15/33 6.0 06/15/2033 3,345,634 311,093
Pinnacle Entertainment, Inc., Tranche B-2 Term Loan, 8/13/20 3.75 08/13/2020 4,730,790 4,735,436
Federal National Mortgage Association REMICS, 4.5%, 6/25/29 4.5 06/25/2029 4,635,000 3,242,299
Union Andina de Cementos SAA, 5.875%, 10/30/21 (144A) 5.875 10/30/2021 4,250,000 4,340,121
Crown Castle Towers LLC, 4.883%, 8/15/20 (144A) 4.883 08/15/2020 6,850,000 7,449,534
Alfa Bank OJSC Via Alfa Bond Issuance Plc, 7.5%, 9/26/19 (144A) 7.5 09/26/2019 12,500,000 12,247,396
Indonesia Treasury Bond, 7.0%, 5/15/22 7.0 05/15/2022 34,113,000,000 2,403,788
Lorillard Tobacco Co., 3.75%, 5/20/23 3.75 05/20/2023 4,700,000 4,588,135
Fannie Mae, 3.5%, 8/1/42 3.5 08/01/2042 48,680,354 39,760,768
China Government Bond, 3.0%, 11/21/19 3.0 11/21/2019 62,500,000 10,088,413
Eastman Chemical Co., 4.8%, 9/1/42 4.8 09/01/2042 4,140,000 4,037,167
Government National Mortgage Association I, 4.5%, 6/15/41 4.5 06/15/2041 4,610,835 3,108,532
CeramTec GmbH, Dollar Term B-3 Loan, 8/30/20 4.25 08/30/2020 1,581,199 1,584,164
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates Series 20, Floating Rate Note 0.667 07/25/2035 6,674,000 5,692,536
Rosneft Finance SA, 7.875%, 3/13/18 (144A) 7.875 03/13/2018 1,250,000 1,335,781
Mexican Udibonos, 3.5%, 12/14/17 3.5 12/14/2017 44,360,000 15,863,840
Government National Mortgage Association I, 4.0%, 11/15/44 4.0 11/15/2044 508,546 538,238
Pride International, Inc., 6.875%, 8/15/20 6.875 08/15/2020 2,250,000 2,631,695
Government National Mortgage Association I, 4.0%, 11/15/40 4.0 11/15/2040 127,425 96,606
Truman Capital Mortgage Loan Trust, Floating Rate Note, 1/25/34 1.887 01/25/2034 3,275,000 2,701,509
Kinder Morgan Energy Partners LP, 5.95%, 2/15/18 5.95 02/15/2018 5,225,000 5,827,175
Prestige Brands, Inc., Term B-3 Loan, 9/3/21 3.5 09/03/2021 4,041,646 4,041,646
JP Morgan Mortgage Trust 2013-1, Floating Rate Note, 3/25/43 (144A) 2.5 03/25/2043 32,120,000 19,436,691
Enterprise Products Operating LLC, 3.7%, 2/15/26 3.7 02/15/2026 10,750,000 10,468,490
Morgan Stanley Capital I Trust 2015-XLF1, Floating Rate Note, 8/14/31 (144A) 2.3855 08/14/2031 3,000,000 3,003,610
Wyle 1st Lien Tl-B L + 4% 22may21 5.0 05/22/2021 1,182,829 1,183,923
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2003-A3, 5.5%, 8/25/33 (Step) 5.5 08/25/2033 43,853,000 2,546,110
North East Independent School District Texas, 5.25%, 2/1/31 5.25 02/01/2031 11,120,000 14,174,608
Poland Government International Bond, 4.0%, 1/22/24 4.0 01/22/2024 6,700,000 7,128,242
Vertafore, Inc., Term Loan (2013), 10/3/19 4.25 10/03/2019 5,753,644 5,762,274
Government National Mortgage Association II, 6.5%, 1/20/28 6.5 01/20/2028 32,371 380
Federal Home Loan Mortgage Corp., 4.0%, 2/1/44 4.0 02/01/2044 1,000,000 911,915
Ziggo Bv Us 1st Lien Tl-B1 L + 2.75% 15jan22 3.5 01/15/2022 2,588,511 2,562,789
Federal Home Loan Mortgage Corp., 5.0%, 9/1/38 5.0 09/01/2038 6,942,604 546,901
VOLT XIX LLC, 3.875%, 4/26/55 (Step) 3.875 04/26/2055 5,300,000 3,310,697
Federal National Mortgage Association, 4.0%, 8/1/44 4.0 08/01/2044 1,200,000 1,137,233
Rural, Term Loan, 6/30/18