Pioneer Bond Fund

Top 10 Portfolio Holdings as of 6/30/2015
Default: sorted by market value

Security Name Par / Shares Market Value
14112z Zero% 01feb19 3,600,000 $3,809,160
17079z Zero% 31mar18 1,300,000 $1,321,710
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 1,750,000 $392,342
A10 Term Asset Financing 2013-2 LLC, 2.62%, 11/15/27 (144A) 2,794,000 $2,042,864
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 2,800,000 $163,105
Acgl Zero% 01jul16 1,000,000 $1,022,200
Activision Blizzard, Inc., 6.125%, 9/15/23 (144A) 650,000 $708,848
Activision Blizzard, Inc., Term Loan, 7/26/20 1,146,608 $1,150,907
Adobe Systems, Inc., 3.25%, 2/1/25 8,100,000 $7,933,456
Adsk 3.125% 15jun20 10,450,000 $10,486,763
Affiliated Managers Group, Inc., 4.25%, 2/15/24 2,525,000 $2,642,326
Affinion Group, Inc., Tranche B Term Loan, 4/30/18 1,059,566 $1,021,157
Aflac, Inc., 3.625%, 11/15/24 7,000,000 $7,056,245
Africa Finance Corp., 4.375%, 4/29/20 (144A) 4,550,000 $4,629,783
Agate Bay Mortgage Trust 2015-1, Floating Rate Note, 1/25/45 (144A) 10,000,000 $8,492,949
Agate Bay Mortgage Trust 2015-2, Floating Rate Note, 3/25/45 (144A) 6,830,000 $6,574,702
Agilent Technologies, Inc., 6.5%, 11/1/17 894,000 $996,758
Agrium, Inc., 4.125%, 3/15/35 2,800,000 $2,541,869
Agrium, Inc., 5.25%, 1/15/45 7,600,000 $7,922,490
Air Canada 2013-1 Class A Pass Through Trust, 4.125%, 11/15/26 (144A) 5,000,000 $4,771,213
Air Canada 2015-1 Class A Pass Through Trust, 3.6%, 9/15/28 (144A) 4,025,000 $3,993,203
Aircastle, Ltd., 6.75%, 4/15/17 2,800,000 $3,021,900
Alamo Re, Ltd., Floating Rate Note, 6/7/18 (Cat Bond) (144A) 1,000,000 $998,717
Alexandria Real Estate Equities, Inc., 2.75%, 1/15/20 75,000 $75,188
Alexandria Real Estate Equities, Inc., 3.9%, 6/15/23 1,093,000 $1,090,333
Alexandria Real Estate Equities, Inc., 4.6%, 4/1/22 2,670,000 $2,843,376
Alkermes, Inc., 2019 Term Loan, 9/25/19 746,164 $747,252
Allison Transmission, Inc., Term B-3 Loan, 8/23/19 1,131,432 $1,135,144
Ally Financial, Inc., 3.6%, 5/21/18 1,500,000 $1,508,175
Ally Financial, Inc., 4.625%, 3/30/25 800,000 $771,353
Ally Financial, Inc., 5.125%, 9/30/24 5,050,000 $5,128,047
Ally Financial, Inc., 7.0% (Perpetual) (144A) 1,250 $1,269,336
Alta Wind Holdings LLC, 7.0%, 6/30/35 (144A) 700,000 $655,260
Alternative Loan Trust 2003-14T1, Floating Rate Note, 8/25/18 11,900,000 $399,152
Alternative Loan Trust 2003-21T1, 5.75%, 12/25/33 4,205,000 $1,606,010
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 8,370,000 $145,567
Alternative Loan Trust 2004-J5, Floating Rate Note, 8/25/34 9,407,000 $8,680,450
Alterra Finance LLC, 6.25%, 9/30/20 3,000,000 $3,492,647
Altice Financing SA, 7.875%, 12/15/19 (144A) 1,675,000 $1,768,800
Altrl Zero% 30jun16 937,930 $546,438
Altrl Zero% 30jun17 1,400,000 $1,442,000
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 2,200,000 $2,188,884
American Homes 4 Rent 2014-SFR3 Trust, 4.596%, 12/18/36 (144A) 2,800,000 $2,911,485
American Homes 4 Rent 2014-SFR3 Trust, 5.04%, 12/18/36 (144A) 700,000 $732,996
American Homes 4 Rent 2015-SFR1, 4.11%, 4/17/45 (144A) 1,300,000 $1,293,999
American Honda Finance Corp., 1.2%, 7/14/17 5,985,000 $6,023,122
American International Group, Inc., 3.875%, 1/15/35 5,985,000 $5,512,790
AmeriCredit Automobile Receivables Trust 2013-1, 1.57%, 1/8/19 800,000 $802,008
Amherst College, 3.794%, 11/1/42 525,000 $496,806
Amphenol Corp., 3.125%, 9/15/21 3,675,000 $3,711,446
Apf 2.61% 15apr20 15-A-A 2,500,000 $2,502,650
Applebee's Funding LLC/ IHOP Funding LLC, 4.277%, 9/5/44 (144A) 2,600,000 $2,643,389
Approach Resources, Inc., 7.0%, 6/15/21 1,500,000 $1,354,667
Aquarius + Investments Plc for Swiss Reinsurance Co, Ltd., Floating Rate Note, 9/1/24 1,800,000 $1,956,839
Arbor Realty Collateralized Loan Obligation 2015-FL1, Ltd., Floating Rate Note, 3/15/25 (144A) 4,200,000 $4,203,613
Ardent Medical Services, Inc., Term Loan (First Lien), 7/2/18 498,319 $499,980
Arlington Flt% 01aug15 700,000 $797,510
Ascentium Equipment Receivables 2015-1 LLC, 3.24%, 1/10/22 (144A) 2,200,000 $2,213,449
Asciano Finance, Ltd., 4.625%, 9/23/20 (144A) 529,000 $567,745
Aspen Insurance Holdings, Ltd., Floating Rate Note (Perpetual) 50,000 $1,260,000
Assurant, Inc., 4.0%, 3/15/23 3,900,000 $3,947,938
Astoria Financial Corp., 5.0%, 6/19/17 2,300,000 $2,418,320
AT&T, Inc., 4.75%, 5/15/46 2,250,000 $2,064,363
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 500,000 $512,880
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 250,000 $255,165
Australia & New Zealand Banking Group, Ltd., 4.5%, 3/19/24 (144A) 5,215,000 $5,310,502
AutoZone, Inc., 2.5%, 4/15/21 2,575,000 $2,534,082
Avago Technologies Ltd 1st Lien Tl-B L + 3% 16apr21 324,504 $325,426
Avg Technologies Nv 1st Lien Tl-B L + 4.75% 07oct20 606,950 $609,985
Aviation Capital Group Corp., 6.75%, 4/6/21 (144A) 3,725,000 $4,313,932
AXA SA, 8.6%, 12/15/30 2,335,000 $3,138,187
Axis Equipment Finance Receivables III LLC, 3.41%, 4/20/20 (144A) 700,000 $697,459
AXIS Equipment Finance Receivables II LLC, 4.94%, 7/20/18 (144A) 500,000 $513,402
B2R Mortgage Trust 2015-1, 2.524%, 5/15/48 (144A) 1,100,000 $1,091,981
Ball Corp., 4.0%, 11/15/23 2,275,000 $2,121,690
BAMLL Commercial Mortgage Securities Trust 2014-FL1, Floating Rate Note, 12/17/31 (144A) 2,580,000 $2,588,158
BAMLL Commercial Mortgage Securities Trust 2014-INLD, Floating Rate Note, 12/17/29 1,600,000 $1,605,578
BAMLL Commercial Mortgage Securities Trust 2015-ASHF, Floating Rate Note, 1/18/28 (144A) 4,200,000 $4,203,629
Banc of America Alternative Loan Trust 2003-2, 5.75%, 4/25/33 6,525,000 $632,974
Banc of America Alternative Loan Trust 2004-6, 5.0%, 7/25/19 10,861,500 $1,235,536
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 3,660,000 $3,510,543
Banc of America Funding 2003-3 Trust, 5.5%, 10/25/33 3,903,805 $637,786
Banc of America Funding 2010-R4 Trust REMICS, Floating Rate Note, 8/26/36 (144A) 3,200,000 $25,181
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 27,814,878 $1,091,606
Banc of America Mortgage Trust 2004-11, 5.75%, 1/25/35 11,116,000 $802,684
Banc of America Mortgage Trust 2004-9, 5.5%, 11/25/34 2,350,000 $921,269
Bank of America Corp., 4.2%, 8/26/24 1,150,000 $1,164,002
Bank of America Corp., 7.75%, 8/15/15 1,100,000 $1,140,304
Bank of America Corp., Floating Rate Note, 10/23/49 6,975,000 $7,304,762
Bank of America Corp., Floating Rate Note, 9/29/49 2,200,000 $2,234,692
Bank of America Corp., Floating Rate Note (Perpetual) 3,950,000 $3,970,233
Barclays Bank Plc, 6.05%, 12/4/17 (144A) 3,515,000 $3,840,406
Barclays Plc, 3.65%, 3/16/25 5,250,000 $5,021,330
Baylor University, 4.313%, 3/1/42 1,025,000 $1,029,742
Bayview Commercial Asset Trust 2007-2, 0.0%, 7/27/37 (Step) (144A) 21,000,000 $0
Bayview Commercial Asset Trust 2007-4, 3.491129%, 9/25/37 (Step) (144A) 13,200,000 $201,379
Bayview Commercial Asset Trust 2008-1, Floating Rate Note, 1/25/38 (144A) 12,910,000 $1,307,095
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 400,000 $317,783
Bayview Financial Mortgage Pass-Through Trust 2006-A, 5.865%, 2/28/41 (Step) 1,462,628 $1,530,253
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 1,486,142 $1,045,053
BB&T Corp., 5.625% (Perpetual) 85,000 $2,051,050
BBVA Bancomer SA Texas, 4.375%, 4/10/24 (144A) 2,400,000 $2,452,425
BBVA Bancomer SA Texas, 6.5%, 3/10/21 (144A) 3,815,000 $4,206,196
Bccfc 3.622% 20nov20 15-1-C 1,650,000 $1,650,966
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 20,675,000 $2,163,938
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 14,000,000 $1,579,971
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 34,555,000 $2,535,566
Bear Stearns ALT-A Trust 2005-1, Floating Rate Note, 1/25/35 13,520,000 $911,572
Bear Stearns ARM Trust 2003-6, Floating Rate Note, 8/25/33 69,274,000 $3,081,362
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 4,920,000 $1,425,332
Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36 1,949,000 $865,208
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7, Floating Rate Note, 2/11/41 1,000,000 $1,004,081
Bear Stearns Commercial Mortgage Securities Trust 2006-TOP22, Floating Rate Note, 4/12/38 2,600,000 $2,099,302
Becton Dickinson and Co., 3.734%, 12/15/24 10,525,000 $10,507,061
Bed Bath & Beyond, Inc., 3.749%, 8/1/24 2,000,000 $2,026,254
Bella Vista Mortgage Trust 2004-1, Floating Rate Note, 11/20/34 66,102,000 $1,499,754
Blackstone Holdings Finance Co LLC, 4.75%, 2/15/23 (144A) 4,950,000 $5,390,245
Blackstone Holdings Finance Co LLC, 5.0%, 6/15/44 (144A) 1,725,000 $1,733,141
Blackstone Holdings Finance Co LLC, 6.25%, 8/15/42 (144A) 1,975,000 $2,352,032
BLCP Hotel Trust, Floating Rate Note, 8/15/29 (144A) 2,210,000 $2,218,443
Bll 5.25% 01jul25 4,000,000 $3,958,500
Blue Danube II, Ltd., Floating Rate Note, 5/23/18 (Cat Bond) (144A) 3,050,000 $3,045,938
BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros, 5.5%, 7/16/20 (144A) 3,200,000 $3,472,667
Boardwalk Pipelines LP, 4.95%, 12/15/24 5,550,000 $5,454,890
Bowdoin College, 4.693%, 7/1/12 1,000,000 $859,868
BP Capital Markets Plc, 3.062%, 3/17/22 4,175,000 $4,201,047
Brixmor Operating Partnership LP, 3.85%, 2/1/25 4,225,000 $4,132,781
Brocade Communications Systems, Inc., 4.625%, 1/15/23 2,860,000 $2,828,043
Brown & Brown, Inc., 4.2%, 9/15/24 5,000,000 $4,997,238
Buckeye Partners LP, 4.15%, 7/1/23 5,425,000 $5,400,154
Burlington Northern Santa Fe LLC, 4.15%, 4/1/45 13,825,000 $12,929,363
Bway Holding Co 1st Lien Tl-B L + 4.5% 08aug20 198,000 $199,268
BXG Receivables Note Trust 2015-A, 2.88%, 5/2/30 (144A) 3,000,000 $2,775,031
Bxlt 3.6% 23jun22 144a 11,025,000 $11,027,007
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 1,250,000 $1,242,771
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/20 (Cat Bond) (144A) 1,850,000 $1,887,935
California Educational Facilities Authority, 5.0%, 6/1/43 1,980,000 $2,502,317
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 2,126,000 $244,064
California Statewide Communities Development Authority, 6.0%, 8/15/42 2,925,000 $3,532,396
Canadian Natural Resources, Ltd., 6.5%, 2/15/37 2,230,000 $2,587,983
Cantor Fitzgerald LP, 7.875%, 10/15/19 (144A) 2,980,000 $3,328,052
Capella Healthcare Inc 1st Lien Tl-B L + 4.25% 31dec21 339,150 $339,998
Capital Automotive Real Estate Investment Trust, 3.66%, 10/17/44 (144A) 3,000,000 $2,994,140
Capital Auto Receivables Asset Trust 2013-1, 1.74%, 10/22/18 2,900,000 $2,909,424
Capital One Bank USA NA, 8.8%, 7/15/19 1,465,000 $1,856,596
Capital One Financial Corp., 3.75%, 4/24/24 6,650,000 $6,665,815
Cardtronics, Inc., 5.125%, 8/1/22 (144A) 3,000,000 $2,996,563
Carefree Portfolio Trust 2014-CARE, Floating Rate Note, 11/15/29 (144A) 2,460,000 $2,472,398
Carlyle Holdings II Finance LLC, 5.625%, 3/30/43 (144A) 5,930,000 $6,245,107
Carrington Mortgage Loan Trust Series 2005-NC4, Floating Rate Note, 9/25/35 725,000 $59,671
Catalent 1st Lien Tl-B L + 3.5% 08may21 1,637,121 $1,642,237
Catholic Health Initiatives, 4.35%, 11/1/42 2,600,000 $2,396,482
CBS Corp., 3.7%, 8/15/24 6,125,000 $6,070,639
CBS Corp., 4.6%, 1/15/45 2,250,000 $2,057,617
CDGJ Commercial Mortgage Trust 2014-BXCH, Floating Rate Note, 12/15/27 (144A) 3,990,000 $4,004,243
CEMEX Espana SA, 9.875%, 4/30/19 (144A) 3,328,000 $3,697,184
CeramTec Acquisition Corp., Initial Dollar Term B-2 Loan, 8/30/20 105,893 $106,091
CeramTec GmbH, Dollar Term B-3 Loan, 8/30/20 314,222 $314,811
CeramTec Service GmbH, Initial Dollar Term B-1 Loan, 8/30/20 1,043,696 $1,045,653
CF Industries, Inc., 5.15%, 3/15/34 4,845,000 $4,858,900
Cgcmt 3.371% 10oct47 14-Gc25-Aa 5,000,000 $5,154,331
Charter Communications Operating L 1st Lien Bridge L + 6.625% 26may16 3,685,000 $3,685,000
Charter Communications Operating LLC, Term F Loan, 12/31/20 1,690,500 $1,672,011
Chemtura Corp., New Term Loan, 8/29/16 154,286 $154,543
Chesapeake Funding LLC, Floating Rate Note, 2/7/27 (144A) 1,600,000 $1,603,475
Chesapeake Funding LLC, Floating Rate Note, 3/4/26 400,000 $398,875
CHL Mortgage Pass-Through Trust 2003-56, Floating Rate Note, 12/25/33 10,000,000 $470,465
CHS, Incremental 2018 Term F Loans, 12/31/18 592,659 $592,870
CHS, Incremental 2019 Term G Loan, 12/31/19 1,119,878 $1,121,278
CHS, Incremental 2021 Term H Loan, 1/27/21 2,060,545 $2,065,839
Cincinnati Bell, Inc., Tranche B Term Loan, 9/10/20 1,920,788 $1,921,187
Cinedigm Digital Funding I LLC, Term Loan, 2/28/18 318,163 $318,561
Cisco Systems, Inc., 3.625%, 3/4/24 3,485,000 $3,636,828
CIT Equipment Collateral 2014-VT1, 2.65%, 2/20/20 (144A) 1,400,000 $1,408,386
Citigroup, Inc., Floating Rate Note (Perpetual) 2,850,000 $2,870,773
Citigroup, Inc., Floating Rate Note (Perpetual) 2,925,000 $2,979,647
Citigroup, Inc., Floating Rate Note (Perpetual) 197,000 $5,391,890
Citigroup, Inc., Floating Rate Note (Perpetual) 2,295,000 $2,317,851
Citigroup Capital XIII, Floating Rate Note, 10/30/40 87,990 $2,284,220
Citigroup Mortgage Loan Trust, Inc., 5.5%, 9/25/34 4,860,000 $1,131,532
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 1,100,000 $996,775
Citigroup Mortgage Loan Trust, Inc. REMICS, Floating Rate Note, 8/25/34 17,660,000 $2,960,150
Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A) 5,372,163 $468,642
Citigroup Mortgage Loan Trust 2014-A, Floating Rate Note, 1/1/35 (144A) 1,000,000 $645,087
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 250,000 $245,089
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 550,000 $539,722
City Center Trust 2011-CCHP, Floating Rate Note, 7/17/28 (144A) 1,000,000 $1,002,661
CKE Restaurant Holdings, Inc., 4.474%, 3/20/43 (144A) 3,924,000 $3,855,411
Clearwater Paper Corp., 4.5%, 2/1/23 1,285,000 $1,241,631
Cme: (Cdx.Na.Ig.23.V1) Usd 20dec19 Z91mv4jb8 25,000,000 $402,096
CNH Equipment Trust 2013-A, 0.69%, 6/15/18 1,200,000 $613,569
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 5,000,000 $385,721
CNOOC Nexen Finance 2014 ULC, 4.25%, 4/30/24 5,275,000 $5,425,071
CoBank ACB, 7.875%, 4/16/18 (144A) 1,190,000 $1,393,085
CoBank ACB, Floating Rate Note (Perpetual) (144A) 28,000 $2,884,876
Colbun SA, 4.5%, 7/10/24 (144A) 4,300,000 $4,381,446
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A) 1,800,000 $1,784,919
Colony Multifamily Mortgage Trust 2014-1, 2.5432%, 4/22/50 (144A) 4,000,000 $3,160,689
COMM 2012-CCRE2 Mortgage Trust, 3.147%, 8/15/45 850,000 $868,162
COMM 2012-CCRE2 Mortgage Trust REMICS, 3.791%, 8/17/45 450,000 $471,840
COMM 2012-CCRE4 Mortgage Trust, 2.436%, 10/17/45 915,000 $918,928
COMM 2012-LC4 Mortgage Trust, 4.063%, 12/12/44 4,000,000 $4,268,247
COMM 2013-CCRE11 Mortgage Trust, Floating Rate Note, 12/8/50 (144A) 4,200,000 $4,484,534
COMM 2013-LC6 Mortgage Trust, 2.941%, 1/12/46 1,900,000 $1,903,089
COMM 2014-FL5 Mortgage Trust, Floating Rate Note, 10/17/31 (144A) 3,800,000 $3,799,184
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 4,150,000 $4,147,010
COMM 2015-CCRE23 Mortgage Trust, 3.807%, 5/12/48 (144A) 1,750,000 $1,784,982
Commercial Metals Co., 4.875%, 5/15/23 3,550,000 $3,359,114
Commercial Mortgage Pass Through Certificates, 2.822%, 10/17/45 3,850,000 $3,842,757
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 4,000,000 $1,319,977
Commonwealth Edison Co., 6.15%, 9/15/17 980,000 $1,097,531
CommScope, Inc., Tranche 4 Term Loan, 1/14/18 342,733 $343,074
Compass Re II, Ltd., Floating Rate Note, 12/8/15 (Cat Bond) (144A) 1,100,000 $1,047,640
ConocoPhillips Co., 3.35%, 11/15/24 5,350,000 $5,316,983
Consolidated Edison Co of New York, Inc., 4.625%, 12/1/54 5,475,000 $5,352,180
Constellation Brands, Inc., 3.75%, 5/1/21 630,000 $621,338
Consumer Credit Origination Loan Trust 2015-1, 2.82%, 3/15/21 (144A) 2,500,000 $2,012,236
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA Netherlands, 3.875%, 2/8/22 3,435,000 $3,626,327
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA Netherlands, 3.95%, 11/9/22 6,425,000 $6,460,797
Countrywide Asset-Backed Certificates, Floating Rate Note, 12/25/35 10,124,000 $2,005,692
Credit Agricole SA, Floating Rate Note (Perpetual) (144A) 5,075,000 $4,960,672
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 7/25/36 1,000,000 $987,946
Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40 3,500,000 $2,477,741
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 6/25/33 1,000,000 $184,084
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 5,025,000 $2,754,855
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 6/25/34 4,049,418 $519,219
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 3/15/28 (144A) 2,700,000 $2,691,189
Credit Suisse New York NY, 1.75%, 1/29/18 7,000,000 $7,024,506
CRH America, Inc., 3.875%, 5/18/25 (144A) 10,600,000 $10,553,058
Crockett Cogeneration LP, 5.869%, 3/30/25 (144A) 1,010,000 $574,227
Crown Castle 1st Lien Term-B2 L + 2.5% 31jan21 1,492,424 $1,486,268
Crown Castle Towers LLC, 4.883%, 8/15/20 (144A) 3,015,000 $3,278,883
Crown Castle Towers LLC, 6.113%, 1/15/20 (144A) 1,625,000 $1,854,663
Csco 3% 15jun22 3,800,000 $3,822,407
CS Intermediate Holdco 2 LLC, Term Loan, 3/28/21 1,736,842 $1,736,481
CSMC Trust 2013-IVR2, Floating Rate Note, 4/27/43 (144A) 8,805,000 $6,694,710
CSMC Trust 2013-IVR4, Floating Rate Note, 7/27/43 (144A) 3,790,000 $3,212,786
CSMC Trust 2013-IVR4, Floating Rate Note, 7/27/43 (144A) 2,860,000 $2,391,566
CSMC Trust 2014-WIN1, Floating Rate Note, 9/25/44 (144A) 11,130,000 $6,638,087
CSMC Trust 2015-2, 3.0%, 2/25/45 10,218,000 $9,560,559
CubeSmart LP, 4.8%, 7/15/22 730,000 $801,319
Cummins, Inc., 5.65%, 3/1/98 3,727,000 $3,988,175
Cummins, Inc., 6.75%, 2/15/27 910,000 $1,141,658
CVS Health Corp., 2.25%, 8/12/19 650,000 $652,695
CVS Pass-Through Trust, 5.298%, 1/11/27 (144A) 1,200,000 $718,288
CVS Pass-Through Trust, 5.773%, 1/10/33 (144A) 1,555,000 $1,553,965
CWABS Asset-Backed Certificates Trust 2004-7, Floating Rate Note, 12/25/34 1,400,000 $607,175
DAE Aviation Holdings, Inc., Replacement Tranche B-1 Loan, 11/2/18 1,204,479 $1,207,792
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 1,239,313 $1,246,672
DaVita HealthCare Partners, Inc., Tranche B Term Loan, 6/19/21 251,141 $251,534
DB Master Finance LLC 2015-1, 3.98%, 2/21/45 (144A) 5,000,000 $4,990,003
DBUBS 2011-LC3 Mortgage Trust, Floating Rate Note, 8/12/44 (144A) 1,900,000 $2,167,814
DCP Midstream LLC, 9.75%, 3/15/19 (144A) 2,900,000 $3,448,469
DCP Midstream LLC, Floating Rate Note, 5/21/43 (144A) 3,950,000 $3,156,050
DCP Midstream Operating LP, 5.6%, 4/1/44 2,125,000 $1,925,029
DCT Industrial Operating Partnership LP, 4.5%, 10/15/23 1,475,000 $1,515,704
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 1,895,000 $1,894,430
Delphi Corp., 4.15%, 3/15/24 5,400,000 $5,648,089
Delphi Financial Group, Inc., 7.875%, 1/31/20 1,850,000 $2,253,530
Delphi Financial Group, Inc., Floating Rate Note, 5/15/37 153,800 $3,854,613
Delta Air Lines, Inc., Term Loan, 4/20/17 1,645,725 $1,645,314
DigitalGlobe, Inc., 5.25%, 2/1/21 (144A) 2,600,000 $2,601,625
DigitalGlobe, Inc., Term Loan, 1/31/20 2,569,902 $2,575,525
DIRECTV Holdings LLC, 3.8%, 3/15/22 6,200,000 $6,305,034
DIRECTV Holdings LLC, 3.95%, 1/15/25 4,900,000 $4,911,556
Discovery Communications LLC, 3.45%, 3/15/25 1,850,000 $1,757,034
Dollar Tree Inc 1st Lien Tl-B1 L + 2.75% 09mar22 666,667 $667,778
Dominion Resources, Inc. Virginia, 3.625%, 12/1/24 5,170,000 $5,142,169
Domino's Pizza Master Issuer LLC, 5.216%, 1/27/42 (144A) 4,051,000 $4,077,832
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 1,250,000 $1,156,063
Duke Energy Progress, Inc., 4.15%, 12/1/44 8,700,000 $8,437,872
Duke Realty LP, 3.625%, 4/15/23 2,175,000 $2,166,648
Duke Realty LP, 3.75%, 12/1/24 5,300,000 $5,282,595
DuPont Fabros Technology LP, 5.875%, 9/15/21 1,250,000 $1,287,248
DynCorp International, Inc., Term Loan, 7/7/16 425,419 $421,342
Dynegy, Inc., Tranche B-2 Term Loan, 4/23/20 1,018,588 $1,021,665
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A) 250,000 $253,088
East Lane Re VI, Ltd., Floating Rate Note, 3/13/20 (Cat Bond) (144A) 700,000 $689,217
Eastman Chemical Co., 4.8%, 9/1/42 980,000 $955,658
Eaton Vance Corp., 6.5%, 10/2/17 733,000 $819,774
Eden Re II, Ltd., 0.0%, 4/19/18 (Cat Bond) (144A) 2,500,000 $2,547,500
Electricite de France SA, 6.0%, 1/22/14 (144A) 4,250,000 $4,637,893
Electricite de France SA, Floating Rate Note (Perpetual) (144A) 2,150,000 $2,200,346
Embarcadero Reinsurance, Ltd., Floating Rate Note, 2/7/17 (Cat Bond) (144A) 2,650,000 $2,671,231
Empresa Electrica Angamos SA, 4.875%, 5/25/29 (144A) 2,825,000 $2,792,018
Endo Finance LLC, 6.0%, 2/1/25 (144A) 520,000 $541,797
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 2,012,986 $2,017,390
Enel Finance International NV, 5.125%, 10/7/19 (144A) 3,365,000 $3,729,266
Enel S.p.A., Floating Rate Note, 9/24/73 (144A) 2,320,000 $2,716,897
Energy Transfer Partners LP, 4.05%, 3/15/25 500,000 $477,626
Energy Transfer Partners LP, Floating Rate Note, 11/1/66 1,200,000 $1,026,701
Engility Holdings Inc 1st Lien Tl-B L + 5.5% 12may20 641,293 $649,042
EnLink Midstream Partners LP, 4.4%, 4/1/24 7,040,000 $7,136,385
Ensco Plc, 4.5%, 10/1/24 4,725,000 $4,567,218
Entegris, Inc., 6.0%, 4/1/22 (144A) 2,500,000 $2,606,250
Enterprise Products Operating LLC, 3.7%, 2/15/26 3,825,000 $3,724,835
Enterprise Products Operating LLC, 3.9%, 2/15/24 5,310,000 $5,410,286
EP Energy LLC, 9.375%, 5/1/20 1,800,000 $1,951,785
Equinix, Inc., 5.75%, 1/1/25 1,875,000 $1,922,435
ERAC USA Finance LLC, 4.5%, 2/15/45 (144A) 4,600,000 $4,303,976
Essex Portfolio LP, 3.5%, 4/1/25 9,125,000 $8,929,571
EverBank Mortgage Loan Trust REMICS, Floating Rate Note, 4/25/43 (144A) 4,393,000 $4,086,274
Exc 2.85% 15jun20 4,250,000 $4,281,392
Expedia, Inc., 4.5%, 8/15/24 5,900,000 $6,051,193
Expedia, Inc., 5.95%, 8/15/20 800,000 $909,675
Export-Import Bank of Korea, 2.25%, 1/21/20 7,475,000 $7,477,399
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 1,100,000 $190,771
F 2.24% 15jun18 4,975,000 $4,983,006
Fannie Mae, 3.0%, 12/1/42 2,352,529 $1,899,093
Fannie Mae, 3.0%, 7/1/43 1,019,821 $903,796
Fannie Mae, 3.0%, 7/16/15 3,900,000 $4,045,305
Fannie Mae, 3.0%, 8/1/42 24,375,000 $21,531,654
Fannie Mae, 3.0%, 9/1/28 7,125,717 $6,084,100
Fannie Mae, 3.0%, 9/1/42 7,819,203 $6,784,171
Fannie Mae, 3.0%, 9/1/43 6,720,470 $6,130,432
Fannie Mae, 3.5%, 11/1/42 380,000 $325,854
Fannie Mae, 3.5%, 12/1/26 4,340,805 $2,036,148
Fannie Mae, 3.5%, 12/1/42 1,015,373 $784,612
Fannie Mae, 3.5%, 12/1/42 1,000,000 $851,002
Fannie Mae, 3.5%, 2/1/29 4,606,320 $3,820,848
Fannie Mae, 3.5%, 2/1/44 18,215,601 $15,648,020
Fannie Mae, 3.5%, 4/1/45 10,310,000 $10,600,453
Fannie Mae, 3.5%, 6/1/28 5,531,277 $4,461,459
Fannie Mae, 3.5%, 7/1/43 3,767,763 $3,350,196
Fannie Mae, 3.5%, 7/14/15 13,008,000 $13,421,795
Fannie Mae, 3.5%, 9/1/44 5,275,000 $4,994,705
Fannie Mae, 4.0%, 1/1/42 1,821,298 $743,689
Fannie Mae, 4.0%, 1/1/42 2,000,000 $789,668
Fannie Mae, 4.0%, 1/1/44 273,906 $226,017
Fannie Mae, 4.0%, 1/1/45 868,181 $909,613
Fannie Mae, 4.0%, 1/1/45 512,424 $531,276
Fannie Mae, 4.0%, 1/1/45 194,065 $198,858
Fannie Mae, 4.0%, 11/1/44 528,022 $519,351
Fannie Mae, 4.0%, 11/1/44 225,000 $227,868
Fannie Mae, 4.0%, 11/1/44 10,988,459 $10,581,890
Fannie Mae, 4.0%, 11/1/44 4,035,000 $3,936,439
Fannie Mae, 4.0%, 11/1/44 183,097 $178,027
Fannie Mae, 4.0%, 12/1/40 1,900,000 $1,230,020
Fannie Mae, 4.0%, 12/1/41 5,950,000 $2,298,304
Fannie Mae, 4.0%, 12/1/42 142,828 $45,242
Fannie Mae, 4.0%, 12/1/43 7,600,000 $7,010,288
Fannie Mae, 4.0%, 12/1/44 101,566 $91,283
Fannie Mae, 4.0%, 12/1/44 100,000 $100,908
Fannie Mae, 4.0%, 12/1/44 877,680 $926,389
Fannie Mae, 4.0%, 12/1/44 507,378 $500,826
Fannie Mae, 4.0%, 2/1/42 24,300,000 $11,355,944
Fannie Mae, 4.0%, 2/1/43 2,065,000 $1,406,812
Fannie Mae, 4.0%, 2/1/44 14,000,000 $11,586,118
Fannie Mae, 4.0%, 2/1/45 73,989 $76,649
Fannie Mae, 4.0%, 2/1/45 875,790 $853,084
Fannie Mae, 4.0%, 2/1/45 428,722 $420,820
Fannie Mae, 4.0%, 4/1/39 7,360,371 $1,845,708
Fannie Mae, 4.0%, 4/1/41 1,850,000 $1,243,953
Fannie Mae, 4.0%, 4/1/42 2,200,000 $901,291
Fannie Mae, 4.0%, 4/1/42 1,100,000 $683,241
Fannie Mae, 4.0%, 5/1/41 3,008,750 $1,345,612
Fannie Mae, 4.0%, 5/1/44 3,800,000 $3,073,487
Fannie Mae, 4.0%, 6/1/42 3,678,905 $1,026,307
Fannie Mae, 4.0%, 6/1/44 250,448 $200,191
Fannie Mae, 4.0%, 6/1/44 325,000 $266,663
Fannie Mae, 4.0%, 7/1/18 675,000 $28,672
Fannie Mae, 4.0%, 7/1/42 8,163,233 $6,026,158
Fannie Mae, 4.0%, 7/1/42 624,000 $401,512
Fannie Mae, 4.0%, 7/1/44 800,000 $683,702
Fannie Mae, 4.0%, 7/1/44 11,110,000 $9,996,596
Fannie Mae, 4.0%, 8/1/42 20,000,000 $14,549,362
Fannie Mae, 4.0%, 8/1/44 3,657,533 $2,620,880
Fannie Mae, 4.0%, 8/1/44 434,083 $436,378
Fannie Mae, 4.0%, 8/1/44 597,740 $531,418
Fannie Mae, 4.0%, 8/1/44 20,000,000 $19,280,517
Fannie Mae, 4.0%, 8/13/15 14,825,000 $15,691,818
Fannie Mae, 4.0%, 9/1/44 327,471 $308,327
Fannie Mae, 4.0%, 9/1/44 105,983 $93,313
Fannie Mae, 4.0%, 9/1/44 95,762 $87,066
Fannie Mae, 4.0%, 9/1/44 840,150 $741,648
Fannie Mae, 4.0%, 9/1/44 983,213 $892,229
Fannie Mae, 4.0%, 9/1/44 12,553,692 $12,622,435
Fannie Mae, 4.5%, 1/1/42 11,834,581 $8,144,765
Fannie Mae, 4.5%, 1/1/42 23,783,862 $10,636,419
Fannie Mae, 4.5%, 1/1/44 15,989,536 $12,846,361
Fannie Mae, 4.5%, 10/1/35 3,754,911 $312,586
Fannie Mae, 4.5%, 10/1/35 3,754,694 $313,263
Fannie Mae, 4.5%, 11/1/20 6,500,000 $430,081
Fannie Mae, 4.5%, 11/1/40 8,151,476 $2,992,349
Fannie Mae, 4.5%, 11/1/43 430,000 $420,666
Fannie Mae, 4.5%, 11/1/43 800,000 $792,418
Fannie Mae, 4.5%, 12/1/41 2,500,000 $1,299,652
Fannie Mae, 4.5%, 12/1/43 20,000,000 $16,254,756
Fannie Mae, 4.5%, 12/1/43 20,516,456 $14,012,562
Fannie Mae, 4.5%, 2/1/41 2,435,128 $1,253,445
Fannie Mae, 4.5%, 4/1/41 6,978,836 $3,088,584
Fannie Mae, 4.5%, 5/1/41 18,000,000 $5,789,253
Fannie Mae, 4.5%, 5/1/41 454,433 $165,852
Fannie Mae, 4.5%, 5/1/41 17,795,568 $4,337,392
Fannie Mae, 4.5%, 7/1/41 750,000 $388,308
Fannie Mae, 4.5%, 7/1/41 5,000,000 $2,551,609
Fannie Mae, 4.5%, 7/1/41 5,000,000 $2,262,180
Fannie Mae, 4.5%, 8/1/40 5,950,444 $1,414,040
Fannie Mae, 4.5%, 8/1/40 3,540,000 $991,096
Fannie Mae, 5.0%, 1/1/20 4,159,304 $271,789
Fannie Mae, 5.0%, 10/1/20 4,036,945 $442,169
Fannie Mae, 5.0%, 12/1/17 499,951 $11,313
Fannie Mae, 5.0%, 2/1/20 700,000 $57,436
Fannie Mae, 5.0%, 2/1/22 7,621,650 $372,037
Fannie Mae, 5.0%, 2/1/22 450,000 $20,527
Fannie Mae, 5.0%, 2/1/41 17,669,429 $6,301,953
Fannie Mae, 5.0%, 2/1/45 24,000,000 $24,334,869
Fannie Mae, 5.0%, 5/1/23 4,380,644 $537,192
Fannie Mae, 5.0%, 6/1/40 3,850,000 $1,255,765
Fannie Mae, 5.0%, 6/1/40 3,004,062 $1,207,381
Fannie Mae, 5.0%, 7/1/40 3,750,000 $970,674
Fannie Mae, 5.0%, 7/1/40 5,000,000 $1,603,017
Fannie Mae, 5.0%, 7/1/40 5,000,000 $1,850,312
Fannie Mae, 5.5%, 12/1/17 12,031,696 $155,097
Fannie Mae, 5.5%, 2/1/18 2,100,000 $82,300
Fannie Mae, 5.5%, 3/1/36 5,005,809 $462,330
Fannie Mae, 5.5%, 5/1/36 4,000,000 $267,849
Fannie Mae, 5.5%, 6/1/33 1,148,000 $45,283
Fannie Mae, 5.5%, 6/1/36 6,000,000 $361,665
Fannie Mae, 5.5%, 7/1/33 3,800,000 $156,351
Fannie Mae, 5.5%, 7/1/34 13,142,000 $1,084,175
Fannie Mae, 5.5%, 9/1/17 3,705,000 $54,134
Fannie Mae, 5.5%, 9/1/19 7,000,000 $272,486
Fannie Mae, 6.0%, 1/1/29 60,204 $1,063
Fannie Mae, 6.0%, 1/1/32 183,200 $5,545
Fannie Mae, 6.0%, 10/1/32 4,502,006 $89,089
Fannie Mae, 6.0%, 10/1/34 389,152 $24,602
Fannie Mae, 6.0%, 10/1/35 7,125,770 $198,239
Fannie Mae, 6.0%, 11/1/33 400,765 $44,407
Fannie Mae, 6.0%, 11/1/34 271,485 $19,221
Fannie Mae, 6.0%, 12/1/35 8,000,000 $596,537
Fannie Mae, 6.0%, 2/1/32 2,379,023 $36,214
Fannie Mae, 6.0%, 2/1/33 2,200,000 $20,380
Fannie Mae, 6.0%, 2/1/35 180,000 $17,137
Fannie Mae, 6.0%, 2/1/35 62,166 $7,052
Fannie Mae, 6.0%, 3/1/32 450,000 $9,945
Fannie Mae, 6.0%, 3/1/33 3,500,000 $126,382
Fannie Mae, 6.0%, 3/1/33 230,257 $17,468
Fannie Mae, 6.0%, 4/1/33 4,000,000 $115,835
Fannie Mae, 6.0%, 4/1/35 4,000,000 $319,730
Fannie Mae, 6.0%, 5/1/35 1,799,482 $78,366
Fannie Mae, 6.0%, 6/1/16 4,000,000 $7,088
Fannie Mae, 6.0%, 6/1/38 2,250,000 $406,070
Fannie Mae, 6.0%, 7/1/33 10,874,932 $232,758
Fannie Mae, 6.0%, 7/1/33 7,500,000 $532,494
Fannie Mae, 6.0%, 7/1/38 974,925 $80,429
Fannie Mae, 6.0%, 8/1/32 315,000 $6,456
Fannie Mae, 6.0%, 8/1/34 3,757,089 $227,976
Fannie Mae, 6.0%, 9/1/29 124,691 $1,628
Fannie Mae, 6.0%, 9/1/32 65,856 $750
Fannie Mae, 6.0%, 9/1/34 352,132 $16,539
Fannie Mae, 6.0%, 9/1/34 6,273,165 $154,885
Fannie Mae, 6.0%, 9/1/34 2,000,000 $86,285
Fannie Mae, 6.0%, 9/1/34 408,807 $42,735
Fannie Mae, 6.5%, 1/1/31 1,000,000 $3,767
Fannie Mae, 6.5%, 10/1/31 1,000,100 $13,229
Fannie Mae, 6.5%, 10/1/32 2,811,012 $86,986
Fannie Mae, 6.5%, 11/1/37 2,222,350 $233,884
Fannie Mae, 6.5%, 12/1/31 3,300,000 $158,126
Fannie Mae, 6.5%, 2/1/32 1,000,100 $5,769
Fannie Mae, 6.5%, 3/1/32 3,500,000 $92,493
Fannie Mae, 6.5%, 4/1/31 500,000 $3,403
Fannie Mae, 6.5%, 5/1/31 1,960,805 $10,168
Fannie Mae, 6.5%, 6/1/31 2,750,000 $88,061
Fannie Mae, 6.5%, 7/1/29 500,000 $10,450
Fannie Mae, 6.5%, 7/1/34 1,095,000 $35,292
Fannie Mae, 6.5%, 8/1/31 1,500,000 $10,749
Fannie Mae, 6.5%, 9/1/31 2,000,200 $9,867
Fannie Mae, 6.5%, 9/1/31 2,000,000 $8,168
Fannie Mae, 7.0%, 1/1/32 1,701,763 $28,948
Fannie Mae, 7.0%, 12/1/30 525,099 $9,902
Fannie Mae, 7.0%, 12/1/30 499,950 $837
Fannie Mae, 7.0%, 12/1/31 1,198,074 $28,247
Fannie Mae, 7.0%, 4/1/31 2,160,818 $12,795
Fannie Mae, 7.0%, 9/1/31 2,000,000 $19,495
Fannie Mae, 7.0%, 9/1/31 2,000,000 $10,634
Fannie Mae, 8.0%, 10/1/30 155,531 $706
Fannie Mae, 8.0%, 2/1/29 240,000 $2,675
Fannie Mae, 8.0%, 3/1/31 1,495,060 $9,860
Fannie Mae, 8.0%, 4/1/30 150,000 $667
Fannie Mae, 8.0%, 5/1/31 45,000 $391
Fannie Mae, 8.0%, 7/1/30 100,000 $562
Fbhs 3% 15jun20 7,225,000 $7,242,234
FCA US LLC, Term Loan B, 5/24/17 3,758,400 $3,758,723
Federal Home Loan Mortgage Corp., 3.0%, 8/1/29 4,875,000 $4,675,817
Federal Home Loan Mortgage Corp., 3.5%, 11/1/28 2,200,200 $1,964,055
Federal Home Loan Mortgage Corp., 3.5%, 11/1/44 200,000 $199,157
Federal Home Loan Mortgage Corp., 3.5%, 12/1/44 10,570,000 $10,326,784
Federal Home Loan Mortgage Corp., 3.5%, 3/1/45 5,000,000 $5,106,638
Federal Home Loan Mortgage Corp., 3.5%, 8/1/43 4,521,618 $4,200,542
Federal Home Loan Mortgage Corp., 3.5%, 9/1/44 875,160 $867,765
Federal Home Loan Mortgage Corp., 4.0%, 1/1/44 4,260,000 $3,373,817
Federal Home Loan Mortgage Corp., 4.0%, 11/1/41 21,893,143 $16,189,431
Federal Home Loan Mortgage Corp., 4.0%, 11/1/42 255,000 $196,940
Federal Home Loan Mortgage Corp., 4.0%, 12/1/44 2,975,000 $2,956,128
Federal Home Loan Mortgage Corp., 4.0%, 2/1/44 700,000 $638,340
Federal Home Loan Mortgage Corp., 4.0%, 4/1/45 2,507,831 $2,648,295
Federal Home Loan Mortgage Corp., 4.0%, 5/1/44 12,595,000 $10,042,573
Federal Home Loan Mortgage Corp., 4.0%, 7/1/42 255,000 $209,323
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 1,500,000 $1,466,152
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 15,000,000 $13,078,391
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 1,082,000 $1,113,131
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 1,500,000 $1,524,763
Federal Home Loan Mortgage Corp., 4.0%, 9/1/44 11,749,606 $11,772,085
Federal Home Loan Mortgage Corp., 4.0%, 9/1/44 5,790,000 $5,293,306
Federal Home Loan Mortgage Corp., 4.5%, 10/1/20 6,000,000 $395,089
Federal Home Loan Mortgage Corp., 4.5%, 11/1/40 12,403,700 $5,487,434
Federal Home Loan Mortgage Corp., 4.5%, 11/1/43 637,703 $397,069
Federal Home Loan Mortgage Corp., 4.5%, 3/1/20 4,000,000 $206,928
Federal Home Loan Mortgage Corp., 4.5%, 3/1/42 22,167,426 $8,359,194
Federal Home Loan Mortgage Corp., 4.5%, 3/1/42 4,169,408 $3,309,215
Federal Home Loan Mortgage Corp., 5.0%, 10/1/20 9,000,000 $1,073,902
Federal Home Loan Mortgage Corp., 5.0%, 10/1/38 6,600,000 $534,955
Federal Home Loan Mortgage Corp., 5.0%, 11/1/34 250,000 $23,477
Federal Home Loan Mortgage Corp., 5.0%, 12/1/21 450,000 $31,214
Federal Home Loan Mortgage Corp., 5.0%, 6/1/35 4,244,107 $464,016
Federal Home Loan Mortgage Corp., 5.0%, 9/1/38 7,240,000 $563,448
Federal Home Loan Mortgage Corp., 5.5%, 11/1/34 1,900,000 $184,012
Federal Home Loan Mortgage Corp., 5.5%, 11/1/34 550,000 $33,884
Federal Home Loan Mortgage Corp., 5.5%, 11/1/35 1,000,000 $55,838
Federal Home Loan Mortgage Corp., 5.5%, 12/1/18 2,500,000 $236,207
Federal Home Loan Mortgage Corp., 5.5%, 6/1/41 2,145,000 $2,299,624
Federal Home Loan Mortgage Corp., 5.5%, 8/1/35 5,000,000 $289,112
Federal Home Loan Mortgage Corp., 5.5%, 9/1/33 5,200,000 $381,153
Federal Home Loan Mortgage Corp., 6.0%, 1/1/33 1,890,000 $71,559
Federal Home Loan Mortgage Corp., 6.0%, 1/1/34 500,000 $48,931
Federal Home Loan Mortgage Corp., 6.0%, 1/1/34 3,744,314 $59,989
Federal Home Loan Mortgage Corp., 6.0%, 11/1/33 1,151,218 $25,701
Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 2,000,000 $179,316
Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 3,297,768 $138,977
Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 635,770 $10,777
Federal Home Loan Mortgage Corp., 6.0%, 12/1/36 860,000 $59,435
Federal Home Loan Mortgage Corp., 6.0%, 2/1/33 550,000 $7,855
Federal Home Loan Mortgage Corp., 6.0%, 2/1/33 4,851,146 $90,772
Federal Home Loan Mortgage Corp., 6.0%, 3/1/33 2,255,430 $44,689
Federal Home Loan Mortgage Corp., 6.0%, 3/1/33 5,524,534 $263,185
Federal Home Loan Mortgage Corp., 6.0%, 4/1/33 379,183 $16,289
Federal Home Loan Mortgage Corp., 6.0%, 4/1/35 2,582,414 $67,660
Federal Home Loan Mortgage Corp., 6.0%, 4/1/36 7,000,000 $523,354
Federal Home Loan Mortgage Corp., 6.0%, 5/1/17 7,876,244 $47,877
Federal Home Loan Mortgage Corp., 6.0%, 5/1/34 1,440,424 $234,147
Federal Home Loan Mortgage Corp., 6.0%, 5/1/34 7,192,224 $756,395
Federal Home Loan Mortgage Corp., 6.0%, 6/1/35 3,600,000 $144,474
Federal Home Loan Mortgage Corp., 6.0%, 6/1/35 3,778,102 $138,653
Federal Home Loan Mortgage Corp., 6.0%, 8/1/34 3,000,000 $194,791
Federal Home Loan Mortgage Corp., 6.0%, 9/1/33 3,396,240 $190,539
Federal Home Loan Mortgage Corp., 6.5%, 1/1/31 66,916 $197
Federal Home Loan Mortgage Corp., 6.5%, 1/1/31 47,714 $373
Federal Home Loan Mortgage Corp., 6.5%, 1/1/33 39,165 $457
Federal Home Loan Mortgage Corp., 6.5%, 10/1/33 2,000,000 $52,587
Federal Home Loan Mortgage Corp., 6.5%, 11/1/30 53,302 $486
Federal Home Loan Mortgage Corp., 6.5%, 11/1/33 1,109,301 $57,336
Federal Home Loan Mortgage Corp., 6.5%, 2/1/33 62,297 $4,184
Federal Home Loan Mortgage Corp., 6.5%, 3/1/31 527,335 $8,632
Federal Home Loan Mortgage Corp., 6.5%, 3/1/31 217,521 $594
Federal Home Loan Mortgage Corp., 6.5%, 4/1/34 299,956 $4,403
Federal Home Loan Mortgage Corp., 6.5%, 5/1/31 100,010 $182
Federal Home Loan Mortgage Corp., 6.5%, 5/1/31 1,043,809 $8,064
Federal Home Loan Mortgage Corp., 6.5%, 6/1/32 39,022 $294
Federal Home Loan Mortgage Corp., 6.5%, 7/1/32 1,000,000 $18,329
Federal Home Loan Mortgage Corp., 6.5%, 8/1/31 192,020 $1,200
Federal Home Loan Mortgage Corp., 6.5%, 8/1/31 1,070,805 $4,968
Federal Home Loan Mortgage Corp., 7.0%, 11/1/30 1,000,100 $4,154
Federal Home Loan Mortgage Corp., 7.0%, 8/1/22 687,553 $90,053
Federal Home Loan Mortgage Corp., 7.0%, 9/1/22 1,775,260 $276,737
Federal Home Loan Mortgage Corp., Floating Rate Note, 9/26/44 (144A) 1,250,000 $1,302,541
Federal Mogul 1st Lien Tl-C L + 3.75% 15apr21 1,422,330 $1,408,462
Federal National Mortgage Association, 4.0%, 11/1/34 507,128 $489,985
Federal National Mortgage Association, 5.0%, 8/1/40 3,000,000 $1,495,333
Federal National Mortgage Association REMICS, 10.3%, 4/25/19 1,000,000 $3,352
Federal National Mortgage Association REMICS, 4.5%, 6/25/29 1,000,000 $699,525
Federal National Mortgage Association REMICS, 5.0%, 7/25/33 5,000,000 $316,309
Federal National Mortgage Association REMICS, 5.0%, 9/25/39 704,000 $77,885
Fifth Third Bancorp, Floating Rate Note (Perpetual) 17,380 $490,116
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 1,250,000 $129,987
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 1,200,000 $1,201,508
First Investors Auto Owner Trust 2014-3, 2.97%, 11/16/20 (144A) 2,100,000 $2,113,843
First Investors Auto Owner Trust 2015-1, 3.59%, 1/18/22 (144A) 510,000 $507,466
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 4,700,000 $457,410
First Tennessee Bank NA, 2.95%, 12/1/19 5,425,000 $5,435,640
Flex 4.75% 15jun25 144a 2,750,000 $2,736,895
Flt% 15jun16 500,000 $487,450
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 417,005 $371,265
Ford Motor Credit Co LLC, 3.219%, 1/9/22 6,425,000 $6,451,764
FPL Energy American Wind LLC, 6.639%, 6/20/23 (144A) 2,520,000 $590,491
FPL Energy Wind Funding LLC, 6.876%, 6/27/17 (144A) 1,050,000 $65,675
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 8/25/24 3,570,000 $1,330,584
Freeport-McMoRan, Inc., 3.875%, 3/15/23 1,850,000 $1,701,698
Freeport-McMoRan, Inc., 4.55%, 11/14/24 1,650,000 $1,547,225
FREMF Mortgage Trust 2010-K7, Floating Rate Note, 5/25/29 (144A) 850,000 $954,985
FREMF Mortgage Trust 2010-K8, Floating Rate Note, 9/25/43 (144A) 600,000 $669,573
FREMF Mortgage Trust 2010-K9 REMICS, Floating Rate Note, 9/25/45 (144A) 890,000 $992,451
FREMF Mortgage Trust 2011-K10 , Floating Rate Note, 11/25/49 (144A) 1,500,000 $1,631,285
FREMF Mortgage Trust 2011-K702, Floating Rate Note, 4/25/44 (144A) 5,380,000 $5,760,730
FREMF Mortgage Trust 2011-K703, Floating Rate Note, 7/25/44 (144A) 1,250,000 $1,344,869
FREMF Mortgage Trust 2012-K501, Floating Rate Note, 11/26/46 (144A) 650,000 $665,585
FREMF Mortgage Trust 2012-K710, Floating Rate Note, 6/25/47 (144A) 2,010,000 $2,092,607
FREMF Mortgage Trust 2013-K502, Floating Rate Note, 3/27/45 (144A) 900,000 $916,729
FREMF Mortgage Trust 2013-K713, Floating Rate Note, 4/25/46 (144A) 3,000,000 $3,030,576
FREMF Mortgage Trust 2014-K503, Floating Rate Note, 10/25/47 (144A) 2,401,000 $2,544,300
Frisco Independent School District, 4.0%, 8/15/40 2,700,000 $2,735,184
Frisco Independent School District, 4.0%, 8/15/45 1,700,000 $1,715,370
Frontier Communications Corp., 7.125%, 1/15/23 4,300,000 $3,957,523
GAHR Commercial Mortgage Trust 2015-NRF, Floating Rate Note, 12/15/34 (144A) 4,630,000 $4,610,005
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 1,200,000 $1,228,393
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 202,752 $202,414
Garda World Security Corp., Term B Loan, 11/1/20 792,577 $791,256
GATX Corp., 5.2%, 3/15/44 2,260,000 $2,320,098
GATX Corp., 6.0%, 2/15/18 5,660,000 $6,313,722
Gci Holdings Inc 1st Lien Tl-B L + 3.75% 22dec21 1,215,000 $1,222,594
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 5,786,084 $2,313,011
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 5,102,315 $1,911,432
General Electric Capital Corp., 5.3%, 2/11/21 4,860,000 $5,564,910
General Motors Financial Co, Inc., 4.0%, 1/15/25 6,525,000 $6,525,051
Gilead Sciences, Inc., 4.5%, 2/1/45 7,550,000 $7,732,302
Glencore Funding LLC, 4.125%, 5/30/23 (144A) 1,175,000 $1,140,886
Glenn Pool Oil & Gas Trust, Term Loan, 5/2/16 598,085 $596,590
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 3,090,877 $817,364
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 27,275,000 $2,071,489
GLP Capital LP, 4.375%, 11/1/18 1,010,000 $1,043,877
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 1,450,000 $882,318
Golden State RE II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A) 2,800,000 $2,792,533
Gold Fields Orogen Holdings BVI, Ltd., 4.875%, 10/7/20 (144A) 4,000,000 $3,705,500
Government National Mortgage Association, 3.0%, 4/20/41 2,000,000 $1,542,161
Government National Mortgage Association, 4.973%, 4/16/42 375,000 $17,148
Government National Mortgage Association, 5.25%, 8/16/35 450,000 $848,812
Government National Mortgage Association I, 3.5%, 1/15/45 20,435,006 $20,742,907
Government National Mortgage Association I, 3.5%, 7/15/42 19,357,527 $12,940,604
Government National Mortgage Association I, 4.0%, 1/15/41 281,135 $153,317
Government National Mortgage Association I, 4.0%, 1/15/41 77,209 $42,828
Government National Mortgage Association I, 4.0%, 10/15/40 27,335 $12,736
Government National Mortgage Association I, 4.0%, 10/15/41 40,767 $8,854
Government National Mortgage Association I, 4.0%, 10/15/41 52,992 $10,432
Government National Mortgage Association I, 4.0%, 10/15/41 63,254 $9,574
Government National Mortgage Association I, 4.0%, 10/15/44 449,138 $375,694
Government National Mortgage Association I, 4.0%, 11/15/40 30,717 $13,186
Government National Mortgage Association I, 4.0%, 11/15/40 245,475 $67,756
Government National Mortgage Association I, 4.0%, 11/15/41 25,000 $8,077
Government National Mortgage Association I, 4.0%, 11/15/41 55,544 $7,550
Government National Mortgage Association I, 4.0%, 11/15/43 32,084 $33,517
Government National Mortgage Association I, 4.0%, 11/15/44 1,537,490 $1,556,574
Government National Mortgage Association I, 4.0%, 12/15/41 28,465 $11,964
Government National Mortgage Association I, 4.0%, 2/15/41 25,888 $17,900
Government National Mortgage Association I, 4.0%, 2/15/42 128,311 $65,222
Government National Mortgage Association I, 4.0%, 2/15/42 854,888 $550,794
Government National Mortgage Association I, 4.0%, 3/15/44 33,576 $27,498
Government National Mortgage Association I, 4.0%, 3/15/44 454,143 $284,755
Government National Mortgage Association I, 4.0%, 3/15/44 1,083,496 $805,097
Government National Mortgage Association I, 4.0%, 3/15/44 12,909,682 $8,602,188
Government National Mortgage Association I, 4.0%, 4/15/44 75,647 $71,170
Government National Mortgage Association I, 4.0%, 4/15/44 58,312 $16,334
Government National Mortgage Association I, 4.0%, 5/15/39 31,547 $14,350
Government National Mortgage Association I, 4.0%, 6/15/39 28,840 $9,822
Government National Mortgage Association I, 4.0%, 6/15/41 167,972 $109,654
Government National Mortgage Association I, 4.0%, 7/20/15 14,650,000 $15,619,443
Government National Mortgage Association I, 4.0%, 8/15/40 38,807 $15,541
Government National Mortgage Association I, 4.0%, 8/15/43 4,891,389 $3,435,932
Government National Mortgage Association I, 4.0%, 8/15/44 1,041,626 $902,530
Government National Mortgage Association I, 4.0%, 9/15/40 25,000 $12,605
Government National Mortgage Association I, 4.0%, 9/15/41 25,471 $9,733
Government National Mortgage Association I, 4.0%, 9/15/41 2,091,451 $937,436
Government National Mortgage Association I, 4.0%, 9/15/44 7,500,000 $5,804,001
Government National Mortgage Association I, 4.0%, 9/15/44 216,972 $164,765
Government National Mortgage Association I, 4.0%, 9/15/44 812,515 $670,280
Government National Mortgage Association I, 4.0%, 9/15/44 1,076,561 $971,961
Government National Mortgage Association I, 4.0%, 9/15/44 978,436 $939,857
Government National Mortgage Association I, 4.5%, 1/15/40 1,235,000 $672,223
Government National Mortgage Association I, 4.5%, 10/15/33 2,103,237 $408,812
Government National Mortgage Association I, 4.5%, 10/15/33 2,981,200 $276,785
Government National Mortgage Association I, 4.5%, 10/15/35 2,106,954 $212,508
Government National Mortgage Association I, 4.5%, 12/15/39 9,079,200 $1,920,813
Government National Mortgage Association I, 4.5%, 2/15/34 181,146 $52,265
Government National Mortgage Association I, 4.5%, 3/15/35 784,949 $44,877
Government National Mortgage Association I, 4.5%, 3/15/35 1,722,219 $152,403
Government National Mortgage Association I, 4.5%, 4/15/35 1,999,800 $287,462
Government National Mortgage Association I, 4.5%, 4/15/35 200,000 $24,272
Government National Mortgage Association I, 4.5%, 4/15/38 1,004,042 $197,758
Government National Mortgage Association I, 4.5%, 4/15/41 2,223,928 $1,359,429
Government National Mortgage Association I, 4.5%, 5/15/41 5,733,621 $2,029,321
Government National Mortgage Association I, 4.5%, 6/15/41 3,601,538 $1,633,545
Government National Mortgage Association I, 4.5%, 7/15/33 633,571 $118,878
Government National Mortgage Association I, 4.5%, 7/15/41 1,442,000 $677,571
Government National Mortgage Association I, 4.5%, 8/15/41 5,900,000 $2,321,359
Government National Mortgage Association I, 4.5%, 9/15/33 2,256,215 $314,816
Government National Mortgage Association I, 4.5%, 9/15/35 393,589 $35,033
Government National Mortgage Association I, 4.5%, 9/15/40 900,000 $478,628
Government National Mortgage Association I, 5.0%, 10/15/18 3,153,375 $123,406
Government National Mortgage Association I, 5.0%, 4/15/34 1,504,329 $156,160
Government National Mortgage Association I, 5.0%, 4/15/35 2,500,000 $609,576
Government National Mortgage Association I, 5.0%, 7/15/19 26,391 $1,383
Government National Mortgage Association I, 5.0%, 7/15/19 1,587,453 $135,046
Government National Mortgage Association I, 5.0%, 7/15/33 1,500,150 $163,652
Government National Mortgage Association I, 5.0%, 9/15/33 1,254,232 $153,409
Government National Mortgage Association I, 5.5%, 1/15/35 2,222,000 $216,886
Government National Mortgage Association I, 5.5%, 10/15/17 5,636,984 $130,788
Government National Mortgage Association I, 5.5%, 10/15/17 2,400,000 $37,186
Government National Mortgage Association I, 5.5%, 10/15/33 1,509,492 $114,101
Government National Mortgage Association I, 5.5%, 10/15/35 2,002,398 $293,764
Government National Mortgage Association I, 5.5%, 10/15/35 1,001,204 $144,268
Government National Mortgage Association I, 5.5%, 11/15/18 1,443,964 $48,733
Government National Mortgage Association I, 5.5%, 11/15/19 2,683,028 $312,634
Government National Mortgage Association I, 5.5%, 11/15/34 4,800,000 $734,253
Government National Mortgage Association I, 5.5%, 12/15/18 406,708 $32,368
Government National Mortgage Association I, 5.5%, 2/15/18 4,000,000 $145,254
Government National Mortgage Association I, 5.5%, 2/15/18 4,000,000 $105,609
Government National Mortgage Association I, 5.5%, 2/15/35 500,000 $59,382
Government National Mortgage Association I, 5.5%, 2/15/35 2,043,628 $116,693
Government National Mortgage Association I, 5.5%, 2/15/37 575,000 $71,982
Government National Mortgage Association I, 5.5%, 4/15/19 25,000 $2,011
Government National Mortgage Association I, 5.5%, 6/15/33 400,000 $19,266
Government National Mortgage Association I, 5.5%, 6/15/35 900,000 $179,701
Government National Mortgage Association I, 5.5%, 7/15/33 2,100,000 $114,093
Government National Mortgage Association I, 5.5%, 7/15/33 1,500,000 $127,906
Government National Mortgage Association I, 5.5%, 7/15/34 6,580,000 $580,807
Government National Mortgage Association I, 5.5%, 7/15/35 5,500,000 $790,449
Government National Mortgage Association I, 5.5%, 8/15/19 2,543,276 $180,746
Government National Mortgage Association I, 5.5%, 8/15/19 4,380,618 $186,066
Government National Mortgage Association I, 5.5%, 8/15/33 400,000 $32,605
Government National Mortgage Association I, 5.5%, 8/15/33 750,075 $51,493
Government National Mortgage Association I, 5.5%, 8/15/33 299,970 $30,846
Government National Mortgage Association I, 5.5%, 9/15/19 3,000,000 $174,935
Government National Mortgage Association I, 5.5%, 9/15/33 3,636,072 $230,738
Government National Mortgage Association I, 6.0%, 1/15/17 705,441 $6,107
Government National Mortgage Association I, 6.0%, 1/15/19 548,488 $22,301
Government National Mortgage Association I, 6.0%, 1/15/33 2,500,000 $53,998
Government National Mortgage Association I, 6.0%, 1/15/33 4,534,594 $177,705
Government National Mortgage Association I, 6.0%, 10/15/32 2,001,957 $49,900
Government National Mortgage Association I, 6.0%, 10/15/33 2,000,000 $64,255
Government National Mortgage Association I, 6.0%, 10/15/34 2,897,739 $375,381
Government National Mortgage Association I, 6.0%, 10/15/36 3,000,000 $176,279
Government National Mortgage Association I, 6.0%, 11/15/31 1,614,291 $50,033
Government National Mortgage Association I, 6.0%, 11/15/34 3,188,149 $198,821
Government National Mortgage Association I, 6.0%, 12/15/32 1,500,000 $193,164
Government National Mortgage Association I, 6.0%, 2/15/29 2,700,000 $149,868
Government National Mortgage Association I, 6.0%, 2/15/33 1,254,640 $51,485
Government National Mortgage Association I, 6.0%, 3/15/17 2,080,702 $28,775
Government National Mortgage Association I, 6.0%, 3/15/17 2,000,000 $20,748
Government National Mortgage Association I, 6.0%, 3/15/32 80,300 $2,964
Government National Mortgage Association I, 6.0%, 3/15/33 3,750,000 $502,674
Government National Mortgage Association I, 6.0%, 3/15/33 3,044,810 $140,574
Government National Mortgage Association I, 6.0%, 3/15/33 4,256,655 $188,545
Government National Mortgage Association I, 6.0%, 3/15/33 3,594,840 $261,039
Government National Mortgage Association I, 6.0%, 3/15/33 3,475,000 $152,565
Government National Mortgage Association I, 6.0%, 3/15/33 9,171,532 $403,802
Government National Mortgage Association I, 6.0%, 4/15/18 1,038,016 $21,726
Government National Mortgage Association I, 6.0%, 4/15/33 3,907,830 $86,511
Government National Mortgage Association I, 6.0%, 4/15/33 2,000,000 $54,139
Government National Mortgage Association I, 6.0%, 4/15/33 1,000,000 $28,435
Government National Mortgage Association I, 6.0%, 5/15/17 1,413,485 $12,401
Government National Mortgage Association I, 6.0%, 5/15/17 1,900,000 $31,929
Government National Mortgage Association I, 6.0%, 5/15/33 4,328,221 $220,851
Government National Mortgage Association I, 6.0%, 6/15/17 519,853 $4,917
Government National Mortgage Association I, 6.0%, 6/15/33 368,522 $16,386
Government National Mortgage Association I, 6.0%, 8/15/32 300,000 $11,410
Government National Mortgage Association I, 6.0%, 8/15/36 4,350,000 $435,836
Government National Mortgage Association I, 6.0%, 9/15/19 1,829,714 $105,927
Government National Mortgage Association I, 6.0%, 9/15/28 12,973,600 $311,939
Government National Mortgage Association I, 6.0%, 9/15/32 1,406,079 $111,856
Government National Mortgage Association I, 6.0%, 9/15/33 904,389 $84,415
Government National Mortgage Association I, 6.0%, 9/15/33 500,663 $27,573
Government National Mortgage Association I, 6.0%, 9/15/34 1,315,000 $78,505
Government National Mortgage Association I, 6.0%, 9/15/34 1,374,301 $241,350
Government National Mortgage Association I, 6.0%, 9/15/35 5,000,000 $1,050,062
Government National Mortgage Association I, 6.5%, 1/15/29 1,500,000 $29,521
Government National Mortgage Association I, 6.5%, 1/15/32 7,587,058 $129,081
Government National Mortgage Association I, 6.5%, 1/15/33 25,065,172 $579,460
Government National Mortgage Association I, 6.5%, 1/15/33 263,074 $5,864
Government National Mortgage Association I, 6.5%, 1/15/34 1,311,303 $17,979
Government National Mortgage Association I, 6.5%, 1/15/35 62,679 $851
Government National Mortgage Association I, 6.5%, 10/15/31 9,167,721 $148,029
Government National Mortgage Association I, 6.5%, 10/15/31 477,508 $9,282
Government National Mortgage Association I, 6.5%, 10/15/31 3,015,231 $44,573
Government National Mortgage Association I, 6.5%, 10/15/32 6,591,983 $125,772
Government National Mortgage Association I, 6.5%, 10/15/33 32,450 $2,460
Government National Mortgage Association I, 6.5%, 11/15/31 100,000 $6,264
Government National Mortgage Association I, 6.5%, 11/15/32 3,929,947 $87,161
Government National Mortgage Association I, 6.5%, 12/15/32 25,822,328 $557,734
Government National Mortgage Association I, 6.5%, 2/15/29 301,000 $11,347
Government National Mortgage Association I, 6.5%, 2/15/29 260,526 $1,748
Government National Mortgage Association I, 6.5%, 2/15/32 3,127,662 $41,618
Government National Mortgage Association I, 6.5%, 2/15/34 733,600 $56,545
Government National Mortgage Association I, 6.5%, 3/15/29 2,000,000 $22,419
Government National Mortgage Association I, 6.5%, 3/15/29 1,120,633 $12,031
Government National Mortgage Association I, 6.5%, 3/15/29 5,001,628 $96,128
Government National Mortgage Association I, 6.5%, 3/15/31 1,000,000 $14,276
Government National Mortgage Association I, 6.5%, 3/15/32 975,284 $19,503
Government National Mortgage Association I, 6.5%, 4/15/31 8,257,522 $112,345
Government National Mortgage Association I, 6.5%, 4/15/32 235,320 $11,505
Government National Mortgage Association I, 6.5%, 4/15/35 517,486 $84,210
Government National Mortgage Association I, 6.5%, 5/15/29 273,319 $5,616
Government National Mortgage Association I, 6.5%, 5/15/29 6,774,704 $103,648
Government National Mortgage Association I, 6.5%, 5/15/31 1,798,476 $26,599
Government National Mortgage Association I, 6.5%, 5/15/31 2,567,327 $31,042
Government National Mortgage Association I, 6.5%, 5/15/32 1,000,000 $14,114
Government National Mortgage Association I, 6.5%, 5/15/33 1,672,708 $37,705
Government National Mortgage Association I, 6.5%, 6/15/32 1,561,662 $18,224
Government National Mortgage Association I, 6.5%, 6/15/34 1,330,499 $194,773
Government National Mortgage Association I, 6.5%, 6/15/35 190,431 $7,799
Government National Mortgage Association I, 6.5%, 7/15/32 5,169,128 $53,098
Government National Mortgage Association I, 6.5%, 7/15/32 14,653,970 $199,006
Government National Mortgage Association I, 6.5%, 7/15/35 666,356 $60,980
Government National Mortgage Association I, 6.5%, 7/15/35 3,323,439 $76,937
Government National Mortgage Association I, 6.5%, 8/15/31 913,650 $74,216
Government National Mortgage Association I, 6.5%, 8/15/32 129,066 $4,621
Government National Mortgage Association I, 6.5%, 8/15/32 2,400,000 $33,847
Government National Mortgage Association I, 6.5%, 9/15/34 121,399 $4,826
Government National Mortgage Association I, 7.0%, 10/15/31 2,044,706 $7,612
Government National Mortgage Association I, 7.0%, 11/15/28 2,367,683 $25,337
Government National Mortgage Association I, 7.0%, 11/15/28 4,530,958 $75,096
Government National Mortgage Association I, 7.0%, 12/15/30 500,000 $4,916
Government National Mortgage Association I, 7.0%, 12/15/30 599,940 $13,032
Government National Mortgage Association I, 7.0%, 3/15/31 1,750,000 $20,363
Government National Mortgage Association I, 7.0%, 4/15/28 266,017 $2,765
Government National Mortgage Association I, 7.0%, 4/15/29 1,014,372 $26,006
Government National Mortgage Association I, 7.0%, 5/15/32 5,500,000 $112,870
Government National Mortgage Association I, 7.0%, 6/15/31 3,800,000 $46,430
Government National Mortgage Association I, 7.0%, 7/15/31 536,209 $5,512
Government National Mortgage Association I, 7.0%, 8/15/28 200,000 $2,223
Government National Mortgage Association I, 7.0%, 8/15/31 17,500,000 $205,386
Government National Mortgage Association I, 7.0%, 9/15/31 2,202,152 $15,215
Government National Mortgage Association I, 7.5%, 10/15/29 514,502 $6,874
Government National Mortgage Association I, 7.5%, 12/15/31 7,728,804 $50,030
Government National Mortgage Association I, 7.5%, 2/15/26 893,000 $1,994
Government National Mortgage Association I, 7.5%, 2/15/31 1,466,543 $15,772
Government National Mortgage Association I, 7.5%, 8/15/29 2,007,985 $19,962
Government National Mortgage Association I, 7.75%, 2/15/30 500,000 $2,464
Government National Mortgage Association II, 4.0%, 10/20/44 4,890,000 $4,318,246
Government National Mortgage Association II, 4.5%, 1/20/35 2,500,000 $413,103
Government National Mortgage Association II, 4.5%, 12/20/34 1,007,144 $155,674
Government National Mortgage Association II, 4.5%, 3/20/35 500,000 $73,484
Government National Mortgage Association II, 4.5%, 9/20/41 5,800,000 $2,568,454
Government National Mortgage Association II, 5.5%, 10/20/19 4,728,248 $410,189
Government National Mortgage Association II, 5.5%, 3/20/34 3,000,000 $324,485
Government National Mortgage Association II, 5.5%, 4/20/34 2,500,000 $293,188
Government National Mortgage Association II, 6.5%, 2/20/29 210,000 $3,287
Government National Mortgage Association II, 6.5%, 3/20/29 100,000 $1,414
Government National Mortgage Association II, 6.5%, 4/20/29 2,900,000 $43,494
Government National Mortgage Association II, 7.0%, 1/20/29 8,400,000 $109,948
Government National Mortgage Association II, 7.0%, 11/20/28 10,000,000 $105,153
Government National Mortgage Association II, 7.0%, 12/20/30 400,864 $3,123
Government National Mortgage Association REMICS, 2.1%, 2/16/48 6,000,000 $5,862,599
Grain Spectrum Funding II LLC, 3.29%, 10/10/19 (144A) 1,400,000 $1,380,591
GRIFOLS WORLDWIDE OPERATIONS USA INC, U.S. Tranche B Term Loam, 4/1/21 385,125 $385,626
Grupo Bimbo SAB de CV, 3.875%, 6/27/24 (144A) 4,200,000 $4,187,822
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 5,642,356 $416,933
GS Mortgage Securities Corp II, 3.682%, 2/12/46 (144A) 1,000,000 $1,005,895
GS Mortgage Securities Corp Trust 2012-SHOP, 2.933%, 6/6/31 (144A) 2,800,000 $2,882,964
GS Mortgage Securities Trust 2006-GG8 REMICS, 5.56%, 11/10/39 900,000 $845,959
GS Mortgage Securities Trust 2012-GCJ7, 3.377%, 5/12/45 1,250,000 $1,299,426
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 18,254,000 $928,424
GSR Mortgage Loan Trust 2004-7, Floating Rate Note, 6/25/34 14,810,263 $1,632,210
GSR Mortgage Loan Trust 2005-AR1, Floating Rate Note, 1/25/35 5,115,000 $936,220
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 2,336,716 $1,228,581
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 5,715,000 $687,514
GTP Acquisition Partners I LLC, 2.35%, 6/15/20 (144A) 4,800,000 $4,784,539
GTP Cellular Sites LLC, 3.721%, 3/15/17 (144A) 800,000 $784,491
Halliburton Co., 7.6%, 8/15/96 (144A) 2,250,000 $3,075,485
Hanesbrands Inc Us 1st Lien Tl-B L + 2.5% 15apr22 500,000 $503,438
HCA, Inc., Tranche B-4 Term Loan, 5/1/18 734,812 $735,628
HCA, Inc., Tranche B-5 Term Loan, 3/31/17 1,762,225 $1,763,437
Healthcare Realty Trust, Inc., 3.875%, 5/1/25 3,750,000 $3,644,002
Helmerich & Payne International Drilling Co., 4.65%, 3/15/25 (144A) 6,050,000 $6,325,051
Hercules Capital Funding Trust 2014-1, 3.524%, 4/16/21 (144A) 2,920,000 $2,931,588
Highwoods Realty LP, 3.625%, 1/15/23 2,100,000 $2,106,973
Hiw 3.2% 15jun21 2,032,000 $2,024,972
HLSS Servicer Advance Receivables Trust, 1.7436%, 1/16/46 (144A) 1,620,000 $1,619,635
HLSS Servicer Advance Receivables Trust, 3.96%, 10/15/45 (144A) 224,000 $224,193
HOA Funding LLC, 4.846%, 8/22/44 (144A) 3,050,000 $2,985,374
Holcim US Finance Sarl & Cie SCS, 6.0%, 12/30/19 (144A) 475,000 $550,815
Home Equity Asset Trust 2005-7, Floating Rate Note, 1/25/36 750,000 $346,500
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 2,340,000 $2,280,890
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 24,782,615 $1,782,157
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 3,048,000 $836,980
HSBC Bank Plc, 7.65%, 5/1/25 1,305,000 $1,678,157
HSBC Bank USA NA New York NY, 6.0%, 8/9/17 3,350,000 $3,722,227
HSBC Holdings Plc, 4.25%, 3/14/24 3,940,000 $4,029,111
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 5,300,000 $1,047,043
Huntsman International LLC, Extended Term B Loan, 4/19/17 252,086 $252,242
Hyatt Hotel Portfolio Trust 2015-HYT, Floating Rate Note, 11/15/29 (144A) 2,100,000 $2,105,725
Hyundai Capital America, 1.45%, 2/6/17 (144A) 2,245,000 $2,250,950
Hyundai Capital America, 2.0%, 3/19/18 (144A) 3,125,000 $3,143,824
Iberdrola International BV, 6.75%, 7/15/36 4,475,000 $5,623,652
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (144A) 1,000,000 $998,525
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 1,150,000 $1,153,194
Icon Brand Holdings LLC, 4.229%, 1/26/43 (144A) 1,801,000 $1,528,625
Icon Brand Holdings LLC, 4.352%, 1/25/43 (144A) 395,000 $345,357
Igloo Holdings Corp., 8.25%, 12/15/17 (144A) (PIK) 2,875,000 $2,921,479
Immucor, Inc., Term B-2 Loan, 8/19/18 2,123,082 $2,133,698
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 10,689,000 $503,844
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 1,525,000 $261,323
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 4,900,000 $971,510
IMS Health, Inc., Term B Dollar Loan, 3/17/21 451,525 $449,197
Indianapolis Airport Authority, 5.1%, 1/15/17 1,000,000 $1,085,627
Intel Corp., 4.8%, 10/1/41 11,075,000 $11,242,676
Intelsat Jackson Holdings SA, 7.25%, 4/1/19 1,900,000 $1,962,938
Interactive Data 1st Lien Tl-B L + 3.75% 24apr21 743,042 $746,138
International Paper Co., 3.65%, 6/15/24 6,975,000 $6,885,931
International Paper Co., 3.8%, 1/15/26 1,025,000 $1,008,070
International Paper Co., 6.0%, 11/15/41 2,400,000 $2,605,905
Intesa Sanpaolo S.p.A., 3.625%, 8/12/15 (144A) 3,476,000 $3,533,265
Intesa Sanpaolo S.p.A., 6.5%, 2/24/21 (144A) 1,400,000 $1,629,207
Invitation Homes 2014-SFR3 Trust, Floating Rate Note, 12/17/31 (144A) 1,700,000 $1,685,152
Irwin Home Equity Loan Trust 2005-1, 5.32%, 6/25/35 (Step) 4,350,000 $350,232
Irwin Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/25 15,300,000 $2,901,287
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 3,300,000 $630,221
Irwin Whole Loan Home Equity Trust 2005-C, Floating Rate Note, 3/25/25 800,000 $40,917
Israel Electric Corp, Ltd., 7.25%, 1/15/19 (144A) 1,925,000 $2,234,791
Israel Electric Corp, Ltd., 9.375%, 1/28/20 (144A) 610,000 $782,230
JG Wentworth XXII LLC, 3.82%, 12/15/48 (144A) 1,100,000 $695,843
JobsOhio Beverage System, 3.985%, 1/1/29 4,075,000 $4,294,989
JobsOhio Beverage System, 4.532%, 1/1/35 1,035,000 $1,099,501
Johnson & Johnson, 4.375%, 12/5/33 3,150,000 $3,347,933
Jpmcc 3.8046% 15jul47 14-C20-A5 5,000,000 $5,209,766
JPMorgan Chase & Co., Floating Rate Note, 12/29/49 1,890,000 $1,917,364
JPMorgan Chase & Co., Floating Rate Note, 8/29/49 6,215,000 $6,815,089
JP Morgan Chase Commercial Mortgage Securities Corp., 2.84%, 12/17/47 3,910,234 $3,907,058
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42 2,800,000 $2,810,697
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP6, Floating Rate Note, 4/15/43 4,800,000 $4,910,407
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 1,100,000 $398,897
JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2, 3.6159%, 11/15/43 (144A) 1,600,000 $1,675,592
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5, 4.1712%, 8/17/46 1,350,000 $1,469,475
JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8, Floating Rate Note, 10/17/45 (144A) 1,200,000 $1,249,591
JP Morgan Chase Commercial Mortgage Securities Trust 2014-CBM, Floating Rate Note, 10/15/29 (144A) 4,600,000 $4,588,299
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4 REMICS, Floating Rate Note, 12/16/30 ( 2,200,000 $2,199,301
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5, Floating Rate Note, 7/15/31 (144A) 1,260,000 $1,264,383
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5 REMICS, Floating Rate Note, 7/15/31 (1 900,000 $897,718
JP Morgan Chase Commercial Mortgage Securities Trust 2015-COSMO, Floating Rate Note, 1/15/32 (144A) 4,600,000 $4,591,271
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 11,067,000 $422,764
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 20,103,000 $1,604,561
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 11,243,500 $513,695
JP Morgan Mortgage Trust 2004-S1, 5.0%, 9/25/34 17,960,288 $789,415
JP Morgan Mortgage Trust 2004-S1, 6.0%, 9/25/34 9,800,000 $1,755,657
JP Morgan Mortgage Trust 2013-1, Floating Rate Note, 3/25/43 (144A) 8,922,000 $5,398,946
JP Morgan Mortgage Trust 2013-1, Floating Rate Note, 3/25/43 (144A) 2,000,000 $1,812,238
JP Morgan Mortgage Trust 2013-1, Floating Rate Note, 3/25/43 (144A) 9,989,000 $5,976,931
JP Morgan Mortgage Trust 2013-2, Floating Rate Note, 5/25/43 (144A) 2,101,900 $1,497,645
JP Morgan Mortgage Trust 2014-1 REMICS, Floating Rate Note, 1/25/44 (144A) 1,000,000 $873,895
JP Morgan Mortgage Trust 2014-2, Floating Rate Note, 6/25/29 (144A) 9,276,000 $7,870,280
JP Morgan Mortgage Trust 2014-2, Floating Rate Note, 6/25/29 (144A) 10,055,000 $8,537,902
JP Morgan Mortgage Trust 2014-5, Floating Rate Note, 10/25/29 (144A) 2,609,000 $2,410,402
JP Morgan Mortgage Trust 2014-5, Floating Rate Note, 10/25/29 (144A) 6,000,000 $5,468,746
Kane Flt% 31jul15 1,600,000 $1,600,000
Kane Ilw Zero% 02feb16 1,000,000 $956,500
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 3,654,000 $3,686,521
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 2,018,867 $2,030,374
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 1,009,200 $1,021,411
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 1,956,533 $1,972,186
Kane Sac Zero% 15jun16 1,200,000 $1,151,760
Kane Zero% 15jan16 1,012,000 $1,021,310
Kane Zero% 19feb16 3,000,000 $3,189,900
Kane Zero% 22jan16 1,300,000 $1,326,520
Kane Zero% 22jan16 800,000 $817,760
Kane Zero% 29apr16 3,700,000 $3,887,960
KeyCorp, 5.1%, 3/24/21 7,378,000 $8,287,107
Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A) 1,700,000 $1,693,668
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 350,000 $339,421
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 3,700,000 $3,606,786
Kinder Morgan Energy Partners LP, 4.25%, 9/1/24 4,675,000 $4,619,375
Kinder Morgan Energy Partners LP, 5.95%, 2/15/18 3,250,000 $3,624,559
Kinetic Concepts, Inc., Dollar Term E-1 Loan, 5/4/18 1,988,646 $1,998,899
Kiowa Power Partners LLC, 5.737%, 3/30/21 (144A) 2,105,000 $1,758,343
KKR Group Finance Co III LLC, 5.125%, 6/1/44 (144A) 1,650,000 $1,588,989
KKR Group Finance Co II LLC, 5.5%, 2/1/43 (144A) 5,025,000 $5,201,386
Kraft Foods Group, Inc., 3.5%, 6/6/22 3,240,000 $3,255,819
La Hipotecaria Panamanian Mortgage Trust 2010-1, Floating Rate Note, 9/8/39 (144A) 750,000 $488,399
La Hipotecaria Panamanian Mortgage Trust 2014-1, Floating Rate Note, 11/24/42 (144A) 4,250,000 $4,101,007
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 1,700,000 $179,554
Leaf Receivables Funding 10 LLC, 3.16%, 3/15/21 (144A) 550,000 $547,834
Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A) 1,326,000 $553,659
Leaf Receivables Funding 8 LLC, 1.92%, 9/15/20 (144A) 2,203,000 $2,210,035
LeasePlan Corp NV, 2.5%, 5/16/18 (144A) 1,475,000 $1,481,778
Legg Mason, Inc., 3.95%, 7/15/24 2,400,000 $2,470,764
Legg Mason, Inc., 5.625%, 1/15/44 4,290,000 $4,688,449
Lehman ABS Manufactured Housing Contract Trust 2001-B, 3.01%, 5/15/41 22,820,000 $272,601
Lehman ABS Manufactured Housing Contract Trust 2001-B, 5.873%, 5/15/41 2,450,000 $290,140
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 16,378,656 $2,058,421
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 2,760,310 $420,042
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1,079,000 $219,641
Liberty Mutual Insurance Co., 7.697% (Perpetual) (144A) 5,325,000 $6,591,105
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 1,400,063 $1,402,093
Lnstr Flt% 20apr48 15-3-As 3,690,000 $3,576,826
Loews Corp., 5.25%, 3/15/16 2,650,000 $2,772,868
Loma Reinsurance, Ltd. Bermuda, Floating Rate Note, 1/8/18 (Cat Bond) (144A) 250,000 $261,193
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 1,800,000 $1,802,610
Lorillard Tobacco Co., 3.75%, 5/20/23 1,050,000 $1,025,009
Louisiana Local Government Environmental Facilities & Community Development Authority, 6.5%, 11/1/35 2,350,000 $2,822,804
LSTAR Securities Investment Trust 2014-2, Floating Rate Note, 11/1/19 (144A) 5,000,000 $4,584,296
LSTAR Securities Investment Trust 2015-1, Floating Rate Note, 1/1/20 (144A) 4,970,000 $4,777,691
LSTAR Securities Investment Trust 2015-3, Floating Rate Note, 3/1/20 (144A) 2,500,000 $2,441,819
LSTAR Securities Investment Trust 2015-4, Floating Rate Note, 4/1/20 (144A) 5,651,000 $5,461,799
LSTAR Securities Investment Trust 2015-5, Floating Rate Note, 4/1/20 (144A) 2,925,000 $2,842,282
MacDermid, Inc., Tranche B Term Loan (First Lien), 6/7/20 911,524 $914,847
Macquarie Bank, Ltd., 6.625%, 4/7/21 (144A) 840,000 $975,136
Macquarie Group, Ltd., 6.0%, 1/14/20 (144A) 2,730,000 $3,143,560
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 2,200,000 $345,189
Marathon Oil Corp., 5.9%, 3/15/18 901,000 $1,005,122
Masco Corp., 4.45%, 4/1/25 1,050,000 $1,065,215
Masco Corp., 5.95%, 3/15/22 825,000 $940,516
Masco Corp., 7.125%, 3/15/20 4,260,000 $5,030,971
Massachusetts Development Finance Agency, 5.25%, 4/1/37 325,000 $368,155
Massachusetts Development Finance Agency, 5.375%, 4/1/41 550,000 $614,745
Massachusetts Health & Educational Facilities Authority, 5.5%, 7/1/32 1,425,000 $1,913,519
Massachusetts Institute of Technology, 5.6%, 7/1/11 1,100,000 $1,351,847
MASTR Adjustable Rate Mortgages Trust 2005-1, Floating Rate Note, 1/25/35 6,959,000 $542,031
MASTR Alternative Loan Trust 2004-6, 6.0%, 7/25/34 12,000,000 $2,258,096
Medtronic, Inc., 4.625%, 3/15/45 (144A) 7,300,000 $7,489,560
Merna Reinsurance, Ltd., Floating Rate Note, 4/9/18 (Cat Bond) (144A) 750,000 $751,293
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 1,000,000 $1,000,411
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 1,049,340 $237,849
Merrill Lynch Mortgage Investors Trust Series 2005-A3, Floating Rate Note, 4/25/35 27,604,109 $2,851,132
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 46,068,000 $1,711,376
Merrill Lynch Mortgage Trust 2005-LC1, Floating Rate Note, 1/12/44 4,000,000 $3,242,901
Methanex Corp., 4.25%, 12/1/24 2,625,000 $2,611,832
MGM Resorts International, 6.0%, 3/15/23 3,550,000 $3,657,092
Microsemi Corp., Term Loan (2014), 3/14/21 350,189 $350,714
Mid-State Capital Trust 2010-1, 5.25%, 12/15/45 (144A) 950,000 $700,284
ML-CFC Commercial Mortgage Trust 2006-1, Floating Rate Note, 2/12/39 2,500,000 $2,281,769
Mohawk Industries, Inc., 3.85%, 2/1/23 800,000 $811,698
Monsanto Co., 3.375%, 7/15/24 2,675,000 $2,596,578
Morgan Stanley, 4.1%, 5/22/23 5,100,000 $5,132,184
Morgan Stanley, 4.875%, 11/1/22 300,000 $321,550
Morgan Stanley, Floating Rate Note (Perpetual) 2,900,000 $2,924,578
Morgan Stanley, Floating Rate Note (Perpetual) 110,230 $2,806,456
Morgan Stanley Capital I Trust 2007-HQ13, 5.569%, 12/15/44 1,000,000 $1,065,783
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 26,682,000 $3,119,345
Motiva Enterprises LLC, 6.85%, 1/15/40 (144A) 3,800,000 $4,453,084
Mqgau 4.875% 10jun25 144a 5,125,000 $5,057,677
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 9,460,074 $497,700
MRFC Mortgage Pass-Through Trust Series 2000-TBC3, Floating Rate Note, 12/15/30 15,930,000 $713,001
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 1,000,000 $1,026,271
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 2,100,000 $2,138,943
Nakilat, Inc., 6.267%, 12/31/33 (144A) 2,450,000 $2,582,719
National Financial Partners 1st Lien Tl-B L + 3.5% 01jul20 1,161,227 $1,162,679
National Rural Utilities Cooperative Finance Corp., 5.45%, 2/1/18 2,000,000 $2,237,095
Nations Equipment Finance Funding II LLC, 3.276%, 1/22/19 (144A) 1,000,000 $956,959
Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37 550,000 $254,936
Nationstar Mortgage LLC, 6.5%, 6/1/22 5,480,000 $5,037,033
Navios Maritime Partners LP, Term Loan, 6/27/18 653,165 $652,757
NBTY, Inc., Term B-2 Loan, 10/1/17 861,429 $857,121
NCR Corp., 4.625%, 2/15/21 4,600,000 $4,691,872
NCR Corp., 6.375%, 12/15/23 1,425,000 $1,514,538
Neuberger Berman Group LLC, 4.875%, 4/15/45 (144A) 4,250,000 $3,893,262
Nevada Power Co., 6.5%, 8/1/18 910,000 $1,063,086
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 5,700,000 $900,629
Newfield Exploration Co., 5.375%, 1/1/26 2,360,000 $2,375,512
Newfield Exploration Co., 5.625%, 7/1/24 1,400,000 $1,453,375
New Jersey Economic Development Authority, 0.0%, 2/15/18 4,500,000 $4,153,365
New Jersey Educational Facilities Authority, 4.0%, 7/1/45 3,100,000 $3,208,720
New Jersey Transportation Trust Fund Authority, 5.5%, 6/15/41 2,750,000 $2,880,802
New Residential Mortgage Loan Trust 2014-1, Floating Rate Note, 1/25/54 (144A) 5,200,000 $4,185,475
New Residential Mortgage Loan Trust 2014-2, Floating Rate Note, 5/26/54 (144A) 4,978,000 $4,159,735
New Residential Mortgage Loan Trust 2014-3, Floating Rate Note, 11/25/54 (144A) 3,900,000 $3,475,678
New York City Transitional Finance Authority Future Tax Secured Revenue, 5.0%, 11/1/33 2,400,000 $2,752,592
New York State Electric & Gas Corp., 6.15%, 12/15/17 (144A) 5,055,000 $5,590,013
NextGear Floorplan Master Owner Trust, 1.92%, 10/15/19 (144A) 1,050,000 $1,054,450
NextGear Floorplan Master Owner Trust, 2.61%, 10/15/19 (144A) 1,000,000 $1,005,757
Nordea Bank AB, 4.25%, 9/21/22 (144A) 4,500,000 $4,662,003
Nordea Bank AB, Floating Rate Note (Perpetual) (144A) 5,600,000 $5,614,619
Nortek Inc 1st Lien Tl-B L + 3% 31dec20 1,375,946 $1,370,212
North American Development Bank, 2.3%, 10/10/18 643,000 $657,715
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 1,100,000 $1,134,459
NOVA Chemicals Corp., 5.0%, 5/1/25 (144A) 40,000 $40,483
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 430,000 $423,007
Novelis Inc 1st Lien Tl-B L + 3.25% 28may22 700,000 $697,375
NRG Energy, Inc., 8.25%, 9/1/20 2,000,000 $2,150,000
NRG Energy, Inc., Term Loan (2013), 7/1/18 1,315,739 $1,306,941
NRP Mortgage Trust 2013-1, Floating Rate Note, 7/25/43 6,602,000 $6,270,826
NRP Mortgage Trust 2013-1, Floating Rate Note, 7/25/43 (144A) 5,440,000 $4,908,803
NRP Mortgage Trust 2013-1, Floating Rate Note, 7/25/43 (144A) 5,945,000 $5,336,055
Nrpmt Flt% 25jul43 13-1 3,927,800 $3,682,200
Nrzt Flt% 25apr52 15-1a-A2 11,695,000 $11,883,451
NSG Holdings LLC, New Term Loan, 12/11/19 746,113 $744,248
Nuance Communications, Inc., Term C Loan, 8/7/19 368,859 $366,323
NYU Hospitals Center, 4.428%, 7/1/42 2,400,000 $2,331,528
Ohio Higher Educational Facility Commission, 5.0%, 1/1/42 1,765,000 $1,963,068
Omega Healthcare Investors, Inc., 4.95%, 4/1/24 3,945,000 $4,083,864
OMNOVA Solutions, Inc., Term B-1 Loan, 5/31/18 477,500 $477,948
OneBeacon US Holdings, Inc., 4.6%, 11/9/22 1,000,000 $1,026,186
OneMain Financial Issuance Trust 2015-1, 3.19%, 3/18/26 (144A) 1,600,000 $1,624,579
Opmac Flt% 25nov35 05-4-1a2 35,386,800 $5,998,983
Oracle Corp., 2.5%, 5/15/22 10,600,000 $10,333,907
Orcal Geothermal, Inc., 6.21%, 12/30/20 (144A) 1,730,000 $582,726
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 1,550,000 $746,223
Origen Manufactured Housing Contract Trust 2004-A, Floating Rate Note, 1/15/35 1,400,000 $536,308
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 484,000 $366,212
Ormat Funding Corp., 8.25%, 12/30/20 555,000 $254,095
Owens Corning, 4.2%, 12/1/24 5,150,000 $5,073,100
OXEA Sarl, Tranche B-2 Term Loan (First Lien), 1/15/20 194,134 $188,067
Oxford Finance Funding Trust 2014-1, 3.475%, 12/15/22 (144A) 1,600,000 $1,607,255
Pangaea Zero% 01jul18 2,000,000 $36,000
Panoche Energy Center LLC, 6.885%, 7/31/29 (144A) 2,610,000 $2,589,287
Parish of St John the Baptist Louisiana, 5.125%, 6/1/37 2,560,000 $2,695,964
Penske Truck Leasing Co Lp, 3.375%, 2/1/22 (144A) 8,850,000 $8,702,309
Permanent University Fund, 5.0%, 7/1/30 800,000 $960,408
PFS Financing Corp., Floating Rate Note, 10/15/19 (144A) 1,000,000 $997,289
PHH Mortgage Capital LLC, 6.0%, 12/25/27 (Step) (144A) 4,250,000 $117,741
Piedmont Operating Partnership LP, 3.4%, 6/1/23 2,550,000 $2,415,988
Pinnacle Entertainment, Inc., Tranche B-2 Term Loan, 8/13/20 688,943 $689,619
Pinnacle Foods Finance LLC, New Term Loan G, 4/29/20 20,755 $20,692
Plains All American Pipeline LP, 4.9%, 2/15/45 5,300,000 $5,142,677
PNC Bank NA, 6.0%, 12/7/17 1,435,000 $1,582,231
Port Authority of New York & New Jersey, 4.458%, 10/1/62 600,000 $581,061
Port Freeport Texas, 5.95%, 5/15/33 3,965,000 $4,464,086
PPL Capital Funding, Inc., 5.9%, 4/30/73 164,000 $4,062,280
President and Fellows of Harvard College, 2.3%, 10/1/23 2,600,000 $2,458,113
President and Fellows of Harvard College, 6.3%, 10/1/37 3,095,000 $3,275,274
Pride International, Inc., 6.875%, 8/15/20 1,025,000 $1,198,883
Progreso Receivables Funding III LLC, 3.625%, 1/30/25 (144A) 3,200,000 $3,207,411
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 2,700,000 $2,710,275
Progress Residential 2014-SFR1 Trust, Floating Rate Note, 10/17/31 (144A) 180,000 $180,901
Progress Residential 2015-SFR1 Trust, Floating Rate Note, 2/20/32 (144A) 2,700,000 $2,718,399
Protective Life Corp., 7.375%, 10/15/19 4,250,000 $5,098,829
Prudential Financial, Inc., 4.5%, 11/16/21 1,090,000 $1,193,261
Prudential Financial, Inc., Floating Rate Note, 6/15/43 1,500,000 $1,558,500
Prudential Financial, Inc., Floating Rate Note, 6/15/68 2,140,000 $2,512,241
Prudential Financial, Inc., Floating Rate Note, 9/15/42 1,800,000 $1,933,378
Public Service Co of New Mexico, 7.95%, 5/15/18 2,690,000 $3,157,614
PVH Corp., Tranche B Term Loan, 2/13/20 384,612 $386,856
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 1,650,000 $1,663,448
QVC, Inc., 4.45%, 2/15/25 7,300,000 $7,166,812
RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32 9,900,000 $344,835
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 10,766,469 $853,305
RALI Series 2003-QS13 Trust, Floating Rate Note, 7/25/33 8,990,000 $873,881
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 7,610,000 $352,772
RALI Series 2004-QS3 Trust, 5.0%, 3/25/19 13,042,000 $910,820
Ras Laffan Liquefied Natural Gas Co, Ltd. III, 5.832%, 9/30/16 (144A) 1,605,000 $506,609
Remy International, Inc., Term B Loan 2013, 3/5/20 1,714,996 $1,717,140
Residential Asset Securitization Trust 2004-A8, 5.25%, 11/25/34 21,888,000 $491,543
Residential Asset Securitization Trust 2004-A9, 5.75%, 12/25/34 3,690,000 $1,171,228
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 1,000,000 $990,386
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 2,800,000 $2,835,490
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,650,000 $1,683,781
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 275,000 $285,722
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 800,000 $838,924
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 250,000 $258,952
RESI Finance LP 2003-CB1, Floating Rate Note, 7/9/35 12,829,000 $2,988,318
Resolute Forest Products, Inc., 5.875%, 5/15/23 3,930,000 $3,605,802
Restaurant Brands 1st Lien Tl-B L + 2.75% 12dec21 364,309 $364,537
Revlon Consumer Products Corp., Acquisition Term Loan, 8/19/19 977,058 $978,737
RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35 1,745,152 $811,572
Rial 3% 25dec32 15-Lt7 4,000,000 $3,999,535
Rosneft Finance SA, 7.875%, 3/13/18 (144A) 1,000,000 $1,068,625
Rowan Companies, Inc., 4.75%, 1/15/24 6,185,000 $6,045,954
RPI Finance Trust, Term B-4 Term Loan, 11/9/20 1,648,573 $1,651,870
Sabine Pass LNG LP, 6.5%, 11/1/20 3,500,000 $3,660,417
Sanders Re, Ltd., Floating Rate Note, 5/25/18 (Cat Bond) (144A) 800,000 $777,027
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 1,200,000 $1,179,657
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 1,250,000 $1,233,514
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 2,000,000 $1,984,283
San Diego Gas & Electric Co., 1.914%, 2/1/22 3,150,000 $3,181,346
Santander Drive Auto Receivables Trust 2012-1, 3.78%, 11/15/17 1,450,000 $593,061
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 850,000 $860,590
SBA Tower Trust, 3.869%, 10/15/49 (144A) 6,975,000 $7,035,017
SBP DPR Finance Co., Floating Rate Note, 3/15/17 (144A) 2,000,000 $737,559
SCE Trust III, Floating Rate Note (Perpetual) 167,900 $4,469,498
Scientific Games International Inc 1st Lien Tl-B2 L + 5% 17sep21 4,328,250 $4,330,462
Scotiabank Peru SAA, Floating Rate Note, 12/13/27 (144A) 2,600,000 $2,560,350
Seagate HDD Cayman, 4.75%, 6/1/23 3,450,000 $3,517,711
Seagate HDD Cayman, 4.875%, 6/1/27 (144A) 3,700,000 $3,620,193
Seagate HDD Cayman, 5.75%, 12/1/34 (144A) 4,350,000 $4,303,945
Sector Re V, Ltd., 3/1/20 (Cat Bond) (144A) 3,000,000 $3,016,800
Sector Re V, Ltd., 3/1/20 (Cat Bond) (144A) 400,000 $404,320
Selma Industrial Development Board, 5.8%, 5/1/34 2,310,000 $2,653,720
Semt Flt% 25apr43 13-4-B1 4,691,000 $4,473,132
Senior Housing Properties Trust, 6.75%, 4/15/20 2,485,000 $2,831,437
Sensata Technologies 1st Lien L + 2.25% 14oct21 1,169,125 $1,174,449
Sequoia Mortgage Trust, Floating Rate Note, 9/25/42 100,000 $49,431
Sequoia Mortgage Trust 2003-2, Floating Rate Note, 6/20/33 53,935,000 $2,752,178
Sequoia Mortgage Trust 2012-6, Floating Rate Note, 12/26/42 8,060,000 $5,071,472
Sequoia Mortgage Trust 2013-1, Floating Rate Note, 2/25/43 6,221,000 $3,071,526
Sequoia Mortgage Trust 2013-10, Floating Rate Note, 8/25/43 (144A) 7,372,000 $6,898,651
Sequoia Mortgage Trust 2013-3, Floating Rate Note, 3/25/43 7,915,000 $7,604,213
Sequoia Mortgage Trust 2013-4 REMICS, Floating Rate Note, 4/27/43 9,500,000 $7,412,352
Sequoia Mortgage Trust 2013-7, Floating Rate Note, 6/25/43 1,841,592 $1,520,729
Sequoia Mortgage Trust 2013-7, Floating Rate Note, 6/25/43 14,077,000 $11,261,742
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 6,700,000 $6,433,855
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 928,000 $703,219
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 916,000 $751,941
Sequoia Mortgage Trust 2013-9, 3.5%, 7/27/43 (144A) 2,190,000 $1,831,108
Sequoia Mortgage Trust 2015-1, Floating Rate Note, 1/25/45 (144A) 7,710,000 $6,868,117
Sequoia Mortgage Trust 2015-2, Floating Rate Note, 5/25/45 (144A) 8,762,000 $8,697,825
Ship Midco, Ltd., Facility B2A-II, 11/29/19 795,333 $800,801
Siemens Financieringsmaatschappij NV, 4.4%, 5/27/45 (144A) 5,000,000 $4,960,393
Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A) 4,692,000 $1,027,343
Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A) 750,000 $198,662
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 3,360,000 $3,356,207
Silverton RE, Ltd., 0.0%, 9/16/16 (Cat Bond) (144A) 250,000 $9,750
Silverton RE, Ltd., 0.0%, 9/18/17 (Cat Bond) (144A) 1,000,000 $1,110,400
Sinopec Group Overseas Development 2014, Ltd., 4.375%, 4/10/24 (144A) 4,750,000 $5,028,653
Sinopec Group Overseas Development 2015, Ltd., 2.5%, 4/28/20 (144A) 10,050,000 $9,942,616
Skopos Auto Receivables Trust 2015-1, 3.1%, 12/15/23 (144A) 1,200,000 $1,095,081
Slfmt 2.66% 26dec59 12-3-M1 565,000 $568,714
Sotheby's, 5.25%, 10/1/22 (144A) 1,300,000 $1,291,063
Southern California Edison Co., 1.845%, 2/1/22 6,200,000 $6,246,309
Southern California Edison Co., Floating Rate Note (Perpetual) 2,200,000 $2,486,092
Southwest Airlines Co., 2.75%, 11/6/19 2,350,000 $2,394,186
Southwestern Electric Power Co., 3.9%, 4/1/45 10,800,000 $9,513,090
Spectra Energy Capital LLC, 6.2%, 4/15/18 2,475,000 $2,736,268
Spectra Energy Capital LLC, 6.75%, 7/15/18 1,500,000 $1,723,676
Spirit Master Funding LLC, 4.6291%, 1/20/45 (144A) 3,300,000 $3,301,702
Spirit Master Funding LLC, 5.74%, 3/20/42 (144A) 268,008 $292,060
Spirit Master Funding VII LLC, 3.8868%, 12/20/43 700,000 $718,920
SpringCastle America Funding LLC, 2.7%, 5/25/23 2,600,000 $1,951,203
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2,800,000 $1,648,889
Springleaf Funding Trust 2014-A, 2.41%, 12/15/22 (144A) 1,200,000 $1,202,785
Springleaf Mortgage Loan Trust 2012-2, Floating Rate Note, 10/25/57 (144A) 3,200,000 $1,098,364
Springleaf Mortgage Loan Trust 2013-1, Floating Rate Note, 6/25/58 (144A) 750,000 $757,434
Springleaf Mortgage Loan Trust 2013-1, Floating Rate Note, 6/25/58 (144A) 2,500,000 $1,538,098
Sprint Corp., 7.125%, 6/15/24 1,500,000 $1,396,150
Sprint Corp., 7.25%, 9/15/21 1,500,000 $1,494,521
Standard Aero, Ltd., Replacement Tranche B-2 Loan, 11/2/18 544,335 $546,203
Standard Chartered Bank, 6.4%, 9/26/17 (144A) 2,200,000 $2,434,636
Standard Chartered Plc, 3.95%, 1/11/23 (144A) 4,800,000 $4,773,786
Stanley Black & Decker, Inc., Floating Rate Note, 12/15/53 3,600,000 $3,888,200
Staples Inc 1st Lien Tl-B L + 2.75% 24apr21 1,925,000 $1,925,133
State of Texas, 4.0%, 10/1/44 3,000,000 $3,092,760
State of Washington, 3.0%, 7/1/28 560,000 $565,583
State of Washington, 5.0%, 7/1/30 1,600,000 $1,894,272
State Street Corp., Floating Rate Note, 12/31/73 54,200 $1,391,314
Steel Dynamics, Inc., 5.125%, 10/1/21 1,385,000 $1,405,515
Store Master Funding I LLC, 3.75%, 4/20/45 (144A) 1,400,000 $1,379,881
STORE Master Funding LLC, 4.16%, 3/20/43 (144A) 300,000 $296,584
STORE Master Funding LLC, 5.77%, 8/20/42 (144A) 2,095,000 $2,160,934
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 1/25/35 3,080,000 $660,687
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 6,054,578 $519,240
Structured Asset Investment Loan Trust 2006-1, Floating Rate Note, 1/25/36 5,475,000 $1,067,437
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 79,912,853 $3,844,560
Structured Asset Mortgage Investments Trust 2003-AR2, Floating Rate Note, 12/19/33 41,560,377 $1,961,590
Structured Asset Securities Corp., 4.77%, 10/25/34 (Step) 2,100,000 $82,497
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 7,000,000 $565,101
Structured Asset Securities Corp Mortgage Loan Trust 2006-GEL4, Floating Rate Note, 10/25/36 (144A) 5,952,000 $1,542,422
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 3,200,000 $227,364
Structured Asset Securities Corp Trust 2005-14, Floating Rate Note, 7/25/35 6,935,000 $596,714
Structured Asset Securities Corp Trust 2005-17, 5.5%, 10/25/35 7,170,000 $4,348,472
Successor X, Ltd., Floating Rate Note, 11/10/15 (Cat Bond) (144A) 250,000 $251,934
Sumitomo Mitsui Banking Corp., 1.75%, 1/16/18 1,800,000 $1,820,833
SunGard Data Systems, Inc., Tranche C Term Loan, 2/28/17 953,650 $955,284
Sunoco Logistics Partners Operations LP, 4.25%, 4/1/24 5,825,000 $5,718,181
Sunoco Logistics Partners Operations LP, 6.1%, 2/15/42 2,200,000 $2,305,227
Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A) 2,250,000 $1,705,295
SunTrust Banks, Inc., 3.5%, 1/20/17 1,025,000 $1,071,584
SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A) 1,200,000 $523,410
Syniverse Holdings, Inc., Initial Term Loan, 4/23/19 333,333 $315,833
Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19 666,667 $631,667
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 300,000 $305,828
TD Ameritrade Holding Corp., 3.625%, 4/1/25 6,025,000 $6,173,272
Teachers Insurance & Annuity Association of America, 6.85%, 12/16/39 (144A) 3,205,000 $4,022,298
Telefonica Emisiones SAU, 6.221%, 7/3/17 2,750,000 $3,073,665
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 24,739,000 $750,698
Terwin Mortgage Trust Series TMTS 2005-12ALT, 5.01925%, 7/25/36 (Step) 835,000 $407,881
Terwin Mortgage Trust Series TMTS 2005-16HE, 4.36948%, 9/25/36 (Step) 14,000,000 $2,666,399
Texas Competitive Electric Holdings Co LLC, DIP Delayed Draw Term Loan (2014), 5/5/16 1,285,660 $1,291,285
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/30 1,050,000 $1,134,895
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/31 2,100,000 $2,264,141
Texas Transportation Commission State Highway Fund, 5.0%, 4/1/33 1,000,000 $1,159,610
The Allstate Corp., Floating Rate Note, 1/15/53 147,475 $3,697,198
The Allstate Corp., Floating Rate Note, 5/15/57 5,455,000 $6,154,907
The Bank of New York Mellon Corp., Floating Rate Note (Perpetual) 1,250,000 $1,157,969
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 2.3%, 3/5/20 (144A) 11,675,000 $11,711,778
The George Washington University, 1.827%, 9/15/17 1,900,000 $1,935,852
The Goldman Sachs Group, Inc., 6.75%, 10/1/37 6,875,000 $8,180,033
The Goodyear Tire & Rubber Co., Loan (Second Lien), 4/30/19 3,491,667 $3,502,578
The Home Depot, Inc., 2.625%, 6/1/22 4,520,000 $4,455,037
The Kroger Co., 2.95%, 11/1/21 7,472,000 $7,460,946
The PNC Financial Services Group, Inc., Floating Rate Note (Perpetual) 890,000 $1,010,539
The Priceline Group, Inc., 3.65%, 3/15/25 7,375,000 $7,260,459
The University of Texas System, 5.0%, 8/15/43 525,000 $599,303
The Valspar Corp., 3.3%, 2/1/25 3,025,000 $2,955,627
The Williams Companies, Inc., 5.75%, 6/24/44 5,980,000 $5,555,965
The Williams Companies, Inc., 7.75%, 6/15/31 2,475,000 $2,770,999
Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43 24,278,000 $734,791
Thornburg Mortgage Securities Trust 2004-3, Floating Rate Note, 9/25/34 72,667,000 $5,225,367
Tiers Trust, Floating Rate Note, 10/15/97 (144A) 1,250,000 $1,099,140
TI Group Automotive Systems LLC, Term Loan Facility, 7/1/21 821,968 $820,940
TimberStar Trust I, 5.7467%, 10/15/36 (144A) 1,435,000 $1,502,723
TimberStar Trust I REMICS, 5.668%, 10/15/36 (144A) 4,470,000 $4,703,130
Time Warner, Inc., 4.7%, 1/15/21 8,300,000 $9,148,951
Toyota Motor Credit Corp., 2.125%, 7/18/19 5,000,000 $5,064,153
Trafigura Securitisation Finance Plc. 2014-1, Floating Rate Note, 4/16/18 (144A) 800,000 $802,384
TransCanada PipeLines, Ltd., 1.875%, 1/12/18 4,425,000 $4,493,198
Trans Union Llc 1st Lien Tl-B2 L + 3% 09apr21 1,492,443 $1,482,183
Tronox Pigments Holland BV, New Term Loan, 3/19/20 764,864 $766,394
TTX Co., 3.6%, 1/15/25 (144A) 6,650,000 $6,822,774
Tufts University, 5.017%, 4/15/12 3,550,000 $3,602,130
Tyco Electronics Group SA, 6.55%, 10/1/17 2,950,000 $3,321,573
U.S. Treasury Bonds, 2.5%, 2/15/45 31,575,000 $28,085,087
U.S. Treasury Bonds, 4.375%, 11/15/39 6,865,000 $8,482,309
U.S. Treasury Bonds, 4.375%, 5/15/40 4,500,000 $5,566,120
U.S. Treasury Bonds, 4.375%, 5/15/41 1,150,000 $1,427,754
U.S. Treasury Bonds, 4.5%, 2/15/36 30,000,000 $38,227,502
U.S. Treasury Floating Rate Note, 0.085000569%, 7/31/16 11,325,000 $11,329,284
U.S. Treasury Inflation Indexed Bonds, 0.125%, 7/15/24 64,580,000 $62,803,585
U.S. Treasury Notes, 2.0%, 2/15/25 4,400,000 $4,307,934
UBS AG, 7.625%, 8/17/22 4,400,000 $5,281,676
UBS Commercial Mortgage Trust 2012-C1, 3.4%, 5/12/45 5,040,000 $5,226,865
Unison Ground Lease Funding LLC, 2.981%, 3/16/43 (144A) 1,500,000 $1,490,956
United Auto Credit Securitization Trust 2015-1, 2.92%, 6/17/19 (144A) 2,140,000 $2,147,353
United States Treasury Floating Rate Note, Floating Rate Note, 1/31/16 11,325,000 $11,326,067
United States Treasury Floating Rate Note, Floating Rate Note, 1/31/17 16,435,000 $16,446,445
United States Treasury Floating Rate Note, Floating Rate Note, 4/30/16 11,325,000 $11,328,800
United States Treasury Floating Rate Note, Floating Rate Note, 4/30/17 16,395,000 $16,396,036
United Technologies Corp., 1.778%, 5/4/18 (Step) 10,250,000 $10,310,374
University of California, 3.38%, 5/15/28 2,600,000 $2,556,525
University of Virginia, 5.0%, 4/1/45 3,100,000 $3,580,338
Univision Communications, Inc., Replacement First-Lien Term Loan, 3/1/20 2,253,902 $2,242,319
US Airways 2013-1 Class A Pass Through Trust, 3.95%, 5/15/27 1,500,000 $1,419,702
US Bancorp, Floating Rate Note (Perpetual) 95,890 $2,553,551
USI, Inc. New York, Initial Term Loan 2013, 12/30/19 6,177,456 $6,189,039
US Residential Opportunity Fund III Trust 2015-1, 3.7213%, 1/29/35 (144A) 4,000,000 $3,848,130
Valeant Pharmaceuticals Internatio 1st Lien Tl-Bf1 L + 3.25% 13mar22 997,500 $998,180
Valeant Pharmaceuticals International, Inc., Series C-2 Tranche B Term Loan, 12/11/19 532,996 $532,589
Valero Energy Corp., 6.625%, 6/15/37 2,825,000 $3,198,904
Valero Energy Corp., 9.375%, 3/15/19 2,890,000 $3,636,459
Valmont Industries, Inc., 6.625%, 4/20/20 604,000 $704,898
Velocity Commercial Capital Loan Trust 2014-1, Floating Rate Note, 9/25/44 (144A) 3,000,000 $2,280,619
Verisk Analytics, Inc., 5.5%, 6/15/45 5,275,000 $5,225,023
Verizon Communications, Inc., 5.012%, 8/21/54 1,938,000 $1,813,359
Verizon Communications, Inc., 5.15%, 9/15/23 5,100,000 $5,661,025
Verizon Communications, Inc., 6.55%, 9/15/43 1,934,000 $2,299,604
Vers 2015-A Zero% 31dec17 2,500,000 $2,619,500
VFC 2015-3 LLC, 2.75%, 12/20/31 (144A) 2,000,000 $1,770,298
Virginia Commonwealth Transportation Board, 4.0%, 5/15/31 2,200,000 $2,313,280
Virginia Commonwealth Transportation Board, 4.0%, 5/15/32 2,210,000 $2,311,751
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 1,500,000 $1,528,197
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 500,000 $509,788
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 500,000 $498,462
Viterra, Inc., 5.95%, 8/1/20 (144A) 5,175,000 $5,817,640
VOLT XXXIII LLC, 3.5%, 3/25/55 (Step) (144A) 4,000,000 $3,859,878
VOLT XXXI LLC, 3.375%, 2/25/55 (Step) (144A) 1,850,000 $1,746,166
VOLT XXX LLC, 3.625%, 10/25/57 (Step) 2,150,000 $2,065,686
Washington Suburban Sanitary Commission, 4.0%, 6/1/43 1,620,000 $1,657,055
Washington Suburban Sanitary Commission, 4.0%, 6/1/44 1,565,000 $1,599,607
WASH Multifamily Laundry Systems LLC, U.S. Term Loan, 2/21/19 0 $0
Waste Management, Inc., 3.125%, 3/1/25 1,700,000 $1,667,713
Weatherford International, Ltd. Bermuda, 5.95%, 4/15/42 675,000 $579,055
Weatherford International, Ltd. Bermuda, 9.625%, 3/1/19 2,815,000 $3,377,035
Wells Fargo & Co., 7.5% (Perpetual) 5,610 $6,591,750
Wells Fargo & Co., Floating Rate Note (Perpetual) 3,400,000 $3,489,798
Wells Fargo Alternative Loan 2005-2 Trust, Floating Rate Note, 10/25/35 1,233,457 $1,228,702
Wells Fargo Bank NA, 6.0%, 11/15/17 3,540,000 $3,926,595
Wells Fargo Commercial Mortgage Trust 2010-C1, 3.349%, 11/18/43 (144A) 3,900,000 $2,583,017
Wells Fargo Commercial Mortgage Trust 2012-LC5 REMICS, 3.539%, 10/17/45 1,927,000 $1,989,414
Wells Fargo Commercial Mortgage Trust 2014-LC16 REMICS, 3.477%, 8/17/50 4,500,000 $4,694,803
Wells Fargo Commercial Mortgage Trust 2014-TISH REMICS, Floating Rate Note, 2/16/27 (144A) 5,300,000 $5,274,532
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 590,405 $591,143
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 2,000,000 $847,174
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 2,025,000 $866,148
Westgate Resorts 2014-1 LLC, 2.15%, 12/20/26 (144A) 3,500,000 $2,711,238
Westgate Resorts 2015-1 LLC, 2.75%, 5/20/27 (144A) 3,000,000 $2,678,962
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 550,000 $154,394
WF-RBS Commercial Mortgage Trust 2011-C2, Floating Rate Note, 2/15/44 (144A) 1,323,000 $1,424,161
WF-RBS Commercial Mortgage Trust 2011-C2, Floating Rate Note, 2/15/44 (144A) 350,000 $383,373
WideOpenWest Finance LLC, Replacement Term B Loan, 4/1/19 147,202 $147,276
Wilton Re Finance LLC, Floating Rate Note, 3/30/33 (144A) 1,400,000 $1,473,757
Wlkrg 2.79% 16jun31 15-Aa-A 1,938,000 $1,941,464
Worthington Industries, Inc., 4.55%, 4/15/26 3,135,000 $3,247,893
WP Carey, Inc., 4.6%, 4/1/24 1,715,000 $1,741,692
WR Grace & Co-Conn, 5.125%, 10/1/21 (144A) 1,130,000 $1,152,953
WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21 238,745 $238,809
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 663,448 $663,626
Zero% 30nov19 4,000,000 $4,019,600
Zero% 31aug16 900,000 $906,390

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