Pioneer Bond Fund

Top 10 Portfolio Holdings as of 5/30/2014
Default: sorted by market value

Security Name Par / Shares Market Value
A10 Securitization 2013-1 LLC, 2.4%, 11/15/25 (144A) 1,750,000 $1,600,078
A10 Term Asset Financing 2013-2 LLC, 2.62%, 11/15/27 (144A) 2,794,000 $2,803,249
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 2,083,000 $1,235,210
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 2,800,000 $509,271
Activision Blizzard, Inc., 6.125%, 9/15/23 (144A) 650,000 $725,030
Aegis Asset Backed Securities Trust 2005-5, Floating Rate Note, 12/25/35 5,250,000 $1,458,200
Aeroflex, Inc., 11/9/19 3,048,411 $3,064,287
Affiliated Managers Group, Inc., 4.25%, 2/15/24 2,525,000 $2,647,612
Affinion Group, Inc., 10/9/16 1,072,978 $1,079,206
Agilent Technologies, Inc., 6.5%, 11/1/17 5,366,000 $6,192,888
Ah4r Flt% 17jun31 14-Sfr1-B 600,000 $598,809
Alexandria Real Estate Equities, Inc., 3.9%, 6/15/23 1,093,000 $1,110,146
Alexandria Real Estate Equities, Inc., 4.6%, 4/1/22 2,670,000 $2,861,142
Allison Transmission, Inc., 8/23/19 1,145,790 $1,148,110
Altair Re, Floating Rate Note, 4/30/16 (Cat Bond) 420,899 $516,780
Alta Wind Holdings LLC, 7.0%, 6/30/35 (144A) 700,000 $680,126
Alternative Loan Trust 2003-14T1, Floating Rate Note, 8/25/18 11,900,000 $562,161
Alternative Loan Trust 2003-21T1, 5.75%, 12/25/33 4,205,000 $1,921,192
Alternative Loan Trust 2003-J1, 4.75%, 10/25/33 9,200,000 $485,528
Alternative Loan Trust 2004-28CB, 5.5%, 1/25/35 5,600,000 $641,615
Alternative Loan Trust 2004-2CB, 5.125%, 3/25/34 2,000,000 $180,023
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 8,370,000 $439,527
Alternative Loan Trust 2005-J4, Floating Rate Note, 7/25/35 5,426,539 $5,248,052
Alterra Finance LLC, 6.25%, 9/30/20 3,000,000 $3,512,456
Altrl Flt% 30jun16 1,500,000 $1,543,800
American Credit Acceptance Receivables Trust, 1.64%, 11/15/16 (144A) 2,350,000 $652,417
American Credit Acceptance Receivables Trust 2012-2, 4.05%, 2/15/18 (144A) 428,000 $436,371
AmeriCredit Automobile Receivables Trust 2011-3, 4.04%, 7/10/17 500,000 $520,042
AmeriCredit Automobile Receivables Trust 2013-1, 1.57%, 1/8/19 800,000 $803,792
Amherst College, 3.794%, 11/1/42 525,000 $483,001
AngloGold Ashanti Holdings Plc, 5.375%, 4/15/20 2,335,000 $2,362,363
Aquarius + Investments Plc for Swiss Reinsurance Co, Ltd., Floating Rate Note, 9/1/24 1,800,000 $1,994,644
Ardent Medical Services, Inc., 7/2/18 543,125 $545,841
Asciano Finance, Ltd., 4.625%, 9/23/20 (144A) 529,000 $560,052
Aspen Insurance Holdings, Ltd., Floating Rate Note, 12/31/49 (Perpetual) 50,000 $1,268,000
Assurant, Inc., 4.0%, 3/15/23 3,900,000 $3,973,895
Astoria Financial Corp., 5.0%, 6/19/17 2,300,000 $2,540,212
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 500,000 $514,105
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 250,000 $262,895
Australia & New Zealand Banking Group, Ltd., 4.5%, 3/19/24 (144A) 1,865,000 $1,920,625
Aviation Capital Group Corp., 6.75%, 4/6/21 (144A) 3,525,000 $3,974,284
AXA SA, 8.6%, 12/15/30 2,335,000 $3,221,793
Banc of America Alternative Loan Trust 2003-2, 5.75%, 4/25/33 6,525,000 $772,644
Banc of America Alternative Loan Trust 2003-7, 5.5%, 9/25/33 7,600,000 $1,685,341
Banc of America Alternative Loan Trust 2004-10, 5.5%, 11/25/19 5,500,000 $859,350
Banc of America Alternative Loan Trust 2004-12, 5.5%, 1/25/20 6,500,000 $855,776
Banc of America Alternative Loan Trust 2004-2, 5.5%, 3/25/19 8,048,483 $1,111,327
Banc of America Alternative Loan Trust 2004-2, 6.0%, 3/25/34 6,010,000 $1,649,511
Banc of America Alternative Loan Trust 2004-4, 5.25%, 5/25/34 5,500,000 $730,783
Banc of America Alternative Loan Trust 2004-6, 5.0%, 7/25/19 10,021,500 $1,599,495
Banc of America Funding 2003-3 Trust, 5.5%, 10/25/33 3,903,805 $902,282
Banc of America Funding 2005-8 Trust, 5.5%, 1/25/36 4,458,000 $1,434,198
Banc of America Funding 2010-R4 Trust, Floating Rate Note, 8/26/36 (144A) 3,200,000 $690,931
Banc of America Large Loan Trust 2007-BMB1, Floating Rate Note, 8/15/29 (144A) 400,000 $400,064
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 24,092,878 $1,287,688
Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33 11,000,000 $678,931
Banc of America Mortgage 2003-I Trust, Floating Rate Note, 10/25/33 3,969,000 $888,974
Banc of America Mortgage 2004-L Trust, Floating Rate Note, 1/25/35 2,775,352 $145,539
Banc of America Mortgage 2005-H Trust, Floating Rate Note, 9/25/35 2,398,000 $549,054
Banc of America Mortgage Trust 2004-11, 5.75%, 1/25/35 11,116,000 $1,290,543
Banc of America Mortgage Trust 2004-7, 4.5%, 8/25/19 1,241,000 $112,715
Banc of America Mortgage Trust 2004-9, 5.5%, 11/25/34 2,350,000 $1,275,001
Bank of America Corp., 7.75%, 5/14/38 4,350,000 $5,992,224
Bank of America Corp., 7.75%, 8/15/15 1,100,000 $1,212,419
Barclays Bank Plc, 6.05%, 12/4/17 (144A) 3,515,000 $4,089,835
Baylor University, 4.313%, 3/1/42 1,025,000 $1,006,583
Bayview Commercial Asset Trust, 3.855%, 9/25/37 (Step) (144A) 13,200,000 $488,391
Bayview Commercial Asset Trust, 4.13574%, 7/25/37 (Step) (144A) 21,000,000 $60,307
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 400,000 $385,109
Bayview Financial Mortgage Pass-Through Trust 2006-A, 5.865%, 2/28/41 (Step) 1,462,628 $1,521,465
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 1,486,142 $1,461,471
Bayview Opportunity Master Fund Trust IIB LP, Floating Rate Note, 1/28/33 (144A) 1,000,000 $467,795
BB&T Corp., 5.625%, 12/31/49 (Perpetual) 85,000 $1,989,000
BBVA Bancomer SA Texas, 4.375%, 4/10/24 (144A) 2,400,000 $2,459,583
BBVA Bancomer SA Texas, 6.5%, 3/10/21 (144A) 3,815,000 $4,313,599
BCAP LLC 2010-RR10 Trust, Floating Rate Note, 12/27/34 (144A) 550,000 $301,472
BCMSC Trust 1998-A, 6.65%, 4/15/28 10,000,000 $437,298
Beacon Container Finance LLC, 3.72%, 9/20/27 (144A) 300,000 $256,365
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 14,715,000 $1,860,984
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 14,000,000 $1,949,848
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 34,555,000 $3,017,008
Bear Stearns ALT-A Trust 2005-1, Floating Rate Note, 1/25/35 12,790,000 $1,082,186
Bear Stearns ARM Trust 2003-5, Floating Rate Note, 8/25/33 10,580,000 $892,391
Bear Stearns ARM Trust 2003-6, Floating Rate Note, 8/25/33 60,314,000 $3,419,742
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 4,920,000 $2,066,960
Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36 1,949,000 $1,192,421
Bear Stearns Commercial Mortgage Securities Trust 2002-TOP6, Floating Rate Note, 10/15/36 (144A) 1,600,000 $274,475
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7, Floating Rate Note, 2/11/41 1,000,000 $1,014,675
Bella Vista Mortgage Trust 2004-1, Floating Rate Note, 11/20/34 66,102,000 $2,002,587
BioMed Realty LP, 4.25%, 7/15/22 900,000 $946,269
Blackstone Holdings Finance Co LLC, 4.75%, 2/15/23 (144A) 1,400,000 $1,559,988
Blackstone Holdings Finance Co LLC, 5.0%, 6/15/44 (144A) 1,725,000 $1,805,361
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 250,000 $257,027
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 850,000 $896,613
Blue Danube II, Ltd., Floating Rate Note, 5/23/16 (Cat Bond) (144A) 500,000 $503,975
BM&FBovespa SA, 5.5%, 7/16/20 (144A) 3,200,000 $3,513,511
Bombardier, Inc., 4.25%, 1/15/16 (144A) 2,250,000 $2,373,313
Bosphorus 1 Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 350,000 $350,994
Bowdoin College, 4.693%, 7/1/12 1,000,000 $973,374
Burger King Corp., 9/28/19 482,650 $485,196
BWAY Holding Co., 8/6/17 419,688 $421,576
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 1,250,000 $1,273,938
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 1,100,000 $1,153,819
California Educational Facilities Authority, 5.0%, 6/1/43 1,980,000 $2,606,452
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 2,126,000 $853,214
California Statewide Communities Development Authority, 6.0%, 8/15/42 2,925,000 $3,572,468
Canadian Natural Resources, Ltd., 6.5%, 2/15/37 2,230,000 $2,871,769
Cantor Fitzgerald LP, 7.875%, 10/15/19 (144A) 2,980,000 $3,207,411
Capital Auto Receivables Asset Trust/ Ally, 1.74%, 10/22/18 1,900,000 $1,906,412
Capital One Bank USA NA, 8.8%, 7/15/19 1,465,000 $1,937,229
Carlyle Holdings II Finance LLC, 5.625%, 3/30/43 (144A) 5,930,000 $6,642,258
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/25/35 810,000 $237,073
Carrington Mortgage Loan Trust Series 2005-NC4, Floating Rate Note, 9/25/35 725,000 $117,846
Catalent 1st Lien Tl-B L + 3.5% 08may21 899,887 $905,159
Catholic Health Initiatives, 4.35%, 11/1/42 2,600,000 $2,476,458
CEMEX Espana SA, 9.875%, 4/30/19 (144A) 3,328,000 $3,864,571
CF Industries, Inc., 5.15%, 3/15/34 4,845,000 $5,222,258
Charter Communications Operating LLC, 12/31/20 1,712,063 $1,690,424
Chemtura Corp., 8/29/16 801,537 $804,042
Chesapeake Funding LLC, Floating Rate Note, 3/4/26 400,000 $400,360
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 400,000 $403,631
CHL Mortgage Pass-Through Trust 2003-56, Floating Rate Note, 12/25/33 10,000,000 $631,738
Chrysler Group LLC, 5/24/17 3,807,338 $3,815,428
CHS, 1/25/17 598,645 $600,421
CHS, 1/27/21 3,212,630 $3,234,717
Cincinnati Bell, Inc., 8.375%, 10/15/20 469,000 $519,746
Cincinnati Bell, Inc., 9/10/20 1,945,225 $1,947,900
Cinedigm Digital Funding I LLC, 2/28/18 531,074 $532,402
Cisco Systems, Inc., 3.625%, 3/4/24 3,485,000 $3,613,273
Citicorp Mortgage Securities Trust Series 2006-1, 5.0%, 2/25/36 2,840,000 $486,823
Citicorp Residential Mortgage Trust Series 2006-1, 5.939%, 7/25/36 (Step) 2,791,000 $2,071,202
Citicorp Residential Mortgage Trust Series 2006-2, 5.775%, 9/25/36 (Step) 600,000 $343,013
Citicorp Residential Mortgage Trust Series 2006-3, 5.703%, 11/25/36 (Step) 3,850,000 $2,150,688
Citicorp Residential Mortgage Trust Series 2007-1, 5.892%, 3/25/37 (Step) 1,700,000 $1,333,381
Citigroup, Inc., Floating Rate Note, 12/31/49 (Perpetual) 2,000,000 $2,054,667
Citigroup, Inc., Floating Rate Note, 12/31/49 (Perpetual) 197,000 $5,449,020
Citigroup, Inc., Floating Rate Note, 12/31/49 (Perpetual) 2,000,000 $2,044,744
Citigroup Capital XIII, Floating Rate Note, 10/30/40 116,000 $3,178,400
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 1,682,691 $891,407
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 8/25/34 8,100,000 $1,687,735
Citigroup Mortgage Loan Trust 2006-HE1, Floating Rate Note, 1/25/36 1,840,000 $97,989
Citigroup Mortgage Loan Trust 2010-7, Floating Rate Note, 9/25/37 (144A) 5,372,163 $1,456,660
Citigtoup Mortgage Loan Trust 2014-A, Floating Rate Note, 1/1/35 (144A) 1,000,000 $954,539
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 250,000 $245,450
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 550,000 $538,450
City Center Trust 2011-CCHP, Floating Rate Note, 7/15/28 (144A) 1,000,000 $1,002,229
CKE Restaurant Holdings, Inc., 4.474%, 3/20/43 (144A) 3,924,000 $4,012,567
Cme: (Cdx.Na.Hy.22.V2) Usd 20jun19 Z91jjmp14 0 $-752,189
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 5,000,000 $473,829
CNOOC Nexen Finance 2014 ULC, 4.25%, 4/30/24 5,275,000 $5,462,767
CoBank ACB, 7.875%, 4/16/18 (144A) 1,190,000 $1,439,322
CoBank ACB, Floating Rate Note, 12/31/49 (Perpetual) (144A) 28,000 $2,904,126
Colony American Homes 2014-1, Floating Rate Note, 5/17/31 1,800,000 $1,795,128
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 1,000,000 $1,018,175
COMM 2006-FL12 Mortgage Trust, Floating Rate Note, 12/15/20 (144A) 758,849 $489,478
COMM 2006-FL12 Mortgage Trust, Floating Rate Note, 12/15/20 (144A) 12,165,000 $2,769,221
COMM 2007-FL14 Mortgage Trust, Floating Rate Note, 6/15/22 (144A) 4,954,166 $1,108,291
COMM 2012-CCRE2 Mortgage Trust, 3.147%, 8/15/45 850,000 $858,392
COMM 2012-CCRE2 Mortgage Trust, 3.791%, 8/15/45 450,000 $467,174
COMM 2012-CCRE4 Mortgage Trust, 2.436%, 10/15/45 915,000 $909,709
COMM 2012-LC4 Mortgage Trust, 4.063%, 12/10/44 4,000,000 $4,244,935
COMM 2013-LC6 Mortgage Trust, 2.941%, 1/10/46 1,900,000 $1,874,889
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/17/26 (144A) 4,000,000 $3,720,764
Commonwealth Edison Co., 6.15%, 9/15/17 980,000 $1,143,232
CommScope, Inc., 1/14/18 494,743 $496,438
CommScope, Inc., 1/21/17 329,829 $330,035
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 300,000 $309,105
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 950,000 $985,799
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA Netherlands, 3.875%, 2/8/22 3,435,000 $3,686,941
Corporate Office Properties LP, 3.6%, 5/15/23 1,500,000 $1,440,453
Countrywide Asset-Backed Certificates, Floating Rate Note, 12/25/34 1,400,000 $1,002,601
Countrywide Asset-Backed Certificates, Floating Rate Note, 2/25/36 10,124,000 $1,981,117
County of Sweetwater Wyoming, 5.6%, 12/1/35 995,000 $1,046,730
Courtland Industrial Development Board, 5.0%, 8/1/27 980,000 $999,205
Credit-Based Asset Servicing and Securitization LLC, 5.70426%, 10/25/36 (Step) (144A) 700,000 $690,002
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 5/25/50 (144A) 3,750,000 $155,321
Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40 3,500,000 $2,885,170
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 6/25/33 1,000,000 $246,221
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 11/25/33 9,200,000 $551,857
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/25/33 5,231,000 $310,365
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 2/15/38 2,155,000 $1,887,044
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 6/25/34 4,049,418 $576,246
Crockett Cogeneration LP, 5.869%, 3/30/25 (144A) 1,010,000 $656,343
Cronos Containers Program, Ltd., 3.81%, 9/18/27 (144A) 1,850,000 $1,561,216
Crown Castle Towers LLC, 4.883%, 8/15/20 (144A) 3,015,000 $3,358,979
Crown Castle Towers LLC, 6.113%, 1/15/20 (144A) 1,625,000 $1,889,810
CubeSmart LP, 4.8%, 7/15/22 730,000 $801,360
Cummins, Inc., 5.65%, 3/1/98 3,200,000 $3,702,230
Cummins, Inc., 6.75%, 2/15/27 910,000 $1,162,053
CVS Pass-Through Trust, 5.298%, 1/11/27 (144A) 1,200,000 $753,210
CVS Pass-Through Trust, 5.773%, 1/10/33 (144A) 1,555,000 $1,609,346
DAE Aviation Holdings, Inc., 11/2/18 1,344,309 $1,362,793
Darling Ingredients, Inc., 12/19/20 1,255,000 $1,258,514
DaVita HealthCare Partners, Inc., 10/20/16 387,000 $388,742
DBUBS 2011-LC3 Mortgage Trust, Floating Rate Note, 8/10/44 (144A) 1,900,000 $2,163,623
DCP Midstream LLC, 9.75%, 3/15/19 (144A) 2,900,000 $3,794,178
DCP Midstream LLC, Floating Rate Note, 5/21/43 (144A) 3,950,000 $3,739,169
DCP Midstream Operating LP, 5.6%, 4/1/44 2,125,000 $2,374,263
Dct 4.5% 15oct23 1,475,000 $1,535,094
DDR Corp., 4.625%, 7/15/22 575,000 $628,888
DDR Corp., 7.5%, 4/1/17 2,905,000 $3,403,356
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/15/26 (144A) 1,895,000 $1,894,167
Delphi Corp., 4.15%, 3/15/24 5,400,000 $5,684,831
Delphi Financial Group, Inc., 7.875%, 1/31/20 1,850,000 $2,288,559
Delphi Financial Group, Inc., Floating Rate Note, 5/15/37 153,800 $3,768,100
DigitalGlobe, Inc., 1/31/20 1,306,800 $1,310,271
Digital Realty Trust LP, 5.875%, 2/1/20 725,000 $817,249
Domino's Pizza Master Issuer LLC, 5.216%, 1/25/42 (144A) 4,051,000 $4,251,603
Drug Royalty II LP 1, 4.474%, 1/15/25 (144A) 500,000 $350,521
Drug Royalty II LP 1, Floating Rate Note, 1/15/25 (144A) 300,000 $210,007
DynCorp International, Inc., 7/7/16 595,793 $598,276
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A) 250,000 $271,363
Eastman Chemical Co., 4.8%, 9/1/42 980,000 $1,009,408
Eaton Vance Corp., 6.5%, 10/2/17 733,000 $853,955
Electricite de France, 6.0%, 1/22/14 (144A) 4,250,000 $4,860,976
Electricite de France, Floating Rate Note, 12/31/49 (Perpetual) (144A) 4,800,000 $5,019,713
Embarcadero Reinsurance, Ltd., Floating Rate Note, 2/13/15 (Cat Bond) (144A) 250,000 $254,803
Embarcadero Reinsurance, Ltd., Floating Rate Note, 2/4/16 (Cat Bond) (144A) 500,000 $505,107
Embarcadero Reinsurance, Ltd., Floating Rate Note, 8/7/15 (Cat Bond) (144A) 650,000 $666,754
Enel Finance International NV, 5.125%, 10/7/19 (144A) 3,365,000 $3,813,041
Enel S.p.A., Floating Rate Note, 9/24/73 (144A) 2,320,000 $2,752,181
Energy Transfer Partners LP, Floating Rate Note, 11/1/66 1,200,000 $1,107,243
EnLink Midstream Partners LP, 4.4%, 4/1/24 1,340,000 $1,419,386
Enterprise Products Operating LLC, 3.9%, 2/15/24 5,310,000 $5,539,134
EP Energy LLC, 9.375%, 5/1/20 1,800,000 $2,081,813
Expedia, Inc., 5.95%, 8/15/20 800,000 $906,867
Export-Import Bank of Korea, 5.875%, 1/14/15 625,000 $658,877
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 1,100,000 $1,100,119
Fannie Mae, 3.0%, 12/1/42 2,352,529 $2,184,652
Fannie Mae, 3.0%, 8/1/42 24,375,000 $22,860,069
Fannie Mae, 3.0%, 9/1/42 7,819,203 $7,160,026
Fannie Mae, 3.5%, 11/1/42 380,000 $372,420
Fannie Mae, 3.5%, 12/1/26 4,340,805 $2,549,921
Fannie Mae, 3.5%, 12/1/42 1,015,373 $932,800
Fannie Mae, 3.5%, 12/1/42 1,000,000 $987,738
Fannie Mae, 3.5%, 6/1/28 5,531,277 $5,146,691
Fannie Mae, 3.5%, 7/1/43 3,767,763 $3,691,786
Fannie Mae, 4.0%, 1/1/42 1,821,298 $910,447
Fannie Mae, 4.0%, 1/1/42 2,000,000 $973,671
Fannie Mae, 4.0%, 1/1/44 273,906 $286,985
Fannie Mae, 4.0%, 12/1/40 1,900,000 $1,426,499
Fannie Mae, 4.0%, 12/1/41 5,950,000 $3,213,316
Fannie Mae, 4.0%, 12/1/42 142,828 $46,639
Fannie Mae, 4.0%, 12/1/43 7,600,000 $7,880,288
Fannie Mae, 4.0%, 2/1/42 24,300,000 $13,881,748
Fannie Mae, 4.0%, 2/1/43 2,000,000 $1,674,198
Fannie Mae, 4.0%, 4/1/39 7,360,371 $2,421,571
Fannie Mae, 4.0%, 4/1/41 1,850,000 $1,456,069
Fannie Mae, 4.0%, 4/1/42 2,200,000 $1,197,645
Fannie Mae, 4.0%, 4/1/42 1,100,000 $805,667
Fannie Mae, 4.0%, 5/1/41 3,008,750 $1,374,218
Fannie Mae, 4.0%, 6/1/42 3,678,905 $1,613,853
Fannie Mae, 4.0%, 7/1/18 675,000 $49,171
Fannie Mae, 4.0%, 7/1/42 624,000 $515,768
Fannie Mae, 4.5%, 1/1/42 23,783,862 $13,755,594
Fannie Mae, 4.5%, 10/1/35 3,754,911 $459,637
Fannie Mae, 4.5%, 10/1/35 3,754,694 $376,889
Fannie Mae, 4.5%, 11/1/20 6,500,000 $606,985
Fannie Mae, 4.5%, 11/1/40 8,151,476 $3,808,952
Fannie Mae, 4.5%, 11/1/43 290,000 $315,367
Fannie Mae, 4.5%, 11/1/43 800,000 $870,610
Fannie Mae, 4.5%, 12/1/41 2,500,000 $1,864,118
Fannie Mae, 4.5%, 12/1/43 900,000 $953,038
Fannie Mae, 4.5%, 2/1/41 2,435,128 $1,490,422
Fannie Mae, 4.5%, 4/1/41 6,978,836 $3,852,270
Fannie Mae, 4.5%, 5/1/41 454,433 $219,538
Fannie Mae, 4.5%, 7/1/41 750,000 $479,795
Fannie Mae, 4.5%, 7/1/41 5,000,000 $3,042,681
Fannie Mae, 4.5%, 7/1/41 5,000,000 $2,639,744
Fannie Mae, 4.5%, 8/1/40 5,950,444 $1,775,272
Fannie Mae, 5.0%, 1/1/20 4,159,304 $459,678
Fannie Mae, 5.0%, 10/1/20 4,036,945 $606,961
Fannie Mae, 5.0%, 12/1/17 499,951 $19,958
Fannie Mae, 5.0%, 2/1/20 700,000 $80,724
Fannie Mae, 5.0%, 2/1/22 450,000 $30,332
Fannie Mae, 5.0%, 2/1/22 7,621,650 $470,722
Fannie Mae, 5.0%, 5/1/23 4,380,644 $718,655
Fannie Mae, 5.0%, 6/1/40 3,850,000 $1,608,878
Fannie Mae, 5.0%, 6/1/40 3,004,062 $1,569,691
Fannie Mae, 5.0%, 7/1/40 5,000,000 $2,044,155
Fannie Mae, 5.0%, 7/1/40 3,750,000 $1,332,383
Fannie Mae, 5.0%, 7/1/40 5,000,000 $2,568,656
Fannie Mae, 5.5%, 12/1/17 12,031,696 $290,449
Fannie Mae, 5.5%, 2/1/18 2,100,000 $135,265
Fannie Mae, 5.5%, 3/1/25 2,500,000 $344,006
Fannie Mae, 5.5%, 3/1/36 5,005,809 $605,697
Fannie Mae, 5.5%, 5/1/36 4,000,000 $557,543
Fannie Mae, 5.5%, 6/1/33 1,148,000 $62,875
Fannie Mae, 5.5%, 6/1/36 6,000,000 $504,204
Fannie Mae, 5.5%, 7/1/23 1,010,000 $80,095
Fannie Mae, 5.5%, 7/1/33 3,800,000 $205,844
Fannie Mae, 5.5%, 7/1/34 13,142,000 $1,416,580
Fannie Mae, 5.5%, 9/1/17 3,705,000 $98,132
Fannie Mae, 5.5%, 9/1/19 7,000,000 $445,048
Fannie Mae, 6.0%, 1/1/29 60,204 $1,342
Fannie Mae, 6.0%, 1/1/32 183,200 $6,417
Fannie Mae, 6.0%, 10/1/32 4,502,006 $110,311
Fannie Mae, 6.0%, 10/1/34 389,152 $31,724
Fannie Mae, 6.0%, 10/1/35 7,125,770 $200,719
Fannie Mae, 6.0%, 11/1/33 400,765 $52,736
Fannie Mae, 6.0%, 11/1/34 271,485 $24,114
Fannie Mae, 6.0%, 12/1/35 8,000,000 $786,726
Fannie Mae, 6.0%, 2/1/32 2,379,023 $46,154
Fannie Mae, 6.0%, 2/1/33 2,200,000 $33,978
Fannie Mae, 6.0%, 2/1/35 180,000 $22,207
Fannie Mae, 6.0%, 2/1/35 62,166 $8,972
Fannie Mae, 6.0%, 3/1/32 450,000 $12,784
Fannie Mae, 6.0%, 3/1/33 230,257 $19,525
Fannie Mae, 6.0%, 3/1/33 3,500,000 $165,401
Fannie Mae, 6.0%, 4/1/33 4,000,000 $201,452
Fannie Mae, 6.0%, 4/1/35 4,000,000 $411,133
Fannie Mae, 6.0%, 5/1/35 1,799,482 $116,995
Fannie Mae, 6.0%, 6/1/16 4,000,000 $22,689
Fannie Mae, 6.0%, 6/1/38 2,250,000 $585,966
Fannie Mae, 6.0%, 7/1/33 7,500,000 $727,018
Fannie Mae, 6.0%, 7/1/33 10,874,932 $238,598
Fannie Mae, 6.0%, 7/1/38 974,925 $93,454
Fannie Mae, 6.0%, 8/1/32 315,000 $8,612
Fannie Mae, 6.0%, 8/1/34 3,757,089 $292,017
Fannie Mae, 6.0%, 9/1/29 124,691 $2,111
Fannie Mae, 6.0%, 9/1/32 65,856 $1,104
Fannie Mae, 6.0%, 9/1/34 6,273,165 $234,593
Fannie Mae, 6.0%, 9/1/34 408,807 $49,225
Fannie Mae, 6.0%, 9/1/34 352,132 $23,381
Fannie Mae, 6.0%, 9/1/34 2,000,000 $120,046
Fannie Mae, 6.5%, 1/1/15 145,737 $202
Fannie Mae, 6.5%, 1/1/31 1,000,000 $4,386
Fannie Mae, 6.5%, 10/1/31 1,000,100 $14,450
Fannie Mae, 6.5%, 10/1/32 2,811,012 $140,511
Fannie Mae, 6.5%, 11/1/37 2,222,350 $330,291
Fannie Mae, 6.5%, 12/1/31 3,300,000 $161,626
Fannie Mae, 6.5%, 2/1/32 1,000,100 $8,899
Fannie Mae, 6.5%, 2/1/33 2,000,000 $31,814
Fannie Mae, 6.5%, 3/1/32 3,500,000 $94,728
Fannie Mae, 6.5%, 4/1/31 500,000 $4,557
Fannie Mae, 6.5%, 5/1/31 1,960,805 $18,647
Fannie Mae, 6.5%, 6/1/31 2,750,000 $115,658
Fannie Mae, 6.5%, 7/1/29 500,000 $10,970
Fannie Mae, 6.5%, 7/1/34 1,095,000 $53,306
Fannie Mae, 6.5%, 8/1/31 1,500,000 $10,923
Fannie Mae, 6.5%, 9/1/31 2,000,200 $13,045
Fannie Mae, 6.5%, 9/1/31 2,000,000 $15,855
Fannie Mae, 7.0%, 1/1/32 1,701,763 $36,741
Fannie Mae, 7.0%, 12/1/30 499,950 $895
Fannie Mae, 7.0%, 12/1/30 525,099 $10,071
Fannie Mae, 7.0%, 12/1/31 1,198,074 $29,489
Fannie Mae, 7.0%, 4/1/31 2,160,818 $14,218
Fannie Mae, 7.0%, 7/1/21 500,000 $6,518
Fannie Mae, 7.0%, 9/1/31 2,000,000 $11,092
Fannie Mae, 7.0%, 9/1/31 2,000,000 $23,208
Fannie Mae, 7.5%, 8/1/20 250,000 $1,111
Fannie Mae, 8.0%, 10/1/30 155,531 $845
Fannie Mae, 8.0%, 2/1/29 240,000 $3,303
Fannie Mae, 8.0%, 3/1/31 1,495,060 $11,616
Fannie Mae, 8.0%, 4/1/20 215,000 $1,997
Fannie Mae, 8.0%, 4/1/30 150,000 $800
Fannie Mae, 8.0%, 5/1/31 45,000 $424
Fannie Mae, 8.0%, 7/1/30 100,000 $621
Fannie Mae Pool, 4.5%, 8/25/40 15,000,000 $16,244,063
Fannie Mae Pool, 5.0%, 5/25/40 30,000,000 $33,195,833
Federal Home Loan Mortgage Corp., 3.5%, 11/1/28 2,200,200 $2,246,245
Federal Home Loan Mortgage Corp., 3.5%, 8/1/43 4,521,618 $4,630,568
Federal Home Loan Mortgage Corp., 4.0%, 1/1/44 4,260,000 $4,440,838
Federal Home Loan Mortgage Corp., 4.5%, 10/1/20 6,000,000 $605,296
Federal Home Loan Mortgage Corp., 4.5%, 11/1/40 12,403,700 $6,673,712
Federal Home Loan Mortgage Corp., 4.5%, 3/1/20 4,000,000 $338,530
Federal Home Loan Mortgage Corp., 4.5%, 3/1/42 4,169,408 $4,237,803
Federal Home Loan Mortgage Corp., 5.0%, 10/1/20 9,000,000 $1,617,486
Federal Home Loan Mortgage Corp., 5.0%, 10/1/38 6,600,000 $764,554
Federal Home Loan Mortgage Corp., 5.0%, 11/1/34 250,000 $31,285
Federal Home Loan Mortgage Corp., 5.0%, 12/1/21 450,000 $43,924
Federal Home Loan Mortgage Corp., 5.0%, 6/1/35 4,244,107 $794,199
Federal Home Loan Mortgage Corp., 5.0%, 9/1/38 6,500,000 $722,833
Federal Home Loan Mortgage Corp., 5.5%, 11/1/34 1,900,000 $245,102
Federal Home Loan Mortgage Corp., 5.5%, 11/1/34 550,000 $51,111
Federal Home Loan Mortgage Corp., 5.5%, 11/1/35 1,000,000 $84,105
Federal Home Loan Mortgage Corp., 5.5%, 12/1/18 2,500,000 $368,212
Federal Home Loan Mortgage Corp., 5.5%, 8/1/35 5,000,000 $436,301
Federal Home Loan Mortgage Corp., 5.5%, 9/1/33 5,200,000 $487,241
Federal Home Loan Mortgage Corp., 6.0%, 1/1/33 1,890,000 $91,645
Federal Home Loan Mortgage Corp., 6.0%, 1/1/34 3,744,314 $124,383
Federal Home Loan Mortgage Corp., 6.0%, 1/1/34 500,000 $58,971
Federal Home Loan Mortgage Corp., 6.0%, 11/1/33 1,151,218 $36,299
Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 3,297,768 $141,518
Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 2,000,000 $182,786
Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 635,770 $43,013
Federal Home Loan Mortgage Corp., 6.0%, 12/1/36 860,000 $92,488
Federal Home Loan Mortgage Corp., 6.0%, 2/1/33 550,000 $11,797
Federal Home Loan Mortgage Corp., 6.0%, 2/1/33 4,851,146 $118,481
Federal Home Loan Mortgage Corp., 6.0%, 3/1/33 2,255,430 $45,784
Federal Home Loan Mortgage Corp., 6.0%, 3/1/33 5,524,534 $324,984
Federal Home Loan Mortgage Corp., 6.0%, 4/1/33 379,183 $17,399
Federal Home Loan Mortgage Corp., 6.0%, 4/1/35 2,582,414 $69,590
Federal Home Loan Mortgage Corp., 6.0%, 4/1/36 7,000,000 $724,716
Federal Home Loan Mortgage Corp., 6.0%, 5/1/17 7,876,244 $90,133
Federal Home Loan Mortgage Corp., 6.0%, 5/1/34 1,440,424 $258,706
Federal Home Loan Mortgage Corp., 6.0%, 5/1/34 7,192,224 $897,503
Federal Home Loan Mortgage Corp., 6.0%, 6/1/35 3,600,000 $146,474
Federal Home Loan Mortgage Corp., 6.0%, 6/1/35 3,778,102 $167,332
Federal Home Loan Mortgage Corp., 6.0%, 8/1/34 3,000,000 $227,613
Federal Home Loan Mortgage Corp., 6.0%, 9/1/33 3,396,240 $257,007
Federal Home Loan Mortgage Corp., 6.5%, 1/1/31 66,916 $203
Federal Home Loan Mortgage Corp., 6.5%, 1/1/31 47,714 $380
Federal Home Loan Mortgage Corp., 6.5%, 1/1/33 39,165 $558
Federal Home Loan Mortgage Corp., 6.5%, 10/1/33 2,000,000 $66,405
Federal Home Loan Mortgage Corp., 6.5%, 11/1/30 53,302 $502
Federal Home Loan Mortgage Corp., 6.5%, 11/1/33 1,109,301 $232,195
Federal Home Loan Mortgage Corp., 6.5%, 2/1/33 62,297 $4,256
Federal Home Loan Mortgage Corp., 6.5%, 3/1/31 527,335 $9,673
Federal Home Loan Mortgage Corp., 6.5%, 3/1/31 217,521 $607
Federal Home Loan Mortgage Corp., 6.5%, 4/1/34 299,956 $4,630
Federal Home Loan Mortgage Corp., 6.5%, 5/1/31 1,043,809 $12,513
Federal Home Loan Mortgage Corp., 6.5%, 5/1/31 100,010 $187
Federal Home Loan Mortgage Corp., 6.5%, 6/1/32 39,022 $326
Federal Home Loan Mortgage Corp., 6.5%, 7/1/32 1,000,000 $22,398
Federal Home Loan Mortgage Corp., 6.5%, 8/1/31 1,070,805 $5,077
Federal Home Loan Mortgage Corp., 6.5%, 8/1/31 192,020 $1,518
Federal Home Loan Mortgage Corp., 7.0%, 11/1/30 1,000,100 $5,250
Federal Home Loan Mortgage Corp., 7.0%, 8/1/22 687,553 $119,952
Federal Home Loan Mortgage Corp., 7.0%, 9/1/22 1,775,260 $347,624
Federal Home Loan Mortgage Corp., Floating Rate Note, 9/25/44 (144A) 1,250,000 $1,301,437
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/33 5,000,000 $637,036
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/34 1,925,000 $292,932
Federal Mogul 1st Lien Tl-C L + 3.75% 15apr21 1,433,078 $1,429,944
Federal National Mortgage Association, 5.0%, 8/1/40 3,000,000 $1,826,489
Federal National Mortgage Association REMICS, 10.3%, 4/25/19 1,000,000 $4,782
Federal National Mortgage Association REMICS, 4.5%, 6/25/29 1,000,000 $993,822
Federal National Mortgage Association REMICS, 5.0%, 7/25/33 5,000,000 $1,330,727
Federal National Mortgage Association REMICS, 5.0%, 9/25/39 704,000 $160,808
Fg 30 Yr Pool 4.5% #C03832 01mar42 22,167,426 $10,228,824
Fg 30 Yr Pool 4.5% #C09051 01nov43 637,703 $633,951
Fg 30 Yr Pool 4% #G08588 01may44 9,000,000 $9,568,428
Fidelity National Financial, Inc., 5.5%, 9/1/22 1,200,000 $1,332,275
Fifth Third Bancorp, Floating Rate Note, 12/31/49 (Perpetual) 43,050 $1,147,283
First Franklin Mortgage Loan Trust 2004-FF10, Floating Rate Note, 9/25/34 1,792,033 $85,786
First Horizon Mortgage Pass-Through Trust 2004-AR5, Floating Rate Note, 10/25/34 3,800,000 $273,762
First Horizon Mortgage Pass-Through Trust 2005-AR1, Floating Rate Note, 4/25/35 2,113,000 $446,233
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 1,250,000 $508,881
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 1,200,000 $1,204,791
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 4,700,000 $2,158,714
Flextronics International, Ltd., 10/1/14 0 $0
Fn15 3.5% 17jun14 3,800,000 $4,026,786
Fn15 3% 17jun14 3,900,000 $4,063,638
Fn 30 Yr Pool 3.5% #Aw4182 01feb44 16,524,601 $17,078,273
Fn 30 Yr Pool 4.5% #Ah8051 01may41 17,795,568 $5,745,942
Fn 30 Yr Pool 4.5% #Al3643 01jan42 11,834,581 $10,545,832
Fn 30 Yr Pool 4% #As2535 01may44 3,800,000 $4,045,090
Fn 30 Yr Pool 5% #935141 01apr39 2,924,816 $443,878
Fn 30 Yr Pool 5% #Ah6735 01feb41 17,669,429 $7,784,990
Foundation Re III, Ltd., Floating Rate Note, 2/25/15 (Cat Bond) (144A) 1,050,000 $1,059,783
FPL Energy American Wind LLC, 6.639%, 6/20/23 (144A) 2,520,000 $779,788
FPL Energy Wind Funding LLC, 6.876%, 6/27/17 (144A) 1,050,000 $139,300
Freeport-McMoRan Copper & Gold, Inc., 3.875%, 3/15/23 1,850,000 $1,840,353
FREMF Mortgage Trust 2010-K7, Floating Rate Note, 4/25/20 (144A) 850,000 $960,899
FREMF Mortgage Trust 2010-K8, Floating Rate Note, 9/25/43 (144A) 600,000 $672,391
FREMF Mortgage Trust 2010-K9 REMICS, Floating Rate Note, 9/25/45 (144A) 890,000 $991,123
FREMF Mortgage Trust 2011-K10 , Floating Rate Note, 11/25/49 (144A) 1,500,000 $1,625,856
FREMF Mortgage Trust 2011-K701, Floating Rate Note, 7/25/48 (144A) 5,000,000 $5,339,608
FREMF Mortgage Trust 2011-K702, Floating Rate Note, 4/25/44 (144A) 1,750,000 $1,905,396
FREMF Mortgage Trust 2011-K703, Floating Rate Note, 7/25/44 (144A) 1,250,000 $1,367,031
FREMF Mortgage Trust 2012-K501, Floating Rate Note, 11/25/46 (144A) 650,000 $676,170
FREMF Mortgage Trust 2012-K710, Floating Rate Note, 6/25/47 (144A) 858,000 $898,890
FREMF Mortgage Trust 2013-K502, Floating Rate Note, 3/25/45 (144A) 900,000 $918,274
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 1,200,000 $1,240,187
Gates Investments LLC, 9/29/16 663,470 $664,876
GATX Corp., 5.2%, 3/15/44 2,260,000 $2,473,384
GATX Corp., 6.0%, 2/15/18 5,660,000 $6,524,388
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 3,840,084 $2,286,549
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 3,115,635 $1,423,880
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 1,659,000 $1,663,159
General Electric Capital Corp., 5.3%, 2/11/21 4,860,000 $5,608,850
General Electric Capital Corp., Floating Rate Note, 12/31/49 (Perpetual) 1,800,000 $2,183,138
Glencore Funding LLC, 4.125%, 5/30/23 (144A) 1,175,000 $1,185,998
Glenn Pool Oil & Gas Trust, 5/2/16 1,338,495 $1,348,534
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 3,090,877 $1,018,772
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 18,410,000 $1,971,265
Global SC Finance II SRL, 4.11%, 7/19/27 (144A) 1,000,000 $822,102
GLP Capital LP, 4.375%, 11/1/18 (144A) 1,010,000 $1,051,557
GMAC Commercial Mortgage Securities Inc Series 2004-C3 Trust, 4.864%, 12/10/41 3,375,000 $3,431,235
GMACM Mortgage Loan Trust 2003-AR1, Floating Rate Note, 10/19/33 8,020,000 $1,192,376
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 1,450,000 $1,447,839
Gnsf 30yr Pool 4% Jun/11 Tba 15,000,000 $16,033,125
Goldcorp, Inc., 3.7%, 3/15/23 1,650,000 $1,632,794
Gold Fields Orogen Holding BVI, Ltd., 4.875%, 10/7/20 (144A) 5,000,000 $4,585,885
Goodman Funding Pty, Ltd., 6.0%, 3/22/22 (144A) 1,050,000 $1,204,747
Goodman Funding Pty, Ltd., 6.375%, 4/15/21 (144A) 3,455,000 $4,048,399
Government National Mortgage Association, 3.0%, 4/20/41 2,000,000 $1,885,089
Government National Mortgage Association, 4.973%, 4/16/42 375,000 $321,180
Government National Mortgage Association, 5.25%, 8/16/35 450,000 $810,283
Government National Mortgage Association, Floating Rate Note, 2/16/53 12,000,000 $913,838
Government National Mortgage Association, Floating Rate Note, 3/16/53 8,300,000 $604,391
Government National Mortgage Association, Floating Rate Note, 8/16/52 14,000,000 $915,629
Government National Mortgage Association, Floating Rate Note, 9/16/52 13,000,000 $1,027,903
Government National Mortgage Association I, 4.5%, 1/15/40 1,235,000 $815,391
Government National Mortgage Association I, 4.5%, 10/15/33 2,103,237 $535,296
Government National Mortgage Association I, 4.5%, 10/15/33 2,981,200 $346,486
Government National Mortgage Association I, 4.5%, 10/15/35 2,106,954 $308,696
Government National Mortgage Association I, 4.5%, 2/15/34 181,146 $62,791
Government National Mortgage Association I, 4.5%, 3/15/35 784,949 $47,370
Government National Mortgage Association I, 4.5%, 3/15/35 1,722,219 $258,100
Government National Mortgage Association I, 4.5%, 4/15/35 200,000 $39,890
Government National Mortgage Association I, 4.5%, 4/15/35 1,999,800 $326,665
Government National Mortgage Association I, 4.5%, 4/15/38 1,004,042 $312,960
Government National Mortgage Association I, 4.5%, 7/15/33 633,571 $135,023
Government National Mortgage Association I, 4.5%, 7/15/41 1,442,000 $957,452
Government National Mortgage Association I, 4.5%, 8/15/41 5,900,000 $3,111,926
Government National Mortgage Association I, 4.5%, 9/15/33 2,256,215 $359,166
Government National Mortgage Association I, 4.5%, 9/15/35 393,589 $72,405
Government National Mortgage Association I, 4.5%, 9/15/40 900,000 $629,710
Government National Mortgage Association I, 5.0%, 10/15/18 3,153,375 $196,704
Government National Mortgage Association I, 5.0%, 4/15/34 1,504,329 $188,399
Government National Mortgage Association I, 5.0%, 4/15/35 2,500,000 $683,686
Government National Mortgage Association I, 5.0%, 7/15/19 1,587,453 $205,462
Government National Mortgage Association I, 5.0%, 7/15/19 26,391 $2,661
Government National Mortgage Association I, 5.0%, 7/15/33 1,500,150 $197,633
Government National Mortgage Association I, 5.0%, 9/15/33 1,254,232 $187,089
Government National Mortgage Association I, 5.5%, 1/15/35 2,222,000 $262,481
Government National Mortgage Association I, 5.5%, 10/15/17 2,400,000 $61,914
Government National Mortgage Association I, 5.5%, 10/15/17 5,636,984 $258,500
Government National Mortgage Association I, 5.5%, 10/15/33 1,509,492 $136,760
Government National Mortgage Association I, 5.5%, 10/15/35 1,001,204 $183,355
Government National Mortgage Association I, 5.5%, 10/15/35 2,002,398 $347,382
Government National Mortgage Association I, 5.5%, 11/15/18 1,443,964 $78,115
Government National Mortgage Association I, 5.5%, 11/15/19 2,683,028 $449,271
Government National Mortgage Association I, 5.5%, 11/15/34 4,800,000 $914,390
Government National Mortgage Association I, 5.5%, 12/15/18 406,708 $45,733
Government National Mortgage Association I, 5.5%, 2/15/18 4,000,000 $193,178
Government National Mortgage Association I, 5.5%, 2/15/18 4,000,000 $213,624
Government National Mortgage Association I, 5.5%, 2/15/35 2,043,628 $119,445
Government National Mortgage Association I, 5.5%, 2/15/35 500,000 $76,727
Government National Mortgage Association I, 5.5%, 2/15/37 575,000 $93,421
Government National Mortgage Association I, 5.5%, 4/15/19 25,000 $2,625
Government National Mortgage Association I, 5.5%, 6/15/33 400,000 $24,676
Government National Mortgage Association I, 5.5%, 6/15/35 900,000 $183,622
Government National Mortgage Association I, 5.5%, 7/15/33 1,500,000 $144,499
Government National Mortgage Association I, 5.5%, 7/15/33 2,100,000 $137,829
Government National Mortgage Association I, 5.5%, 7/15/34 6,580,000 $753,123
Government National Mortgage Association I, 5.5%, 7/15/35 5,500,000 $932,855
Government National Mortgage Association I, 5.5%, 8/15/19 2,543,276 $282,493
Government National Mortgage Association I, 5.5%, 8/15/19 4,380,618 $326,873
Government National Mortgage Association I, 5.5%, 8/15/33 299,970 $33,276
Government National Mortgage Association I, 5.5%, 8/15/33 400,000 $36,522
Government National Mortgage Association I, 5.5%, 8/15/33 750,075 $64,947
Government National Mortgage Association I, 5.5%, 9/15/19 3,000,000 $232,664
Government National Mortgage Association I, 5.5%, 9/15/33 3,636,072 $252,262
Government National Mortgage Association I, 6.0%, 1/15/17 705,441 $13,008
Government National Mortgage Association I, 6.0%, 1/15/19 548,488 $38,387
Government National Mortgage Association I, 6.0%, 1/15/33 4,534,594 $214,639
Government National Mortgage Association I, 6.0%, 1/15/33 2,500,000 $55,267
Government National Mortgage Association I, 6.0%, 10/15/32 2,001,957 $63,509
Government National Mortgage Association I, 6.0%, 10/15/33 2,000,000 $78,239
Government National Mortgage Association I, 6.0%, 10/15/34 2,897,739 $455,440
Government National Mortgage Association I, 6.0%, 10/15/36 3,000,000 $214,819
Government National Mortgage Association I, 6.0%, 11/15/31 1,614,291 $62,100
Government National Mortgage Association I, 6.0%, 11/15/34 3,188,149 $244,776
Government National Mortgage Association I, 6.0%, 12/15/32 1,500,000 $283,185
Government National Mortgage Association I, 6.0%, 2/15/29 2,700,000 $179,692
Government National Mortgage Association I, 6.0%, 2/15/33 1,254,640 $62,968
Government National Mortgage Association I, 6.0%, 3/15/17 2,080,702 $50,940
Government National Mortgage Association I, 6.0%, 3/15/17 2,000,000 $50,358
Government National Mortgage Association I, 6.0%, 3/15/32 80,300 $3,286
Government National Mortgage Association I, 6.0%, 3/15/33 3,750,000 $577,971
Government National Mortgage Association I, 6.0%, 3/15/33 3,475,000 $228,003
Government National Mortgage Association I, 6.0%, 3/15/33 3,594,840 $317,628
Government National Mortgage Association I, 6.0%, 3/15/33 9,171,532 $483,309
Government National Mortgage Association I, 6.0%, 3/15/33 4,256,655 $235,603
Government National Mortgage Association I, 6.0%, 3/15/33 3,044,810 $199,675
Government National Mortgage Association I, 6.0%, 4/15/18 1,038,016 $39,439
Government National Mortgage Association I, 6.0%, 4/15/33 2,000,000 $65,480
Government National Mortgage Association I, 6.0%, 4/15/33 3,907,830 $193,057
Government National Mortgage Association I, 6.0%, 4/15/33 1,000,000 $33,615
Government National Mortgage Association I, 6.0%, 5/15/17 1,413,485 $58,594
Government National Mortgage Association I, 6.0%, 5/15/17 1,900,000 $63,133
Government National Mortgage Association I, 6.0%, 5/15/33 4,328,221 $238,089
Government National Mortgage Association I, 6.0%, 6/15/17 519,853 $9,278
Government National Mortgage Association I, 6.0%, 6/15/33 368,522 $17,342
Government National Mortgage Association I, 6.0%, 8/15/32 300,000 $14,030
Government National Mortgage Association I, 6.0%, 8/15/36 4,350,000 $585,579
Government National Mortgage Association I, 6.0%, 9/15/19 1,829,714 $132,559
Government National Mortgage Association I, 6.0%, 9/15/28 12,973,600 $456,342
Government National Mortgage Association I, 6.0%, 9/15/32 1,406,079 $115,023
Government National Mortgage Association I, 6.0%, 9/15/33 904,389 $90,894
Government National Mortgage Association I, 6.0%, 9/15/33 500,663 $27,566
Government National Mortgage Association I, 6.0%, 9/15/34 1,315,000 $143,928
Government National Mortgage Association I, 6.0%, 9/15/34 1,374,301 $290,086
Government National Mortgage Association I, 6.0%, 9/15/35 5,000,000 $1,102,111
Government National Mortgage Association I, 6.5%, 1/15/29 1,500,000 $30,897
Government National Mortgage Association I, 6.5%, 1/15/32 7,587,058 $159,619
Government National Mortgage Association I, 6.5%, 1/15/33 263,074 $6,824
Government National Mortgage Association I, 6.5%, 1/15/33 25,065,172 $686,517
Government National Mortgage Association I, 6.5%, 1/15/34 1,311,303 $37,424
Government National Mortgage Association I, 6.5%, 1/15/35 62,679 $6,441
Government National Mortgage Association I, 6.5%, 10/15/31 477,508 $9,616
Government National Mortgage Association I, 6.5%, 10/15/31 9,167,721 $167,753
Government National Mortgage Association I, 6.5%, 10/15/31 3,015,231 $63,253
Government National Mortgage Association I, 6.5%, 10/15/32 6,591,983 $129,990
Government National Mortgage Association I, 6.5%, 10/15/33 32,450 $3,349
Government National Mortgage Association I, 6.5%, 11/15/31 100,000 $8,610
Government National Mortgage Association I, 6.5%, 11/15/32 3,929,947 $102,082
Government National Mortgage Association I, 6.5%, 12/15/32 25,822,328 $654,683
Government National Mortgage Association I, 6.5%, 2/15/29 260,526 $2,714
Government National Mortgage Association I, 6.5%, 2/15/29 301,000 $14,403
Government National Mortgage Association I, 6.5%, 2/15/32 3,127,662 $49,725
Government National Mortgage Association I, 6.5%, 2/15/34 733,600 $107,552
Government National Mortgage Association I, 6.5%, 3/15/29 1,120,633 $13,430
Government National Mortgage Association I, 6.5%, 3/15/29 5,001,628 $101,403
Government National Mortgage Association I, 6.5%, 3/15/29 2,000,000 $26,192
Government National Mortgage Association I, 6.5%, 3/15/31 1,000,000 $14,786
Government National Mortgage Association I, 6.5%, 3/15/32 975,284 $27,193
Government National Mortgage Association I, 6.5%, 4/15/31 8,257,522 $127,555
Government National Mortgage Association I, 6.5%, 4/15/32 235,320 $17,780
Government National Mortgage Association I, 6.5%, 4/15/35 517,486 $86,134
Government National Mortgage Association I, 6.5%, 5/15/29 273,319 $6,122
Government National Mortgage Association I, 6.5%, 5/15/29 6,774,704 $124,458
Government National Mortgage Association I, 6.5%, 5/15/31 2,567,327 $35,907
Government National Mortgage Association I, 6.5%, 5/15/31 1,798,476 $31,584
Government National Mortgage Association I, 6.5%, 5/15/32 1,000,000 $14,566
Government National Mortgage Association I, 6.5%, 5/15/33 1,672,708 $62,850
Government National Mortgage Association I, 6.5%, 6/15/32 1,561,662 $26,318
Government National Mortgage Association I, 6.5%, 6/15/34 1,330,499 $204,792
Government National Mortgage Association I, 6.5%, 6/15/35 190,431 $8,006
Government National Mortgage Association I, 6.5%, 7/15/32 14,653,970 $257,545
Government National Mortgage Association I, 6.5%, 7/15/32 5,169,128 $54,986
Government National Mortgage Association I, 6.5%, 7/15/35 3,323,439 $107,326
Government National Mortgage Association I, 6.5%, 7/15/35 666,356 $75,855
Government National Mortgage Association I, 6.5%, 8/15/31 913,650 $95,138
Government National Mortgage Association I, 6.5%, 8/15/32 129,066 $10,897
Government National Mortgage Association I, 6.5%, 8/15/32 2,400,000 $39,640
Government National Mortgage Association I, 6.5%, 9/15/34 121,399 $4,933
Government National Mortgage Association I, 7.0%, 10/15/31 2,044,706 $7,917
Government National Mortgage Association I, 7.0%, 11/15/28 4,530,958 $88,441
Government National Mortgage Association I, 7.0%, 11/15/28 2,367,683 $31,919
Government National Mortgage Association I, 7.0%, 12/15/30 599,940 $13,506
Government National Mortgage Association I, 7.0%, 12/15/30 500,000 $5,561
Government National Mortgage Association I, 7.0%, 3/15/31 1,750,000 $20,920
Government National Mortgage Association I, 7.0%, 4/15/28 266,017 $2,929
Government National Mortgage Association I, 7.0%, 4/15/29 1,014,372 $27,300
Government National Mortgage Association I, 7.0%, 5/15/32 5,500,000 $108,059
Government National Mortgage Association I, 7.0%, 6/15/31 3,800,000 $55,439
Government National Mortgage Association I, 7.0%, 6/15/31 3,678,509 $7,338
Government National Mortgage Association I, 7.0%, 7/15/31 536,209 $6,583
Government National Mortgage Association I, 7.0%, 8/15/28 200,000 $2,605
Government National Mortgage Association I, 7.0%, 8/15/31 17,500,000 $242,735
Government National Mortgage Association I, 7.0%, 9/15/31 2,202,152 $16,297
Government National Mortgage Association I, 7.5%, 10/15/29 514,502 $7,228
Government National Mortgage Association I, 7.5%, 12/15/31 7,728,804 $70,352
Government National Mortgage Association I, 7.5%, 2/15/26 893,000 $2,133
Government National Mortgage Association I, 7.5%, 2/15/31 1,466,543 $16,389
Government National Mortgage Association I, 7.5%, 8/15/29 2,007,985 $21,147
Government National Mortgage Association I, 7.75%, 2/15/30 500,000 $2,568
Government National Mortgage Association II, 4.5%, 1/20/35 2,500,000 $540,566
Government National Mortgage Association II, 4.5%, 12/20/34 1,007,144 $203,079
Government National Mortgage Association II, 4.5%, 3/20/35 500,000 $107,843
Government National Mortgage Association II, 4.5%, 9/20/41 5,800,000 $3,311,400
Government National Mortgage Association II, 5.5%, 10/20/19 4,728,248 $641,116
Government National Mortgage Association II, 5.5%, 3/20/34 3,000,000 $402,631
Government National Mortgage Association II, 5.5%, 4/20/34 2,500,000 $364,316
Government National Mortgage Association II, 6.5%, 2/20/29 210,000 $3,761
Government National Mortgage Association II, 6.5%, 3/20/29 100,000 $1,653
Government National Mortgage Association II, 6.5%, 4/20/29 2,900,000 $50,969
Government National Mortgage Association II, 7.0%, 1/20/29 8,400,000 $127,378
Government National Mortgage Association II, 7.0%, 11/20/28 10,000,000 $124,691
Government National Mortgage Association II, 7.0%, 12/20/30 400,864 $3,653
Government National Mortgage Association REMICS, 2.1%, 2/16/48 6,000,000 $5,990,364
GRIFOLS WORLDWIDE OPERATIONS USA INC, U.S. Tranche B Term Loam, 4/1/21 390,000 $388,873
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 4,359,000 $950,630
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 5,642,356 $584,006
GS Mortgage Securities Corp II, 3.682%, 2/10/46 (144A) 1,000,000 $1,009,743
GS Mortgage Securities Corp II, Floating Rate Note, 11/8/29 (144A) 1,550,000 $1,567,410
GS Mortgage Securities Trust 2006-GG8, 5.56%, 11/10/39 900,000 $982,592
GS Mortgage Securities Trust 2012-GCJ7, 3.377%, 5/10/45 1,250,000 $1,292,890
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 18,254,000 $1,234,540
GSR Mortgage Loan Trust 2004-7, Floating Rate Note, 6/25/34 14,810,263 $1,941,387
GSR Mortgage Loan Trust 2005-AR1, Floating Rate Note, 1/25/35 3,250,000 $754,392
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 2,336,716 $1,498,506
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 5,715,000 $928,579
GTP Acquisition Partners I LLC, 4.347%, 6/15/16 (144A) 3,355,000 $3,484,899
GTP Cellular Sites LLC, 3.721%, 3/15/17 (144A) 800,000 $828,513
GTP Towers Issuer LLC, 4.436%, 2/15/15 (144A) 3,950,000 $4,030,397
Halliburton Co., 7.6%, 8/15/96 (144A) 1,300,000 $1,977,129
HCA, Inc., 3/31/17 1,784,645 $1,788,469
HCA, Inc., 5/1/18 744,160 $745,943
Health Care Real Estate Investment Trust, Inc., 4.5%, 1/15/24 1,000,000 $1,086,370
Healthcare Realty Trust, Inc., 6.5%, 1/17/17 2,425,000 $2,793,414
Hercules Capital Funding Trust 2012-1, 3.32%, 12/16/17 (144A) 650,000 $242,645
Highwoods Realty LP, 3.625%, 1/15/23 2,100,000 $2,108,426
HLSS Servicer Advance Receivables Trust, 1.2437%, 1/17/45 1,300,000 $1,302,669
HLSS Servicer Advance Receivables Trust, 1.7436%, 1/16/46 (144A) 1,620,000 $1,617,529
HLSS Servicer Advance Receivables Trust, 3.96%, 10/15/45 (144A) 224,000 $228,605
Holcim US Finance Sarl & Cie SCS, 6.0%, 12/30/19 (144A) 475,000 $560,556
Hologic, Inc., 8/1/19 558,074 $558,205
Home Equity Asset Trust 2005-7, Floating Rate Note, 1/25/36 750,000 $422,113
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 24,782,615 $2,528,725
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 3,048,000 $2,192,624
Hospitality Properties Trust, 5.0%, 8/15/22 1,985,000 $2,146,236
Houston Higher Education Finance Corp., 5.0%, 5/15/40 1,500,000 $1,689,333
HSBC Bank Plc, 7.65%, 5/1/25 1,305,000 $1,689,774
HSBC Bank USA NA New York NY, 6.0%, 8/9/17 3,350,000 $3,852,402
HSBC Holdings Plc, 4.25%, 3/14/24 3,940,000 $4,095,123
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 5,300,000 $1,490,244
Huntsman International LLC, 4/19/17 254,694 $254,535
Hyundai Capital America, 1.45%, 2/6/17 (144A) 2,245,000 $2,265,575
Hyundai Motor Manufacturing Czech sro, 4.5%, 4/15/15 (144A) 655,000 $679,605
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 900,000 $909,030
Icon Brands Holdings LLC, 4.229%, 1/25/43 (144A) 1,391,000 $1,286,206
Immucor, Inc., 8/19/18 2,150,301 $2,155,677
Impac CMB Trust Series 2004-5, Floating Rate Note, 10/25/34 9,913,800 $606,911
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 7,729,000 $457,348
Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34 32,667,000 $2,323,779
Impac CMB Trust Series 2004-9, Floating Rate Note, 1/25/35 10,000,000 $709,183
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 11/25/34 75,831,301 $2,163,077
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 1,525,000 $475,081
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 3,900,000 $962,172
IMS Health, Inc., 3/17/21 457,240 $454,740
Indianapolis Airport Authority, 5.1%, 1/15/17 1,000,000 $1,124,207
Intel Corp., 2.95%, 12/15/35 4,725,000 $5,710,648
Interactive Data 1st Lien Tl-B L + 3.75% 24apr21 750,547 $757,114
Intesa Sanpaolo S.p.A., 3.625%, 8/12/15 (144A) 3,476,000 $3,598,403
Intesa Sanpaolo S.p.A., 6.5%, 2/24/21 (144A) 1,400,000 $1,665,739
Irwin Home Equity Loan Trust 2005-1, 5.32%, 6/25/35 (Step) 4,350,000 $750,478
Irwin Whole Loan Home Equity Trust 2005-C, Floating Rate Note, 3/25/25 800,000 $398,214
Israel Electric Corp, Ltd., 7.25%, 1/15/19 (144A) 1,925,000 $2,235,192
Israel Electric Corp, Ltd., 9.375%, 1/28/20 (144A) 610,000 $780,355
Jefferies Resecuritization Trust 2009-R2, Floating Rate Note, 5/26/37 (144A) 1,400,000 $356,994
JG Wentworth XXII LLC, 3.82%, 12/15/48 (144A) 1,100,000 $804,386
JobsOhio Beverage System, 3.985%, 1/1/29 4,075,000 $4,195,637
JobsOhio Beverage System, 4.532%, 1/1/35 1,035,000 $1,071,280
JPMorgan Chase & Co., 6.0%, 1/15/18 2,575,000 $3,019,112
JPMorgan Chase & Co., Floating Rate Note, 12/29/49 1,890,000 $1,930,222
JPMorgan Chase & Co., Floating Rate Note, 12/31/49 (Perpetual) 2,325,000 $2,230,353
JPMorgan Chase & Co., Floating Rate Note, 8/29/49 4,015,000 $4,433,313
JP Morgan Chase Commercial Mortgage Securities Corp., Floating Rate Note, 10/15/25 (144A) 2,800,000 $2,809,167
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 1,100,000 $465,512
JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2, 3.6159%, 11/15/43 (144A) 1,600,000 $1,709,167
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5, 4.1712%, 8/15/46 1,350,000 $1,471,500
JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8, Floating Rate Note, 10/15/45 (144A) 900,000 $927,802
JP Morgan Chase Commercial Mortgage Securities Trust 2013-ALC, Floating Rate Note, 7/17/26 (144A) 1,368,000 $1,391,288
JP Morgan Chase Commercial Mortgage Securities Trust 2013-FL3, Floating Rate Note, 4/15/28 (144A) 1,500,000 $1,489,385
JP Morgan Mortgage Acquisition Corp 2005-OPT2, Floating Rate Note, 12/25/35 1,984,489 $85,417
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 11,509,396 $1,468,553
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 11,067,000 $1,118,541
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 11,243,500 $1,015,305
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 20,103,000 $2,125,187
JP Morgan Mortgage Trust 2004-A2, Floating Rate Note, 5/25/34 3,200,000 $244,072
JP Morgan Mortgage Trust 2004-A5, Floating Rate Note, 12/25/34 1,450,000 $1,187,259
JP Morgan Mortgage Trust 2004-S1, 5.0%, 9/25/34 15,340,288 $1,063,816
JP Morgan Mortgage Trust 2004-S1, 6.0%, 9/25/34 9,800,000 $1,994,521
JP Morgan Mortgage Trust 2005-A4, Floating Rate Note, 7/25/35 2,200,000 $363,386
JP Morgan Mortgage Trust 2013-1, Floating Rate Note, 3/25/43 (144A) 5,500,000 $4,350,272
JP Morgan Mortgage Trust 2013-2, Floating Rate Note, 5/25/43 (144A) 991,900 $900,678
JP Morgan Mortgage Trust 2014-1, Floating Rate Note, 1/25/44 (144A) 1,000,000 $990,950
Kane-Pi5 Zero% 18jul16 1,004,000 $1,034,020
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 350,000 $350,595
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 1,400,000 $1,408,051
Kinder Morgan Energy Partners LP, 5.95%, 2/15/18 3,250,000 $3,779,989
Kiowa Power Partners LLC, 5.737%, 3/30/21 (144A) 2,105,000 $2,230,830
KKR Group Finance Co II LLC, 5.5%, 2/1/43 (144A) 5,025,000 $5,452,277
KLA-Tencor Corp., 6.9%, 5/1/18 3,100,000 $3,665,973
Kraft Foods Group, Inc., 3.5%, 6/6/22 3,240,000 $3,380,078
La Hipotecaria Panamanian Mortgage Trust 2010-1, Floating Rate Note, 9/8/39 (144A) 750,000 $559,980
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 1,700,000 $216,789
LB-UBS Commercial Mortgage Trust 2005-C2, Floating Rate Note, 4/15/30 2,255,000 $2,332,091
LB-UBS Commercial Mortgage Trust 2005-C2, Floating Rate Note, 4/15/30 1,000,000 $1,029,016
Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A) 1,326,000 $1,335,625
Leaf Receivables Funding 8 LLC, 1.92%, 9/15/20 (144A) 2,203,000 $2,218,803
Lear Corp., 11/9/14 247 $43,810
LeasePlan Corp NV, 2.5%, 5/16/18 (144A) 1,475,000 $1,483,867
Legg Mason, Inc., 5.625%, 1/15/44 4,290,000 $4,744,149
Lehman ABS Manufactured Housing Contract Trust 2001-B, 5.873%, 4/15/40 1,900,000 $308,508
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 11,253,656 $1,652,907
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 2,760,310 $495,625
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1,079,000 $328,455
Liberty Mutual Group, Inc., 7.3%, 6/15/14 (144A) 3,035,000 $3,143,244
Lincoln National Corp., 8.75%, 7/1/19 1,690,000 $2,271,143
Live Nation Entertainment, Inc., 8/17/20 1,417,875 $1,419,205
Loews Corp., 5.25%, 3/15/16 2,650,000 $2,888,488
Loma Reinsurance, Ltd. Bermuda, Floating Rate Note, 1/8/18 (Cat Bond) (144A) 250,000 $260,139
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 1,200,000 $1,209,640
Lorillard Tobacco Co., 3.75%, 5/20/23 1,050,000 $1,038,029
Louisiana Local Government Environmental Facilities & Community Development Authority, 6.5%, 11/1/35 2,350,000 $2,739,928
LSTAR Commercial Mortgage Trust, Floating Rate Note, 6/25/43 (144A) 1,395,000 $1,479,904
M&T Bank Corp., Floating Rate Note, 12/31/49 (Perpetual) 3,960,000 $4,265,745
Macquarie Bank, Ltd., 6.625%, 4/7/21 (144A) 840,000 $977,110
Macquarie Group, Ltd., 6.0%, 1/14/20 (144A) 2,730,000 $3,155,422
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 2,200,000 $1,256,761
Marathon Oil Corp., 5.9%, 3/15/18 901,000 $1,051,004
Masco Corp., 5.95%, 3/15/22 825,000 $916,832
Masco Corp., 7.125%, 3/15/20 4,260,000 $5,048,277
Massachusetts Development Finance Agency, 5.0%, 10/15/40 1,200,000 $1,383,491
Massachusetts Development Finance Agency, 5.25%, 4/1/37 325,000 $360,068
Massachusetts Development Finance Agency, 5.375%, 4/1/41 550,000 $610,268
Massachusetts Health & Educational Facilities Authority, 5.5%, 11/15/36 6,500,000 $7,628,104
Massachusetts Health & Educational Facilities Authority, 5.5%, 7/1/32 1,425,000 $1,961,693
Massachusetts Health & Educational Facilities Authority, 6.0%, 7/1/36 1,000,000 $1,217,830
Massachusetts Institute of Technology, 5.6%, 7/1/11 1,100,000 $1,435,944
MASTR Adjustable Rate Mortgages Trust 2005-1, Floating Rate Note, 1/25/35 6,959,000 $1,031,044
MASTR Alternative Loan Trust 2004-10, 5.5%, 10/25/19 10,100,000 $921,510
MASTR Alternative Loan Trust 2004-13, 4.5%, 1/25/15 13,000,000 $35,845
MASTR Alternative Loan Trust 2004-13, 5.5%, 1/25/35 3,000,000 $156,056
MASTR Alternative Loan Trust 2004-6, 6.0%, 7/25/34 11,100,000 $2,356,918
MASTR Alternative Loan Trust 2005-1, 5.5%, 2/25/35 5,283,205 $1,561,752
MASTR Seasoned Securitization Trust 2005-1, Floating Rate Note, 9/25/32 12,000,000 $825,397
Mellon Funding Corp., 5.5%, 11/15/18 2,505,000 $2,864,361
Merna Reinsurance V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 1,000,000 $1,000,600
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 1,049,340 $284,285
Merrill Lynch Mortgage Investors Trust Series 2005-A3, Floating Rate Note, 4/25/35 27,604,109 $3,555,725
MetLife, Inc., 10.75%, 8/1/69 4,200,000 $6,702,500
Microsemi 1st Lien Tl L + 2.5% 14mar21 395,014 $393,348
Mid-State Capital Trust 2010-1, 5.25%, 12/15/45 (144A) 950,000 $776,879
Mohawk Industries, Inc., 3.85%, 2/1/23 800,000 $812,267
Mondelez International, Inc., 6.5%, 2/9/40 2,581,000 $3,333,953
Montpelier Re Holdings, Ltd., 4.7%, 10/15/22 2,650,000 $2,747,287
Morgan Stanley, 4.1%, 5/22/23 5,100,000 $5,140,514
Morgan Stanley, 4.875%, 11/1/22 300,000 $322,512
Morgan Stanley, 5.5%, 1/26/20 3,135,000 $3,637,842
Morgan Stanley Capital I, Inc., Floating Rate Note, 10/15/20 (144A) 2,000,000 $647,554
Morgan Stanley Capital I, Inc., Floating Rate Note, 10/15/20 (144A) 5,102,000 $5,075,946
Morgan Stanley Capital I Trust 2004-HQ4, 4.97%, 4/14/40 4,191,937 $1,062,152
Morgan Stanley Capital I Trust 2005-HQ6, Floating Rate Note, 8/13/42 2,400,000 $2,494,753
Morgan Stanley Capital I Trust 2007-HQ13, 5.569%, 12/15/44 1,000,000 $1,087,704
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 17,591,000 $3,183,822
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 19,339,000 $2,798,849
MRFC Mortgage Pass-Through Trust Series 1999-TBC2, Floating Rate Note, 6/15/30 9,460,074 $633,785
MRFC Mortgage Pass-Through Trust Series 2000-TBC3, Floating Rate Note, 12/15/30 15,000,000 $823,465
Mystic Re, Ltd., Floating Rate Note, 3/12/15 (Cat Bond) (144A) 650,000 $676,715
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 500,000 $523,718
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 750,000 $781,026
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 500,000 $534,843
Nakilat, Inc., 6.267%, 12/31/33 (144A) 2,450,000 $2,546,331
National Rural Utilities Cooperative Finance Corp., 5.45%, 2/1/18 2,000,000 $2,313,633
Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37 550,000 $379,159
Nationstar Mortgage Advance Receivables Trust 2013-T2, 1.679%, 6/20/46 (144A) 1,087,000 $1,087,014
Nationstar Mortgage Loan Trust 2013-A, Floating Rate Note, 12/25/52 (144A) 1,100,000 $987,120
NBTY, Inc., 10/1/17 861,429 $862,909
NCR Corp., 4.625%, 2/15/21 2,100,000 $2,133,848
Nevada Power Co., 6.5%, 8/1/18 910,000 $1,102,834
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 5,700,000 $888,147
Newfield Exploration Co., 5.625%, 7/1/24 1,400,000 $1,523,813
New Jersey Economic Development Authority, 0.0%, 2/15/18 4,500,000 $4,143,420
New Jersey Transportation Trust Fund Authority, 5.5%, 6/15/41 2,750,000 $3,140,338
New York City Transitional Finance Authority Future Tax Secured Revenue, 5.0%, 11/1/33 2,400,000 $2,752,504
New York State Dormitory Authority, 5.0%, 7/1/40 1,600,000 $1,859,781
New York State Electric & Gas Corp., 6.15%, 12/15/17 (144A) 5,055,000 $5,698,119
Nissan Motor Acceptance Corp., 4.5%, 1/30/15 (144A) 790,000 $822,072
Nomura Resecuritization Trust 2011-3R, Floating Rate Note, 7/26/37 (144A) 3,000,000 $2,861,402
Nordea Bank AB, 4.25%, 9/21/22 (144A) 4,500,000 $4,697,046
North American Development Bank, 2.3%, 10/10/18 643,000 $644,542
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/25/29 (144A) 2,951,282 $2,087,603
NRG Energy, Inc., 7/1/18 1,332,565 $1,325,902
Nrzt Flt% 25jan54 A 1,900,000 $1,968,083
NSG Holdings LLC, 12/11/19 791,428 $794,395
NSG Holdings LLC, 7.75%, 12/15/25 (144A) 1,016,000 $1,136,128
Nuance Communications, Inc., 8/7/19 373,564 $371,042
NYU Hospitals Center, 4.428%, 7/1/42 2,400,000 $2,306,275
Ohio Higher Educational Facility Commission, 5.0%, 1/1/42 1,765,000 $1,978,730
Omega Healthcare Investors, Inc., 4.95%, 4/1/24 (144A) 3,945,000 $4,016,294
OneBeacon US Holdings, Inc., 4.6%, 11/9/22 1,000,000 $1,021,173
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-5, Floating Rate Note, 1 3,650,000 $525,715
Orcal Geothermal, Inc., 6.21%, 12/30/20 (144A) 1,730,000 $715,066
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 1,550,000 $1,482,708
Origen Manufactured Housing Contract Trust 2004-A, Floating Rate Note, 1/15/35 1,400,000 $656,166
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 484,000 $444,453
Ormat Funding Corp., 8.25%, 12/30/20 555,000 $313,195
Oxford Finance Funding Trust 2012-1, 3.9%, 3/15/17 (144A) 750,000 $127,210
Pangaea Re, 0.0%, 10/1/15 (Cat Bond) 950,000 $1,066,945
Panoche Energy Center LLC, 6.885%, 7/31/29 (144A) 2,610,000 $2,570,844
Parish of St John the Baptist Louisiana, 5.125%, 6/1/37 2,560,000 $2,743,949
Permanent University Fund, 5.0%, 7/1/30 800,000 $982,539
PFS Financing Corp., Floating Rate Note, 10/17/16 (144A) 775,712 $777,747
PFS Financing Corp., Floating Rate Note, 10/17/16 (144A) 526,376 $527,013
PHH Mortgage Capital LLC, 6.6%, 12/25/27 (Step) (144A) 4,250,000 $473,297
Piedmont Operating Partnership LP, 3.4%, 6/1/23 2,550,000 $2,477,402
Pilot Travel Centers LLC, 3/30/18 1,431,555 $1,436,906
Pinnacle Entertainment, Inc., 8/13/20 897,538 $898,319
Pinnacle Foods Finance LLC, 4/29/20 23,760 $23,661
Platinum Underwriters Finance, Inc., 7.5%, 6/1/17 5,048,000 $5,847,628
PNC Bank NA, 6.0%, 12/7/17 1,435,000 $1,685,498
Port Authority of New York & New Jersey, 4.458%, 10/1/62 600,000 $605,346
Port Freeport Texas, Floating Rate Note, 5/15/33 3,965,000 $4,416,314
PPL Capital Funding, Inc., 5.9%, 4/30/73 164,000 $3,927,800
President and Fellows of Harvard College, 2.3%, 10/1/23 2,600,000 $2,463,150
President and Fellows of Harvard College, 6.3%, 10/1/37 3,095,000 $3,424,549
Prestige Auto Receivables Trust 2011-1, 3.9%, 7/16/18 (144A) 800,000 $758,010
Pride International, Inc., 6.875%, 8/15/20 1,025,000 $1,267,669
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 1,500,000 $1,509,458
Protective Life Corp., 7.375%, 10/15/19 4,250,000 $5,286,046
Prudential Financial, Inc., 4.5%, 11/16/21 1,090,000 $1,203,733
Prudential Financial, Inc., Floating Rate Note, 6/15/43 1,500,000 $1,617,656
Prudential Financial, Inc., Floating Rate Note, 6/15/68 2,140,000 $2,709,077
Prudential Financial, Inc., Floating Rate Note, 9/15/42 1,800,000 $1,943,825
Public Service Co of New Mexico, 7.95%, 5/15/18 2,690,000 $3,221,814
PVH Corp., 2/13/20 619,793 $623,809
QBE Insurance Group, Ltd., 2.4%, 5/1/18 (144A) 1,100,000 $1,089,328
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 500,000 $515,600
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 900,000 $953,370
Queen Street VI Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 250,000 $263,425
RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32 9,900,000 $455,680
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 10,766,469 $1,151,583
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 7,070,000 $726,895
RALI Series 2003-QS13 Trust, Floating Rate Note, 7/25/33 5,985,000 $714,648
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 7,610,000 $559,476
RALI Series 2004-QS13 Trust, 5.0%, 9/25/19 18,375,000 $2,441,348
RALI Series 2004-QS16 Trust, 5.5%, 12/25/34 12,000,000 $900,020
RALI Series 2004-QS3 Trust, 5.0%, 3/25/19 13,042,000 $1,385,868
RAMP Series 2005-RS5 Trust, Floating Rate Note, 5/25/35 2,565,000 $2,482,706
RAMP Series 2006-NC1 Trust, Floating Rate Note, 1/25/36 2,502,221 $204,478
Ras Laffan Liquefied Natural Gas Co, Ltd. III, 5.832%, 9/30/16 (144A) 1,605,000 $770,969
Residential Asset Securitization Trust 2004-A10, 5.5%, 2/25/35 9,400,000 $317,456
Residential Asset Securitization Trust 2004-A8, 5.25%, 11/25/34 15,300,000 $531,513
Residential Asset Securitization Trust 2004-A9, 5.75%, 12/25/34 3,690,000 $1,632,198
Residential Asset Securitization Trust 2005-A9, 5.5%, 7/25/35 4,350,000 $1,314,491
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 725,000 $773,795
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 650,000 $691,600
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 2,800,000 $2,895,620
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 800,000 $886,249
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 275,000 $309,812
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 250,000 $265,374
RESI Finance LP, Floating Rate Note, 9/10/35 (144A) 2,500,000 $506,598
RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35 1,745,152 $1,047,523
Rosneft Finance SA, 6.625%, 3/20/17 (144A) 1,000,000 $1,095,566
Rosneft Finance SA, 7.5%, 7/18/16 (144A) 2,080,000 $2,314,433
Rosneft Finance SA, 7.875%, 3/13/18 (144A) 1,000,000 $1,147,063
Rowan Companies, Inc., 4.75%, 1/15/24 4,460,000 $4,764,566
RPI Finance Trust, 5/9/18 1,669,494 $1,673,868
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 1,200,000 $1,195,480
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 1,250,000 $1,247,083
Sandre Flt% 25may18 800,000 $793,200
Santander Bank NA, 8.75%, 5/30/18 4,080,000 $5,151,583
Santander Drive Auto Receivables Trust 2011-2, 2.66%, 1/15/16 1,350,000 $257,798
Santander Drive Auto Receivables Trust 2012-1, 3.78%, 11/15/17 1,450,000 $1,493,699
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 850,000 $875,097
Santander Holdings USA, Inc. Pennsylvania, 3.0%, 9/24/15 2,000,000 $2,070,089
SBP DPR Finance Co., Floating Rate Note, 3/15/17 (144A) 2,000,000 $1,268,602
SCE Trust III, Floating Rate Note, 12/31/49 (Perpetual) 167,900 $4,521,547
Scotiabank Peru SA, Floating Rate Note, 12/13/27 (144A) 2,600,000 $2,576,275
Selma Industrial Development Board, 5.8%, 5/1/34 2,310,000 $2,557,501
Senior Housing Properties Trust, 6.75%, 4/15/20 4,285,000 $5,018,502
Sequoia Mortgage Trust 2003-2, Floating Rate Note, 6/20/33 43,225,000 $2,764,233
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 27,000,000 $1,413,304
Sequoia Mortgage Trust 2004-12, Floating Rate Note, 1/20/35 15,500,000 $1,119,718
Sequoia Mortgage Trust 2004-9, Floating Rate Note, 10/20/34 9,485,000 $1,041,551
Sequoia Mortgage Trust 2005-2, Floating Rate Note, 3/20/35 12,300,000 $1,251,757
Sequoia Mortgage Trust 2013-6, Floating Rate Note, 5/25/43 2,300,000 $2,059,622
Sequoia Mortgage Trust 2013-7, Floating Rate Note, 6/25/43 1,841,592 $1,715,830
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 768,000 $666,250
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 891,000 $814,104
Sequoia Mortgage Trust 2013-9, 3.5%, 7/25/43 (144A) 2,190,000 $2,097,933
Ship Midco, Ltd., 11/29/19 999,288 $1,008,032
Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A) 4,692,000 $1,683,858
Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A) 750,000 $322,466
Silverton RE, Ltd., 0.0%, 9/16/16 (Cat Bond) (144A) 250,000 $283,625
Sinopec Group Overseas Development 2014, Ltd., 4.375%, 4/10/24 (144A) 4,750,000 $5,002,445
Sirius International Group, Ltd., 6.375%, 3/20/17 (144A) 3,600,000 $4,053,661
Sirius International Group, Ltd., Floating Rate Note, 12/31/49 (Perpetual) (144A) 2,110,000 $2,286,278
SLM Corp., Floating Rate Note, 7/25/14 3,155,000 $3,163,445
SLM Student Loan Trust 2004-10, Floating Rate Note, 4/27/26 (144A) 900,000 $906,482
SMA Issuer I LLC, 3.5%, 8/20/25 (144A) 885,915 $85,324
SNAAC Auto Receivables Trust, 3.11%, 6/15/17 (144A) 1,400,000 $1,005,504
SNAAC Auto Receivables Trust 2013-1, 1.14%, 7/16/18 (144A) 2,100,000 $745,006
Southern California Edison Co., Floating Rate Note, 12/31/49 (Perpetual) 2,200,000 $2,416,333
Spectra Energy Capital LLC, 6.2%, 4/15/18 2,475,000 $2,877,485
Spectra Energy Capital LLC, 6.75%, 7/15/18 1,500,000 $1,785,488
Spirit AeroSystems, Inc., 9/30/20 637,000 $637,996
Spirit Master Funding VII LLC, 3.8868%, 12/20/43 200,000 $204,013
Spmf 5.74% 20mar42 14-3a 268,007 $298,880
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2,800,000 $2,820,954
Springleaf Funding Trust 2014-A, 2.41%, 12/25/22 (144A) 1,200,000 $1,203,815
Springleaf Mortgage Loan Trust, Floating Rate Note, 6/25/58 (144A) 750,000 $744,969
Springleaf Mortgage Loan Trust 2012-2, Floating Rate Note, 10/25/57 (144A) 3,200,000 $1,884,651
Standard Aero, Ltd., 11/2/18 609,421 $618,055
Standard Chartered Bank, 6.4%, 9/26/17 (144A) 2,200,000 $2,528,466
Standard Chartered Plc, 3.95%, 1/11/23 (144A) 1,300,000 $1,306,843
Stanley Black & Decker, Inc., Floating Rate Note, 12/15/53 1,750,000 $1,941,941
State of Washington, 3.0%, 7/1/28 560,000 $566,390
State Street Corp., Floating Rate Note, 12/31/73 54,200 $1,416,246
STORE Master Funding LLC, 4.16%, 3/20/43 (144A) 300,000 $301,329
STORE Master Funding LLC, 5.77%, 8/20/42 (144A) 2,095,000 $2,226,976
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 1/25/35 2,680,000 $664,942
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 3,907,000 $451,591
Structured Asset Investment Loan Trust 2006-1, Floating Rate Note, 1/25/36 5,475,000 $1,492,622
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 76,912,853 $4,387,611
Structured Asset Mortgage Investments Trust 2003-AR2, Floating Rate Note, 12/19/33 18,250,377 $1,016,537
Structured Asset Securities Corp., 4.77%, 10/25/34 (Step) 2,100,000 $260,139
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 7,000,000 $882,372
Structured Asset Securities Corp Mortgage Loan Trust 2006-GEL4, Floating Rate Note, 10/25/36 (144A) 5,952,000 $2,609,831
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 3,200,000 $1,035,407
Structured Asset Securities Corp Trust 2005-14, Floating Rate Note, 7/25/35 6,935,000 $905,162
Successor X, Ltd., Floating Rate Note, 11/10/15 (Cat Bond) (144A) 250,000 $263,734
SunGard Data Systems, Inc., 2/28/17 953,650 $957,219
Sunoco Logistics Partners Operations LP, 4.25%, 4/1/24 1,500,000 $1,560,701
Sunoco Logistics Partners Operations LP, 6.1%, 2/15/42 2,200,000 $2,573,512
SunTrust Banks, Inc., 3.5%, 1/20/17 1,025,000 $1,099,460
SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A) 1,200,000 $726,217
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 300,000 $318,600
Tasc Inc/Va 1st Lien Tl-B L + 5.5% 12may20 647,771 $641,132
Teachers Insurance & Annuity Association of America, 6.85%, 12/16/39 (144A) 3,205,000 $4,434,204
Telefonica Emisiones SAU, 6.221%, 7/3/17 2,750,000 $3,190,320
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 24,739,000 $750,860
Terwin Mortgage Trust Series TMTS 2005-16HE, 4.6175%, 9/25/36 (Step) 14,000,000 $2,979,385
Texas Competitive Electric Holding 1st Lien Dd L + 2.75% 05may16 992,440 $996,782
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/30 1,050,000 $1,140,936
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/31 2,100,000 $2,266,374
Texas Transportation Commission State Highway Fund, 5.0%, 4/1/33 1,000,000 $1,172,784
The Allstate Corp., Floating Rate Note, 1/15/53 147,475 $3,700,148
The Allstate Corp., Floating Rate Note, 5/15/57 5,455,000 $5,948,071
The Bank of New York Mellon Corp., 4.95%, 3/15/15 2,000,000 $2,092,370
The Bank of New York Mellon Corp., Floating Rate Note, 12/31/49 (Perpetual) 1,250,000 $1,175,781
The George Washington University, 1.827%, 9/15/17 1,900,000 $1,907,872
The Goldman Sachs Group, Inc., 5.5%, 11/15/14 2,000,000 $2,051,347
The Goodyear Tire & Rubber Co., 4/30/19 4,190,000 $4,219,644
The Hanover Insurance Group, Inc., 7.5%, 3/1/20 700,000 $851,241
The Hanover Insurance Group, Inc., 7.625%, 10/15/25 1,952,000 $2,409,592
The PNC Financial Services Group, Inc., Floating Rate Note, 12/31/49 (Perpetual) 1,320,000 $1,484,505
The PNC Financial Services Group, Inc., Floating Rate Note, 2/21/49 (Perpetual) 6,273,000 $6,293,295
The Reynolds & Reynolds Co., 4/21/16 114,516 $114,730
The Travelers Companies, Inc., 6.25%, 6/15/37 2,000,000 $2,640,453
The University of Texas System, 5.0%, 8/15/43 525,000 $597,225
The Williams Companies, Inc., 7.75%, 6/15/31 2,475,000 $3,029,467
Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43 24,278,000 $860,984
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 9,650,000 $769,770
Thornburg Mortgage Securities Trust 2004-3, Floating Rate Note, 9/25/44 32,426,000 $3,202,963
Tiers Trust, Floating Rate Note, 10/15/97 (144A) 1,250,000 $932,692
TI Group Automotive Systems LLC, 3/28/19 830,276 $835,206
TimberStar Trust 1, 5.668%, 10/15/36 (144A) 4,470,000 $4,948,300
TimberStar Trust 1, 5.7467%, 10/15/36 (144A) 1,435,000 $1,584,557
TOPRE_13-LTR, 3.47%, 11/20/28 (144A) 5,250,000 $3,796,357
Tradewynd Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 250,000 $253,654
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 3,134,000 $3,171,714
Triton Container Finance LLC, 4.21%, 5/14/27 (144A) 1,290,000 $1,034,933
Tronox Pigments BV, 3/19/20 774,619 $776,487
Truman Capital Mortgage Loan Trust, Floating Rate Note, 1/25/34 765,000 $752,145
Tufts University, 5.017%, 4/15/12 3,550,000 $3,691,466
Txu 1st Lien Dip L + 2.75% 05may16 1,285,660 $1,291,285
Tyco Electronics Group SA, 6.55%, 10/1/17 2,950,000 $3,457,538
U.S. Treasury Bonds, 2.875%, 5/15/43 10,375,000 $9,536,897
U.S. Treasury Bonds, 3.125%, 2/15/43 2,000,000 $1,952,816
U.S. Treasury Bonds, 4.25%, 5/15/39 7,620,000 $9,011,632
U.S. Treasury Bonds, 4.375%, 11/15/39 1,365,000 $1,646,355
U.S. Treasury Bonds, 4.375%, 2/15/38 4,650,000 $5,641,189
U.S. Treasury Bonds, 4.375%, 5/15/40 2,000,000 $2,414,742
U.S. Treasury Bonds, 4.5%, 5/15/38 8,435,000 $10,330,922
U.S. Treasury Bonds, 4.5%, 8/15/39 9,068,000 $11,232,327
U.S. Treasury Bonds, 4.625%, 2/15/40 4,000,000 $5,054,908
U.S. Treasury Bonds, 5.375%, 2/15/31 4,000,000 $5,345,486
U.S. Treasury Notes, 2.75%, 2/15/24 6,000,000 $6,212,859
UBS AG, 7.625%, 8/17/22 1,450,000 $1,773,505
Unison Ground Lease Funding LLC, 2.981%, 3/15/20 (144A) 1,500,000 $1,463,202
Universal Health Services, Inc., 11/15/16 704,687 $708,295
University of California, 3.38%, 5/15/28 2,600,000 $2,478,274
Univision Communications, Inc., 3/1/20 2,283,156 $2,278,875
Unum Group, 5.75%, 8/15/42 1,080,000 $1,273,822
US Airways 2013-1 Class A Pass Through Trust, 3.95%, 5/15/27 1,500,000 $1,506,383
US Bancorp, Floating Rate Note, 12/31/49 (Perpetual) 64,000 $1,852,800
US Bancorp, Floating Rate Note, 12/31/49 (Perpetual) 235,000 $6,575,300
USI, Inc. New York, 12/30/19 6,256,050 $6,267,780
Valeant Pharmaceuticals International, Inc., 12/11/19 615,625 $615,515
Valero Energy Corp., 9.375%, 3/15/19 2,890,000 $3,860,392
Valmont Industries, Inc., 6.625%, 4/20/20 1,810,000 $2,169,656
Verizon Communications, Inc., 6.55%, 9/15/43 3,460,000 $4,439,584
Viacom, Inc., 5.25%, 4/1/44 3,200,000 $3,413,900
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 1,500,000 $1,530,749
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 500,000 $513,803
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 500,000 $500,308
Viterra, Inc., 5.95%, 8/1/20 (144A) 5,175,000 $5,922,567
VOLT XXIII LLC, 3.625%, 11/25/53 (Step) 1,050,000 $1,032,021
Wachovia Bank Commercial Mortgage Trust Series 2004-C15, 4.803%, 10/15/41 3,787,250 $3,628,724
Wachovia Bank NA, 6.0%, 11/15/17 3,540,000 $4,082,943
WaMu Mortgage Pass-Through Certificates Series 2002-AR2 Trust, Floating Rate Note, 2/27/34 1,023,565 $153,032
WaMu Mortgage Pass-Through Certificates Series 2003-AR6 Trust, Floating Rate Note, 6/25/33 47,783,250 $2,467,784
WaMu Mortgage Pass-Through Certificates Series 2004-AR14 Trust, Floating Rate Note, 1/25/35 15,238,744 $3,409,697
WaMu Mortgage Pass-Through Certificates Series 2004-AR9 Trust, Floating Rate Note, 8/25/34 741,000 $126,942
WaMu Mortgage Pass-Through Certificates Series 2005-AR3 Trust, Floating Rate Note, 3/25/35 8,713,500 $2,126,218
WASH Multifamily Laundry Systems LLC, 2/21/19 160,794 $160,794
Weatherford International, Ltd. Bermuda, 5.95%, 4/15/42 125,000 $141,047
Weatherford International, Ltd. Bermuda, 9.625%, 3/1/19 2,815,000 $3,790,077
Wells Fargo & Co., 7.5%, 12/31/49 (Perpetual) 5,610 $6,911,520
Wells Fargo & Co., Floating Rate Note, 12/29/49 1,645,000 $1,739,821
Wells Fargo Alternative Loan 2005-2 Trust, Floating Rate Note, 10/25/35 1,233,457 $1,219,590
Wells Fargo Commercial Mortgage Trust, 3.349%, 11/15/43 (144A) 3,900,000 $3,113,011
Wells Fargo Commercial Mortgage Trust 2012-LC5, 3.539%, 10/15/45 1,927,000 $1,969,768
Wells Fargo Commercial Mortgage Trust 2014-TISH, Floating Rate Note, 2/15/27 (144A) 1,800,000 $1,800,946
Wells Fargo Mortgage Backed Securities 2003-L Trust, Floating Rate Note, 11/25/33 3,100,000 $259,009
Wells Fargo Mortgage Backed Securities 2003-L Trust, Floating Rate Note, 11/25/33 975,000 $653,340
Wells Fargo Mortgage Backed Securities 2004-K Trust, Floating Rate Note, 7/25/34 7,440,000 $989,950
Wells Fargo Mortgage Backed Securities 2004-V Trust, Floating Rate Note, 10/25/34 2,400,000 $374,957
Wells Fargo Mortgage Backed Securities 2006-16 Trust, 5.0%, 11/25/36 4,500,000 $304,541
Wells Fargo Mortgage Backed Securities Trust, Floating Rate Note, 8/25/34 17,226,000 $1,139,596
WESCO Distribution, Inc., 12/12/19 590,405 $591,051
Westgate Resorts 2012-2 LLC, 3.0%, 1/20/25 (144A) 2,300,000 $1,070,733
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 1,800,000 $1,227,507
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 2,025,000 $1,392,244
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 550,000 $302,614
WF-RBS Commercial Mortgage Trust 2011-C2, Floating Rate Note, 2/15/44 (144A) 350,000 $387,796
WideOpenWest Finance LLC, 4/1/19 161,515 $162,436
Williams Partners LP, 4.3%, 3/4/24 3,605,000 $3,782,870
Wilton Re Finance LLC, Floating Rate Note, 3/30/33 (144A) 1,400,000 $1,473,208
Worthington Industries, Inc., 4.55%, 4/15/26 3,135,000 $3,267,488
WP Carey, Inc., 4.6%, 4/1/24 1,715,000 $1,806,440
WR Grace & Co., 1/23/21 671,846 $669,914
WR Grace & Co., 1/23/21 239,945 $239,255

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