Pioneer Bond Fund

Top 10 Portfolio Holdings as of 7/31/2015
Default: sorted by market value

Security Name Par / Shares Market Value
1011778 BC ULC, Term B-2 Loan, 12/12/21 364,309 $365,539
14112z Zero% 01feb19 3,600,000 $3,866,040
17079z Zero% 31mar18 1,300,000 $1,341,470
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 1,750,000 $392,228
A10 Term Asset Financing 2013-2 LLC, 2.62%, 11/15/27 (144A) 2,794,000 $2,017,309
Access Point Funding I 2015-A LLC, 2.61%, 4/15/20 (144A) 2,500,000 $2,367,398
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 2,800,000 $136,783
Acgl Zero% 01jul16 1,000,000 $1,025,800
Acorn Re, Ltd., Floating Rate Note, 7/17/18 (Cat Bond) (144A) 1,500,000 $1,506,642
Activision Blizzard, Inc., 6.125%, 9/15/23 (144A) 650,000 $715,415
Activision Blizzard, Inc., Term Loan, 7/26/20 1,146,608 $1,152,520
Adobe Systems, Inc., 3.25%, 2/1/25 8,100,000 $7,968,929
Affiliated Managers Group, Inc., 4.25%, 2/15/24 2,525,000 $2,674,604
Affinion Group, Inc., Tranche B Term Loan, 4/30/18 1,059,566 $1,007,647
Aflac, Inc., 3.625%, 11/15/24 7,000,000 $7,127,916
Africa Finance Corp., 4.375%, 4/29/20 (144A) 4,550,000 $4,660,477
Agate Bay Mortgage Trust 2015-1, Floating Rate Note, 1/25/45 (144A) 10,000,000 $8,317,595
Agate Bay Mortgage Trust 2015-2, Floating Rate Note, 3/25/45 (144A) 6,830,000 $6,437,771
Agilent Technologies, Inc., 6.5%, 11/1/17 894,000 $998,328
Agrium, Inc., 4.125%, 3/15/35 2,800,000 $2,609,289
Agrium, Inc., 5.25%, 1/15/45 7,600,000 $7,797,207
Air Canada 2013-1 Class A Pass Through Trust, 4.125%, 11/15/26 (144A) 5,000,000 $4,729,142
Air Canada 2015-1 Class A Pass Through Trust, 3.6%, 9/15/28 (144A) 4,025,000 $3,955,770
Aircastle, Ltd., 6.75%, 4/15/17 2,800,000 $3,044,650
Alamo Re, Ltd., Floating Rate Note, 6/7/18 (Cat Bond) (144A) 1,000,000 $1,005,931
Alexandria Real Estate Equities, Inc., 2.75%, 1/15/20 75,000 $74,368
Alexandria Real Estate Equities, Inc., 3.9%, 6/15/23 1,093,000 $1,094,498
Alexandria Real Estate Equities, Inc., 4.6%, 4/1/22 2,670,000 $2,871,898
Alkermes, Inc., 2019 Term Loan, 9/25/19 746,164 $747,408
Allison Transmission, Inc., Term B-3 Loan, 8/23/19 1,131,432 $1,136,499
Ally Financial, Inc., 3.6%, 5/21/18 1,500,000 $1,521,825
Ally Financial, Inc., 4.625%, 3/30/25 800,000 $782,436
Ally Financial, Inc., 5.125%, 9/30/24 5,050,000 $5,193,802
Ally Financial, Inc., 7.0% (Perpetual) (144A) 1,250 $1,275,508
Alta Wind Holdings LLC, 7.0%, 6/30/35 (144A) 700,000 $645,016
Alternative Loan Trust 2003-14T1, Floating Rate Note, 8/25/18 11,900,000 $390,051
Alternative Loan Trust 2003-21T1, 5.75%, 12/25/33 4,205,000 $1,560,900
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 8,370,000 $116,258
Alternative Loan Trust 2004-J5, Floating Rate Note, 8/25/34 9,407,000 $8,682,195
Alterra Finance LLC, 6.25%, 9/30/20 3,000,000 $3,499,419
Altice Financing SA, 7.875%, 12/15/19 (144A) 1,675,000 $1,779,792
Altrl Zero% 30jun16 937,930 $159,823
Altrl Zero% 30jun17 1,400,000 $1,449,280
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 2,200,000 $2,177,733
American Homes 4 Rent 2014-SFR3 Trust, 4.596%, 12/18/36 (144A) 2,800,000 $2,835,991
American Homes 4 Rent 2014-SFR3 Trust, 5.04%, 12/18/36 (144A) 700,000 $710,657
American Homes 4 Rent 2015-SFR1, 4.11%, 4/17/45 (144A) 1,300,000 $1,264,502
American Honda Finance Corp., 1.2%, 7/14/17 5,985,000 $5,983,831
American International Group, Inc., 3.875%, 1/15/35 5,985,000 $5,447,201
AmeriCredit Automobile Receivables Trust 2013-1, 1.57%, 1/8/19 800,000 $802,034
Amherst College, 3.794%, 11/1/42 525,000 $511,589
Amphenol Corp., 3.125%, 9/15/21 3,675,000 $3,717,904
Applebee's Funding LLC/ IHOP Funding LLC, 4.277%, 9/5/44 (144A) 2,600,000 $2,648,605
Approach Resources, Inc., 7.0%, 6/15/21 1,500,000 $1,284,667
Aquarius + Investments Plc for Swiss Reinsurance Co, Ltd., Floating Rate Note, 9/1/24 1,800,000 $1,982,397
Arbor Realty Collateralized Loan Obligation 2015-FL1, Ltd., Floating Rate Note, 3/15/25 (144A) 4,200,000 $4,203,836
Ardent Medical Services, Inc., Term Loan (First Lien), 7/2/18 498,319 $499,773
Ascentium Equipment Receivables 2015-1 LLC, 3.24%, 1/10/22 (144A) 2,200,000 $2,213,935
Asciano Finance, Ltd., 4.625%, 9/23/20 (144A) 529,000 $572,437
Aspen Insurance Holdings, Ltd., Floating Rate Note (Perpetual) 46,849 $1,199,334
Assurant, Inc., 4.0%, 3/15/23 3,900,000 $3,993,659
Astoria Financial Corp., 5.0%, 6/19/17 2,300,000 $2,427,844
AT&T, Inc., 4.75%, 5/15/46 2,250,000 $2,101,055
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 500,000 $509,747
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 250,000 $250,949
Australia & New Zealand Banking Group, Ltd., 4.5%, 3/19/24 (144A) 5,215,000 $5,376,472
Autodesk, Inc., 3.125%, 6/15/20 10,450,000 $10,545,849
AutoZone, Inc., 2.5%, 4/15/21 2,575,000 $2,552,049
Avago Technologies Ltd 1st Lien Tl-B L + 3% 16apr21 324,504 $325,407
Avg Technologies Nv 1st Lien Tl-B L + 4.75% 07oct20 606,950 $611,502
Aviation Capital Group Corp., 6.75%, 4/6/21 (144A) 3,725,000 $4,318,394
AXA SA, 8.6%, 12/15/30 2,335,000 $3,160,397
Axis Equipment Finance Receivables III LLC, 3.41%, 4/20/20 (144A) 700,000 $699,380
AXIS Equipment Finance Receivables II LLC, 4.94%, 7/20/18 (144A) 500,000 $512,767
B2R Mortgage Trust 2015-1, 2.524%, 5/15/48 (144A) 1,100,000 $1,086,729
Ball Corp., 4.0%, 11/15/23 2,275,000 $2,186,149
Ball Corp., 5.25%, 7/1/25 4,000,000 $4,043,200
BAMLL Commercial Mortgage Securities Trust 2014-FL1, Floating Rate Note, 12/17/31 (144A) 2,580,000 $2,588,367
BAMLL Commercial Mortgage Securities Trust 2014-INLD, Floating Rate Note, 12/17/29 1,600,000 $1,600,607
BAMLL Commercial Mortgage Securities Trust 2015-ASHF, Floating Rate Note, 1/18/28 (144A) 4,200,000 $4,196,494
Banc of America Alternative Loan Trust 2003-2, 5.75%, 4/25/33 6,525,000 $619,976
Banc of America Alternative Loan Trust 2004-6, 5.0%, 7/25/19 10,861,500 $1,177,213
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 3,660,000 $3,278,108
Banc of America Funding 2003-3 Trust, 5.5%, 10/25/33 3,903,805 $635,369
Banc of America Funding 2010-R4 Trust REMICS, Floating Rate Note, 8/26/36 (144A) 3,200,000 $5,533
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 27,814,878 $1,087,753
Banc of America Mortgage Trust 2004-11, 5.75%, 1/25/35 11,116,000 $768,586
Banc of America Mortgage Trust 2004-9, 5.5%, 11/25/34 2,350,000 $935,486
Bank of America Corp., 4.2%, 8/26/24 1,150,000 $1,175,511
Bank of America Corp., 7.75%, 8/15/15 1,100,000 $1,141,379
Bank of America Corp., Floating Rate Note, 10/23/49 6,975,000 $7,325,106
Bank of America Corp., Floating Rate Note, 9/29/49 2,200,000 $2,257,810
Bank of America Corp., Floating Rate Note (Perpetual) 3,950,000 $4,021,912
Barclays Bank Plc, 6.05%, 12/4/17 (144A) 3,515,000 $3,850,159
Barclays Plc, 3.65%, 3/16/25 5,250,000 $5,105,685
Baxalta, Inc., 3.6%, 6/23/22 (144A) 11,025,000 $11,088,912
Baylor University, 4.313%, 3/1/42 1,025,000 $1,064,320
Bayview Commercial Asset Trust 2007-2, 0.0%, 7/27/37 (Step) (144A) 21,000,000 $0
Bayview Commercial Asset Trust 2007-4, 3.485463%, 9/25/37 (Step) (144A) 13,200,000 $204,538
Bayview Commercial Asset Trust 2008-1, Floating Rate Note, 1/25/38 (144A) 12,910,000 $923,947
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 400,000 $309,819
Bayview Financial Mortgage Pass-Through Trust 2006-A, 5.865%, 2/28/41 (Step) 1,462,628 $1,532,155
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 1,486,142 $924,571
BB&T Corp., 5.625% (Perpetual) 39,550 $980,840
BBVA Bancomer SA Texas, 4.375%, 4/10/24 (144A) 2,400,000 $2,496,479
BBVA Bancomer SA Texas, 6.5%, 3/10/21 (144A) 3,815,000 $4,312,699
BCC Funding X LLC, 3.622%, 11/20/20 (144A) 1,650,000 $1,662,452
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 20,675,000 $2,105,120
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 14,000,000 $1,533,231
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 34,555,000 $2,480,382
Bear Stearns ALT-A Trust 2005-1, Floating Rate Note, 1/25/35 13,520,000 $905,042
Bear Stearns ARM Trust 2003-6, Floating Rate Note, 8/25/33 69,274,000 $2,904,111
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 4,920,000 $1,385,636
Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36 1,949,000 $836,248
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7, Floating Rate Note, 2/11/41 1,000,000 $1,003,734
Bear Stearns Commercial Mortgage Securities Trust 2006-TOP22, Floating Rate Note, 4/12/38 2,600,000 $2,063,061
Becton Dickinson and Co., 3.734%, 12/15/24 10,525,000 $10,511,625
Bed Bath & Beyond, Inc., 3.749%, 8/1/24 2,000,000 $2,028,520
Bella Vista Mortgage Trust 2004-1, Floating Rate Note, 11/20/34 66,102,000 $1,494,149
Blackstone Holdings Finance Co LLC, 5.0%, 6/15/44 (144A) 1,725,000 $1,783,389
Blackstone Holdings Finance Co LLC, 6.25%, 8/15/42 (144A) 6,925,000 $8,505,136
BLCP Hotel Trust, Floating Rate Note, 8/15/29 (144A) 2,210,000 $2,219,161
Blue Danube II, Ltd., Floating Rate Note, 5/23/18 (Cat Bond) (144A) 3,050,000 $3,059,545
BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros, 5.5%, 7/16/20 (144A) 3,200,000 $3,391,333
Boardwalk Pipelines LP, 4.95%, 12/15/24 5,550,000 $5,421,595
Bowdoin College, 4.693%, 7/1/12 1,000,000 $866,917
BP Capital Markets Plc, 3.062%, 3/17/22 4,175,000 $4,222,004
Brixmor Operating Partnership LP, 3.85%, 2/1/25 4,225,000 $4,162,899
Brocade Communications Systems, Inc., 4.625%, 1/15/23 2,860,000 $2,772,929
Brown & Brown, Inc., 4.2%, 9/15/24 5,000,000 $5,047,978
Buckeye Partners LP, 4.15%, 7/1/23 5,425,000 $5,238,143
Burlington Northern Santa Fe LLC, 4.15%, 4/1/45 12,160,000 $11,647,461
Bway Holding Co 1st Lien Tl-B L + 4.5% 08aug20 198,000 $199,392
BXG Receivables Note Trust 2015-A, 2.88%, 5/2/30 (144A) 3,000,000 $2,712,461
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 1,250,000 $1,234,458
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/20 (Cat Bond) (144A) 1,850,000 $1,882,724
California Educational Facilities Authority, 5.0%, 6/1/43 1,980,000 $2,572,066
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 2,126,000 $206,973
California Statewide Communities Development Authority, 6.0%, 8/15/42 2,925,000 $3,548,630
Canadian Natural Resources, Ltd., 6.5%, 2/15/37 2,230,000 $2,511,444
Cantor Fitzgerald LP, 7.875%, 10/15/19 (144A) 2,980,000 $3,404,348
Capella Healthcare Inc 1st Lien Tl-B L + 4.25% 31dec21 338,300 $339,992
Capital Automotive Real Estate Investment Trust, 3.66%, 10/17/44 (144A) 3,000,000 $3,014,597
Capital Auto Receivables Asset Trust 2013-1, 1.74%, 10/22/18 2,900,000 $2,909,204
Capital One Bank USA NA, 8.8%, 7/15/19 1,465,000 $1,778,060
Capital One Financial Corp., 3.75%, 4/24/24 6,650,000 $6,643,065
Cardtronics, Inc., 5.125%, 8/1/22 3,000,000 $3,001,875
Carefree Portfolio Trust 2014-CARE, Floating Rate Note, 11/15/29 (144A) 2,460,000 $2,473,449
Carlyle Holdings II Finance LLC, 5.625%, 3/30/43 (144A) 5,930,000 $6,436,471
Carrington Mortgage Loan Trust Series 2005-NC4, Floating Rate Note, 9/25/35 725,000 $49,729
Catalent 1st Lien Tl-B L + 3.5% 08may21 1,637,121 $1,645,614
Catholic Health Initiatives, 4.35%, 11/1/42 2,600,000 $2,456,111
CBS Corp., 3.7%, 8/15/24 6,125,000 $6,089,794
CBS Corp., 4.6%, 1/15/45 2,250,000 $2,033,587
CCO Safari II LLC, 6.384%, 10/23/35 (144A) 7,645,000 $7,826,192
CDGJ Commercial Mortgage Trust 2014-BXCH, Floating Rate Note, 12/15/27 (144A) 3,990,000 $4,005,733
CEMEX Espana SA, 9.875%, 4/30/19 (144A) 3,328,000 $3,727,233
CeramTec Acquisition Corp., Initial Dollar Term B-2 Loan, 8/30/20 105,893 $106,257
CeramTec GmbH, Dollar Term B-3 Loan, 8/30/20 314,222 $315,302
CeramTec Service GmbH, Initial Dollar Term B-1 Loan, 8/30/20 1,043,696 $1,047,285
CF Industries, Inc., 5.15%, 3/15/34 4,845,000 $4,797,967
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 $1,687,800
Chemtura Corp., New Term Loan, 8/29/16 154,286 $154,479
Chesapeake Funding LLC, Floating Rate Note, 2/7/27 (144A) 1,600,000 $1,603,847
Chesapeake Funding LLC, Floating Rate Note, 3/4/26 400,000 $399,042
CHL Mortgage Pass-Through Trust 2003-56, Floating Rate Note, 12/25/33 10,000,000 $469,078
CHS, Incremental 2018 Term F Loans, 12/31/18 592,659 $594,696
CHS, Incremental 2019 Term G Loan, 12/31/19 1,119,878 $1,123,610
CHS, Incremental 2021 Term H Loan, 1/27/21 2,060,545 $2,071,563
Cincinnati Bell, Inc., Tranche B Term Loan, 9/10/20 1,920,788 $1,921,988
Cinedigm Digital Funding 1 LLC, Term Loan, 2/28/18 305,884 $306,267
Cisco Systems, Inc., 3.0%, 6/15/22 3,800,000 $3,844,052
Cisco Systems, Inc., 3.625%, 3/4/24 3,485,000 $3,670,625
CIT Equipment Collateral 2014-VT1, 2.65%, 2/20/20 (144A) 1,400,000 $1,410,427
Citigroup, Inc., Floating Rate Note (Perpetual) 2,295,000 $2,275,298
Citigroup, Inc., Floating Rate Note (Perpetual) 2,925,000 $3,005,813
Citigroup, Inc., Floating Rate Note (Perpetual) 2,850,000 $2,910,721
Citigroup, Inc., Floating Rate Note (Perpetual) 194,558 $5,437,896
Citigroup Capital XIII, Floating Rate Note, 10/30/40 69,644 $1,773,833
Citigroup Commercial Mortgage Trust 2014-GC25 REMICS, 3.371%, 10/11/47 5,000,000 $5,187,631
Citigroup Mortgage Loan Trust, Inc., 5.5%, 9/25/34 4,860,000 $1,098,371
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 1,100,000 $947,379
Citigroup Mortgage Loan Trust, Inc. REMICS, Floating Rate Note, 8/25/34 17,660,000 $2,923,282
Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A) 5,372,163 $259,433
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 250,000 $243,843
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 550,000 $536,174
City Center Trust 2011-CCHP, Floating Rate Note, 7/17/28 (144A) 1,000,000 $1,012,932
CKE Restaurant Holdings, Inc., 4.474%, 3/20/43 (144A) 3,924,000 $3,890,238
Clearwater Paper Corp., 4.5%, 2/1/23 1,285,000 $1,259,300
Cme: (Cdx.Na.Ig.23.V1) Usd 20dec19 Z91mv4jb8 25,000,000 $365,295
CNH Equipment Trust 2013-A, 0.69%, 6/15/18 1,200,000 $593,561
CNOOC Nexen Finance 2014 ULC, 4.25%, 4/30/24 5,275,000 $5,446,053
CoBank ACB, 7.875%, 4/16/18 (144A) 1,190,000 $1,395,291
Colbun SA, 4.5%, 7/10/24 (144A) 4,300,000 $4,336,253
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A) 1,800,000 $1,793,182
Colony Multifamily Mortgage Trust 2014-1, 2.5432%, 4/22/50 (144A) 4,000,000 $3,054,285
COMM 2012-CCRE2 Mortgage Trust, 3.147%, 8/15/45 850,000 $875,890
COMM 2012-CCRE2 Mortgage Trust REMICS, 3.791%, 8/17/45 450,000 $475,309
COMM 2012-CCRE4 Mortgage Trust, 2.436%, 10/17/45 915,000 $922,216
COMM 2012-LC4 Mortgage Trust, 4.063%, 12/12/44 4,000,000 $4,294,359
COMM 2013-CCRE11 Mortgage Trust, Floating Rate Note, 12/8/50 (144A) 4,200,000 $4,542,423
COMM 2013-LC6 Mortgage Trust, 2.941%, 1/12/46 1,900,000 $1,920,829
COMM 2014-FL5 Mortgage Trust, Floating Rate Note, 10/17/31 (144A) 3,800,000 $3,800,520
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 4,150,000 $4,148,395
COMM 2015-CCRE23 Mortgage Trust, Floating Rate Note, 5/12/48 (144A) 1,750,000 $1,776,542
Commercial Metals Co., 4.875%, 5/15/23 3,550,000 $3,284,785
Commercial Mortgage Pass Through Certificates, 2.822%, 10/17/45 3,850,000 $3,876,356
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 4,000,000 $1,274,617
Commonwealth Edison Co., 6.15%, 9/15/17 980,000 $1,098,837
CommScope, Inc., Tranche 4 Term Loan, 1/14/18 342,733 $343,481
Compass Re II, Ltd., Floating Rate Note, 12/8/15 (Cat Bond) 1,100,000 $1,053,580
ConocoPhillips Co., 3.35%, 11/15/24 5,350,000 $5,314,793
Consolidated Edison Co of New York, Inc., 4.625%, 12/1/54 5,475,000 $5,481,900
Constellation Brands, Inc., 3.75%, 5/1/21 630,000 $635,742
Consumer Credit Origination Loan Trust 2015-1, 2.82%, 3/15/21 (144A) 2,500,000 $1,879,258
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA Netherlands, 3.875%, 2/8/22 3,435,000 $3,658,208
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA Netherlands, 3.95%, 11/9/22 6,425,000 $6,486,148
Countrywide Asset-Backed Certificates, Floating Rate Note, 12/25/35 10,124,000 $1,998,854
Credit Agricole SA, Floating Rate Note (Perpetual) (144A) 5,075,000 $5,091,459
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 7/25/36 1,000,000 $988,410
Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40 3,500,000 $2,468,650
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 6/25/33 1,000,000 $183,459
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 5,025,000 $1,720,255
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 6/25/34 4,049,418 $513,019
Credit Suisse New York NY, 1.75%, 1/29/18 7,000,000 $6,994,283
CRH America, Inc., 3.875%, 5/18/25 (144A) 10,600,000 $10,651,533
Crockett Cogeneration LP, 5.869%, 3/30/25 (144A) 1,010,000 $568,773
Crown Castle 1st Lien Term-B2 L + 2.5% 31jan21 1,492,424 $1,490,186
Crown Castle Towers LLC, 4.883%, 8/15/20 (144A) 3,015,000 $3,245,612
Crown Castle Towers LLC, 6.113%, 1/15/20 (144A) 1,625,000 $1,815,876
CS Intermediate Holdco 2 LLC, Term Loan, 3/28/21 1,736,842 $1,739,013
CSMC 2015-TWNI Trust, Floating Rate Note, 3/15/28 (144A) 2,700,000 $2,696,471
CSMC Trust 2013-IVR2, Floating Rate Note, 4/27/43 (144A) 8,805,000 $6,640,291
CSMC Trust 2013-IVR4, Floating Rate Note, 7/27/43 (144A) 3,790,000 $3,110,606
CSMC Trust 2013-IVR4, Floating Rate Note, 7/27/43 (144A) 2,860,000 $2,299,335
CSMC Trust 2014-WIN1, Floating Rate Note, 9/25/44 (144A) 11,130,000 $6,199,746
CSMC Trust 2015-2, 3.0%, 2/25/45 10,218,000 $9,174,406
CubeSmart LP, 4.8%, 7/15/22 730,000 $791,033
Cummins, Inc., 5.65%, 3/1/98 3,727,000 $4,134,516
Cummins, Inc., 6.75%, 2/15/27 910,000 $1,157,765
CVS Health Corp., 2.25%, 8/12/19 650,000 $657,552
CVS Pass-Through Trust, 5.298%, 1/11/27 (144A) 1,200,000 $701,002
CVS Pass-Through Trust, 5.773%, 1/10/33 (144A) 1,555,000 $1,561,769
CWABS Asset-Backed Certificates Trust 2004-7, Floating Rate Note, 12/25/34 1,400,000 $569,156
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 1,239,313 $1,248,221
DaVita HealthCare Partners, Inc., Tranche B Term Loan, 6/19/21 251,141 $252,031
DB Master Finance LLC 2015-1, 3.98%, 2/21/45 (144A) 5,000,000 $5,024,614
DBUBS 2011-LC3 Mortgage Trust, Floating Rate Note, 8/12/44 (144A) 1,900,000 $2,163,270
DCP Midstream LLC, 9.75%, 3/15/19 (144A) 2,900,000 $3,384,652
DCP Midstream LLC, Floating Rate Note, 5/21/43 (144A) 3,950,000 $3,027,181
DCP Midstream Operating LP, 5.6%, 4/1/44 2,125,000 $1,789,583
DCT Industrial Operating Partnership LP, 4.5%, 10/15/23 1,475,000 $1,530,832
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 1,895,000 $1,894,781
Delphi Corp., 4.15%, 3/15/24 5,400,000 $5,668,535
Delphi Financial Group, Inc., 7.875%, 1/31/20 1,850,000 $2,267,715
Delphi Financial Group, Inc., Floating Rate Note, 5/15/37 153,800 $3,811,364
Delta Air Lines, Inc., Term Loan, 4/20/17 1,641,451 $1,643,297
Diamond Resorts Owner Trust 2015-1, 1.0%, 7/20/27 (144A) 1,000,000 $999,941
DigitalGlobe, Inc., 5.25%, 2/1/21 (144A) 2,600,000 $2,564,250
DigitalGlobe, Inc., Term Loan, 1/31/20 2,569,902 $2,576,594
DIRECTV Holdings LLC, 3.8%, 3/15/22 6,200,000 $6,299,892
DIRECTV Holdings LLC, 3.95%, 1/15/25 4,900,000 $4,831,966
Discovery Communications LLC, 3.45%, 3/15/25 1,850,000 $1,766,943
Dollar Tree Inc 1st Lien Tl-B1 L + 2.75% 09mar22 666,667 $669,305
Domino's Pizza Master Issuer LLC, 5.216%, 1/27/42 (144A) 4,051,000 $4,049,565
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 1,250,000 $1,099,598
Duke Energy Progress, Inc., 4.15%, 12/1/44 8,700,000 $8,689,766
Duke Realty LP, 3.625%, 4/15/23 2,175,000 $2,179,621
Duke Realty LP, 3.75%, 12/1/24 5,300,000 $5,237,381
DuPont Fabros Technology LP, 5.875%, 9/15/21 1,250,000 $1,312,118
DynCorp International, Inc., Term Loan, 7/7/16 425,419 $419,968
Dynegy, Inc., Tranche B-2 Term Loan, 4/23/20 1,018,588 $1,022,302
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A) 250,000 $257,825
East Lane Re VI, Ltd., Floating Rate Note, 3/13/20 (Cat Bond) (144A) 700,000 $697,148
Eastman Chemical Co., 4.8%, 9/1/42 980,000 $990,059
Eaton Vance Corp., 6.5%, 10/2/17 733,000 $821,019
Eden Re II, Ltd., 0.0%, 4/19/18 (Cat Bond) (144A) 2,500,000 $2,560,000
Electricite de France SA, 6.0%, 1/22/14 (144A) 4,250,000 $4,760,136
Electricite de France SA, Floating Rate Note (Perpetual) (144A) 2,150,000 $2,204,377
Embarcadero Reinsurance, Ltd., Floating Rate Note, 2/7/17 (Cat Bond) (144A) 2,650,000 $2,683,745
Empresa Electrica Angamos SA, 4.875%, 5/25/29 (144A) 2,825,000 $2,807,873
Endo, Ltd., 6.0%, 2/1/25 (144A) 520,000 $551,547
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 2,012,986 $2,024,780
Enel Finance International NV, 5.125%, 10/7/19 (144A) 3,365,000 $3,766,132
Enel S.p.A., Floating Rate Note, 9/24/73 (144A) 2,320,000 $2,791,234
Energy Transfer Partners LP, Floating Rate Note, 11/1/66 1,200,000 $1,006,107
Engility Holdings Inc 1st Lien Tl-B L + 5.5% 12may20 641,293 $646,504
EnLink Midstream Partners LP, 4.4%, 4/1/24 6,596,000 $6,551,435
Ensco Plc, 4.5%, 10/1/24 4,725,000 $4,400,700
Entegris, Inc., 6.0%, 4/1/22 (144A) 2,500,000 $2,612,500
Enterprise Products Operating LLC, 3.7%, 2/15/26 3,825,000 $3,736,747
Enterprise Products Operating LLC, 3.9%, 2/15/24 5,310,000 $5,405,598
EP Energy LLC, 9.375%, 5/1/20 1,800,000 $1,900,688
Equinix, Inc., 5.75%, 1/1/25 1,875,000 $1,893,359
ERAC USA Finance LLC, 4.5%, 2/15/45 (144A) 4,600,000 $4,319,570
Essex Portfolio LP, 3.5%, 4/1/25 9,125,000 $8,944,889
EverBank Mortgage Loan Trust REMICS, Floating Rate Note, 4/25/43 (144A) 4,393,000 $4,073,394
Exelon Corp., 2.85%, 6/15/20 4,250,000 $4,286,309
Expedia, Inc., 4.5%, 8/15/24 5,900,000 $6,078,735
Expedia, Inc., 5.95%, 8/15/20 800,000 $912,882
Export-Import Bank of Korea, 2.25%, 1/21/20 7,475,000 $7,443,224
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 1,100,000 $191,547
Fannie Mae, 2.5%, 7/1/30 3,160,000 $3,204,554
Fannie Mae, 2.5%, 7/1/30 1,905,000 $1,920,450
Fannie Mae, 2.5%, 7/1/30 1,905,000 $1,928,703
Fannie Mae, 3.0%, 12/1/42 2,352,529 $1,909,712
Fannie Mae, 3.0%, 7/1/43 1,019,821 $902,593
Fannie Mae, 3.0%, 8/1/42 24,375,000 $21,564,282
Fannie Mae, 3.0%, 8/18/15 3,900,000 $4,052,521
Fannie Mae, 3.0%, 9/1/28 7,125,717 $6,063,314
Fannie Mae, 3.0%, 9/1/42 7,819,203 $6,689,958
Fannie Mae, 3.0%, 9/1/43 6,720,470 $6,127,756
Fannie Mae, 3.5%, 11/1/42 380,000 $327,739
Fannie Mae, 3.5%, 12/1/26 4,340,805 $1,998,386
Fannie Mae, 3.5%, 12/1/42 1,015,373 $788,952
Fannie Mae, 3.5%, 12/1/42 1,000,000 $855,517
Fannie Mae, 3.5%, 2/1/29 4,606,320 $3,731,575
Fannie Mae, 3.5%, 2/1/44 18,215,601 $15,693,283
Fannie Mae, 3.5%, 4/1/45 10,310,000 $10,631,466
Fannie Mae, 3.5%, 6/1/28 5,531,277 $4,353,006
Fannie Mae, 3.5%, 7/1/43 3,767,763 $3,366,296
Fannie Mae, 3.5%, 9/1/44 5,275,000 $4,958,103
Fannie Mae, 3.5%, 9/14/15 13,008,000 $13,467,345
Fannie Mae, 4.0%, 1/1/42 2,000,000 $790,673
Fannie Mae, 4.0%, 1/1/42 1,821,298 $722,840
Fannie Mae, 4.0%, 1/1/44 273,906 $220,119
Fannie Mae, 4.0%, 1/1/45 194,065 $188,327
Fannie Mae, 4.0%, 1/1/45 512,424 $506,958
Fannie Mae, 4.0%, 1/1/45 868,181 $870,742
Fannie Mae, 4.0%, 11/1/44 10,988,459 $10,445,822
Fannie Mae, 4.0%, 11/1/44 4,035,000 $3,901,400
Fannie Mae, 4.0%, 11/1/44 225,000 $224,689
Fannie Mae, 4.0%, 11/1/44 528,022 $521,175
Fannie Mae, 4.0%, 11/1/44 183,097 $175,013
Fannie Mae, 4.0%, 12/1/40 1,900,000 $1,219,563
Fannie Mae, 4.0%, 12/1/41 5,950,000 $2,158,691
Fannie Mae, 4.0%, 12/1/42 142,828 $45,308
Fannie Mae, 4.0%, 12/1/43 7,600,000 $6,933,562
Fannie Mae, 4.0%, 12/1/44 507,378 $475,507
Fannie Mae, 4.0%, 12/1/44 101,566 $89,861
Fannie Mae, 4.0%, 12/1/44 100,000 $98,638
Fannie Mae, 4.0%, 12/1/44 877,680 $929,361
Fannie Mae, 4.0%, 2/1/42 24,300,000 $11,026,873
Fannie Mae, 4.0%, 2/1/43 2,065,000 $1,382,532
Fannie Mae, 4.0%, 2/1/44 14,000,000 $11,335,150
Fannie Mae, 4.0%, 2/1/45 875,790 $833,216
Fannie Mae, 4.0%, 2/1/45 428,722 $416,793
Fannie Mae, 4.0%, 2/1/45 73,989 $75,454
Fannie Mae, 4.0%, 4/1/39 7,360,371 $1,814,234
Fannie Mae, 4.0%, 4/1/41 1,850,000 $1,227,534
Fannie Mae, 4.0%, 4/1/42 1,100,000 $663,775
Fannie Mae, 4.0%, 4/1/42 2,200,000 $905,995
Fannie Mae, 4.0%, 5/1/41 3,008,750 $1,348,574
Fannie Mae, 4.0%, 5/1/44 3,800,000 $2,997,808
Fannie Mae, 4.0%, 6/1/42 3,678,905 $1,016,528
Fannie Mae, 4.0%, 6/1/44 250,448 $195,714
Fannie Mae, 4.0%, 6/1/44 325,000 $263,086
Fannie Mae, 4.0%, 7/1/18 675,000 $27,073
Fannie Mae, 4.0%, 7/1/42 624,000 $402,162
Fannie Mae, 4.0%, 7/1/42 8,163,233 $5,987,833
Fannie Mae, 4.0%, 7/1/44 11,110,000 $9,884,732
Fannie Mae, 4.0%, 7/1/44 800,000 $674,111
Fannie Mae, 4.0%, 8/1/42 20,000,000 $14,295,610
Fannie Mae, 4.0%, 8/1/44 3,657,533 $2,582,699
Fannie Mae, 4.0%, 8/1/44 597,740 $524,497
Fannie Mae, 4.0%, 8/1/44 20,000,000 $19,345,987
Fannie Mae, 4.0%, 8/1/44 434,083 $437,952
Fannie Mae, 4.0%, 8/13/15 14,825,000 $15,791,018
Fannie Mae, 4.0%, 9/1/44 95,762 $86,097
Fannie Mae, 4.0%, 9/1/44 105,983 $88,085
Fannie Mae, 4.0%, 9/1/44 327,471 $297,021
Fannie Mae, 4.0%, 9/1/44 983,213 $872,046
Fannie Mae, 4.0%, 9/1/44 840,150 $729,568
Fannie Mae, 4.0%, 9/1/44 12,553,692 $12,520,019
Fannie Mae, 4.5%, 1/1/42 11,834,581 $7,953,217
Fannie Mae, 4.5%, 1/1/42 23,783,862 $10,391,924
Fannie Mae, 4.5%, 1/1/44 15,989,536 $12,599,952
Fannie Mae, 4.5%, 10/1/35 3,754,694 $313,130
Fannie Mae, 4.5%, 10/1/35 3,754,911 $297,743
Fannie Mae, 4.5%, 11/1/20 6,500,000 $400,061
Fannie Mae, 4.5%, 11/1/40 8,151,476 $2,906,689
Fannie Mae, 4.5%, 11/1/43 800,000 $793,758
Fannie Mae, 4.5%, 11/1/43 430,000 $421,161
Fannie Mae, 4.5%, 12/1/41 2,500,000 $1,303,586
Fannie Mae, 4.5%, 12/1/43 20,516,456 $13,515,114
Fannie Mae, 4.5%, 12/1/43 20,000,000 $15,882,577
Fannie Mae, 4.5%, 2/1/41 2,435,128 $1,255,298
Fannie Mae, 4.5%, 4/1/41 6,978,836 $2,998,358
Fannie Mae, 4.5%, 5/1/41 454,433 $163,096
Fannie Mae, 4.5%, 5/1/41 17,795,568 $4,188,400
Fannie Mae, 4.5%, 5/1/41 18,000,000 $5,632,668
Fannie Mae, 4.5%, 7/1/41 750,000 $371,434
Fannie Mae, 4.5%, 7/1/41 5,000,000 $2,555,620
Fannie Mae, 4.5%, 7/1/41 5,000,000 $2,148,752
Fannie Mae, 4.5%, 8/1/40 5,950,444 $1,415,993
Fannie Mae, 4.5%, 8/1/40 3,540,000 $970,795
Fannie Mae, 5.0%, 1/1/20 4,159,304 $266,075
Fannie Mae, 5.0%, 10/1/20 4,036,945 $423,423
Fannie Mae, 5.0%, 12/1/17 499,951 $10,808
Fannie Mae, 5.0%, 2/1/20 700,000 $55,874
Fannie Mae, 5.0%, 2/1/22 450,000 $20,236
Fannie Mae, 5.0%, 2/1/22 7,621,650 $366,687
Fannie Mae, 5.0%, 2/1/41 17,669,429 $6,148,519
Fannie Mae, 5.0%, 2/1/45 24,000,000 $23,962,600
Fannie Mae, 5.0%, 5/1/23 4,380,644 $533,204
Fannie Mae, 5.0%, 6/1/40 3,004,062 $1,193,394
Fannie Mae, 5.0%, 6/1/40 3,850,000 $1,219,426
Fannie Mae, 5.0%, 7/1/40 5,000,000 $1,504,087
Fannie Mae, 5.0%, 7/1/40 3,750,000 $941,612
Fannie Mae, 5.0%, 7/1/40 5,000,000 $1,815,801
Fannie Mae, 5.5%, 12/1/17 12,031,696 $144,709
Fannie Mae, 5.5%, 2/1/18 2,100,000 $77,445
Fannie Mae, 5.5%, 3/1/36 5,005,809 $461,846
Fannie Mae, 5.5%, 5/1/36 4,000,000 $267,275
Fannie Mae, 5.5%, 6/1/33 1,148,000 $45,383
Fannie Mae, 5.5%, 6/1/36 6,000,000 $350,740
Fannie Mae, 5.5%, 7/1/33 3,800,000 $148,345
Fannie Mae, 5.5%, 7/1/34 13,142,000 $1,061,995
Fannie Mae, 5.5%, 9/1/17 3,705,000 $51,791
Fannie Mae, 5.5%, 9/1/19 7,000,000 $266,774
Fannie Mae, 6.0%, 1/1/29 60,204 $1,047
Fannie Mae, 6.0%, 1/1/32 183,200 $5,510
Fannie Mae, 6.0%, 10/1/32 4,502,006 $87,450
Fannie Mae, 6.0%, 10/1/34 389,152 $24,371
Fannie Mae, 6.0%, 10/1/35 7,125,770 $197,665
Fannie Mae, 6.0%, 11/1/33 400,765 $44,291
Fannie Mae, 6.0%, 11/1/34 271,485 $19,089
Fannie Mae, 6.0%, 12/1/35 8,000,000 $525,596
Fannie Mae, 6.0%, 2/1/32 2,379,023 $34,339
Fannie Mae, 6.0%, 2/1/33 2,200,000 $20,259
Fannie Mae, 6.0%, 2/1/35 62,166 $7,000
Fannie Mae, 6.0%, 2/1/35 180,000 $17,040
Fannie Mae, 6.0%, 3/1/32 450,000 $9,749
Fannie Mae, 6.0%, 3/1/33 3,500,000 $123,886
Fannie Mae, 6.0%, 3/1/33 230,257 $17,419
Fannie Mae, 6.0%, 4/1/33 4,000,000 $115,112
Fannie Mae, 6.0%, 4/1/35 4,000,000 $311,880
Fannie Mae, 6.0%, 5/1/35 1,799,482 $78,605
Fannie Mae, 6.0%, 6/1/16 4,000,000 $6,308
Fannie Mae, 6.0%, 6/1/38 2,250,000 $404,754
Fannie Mae, 6.0%, 7/1/33 10,874,932 $231,624
Fannie Mae, 6.0%, 7/1/33 7,500,000 $531,016
Fannie Mae, 6.0%, 7/1/38 974,925 $80,200
Fannie Mae, 6.0%, 8/1/32 315,000 $6,205
Fannie Mae, 6.0%, 8/1/34 3,757,089 $223,522
Fannie Mae, 6.0%, 9/1/29 124,691 $1,603
Fannie Mae, 6.0%, 9/1/32 65,856 $746
Fannie Mae, 6.0%, 9/1/34 352,132 $16,570
Fannie Mae, 6.0%, 9/1/34 6,273,165 $155,169
Fannie Mae, 6.0%, 9/1/34 2,000,000 $76,440
Fannie Mae, 6.0%, 9/1/34 408,807 $42,575
Fannie Mae, 6.5%, 1/1/31 1,000,000 $3,722
Fannie Mae, 6.5%, 10/1/31 1,000,100 $13,170
Fannie Mae, 6.5%, 10/1/32 2,811,012 $86,700
Fannie Mae, 6.5%, 11/1/37 2,222,350 $228,532
Fannie Mae, 6.5%, 12/1/31 3,300,000 $157,533
Fannie Mae, 6.5%, 2/1/32 1,000,100 $5,750
Fannie Mae, 6.5%, 3/1/32 3,500,000 $92,106
Fannie Mae, 6.5%, 4/1/31 500,000 $3,384
Fannie Mae, 6.5%, 5/1/31 1,960,805 $10,116
Fannie Mae, 6.5%, 6/1/31 2,750,000 $87,694
Fannie Mae, 6.5%, 7/1/29 500,000 $10,386
Fannie Mae, 6.5%, 7/1/34 1,095,000 $35,190
Fannie Mae, 6.5%, 8/1/31 1,500,000 $10,712
Fannie Mae, 6.5%, 9/1/31 2,000,200 $9,820
Fannie Mae, 6.5%, 9/1/31 2,000,000 $6,848
Fannie Mae, 7.0%, 1/1/32 1,701,763 $27,636
Fannie Mae, 7.0%, 12/1/30 499,950 $832
Fannie Mae, 7.0%, 12/1/30 525,099 $8,577
Fannie Mae, 7.0%, 12/1/31 1,198,074 $28,139
Fannie Mae, 7.0%, 4/1/31 2,160,818 $12,711
Fannie Mae, 7.0%, 9/1/31 2,000,000 $18,959
Fannie Mae, 7.0%, 9/1/31 2,000,000 $10,594
Fannie Mae, 8.0%, 10/1/30 155,531 $685
Fannie Mae, 8.0%, 2/1/29 240,000 $2,478
Fannie Mae, 8.0%, 3/1/31 1,495,060 $9,838
Fannie Mae, 8.0%, 4/1/30 150,000 $660
Fannie Mae, 8.0%, 5/1/31 45,000 $285
Fannie Mae, 8.0%, 7/1/30 100,000 $552
FCA US LLC, Term Loan B, 5/24/17 3,758,400 $3,762,158
Federal Home Loan Mortgage Corp., 2.5%, 1/1/30 490,000 $483,054
Federal Home Loan Mortgage Corp., 2.5%, 4/1/30 274,552 $273,706
Federal Home Loan Mortgage Corp., 3.0%, 8/1/29 4,875,000 $4,625,390
Federal Home Loan Mortgage Corp., 3.5%, 11/1/28 2,200,200 $1,940,283
Federal Home Loan Mortgage Corp., 3.5%, 11/1/44 200,000 $200,220
Federal Home Loan Mortgage Corp., 3.5%, 12/1/44 10,570,000 $10,258,100
Federal Home Loan Mortgage Corp., 3.5%, 3/1/45 5,000,000 $5,112,275
Federal Home Loan Mortgage Corp., 3.5%, 8/1/43 4,521,618 $4,189,374
Federal Home Loan Mortgage Corp., 3.5%, 9/1/44 875,160 $871,555
Federal Home Loan Mortgage Corp., 4.0%, 1/1/44 4,260,000 $3,295,891
Federal Home Loan Mortgage Corp., 4.0%, 11/1/41 21,893,143 $15,958,983
Federal Home Loan Mortgage Corp., 4.0%, 11/1/42 255,000 $193,614
Federal Home Loan Mortgage Corp., 4.0%, 12/1/44 2,975,000 $2,961,736
Federal Home Loan Mortgage Corp., 4.0%, 2/1/44 700,000 $639,611
Federal Home Loan Mortgage Corp., 4.0%, 4/1/45 2,507,831 $2,630,877
Federal Home Loan Mortgage Corp., 4.0%, 5/1/44 12,595,000 $9,843,434
Federal Home Loan Mortgage Corp., 4.0%, 7/1/42 255,000 $209,658
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 15,000,000 $12,891,752
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 1,500,000 $1,469,056
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 1,500,000 $1,504,325
Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 1,082,000 $1,115,627
Federal Home Loan Mortgage Corp., 4.0%, 9/1/44 11,749,606 $11,671,641
Federal Home Loan Mortgage Corp., 4.0%, 9/1/44 5,790,000 $5,219,226
Federal Home Loan Mortgage Corp., 4.5%, 10/1/20 6,000,000 $387,193
Federal Home Loan Mortgage Corp., 4.5%, 11/1/40 12,403,700 $5,363,012
Federal Home Loan Mortgage Corp., 4.5%, 11/1/43 637,703 $376,703
Federal Home Loan Mortgage Corp., 4.5%, 3/1/20 4,000,000 $169,929
Federal Home Loan Mortgage Corp., 4.5%, 3/1/42 22,167,426 $8,328,241
Federal Home Loan Mortgage Corp., 4.5%, 3/1/42 4,169,408 $3,259,271
Federal Home Loan Mortgage Corp., 5.0%, 10/1/20 9,000,000 $1,053,269
Federal Home Loan Mortgage Corp., 5.0%, 10/1/38 6,600,000 $518,717
Federal Home Loan Mortgage Corp., 5.0%, 11/1/34 250,000 $22,790
Federal Home Loan Mortgage Corp., 5.0%, 12/1/21 450,000 $30,576
Federal Home Loan Mortgage Corp., 5.0%, 6/1/35 4,244,107 $393,102
Federal Home Loan Mortgage Corp., 5.0%, 9/1/38 7,240,000 $544,553
Federal Home Loan Mortgage Corp., 5.5%, 11/1/34 550,000 $33,698
Federal Home Loan Mortgage Corp., 5.5%, 11/1/34 1,900,000 $178,402
Federal Home Loan Mortgage Corp., 5.5%, 11/1/35 1,000,000 $55,574
Federal Home Loan Mortgage Corp., 5.5%, 12/1/18 2,500,000 $229,324
Federal Home Loan Mortgage Corp., 5.5%, 6/1/41 2,145,000 $2,223,781
Federal Home Loan Mortgage Corp., 5.5%, 8/1/35 5,000,000 $256,251
Federal Home Loan Mortgage Corp., 5.5%, 9/1/33 5,200,000 $369,419
Federal Home Loan Mortgage Corp., 6.0%, 1/1/33 1,890,000 $71,152
Federal Home Loan Mortgage Corp., 6.0%, 1/1/34 500,000 $47,810
Federal Home Loan Mortgage Corp., 6.0%, 1/1/34 3,744,314 $59,714
Federal Home Loan Mortgage Corp., 6.0%, 11/1/33 1,151,218 $25,570
Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 2,000,000 $144,463
Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 3,297,768 $138,353
Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 635,770 $10,729
Federal Home Loan Mortgage Corp., 6.0%, 12/1/36 860,000 $59,171
Federal Home Loan Mortgage Corp., 6.0%, 2/1/33 4,851,146 $88,985
Federal Home Loan Mortgage Corp., 6.0%, 2/1/33 550,000 $7,817
Federal Home Loan Mortgage Corp., 6.0%, 3/1/33 5,524,534 $259,418
Federal Home Loan Mortgage Corp., 6.0%, 3/1/33 2,255,430 $44,475
Federal Home Loan Mortgage Corp., 6.0%, 4/1/33 379,183 $16,149
Federal Home Loan Mortgage Corp., 6.0%, 4/1/35 2,582,414 $67,253
Federal Home Loan Mortgage Corp., 6.0%, 4/1/36 7,000,000 $521,214
Federal Home Loan Mortgage Corp., 6.0%, 5/1/17 7,876,244 $45,267
Federal Home Loan Mortgage Corp., 6.0%, 5/1/34 7,192,224 $752,202
Federal Home Loan Mortgage Corp., 6.0%, 5/1/34 1,440,424 $232,976
Federal Home Loan Mortgage Corp., 6.0%, 6/1/35 3,600,000 $143,928
Federal Home Loan Mortgage Corp., 6.0%, 6/1/35 3,778,102 $135,918
Federal Home Loan Mortgage Corp., 6.0%, 8/1/34 3,000,000 $193,747
Federal Home Loan Mortgage Corp., 6.0%, 9/1/33 3,396,240 $185,540
Federal Home Loan Mortgage Corp., 6.5%, 1/1/31 66,916 $196
Federal Home Loan Mortgage Corp., 6.5%, 1/1/31 47,714 $185
Federal Home Loan Mortgage Corp., 6.5%, 1/1/33 39,165 $452
Federal Home Loan Mortgage Corp., 6.5%, 10/1/33 2,000,000 $52,922
Federal Home Loan Mortgage Corp., 6.5%, 11/1/30 53,302 $483
Federal Home Loan Mortgage Corp., 6.5%, 11/1/33 1,109,301 $57,069
Federal Home Loan Mortgage Corp., 6.5%, 2/1/33 62,297 $4,163
Federal Home Loan Mortgage Corp., 6.5%, 3/1/31 217,521 $591
Federal Home Loan Mortgage Corp., 6.5%, 3/1/31 527,335 $8,531
Federal Home Loan Mortgage Corp., 6.5%, 4/1/34 299,956 $4,372
Federal Home Loan Mortgage Corp., 6.5%, 5/1/31 1,043,809 $6,397
Federal Home Loan Mortgage Corp., 6.5%, 5/1/31 100,010 $181
Federal Home Loan Mortgage Corp., 6.5%, 6/1/32 39,022 $291
Federal Home Loan Mortgage Corp., 6.5%, 7/1/32 1,000,000 $17,864
Federal Home Loan Mortgage Corp., 6.5%, 8/1/31 1,070,805 $4,941
Federal Home Loan Mortgage Corp., 6.5%, 8/1/31 192,020 $1,148
Federal Home Loan Mortgage Corp., 7.0%, 11/1/30 1,000,100 $4,216
Federal Home Loan Mortgage Corp., 7.0%, 8/1/22 687,553 $89,186
Federal Home Loan Mortgage Corp., 7.0%, 9/1/22 1,775,260 $273,660
Federal Home Loan Mortgage Corp., Floating Rate Note, 9/26/44 (144A) 1,250,000 $1,302,452
Federal Mogul 1st Lien Tl-C L + 3.75% 15apr21 1,418,747 $1,405,741
Federal National Mortgage Association, 4.0%, 11/1/34 507,128 $485,410
Federal National Mortgage Association, 5.0%, 8/1/40 3,000,000 $1,473,825
Federal National Mortgage Association REMICS, 10.3%, 4/25/19 1,000,000 $3,209
Federal National Mortgage Association REMICS, 4.5%, 6/25/29 1,000,000 $663,300
Federal National Mortgage Association REMICS, 5.0%, 7/25/33 5,000,000 $240,308
Federal National Mortgage Association REMICS, 5.0%, 9/25/39 704,000 $71,356
Fg 15 Yr Pool 3% #G18527 01oct29 5,250,000 $4,804,111
Fifth Third Bancorp, Floating Rate Note (Perpetual) 15,636 $438,903
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 1,250,000 $105,629
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 1,200,000 $1,201,326
First Investors Auto Owner Trust 2014-3, 2.97%, 11/16/20 (144A) 2,100,000 $2,118,199
First Investors Auto Owner Trust 2015-1, 3.59%, 1/18/22 (144A) 510,000 $508,945
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 4,700,000 $302,039
First Tennessee Bank NA, 2.95%, 12/1/19 5,425,000 $5,469,467
Flextronics International, Ltd., 4.75%, 6/15/25 (144A) 2,750,000 $2,703,918
Flt% 15jun16 500,000 $490,750
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 417,005 $342,770
Ford Motor Credit Co LLC, 2.24%, 6/15/18 4,975,000 $4,983,562
Ford Motor Credit Co LLC, 3.219%, 1/9/22 6,425,000 $6,315,481
Fortune Brands Home & Security, Inc., 3.0%, 6/15/20 7,225,000 $7,272,463
FPL Energy American Wind LLC, 6.639%, 6/20/23 (144A) 2,520,000 $606,359
FPL Energy Wind Funding LLC, 6.876%, 6/27/17 (144A) 1,050,000 $68,977
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 8/25/24 3,570,000 $1,022,265
Freeport-McMoRan, Inc., 3.875%, 3/15/23 1,850,000 $1,546,394
Freeport-McMoRan, Inc., 4.55%, 11/14/24 1,650,000 $1,410,308
FREMF Mortgage Trust 2010-K7, Floating Rate Note, 5/25/29 (144A) 850,000 $955,955
FREMF Mortgage Trust 2010-K8, Floating Rate Note, 9/25/43 (144A) 600,000 $670,574
FREMF Mortgage Trust 2010-K9 REMICS, Floating Rate Note, 9/25/45 (144A) 890,000 $984,912
FREMF Mortgage Trust 2011-K10 , Floating Rate Note, 11/25/49 (144A) 1,500,000 $1,618,925
FREMF Mortgage Trust 2011-K702, Floating Rate Note, 4/25/44 (144A) 5,380,000 $5,752,449
FREMF Mortgage Trust 2011-K703, Floating Rate Note, 7/25/44 (144A) 1,250,000 $1,329,587
FREMF Mortgage Trust 2012-K501, Floating Rate Note, 11/26/46 (144A) 650,000 $664,333
FREMF Mortgage Trust 2012-K710, Floating Rate Note, 6/25/47 (144A) 2,010,000 $2,094,316
FREMF Mortgage Trust 2013-K502, Floating Rate Note, 3/27/45 (144A) 900,000 $916,241
FREMF Mortgage Trust 2013-K713, Floating Rate Note, 4/25/46 (144A) 3,000,000 $3,038,860
FREMF Mortgage Trust 2014-K503, Floating Rate Note, 10/25/47 (144A) 2,401,000 $2,551,195
Frisco Independent School District, 4.0%, 8/15/40 2,700,000 $2,776,476
Frisco Independent School District, 4.0%, 8/15/45 1,700,000 $1,741,318
Frontier Communications Corp., 7.125%, 1/15/23 4,300,000 $3,894,367
GAHR Commercial Mortgage Trust 2015-NRF, Floating Rate Note, 12/15/34 (144A) 4,630,000 $4,628,673
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 1,200,000 $1,208,313
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 202,238 $201,479
Garda World Security Corp., Term B Loan, 11/1/20 790,566 $787,601
GATX Corp., 5.2%, 3/15/44 2,260,000 $2,389,598
GATX Corp., 6.0%, 2/15/18 5,660,000 $6,336,962
Gci Holdings Inc 1st Lien Tl-B L + 3.75% 22dec21 2,423,925 $2,439,075
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 5,102,315 $1,847,510
General Electric Capital Corp., 5.3%, 2/11/21 4,860,000 $5,610,101
General Motors Financial Co, Inc., 4.0%, 1/15/25 6,525,000 $6,286,967
Gilead Sciences, Inc., 4.5%, 2/1/45 7,550,000 $7,732,129
Glencore Funding LLC, 4.125%, 5/30/23 (144A) 1,175,000 $1,119,599
Glenn Pool Oil & Gas Trust, Term Loan, 5/2/16 542,736 $541,379
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 3,090,877 $801,747
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 27,275,000 $2,005,960
GLP Capital LP, 4.375%, 11/1/18 1,010,000 $1,056,397
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 1,450,000 $827,429
Golden State RE II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A) 2,800,000 $2,787,307
Gold Fields Orogen Holdings BVI, Ltd., 4.875%, 10/7/20 (144A) 4,000,000 $3,511,750
Government National Mortgage Association, 3.0%, 4/20/41 2,000,000 $1,518,183
Government National Mortgage Association, 4.973%, 4/16/42 375,000 $16,259
Government National Mortgage Association, 5.25%, 8/16/35 450,000 $852,889
Government National Mortgage Association I, 3.5%, 1/15/45 20,435,006 $20,628,258
Government National Mortgage Association I, 3.5%, 7/15/42 19,357,527 $12,850,228
Government National Mortgage Association I, 3.5%, 8/20/15 30,710,000 $32,119,872
Government National Mortgage Association I, 4.0%, 1/15/41 77,209 $40,869
Government National Mortgage Association I, 4.0%, 1/15/41 281,135 $148,755
Government National Mortgage Association I, 4.0%, 10/15/40 27,335 $12,514
Government National Mortgage Association I, 4.0%, 10/15/41 63,254 $9,554
Government National Mortgage Association I, 4.0%, 10/15/41 40,767 $8,837
Government National Mortgage Association I, 4.0%, 10/15/41 52,992 $10,416
Government National Mortgage Association I, 4.0%, 10/15/44 449,138 $375,151
Government National Mortgage Association I, 4.0%, 11/15/40 245,475 $65,456
Government National Mortgage Association I, 4.0%, 11/15/40 30,717 $13,170
Government National Mortgage Association I, 4.0%, 11/15/41 25,000 $8,065
Government National Mortgage Association I, 4.0%, 11/15/41 55,544 $7,534
Government National Mortgage Association I, 4.0%, 11/15/43 32,084 $33,485
Government National Mortgage Association I, 4.0%, 11/15/44 1,537,490 $1,488,303
Government National Mortgage Association I, 4.0%, 12/15/41 28,465 $11,579
Government National Mortgage Association I, 4.0%, 2/15/41 25,888 $17,325
Government National Mortgage Association I, 4.0%, 2/15/42 854,888 $549,826
Government National Mortgage Association I, 4.0%, 2/15/42 128,311 $65,093
Government National Mortgage Association I, 4.0%, 3/15/44 1,083,496 $783,634
Government National Mortgage Association I, 4.0%, 3/15/44 33,576 $27,526
Government National Mortgage Association I, 4.0%, 3/15/44 454,143 $273,625
Government National Mortgage Association I, 4.0%, 3/15/44 12,909,682 $8,202,405
Government National Mortgage Association I, 4.0%, 4/15/44 58,312 $16,309
Government National Mortgage Association I, 4.0%, 4/15/44 75,647 $69,951
Government National Mortgage Association I, 4.0%, 5/15/39 31,547 $14,323
Government National Mortgage Association I, 4.0%, 6/15/39 28,840 $9,499
Government National Mortgage Association I, 4.0%, 6/15/41 167,972 $109,620
Government National Mortgage Association I, 4.0%, 8/15/40 38,807 $14,463
Government National Mortgage Association I, 4.0%, 8/15/43 4,891,389 $3,265,407
Government National Mortgage Association I, 4.0%, 8/15/44 1,041,626 $894,546
Government National Mortgage Association I, 4.0%, 8/20/15 45,040,000 $48,048,632
Government National Mortgage Association I, 4.0%, 9/15/40 25,000 $12,486
Government National Mortgage Association I, 4.0%, 9/15/41 25,471 $9,723
Government National Mortgage Association I, 4.0%, 9/15/41 2,091,451 $888,987
Government National Mortgage Association I, 4.0%, 9/15/44 978,436 $842,081
Government National Mortgage Association I, 4.0%, 9/15/44 1,076,561 $969,554
Government National Mortgage Association I, 4.0%, 9/15/44 216,972 $164,497
Government National Mortgage Association I, 4.0%, 9/15/44 812,515 $583,232
Government National Mortgage Association I, 4.0%, 9/15/44 7,500,000 $5,634,566
Government National Mortgage Association I, 4.5%, 1/15/40 1,235,000 $666,683
Government National Mortgage Association I, 4.5%, 10/15/33 2,981,200 $275,011
Government National Mortgage Association I, 4.5%, 10/15/33 2,103,237 $406,411
Government National Mortgage Association I, 4.5%, 10/15/35 2,106,954 $181,962
Government National Mortgage Association I, 4.5%, 12/15/39 9,079,200 $1,919,003
Government National Mortgage Association I, 4.5%, 2/15/34 181,146 $51,883
Government National Mortgage Association I, 4.5%, 3/15/35 784,949 $44,573
Government National Mortgage Association I, 4.5%, 3/15/35 1,722,219 $151,512
Government National Mortgage Association I, 4.5%, 4/15/35 1,999,800 $285,590
Government National Mortgage Association I, 4.5%, 4/15/35 200,000 $24,161
Government National Mortgage Association I, 4.5%, 4/15/38 1,004,042 $196,974
Government National Mortgage Association I, 4.5%, 4/15/41 2,223,928 $1,355,019
Government National Mortgage Association I, 4.5%, 5/15/41 5,733,621 $2,005,682
Government National Mortgage Association I, 4.5%, 6/15/41 3,601,538 $1,556,449
Government National Mortgage Association I, 4.5%, 7/15/33 633,571 $114,728
Government National Mortgage Association I, 4.5%, 7/15/41 1,442,000 $641,943
Government National Mortgage Association I, 4.5%, 8/15/41 5,900,000 $2,261,489
Government National Mortgage Association I, 4.5%, 9/15/33 2,256,215 $313,117
Government National Mortgage Association I, 4.5%, 9/15/35 393,589 $34,861
Government National Mortgage Association I, 4.5%, 9/15/40 900,000 $463,891
Government National Mortgage Association I, 5.0%, 10/15/18 3,153,375 $119,835
Government National Mortgage Association I, 5.0%, 4/15/34 1,504,329 $151,844
Government National Mortgage Association I, 5.0%, 4/15/35 2,500,000 $608,071
Government National Mortgage Association I, 5.0%, 7/15/19 1,587,453 $131,678
Government National Mortgage Association I, 5.0%, 7/15/19 26,391 $1,345
Government National Mortgage Association I, 5.0%, 7/15/33 1,500,150 $163,106
Government National Mortgage Association I, 5.0%, 9/15/33 1,254,232 $152,837
Government National Mortgage Association I, 5.5%, 1/15/35 2,222,000 $188,237
Government National Mortgage Association I, 5.5%, 10/15/17 2,400,000 $35,513
Government National Mortgage Association I, 5.5%, 10/15/17 5,636,984 $121,567
Government National Mortgage Association I, 5.5%, 10/15/33 1,509,492 $111,925
Government National Mortgage Association I, 5.5%, 10/15/35 2,002,398 $267,608
Government National Mortgage Association I, 5.5%, 10/15/35 1,001,204 $143,405
Government National Mortgage Association I, 5.5%, 11/15/18 1,443,964 $47,368
Government National Mortgage Association I, 5.5%, 11/15/19 2,683,028 $297,528
Government National Mortgage Association I, 5.5%, 11/15/34 4,800,000 $702,389
Government National Mortgage Association I, 5.5%, 12/15/18 406,708 $31,402
Government National Mortgage Association I, 5.5%, 2/15/18 4,000,000 $101,990
Government National Mortgage Association I, 5.5%, 2/15/18 4,000,000 $140,031
Government National Mortgage Association I, 5.5%, 2/15/35 500,000 $49,551
Government National Mortgage Association I, 5.5%, 2/15/35 2,043,628 $115,976
Government National Mortgage Association I, 5.5%, 2/15/37 575,000 $69,492
Government National Mortgage Association I, 5.5%, 4/15/19 25,000 $1,897
Government National Mortgage Association I, 5.5%, 6/15/33 400,000 $19,145
Government National Mortgage Association I, 5.5%, 6/15/35 900,000 $178,694
Government National Mortgage Association I, 5.5%, 7/15/33 1,500,000 $123,194
Government National Mortgage Association I, 5.5%, 7/15/33 2,100,000 $111,960
Government National Mortgage Association I, 5.5%, 7/15/34 6,580,000 $556,434
Government National Mortgage Association I, 5.5%, 7/15/35 5,500,000 $785,485
Government National Mortgage Association I, 5.5%, 8/15/19 4,380,618 $182,740
Government National Mortgage Association I, 5.5%, 8/15/19 2,543,276 $175,515
Government National Mortgage Association I, 5.5%, 8/15/33 400,000 $31,945
Government National Mortgage Association I, 5.5%, 8/15/33 750,075 $51,389
Government National Mortgage Association I, 5.5%, 8/15/33 299,970 $29,423
Government National Mortgage Association I, 5.5%, 9/15/19 3,000,000 $171,216
Government National Mortgage Association I, 5.5%, 9/15/33 3,636,072 $229,364
Government National Mortgage Association I, 6.0%, 1/15/17 705,441 $5,696
Government National Mortgage Association I, 6.0%, 1/15/19 548,488 $21,638
Government National Mortgage Association I, 6.0%, 1/15/33 2,500,000 $53,647
Government National Mortgage Association I, 6.0%, 1/15/33 4,534,594 $174,220
Government National Mortgage Association I, 6.0%, 10/15/32 2,001,957 $49,573
Government National Mortgage Association I, 6.0%, 10/15/33 2,000,000 $65,257
Government National Mortgage Association I, 6.0%, 10/15/34 2,897,739 $373,059
Government National Mortgage Association I, 6.0%, 10/15/36 3,000,000 $175,279
Government National Mortgage Association I, 6.0%, 11/15/31 1,614,291 $48,389
Government National Mortgage Association I, 6.0%, 11/15/34 3,188,149 $197,456
Government National Mortgage Association I, 6.0%, 12/15/32 1,500,000 $191,794
Government National Mortgage Association I, 6.0%, 2/15/29 2,700,000 $148,487
Government National Mortgage Association I, 6.0%, 2/15/33 1,254,640 $49,096
Government National Mortgage Association I, 6.0%, 3/15/17 2,080,702 $27,307
Government National Mortgage Association I, 6.0%, 3/15/17 2,000,000 $19,190
Government National Mortgage Association I, 6.0%, 3/15/32 80,300 $2,941
Government National Mortgage Association I, 6.0%, 3/15/33 9,171,532 $396,366
Government National Mortgage Association I, 6.0%, 3/15/33 3,750,000 $499,400
Government National Mortgage Association I, 6.0%, 3/15/33 4,256,655 $186,241
Government National Mortgage Association I, 6.0%, 3/15/33 3,594,840 $259,257
Government National Mortgage Association I, 6.0%, 3/15/33 3,475,000 $151,656
Government National Mortgage Association I, 6.0%, 3/15/33 3,044,810 $137,851
Government National Mortgage Association I, 6.0%, 4/15/18 1,038,016 $11,148
Government National Mortgage Association I, 6.0%, 4/15/33 1,000,000 $28,217
Government National Mortgage Association I, 6.0%, 4/15/33 2,000,000 $53,763
Government National Mortgage Association I, 6.0%, 4/15/33 3,907,830 $74,144
Government National Mortgage Association I, 6.0%, 5/15/17 1,900,000 $30,444
Government National Mortgage Association I, 6.0%, 5/15/17 1,413,485 $11,808
Government National Mortgage Association I, 6.0%, 5/15/33 4,328,221 $202,880
Government National Mortgage Association I, 6.0%, 6/15/17 519,853 $4,658
Government National Mortgage Association I, 6.0%, 6/15/33 368,522 $16,274
Government National Mortgage Association I, 6.0%, 8/15/32 300,000 $11,160
Government National Mortgage Association I, 6.0%, 8/15/36 4,350,000 $427,069
Government National Mortgage Association I, 6.0%, 9/15/19 1,829,714 $103,771
Government National Mortgage Association I, 6.0%, 9/15/28 12,973,600 $291,141
Government National Mortgage Association I, 6.0%, 9/15/32 1,406,079 $111,108
Government National Mortgage Association I, 6.0%, 9/15/33 500,663 $22,595
Government National Mortgage Association I, 6.0%, 9/15/33 904,389 $81,102
Government National Mortgage Association I, 6.0%, 9/15/34 1,374,301 $239,747
Government National Mortgage Association I, 6.0%, 9/15/34 1,315,000 $78,116
Government National Mortgage Association I, 6.0%, 9/15/35 5,000,000 $1,043,506
Government National Mortgage Association I, 6.5%, 1/15/29 1,500,000 $29,415
Government National Mortgage Association I, 6.5%, 1/15/32 7,587,058 $121,481
Government National Mortgage Association I, 6.5%, 1/15/33 25,065,172 $577,329
Government National Mortgage Association I, 6.5%, 1/15/33 263,074 $5,896
Government National Mortgage Association I, 6.5%, 1/15/34 1,311,303 $17,943
Government National Mortgage Association I, 6.5%, 1/15/35 62,679 $840
Government National Mortgage Association I, 6.5%, 10/15/31 3,015,231 $44,414
Government National Mortgage Association I, 6.5%, 10/15/31 9,167,721 $121,885
Government National Mortgage Association I, 6.5%, 10/15/31 477,508 $9,254
Government National Mortgage Association I, 6.5%, 10/15/32 6,591,983 $125,437
Government National Mortgage Association I, 6.5%, 10/15/33 32,450 $2,454
Government National Mortgage Association I, 6.5%, 11/15/31 100,000 $6,245
Government National Mortgage Association I, 6.5%, 11/15/32 3,929,947 $87,379
Government National Mortgage Association I, 6.5%, 12/15/32 25,822,328 $554,815
Government National Mortgage Association I, 6.5%, 2/15/29 260,526 $1,728
Government National Mortgage Association I, 6.5%, 2/15/29 301,000 $11,284
Government National Mortgage Association I, 6.5%, 2/15/32 3,127,662 $39,681
Government National Mortgage Association I, 6.5%, 2/15/34 733,600 $56,312
Government National Mortgage Association I, 6.5%, 3/15/29 1,120,633 $11,919
Government National Mortgage Association I, 6.5%, 3/15/29 2,000,000 $22,284
Government National Mortgage Association I, 6.5%, 3/15/29 5,001,628 $95,702
Government National Mortgage Association I, 6.5%, 3/15/31 1,000,000 $14,225
Government National Mortgage Association I, 6.5%, 3/15/32 975,284 $19,439
Government National Mortgage Association I, 6.5%, 4/15/31 8,257,522 $112,538
Government National Mortgage Association I, 6.5%, 4/15/32 235,320 $11,475
Government National Mortgage Association I, 6.5%, 4/15/35 517,486 $84,195
Government National Mortgage Association I, 6.5%, 5/15/29 273,319 $5,582
Government National Mortgage Association I, 6.5%, 5/15/29 6,774,704 $102,924
Government National Mortgage Association I, 6.5%, 5/15/31 2,567,327 $30,801
Government National Mortgage Association I, 6.5%, 5/15/31 1,798,476 $26,620
Government National Mortgage Association I, 6.5%, 5/15/32 1,000,000 $14,104
Government National Mortgage Association I, 6.5%, 5/15/33 1,672,708 $37,623
Government National Mortgage Association I, 6.5%, 6/15/32 1,561,662 $18,220
Government National Mortgage Association I, 6.5%, 6/15/34 1,330,499 $193,637
Government National Mortgage Association I, 6.5%, 6/15/35 190,431 $7,785
Government National Mortgage Association I, 6.5%, 7/15/32 14,653,970 $200,573
Government National Mortgage Association I, 6.5%, 7/15/32 5,169,128 $53,002
Government National Mortgage Association I, 6.5%, 7/15/35 3,323,439 $76,812
Government National Mortgage Association I, 6.5%, 7/15/35 666,356 $60,877
Government National Mortgage Association I, 6.5%, 8/15/31 913,650 $73,897
Government National Mortgage Association I, 6.5%, 8/15/32 129,066 $4,610
Government National Mortgage Association I, 6.5%, 8/15/32 2,400,000 $33,737
Government National Mortgage Association I, 6.5%, 9/15/34 121,399 $4,817
Government National Mortgage Association I, 7.0%, 10/15/31 2,044,706 $7,592
Government National Mortgage Association I, 7.0%, 11/15/28 2,367,683 $25,332
Government National Mortgage Association I, 7.0%, 11/15/28 4,530,958 $74,686
Government National Mortgage Association I, 7.0%, 12/15/30 500,000 $4,863
Government National Mortgage Association I, 7.0%, 12/15/30 599,940 $12,989
Government National Mortgage Association I, 7.0%, 3/15/31 1,750,000 $20,334
Government National Mortgage Association I, 7.0%, 4/15/28 266,017 $2,750
Government National Mortgage Association I, 7.0%, 4/15/29 1,014,372 $25,891
Government National Mortgage Association I, 7.0%, 5/15/32 5,500,000 $113,019
Government National Mortgage Association I, 7.0%, 6/15/31 3,800,000 $45,701
Government National Mortgage Association I, 7.0%, 7/15/31 536,209 $5,391
Government National Mortgage Association I, 7.0%, 8/15/28 200,000 $2,209
Government National Mortgage Association I, 7.0%, 8/15/31 17,500,000 $215,137
Government National Mortgage Association I, 7.0%, 9/15/31 2,202,152 $15,134
Government National Mortgage Association I, 7.5%, 10/15/29 514,502 $6,843
Government National Mortgage Association I, 7.5%, 12/15/31 7,728,804 $49,844
Government National Mortgage Association I, 7.5%, 2/15/26 893,000 $1,982
Government National Mortgage Association I, 7.5%, 2/15/31 1,466,543 $15,720
Government National Mortgage Association I, 7.5%, 8/15/29 2,007,985 $19,874
Government National Mortgage Association I, 7.75%, 2/15/30 500,000 $2,456
Government National Mortgage Association II, 4.0%, 10/20/44 4,890,000 $4,091,294
Government National Mortgage Association II, 4.5%, 1/20/35 2,500,000 $406,875
Government National Mortgage Association II, 4.5%, 12/20/34 1,007,144 $155,197
Government National Mortgage Association II, 4.5%, 3/20/35 500,000 $73,196
Government National Mortgage Association II, 4.5%, 9/20/41 5,800,000 $2,501,945
Government National Mortgage Association II, 5.5%, 10/20/19 4,728,248 $369,707
Government National Mortgage Association II, 5.5%, 3/20/34 3,000,000 $316,218
Government National Mortgage Association II, 5.5%, 4/20/34 2,500,000 $287,036
Government National Mortgage Association II, 6.5%, 2/20/29 210,000 $3,271
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 $42,830
Government National Mortgage Association II, 7.0%, 1/20/29 8,400,000 $106,437
Government National Mortgage Association II, 7.0%, 11/20/28 10,000,000 $101,871
Government National Mortgage Association II, 7.0%, 12/20/30 400,864 $3,110
Government National Mortgage Association REMICS, 2.1%, 2/16/48 6,000,000 $5,853,734
Grain Spectrum Funding II LLC, 3.29%, 10/10/19 (144A) 1,400,000 $1,384,386
GRIFOLS WORLDWIDE OPERATIONS USA INC, U.S. Tranche B Term Loam, 4/1/21 385,125 $386,810
Grupo Bimbo SAB de CV, 3.875%, 6/27/24 (144A) 4,200,000 $4,190,213
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 5,642,356 $417,281
GS Mortgage Securities Corp II, 3.682%, 2/12/46 (144A) 1,000,000 $1,014,459
GS Mortgage Securities Corp Trust 2012-SHOP, 2.933%, 6/6/31 (144A) 2,800,000 $2,891,544
GS Mortgage Securities Trust 2006-GG8 REMICS, 5.56%, 11/10/39 900,000 $837,026
GS Mortgage Securities Trust 2012-GCJ7, 3.377%, 5/12/45 1,250,000 $1,306,815
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 18,254,000 $924,966
GSR Mortgage Loan Trust 2004-7, Floating Rate Note, 6/25/34 0 $0
GSR Mortgage Loan Trust 2005-AR1, Floating Rate Note, 1/25/35 5,115,000 $931,950
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 2,336,716 $1,221,805
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 5,715,000 $657,516
GTP Acquisition Partners I LLC, 2.35%, 6/15/20 (144A) 4,800,000 $4,778,853
GTP Cellular Sites LLC, 3.721%, 3/15/17 (144A) 800,000 $781,534
Halliburton Co., 7.6%, 8/15/96 (144A) 2,250,000 $3,015,984
Hanesbrands Inc Us 1st Lien Tl-B L + 2.5% 15apr22 498,750 $503,738
HCA, Inc., Tranche B-4 Term Loan, 5/1/18 734,812 $736,649
HCA, Inc., Tranche B-5 Term Loan, 3/31/17 1,762,225 $1,766,385
Healthcare Realty Trust, Inc., 3.875%, 5/1/25 3,750,000 $3,694,290
Helmerich & Payne International Drilling Co., 4.65%, 3/15/25 (144A) 6,050,000 $6,335,790
Hercules Capital Funding Trust 2014-1, 3.524%, 4/16/21 (144A) 2,920,000 $2,929,763
Highwoods Realty LP, 3.2%, 6/15/21 2,032,000 $2,029,830
Highwoods Realty LP, 3.625%, 1/15/23 2,100,000 $2,092,730
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 $2,992,925
Holcim US Finance Sarl & Cie SCS, 6.0%, 12/30/19 (144A) 475,000 $540,767
Home Equity Asset Trust 2005-7, Floating Rate Note, 1/25/36 750,000 $337,760
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 2,340,000 $2,280,995
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 24,782,615 $1,722,261
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 3,048,000 $763,595
HSBC Bank Plc, 7.65%, 5/1/25 1,305,000 $1,661,580
HSBC Bank USA NA New York NY, 6.0%, 8/9/17 3,350,000 $3,729,383
HSBC Holdings Plc, 4.25%, 3/14/24 3,940,000 $4,073,462
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 5,300,000 $1,009,279
Huntsman International LLC, Extended Term B Loan, 4/19/17 252,086 $252,047
Hyatt Hotel Portfolio Trust 2015-HYT, Floating Rate Note, 11/15/29 (144A) 2,100,000 $2,106,757
Hyundai Capital America, 1.45%, 2/6/17 (144A) 2,245,000 $2,255,521
Hyundai Capital America, 2.0%, 3/19/18 (144A) 3,125,000 $3,147,851
Iberdrola International BV, 6.75%, 7/15/36 4,475,000 $5,587,915
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 1,000,000 $1,001,000
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 1,150,000 $1,157,846
Icon Brand Holdings LLC, 4.229%, 1/26/43 (144A) 1,801,000 $1,488,769
Icon Brand Holdings LLC, 4.352%, 1/25/43 (144A) 395,000 $339,171
Igloo Holdings Corp., 8.25%, 12/15/17 (144A) (PIK) 2,875,000 $2,952,026
Immucor, Inc., Term B-2 Loan, 8/19/18 2,123,082 $2,131,044
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 10,689,000 $497,350
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 1,525,000 $259,178
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 4,900,000 $972,642
IMS Health, Inc., Term B Dollar Loan, 3/17/21 451,525 $451,081
Indianapolis Airport Authority, 5.1%, 1/15/17 1,000,000 $1,061,687
Intel Corp., 4.8%, 10/1/41 11,075,000 $11,538,168
Intelsat Jackson Holdings SA, 7.25%, 4/1/19 1,900,000 $1,929,292
Interactive Data 1st Lien Tl-B L + 3.75% 24apr21 743,042 $746,850
International Paper Co., 3.65%, 6/15/24 6,975,000 $6,952,240
International Paper Co., 3.8%, 1/15/26 1,025,000 $1,006,838
International Paper Co., 6.0%, 11/15/41 2,400,000 $2,640,741
Intesa Sanpaolo S.p.A., 3.625%, 8/12/15 (144A) 3,476,000 $3,536,911
Intesa Sanpaolo S.p.A., 6.5%, 2/24/21 (144A) 1,400,000 $1,654,898
Invitation Homes 2014-SFR3 Trust, Floating Rate Note, 12/18/31 (144A) 1,700,000 $1,694,586
Irwin Home Equity Loan Trust 2005-1, 5.32%, 6/25/35 (Step) 4,350,000 $326,548
Irwin Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/25 15,300,000 $2,868,573
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 3,300,000 $611,565
Israel Electric Corp, Ltd., 7.25%, 1/15/19 (144A) 1,925,000 $2,194,928
Israel Electric Corp, Ltd., 9.375%, 1/28/20 (144A) 610,000 $760,689
JG Wentworth XXII LLC, 3.82%, 12/15/48 (144A) 1,100,000 $688,817
JobsOhio Beverage System, 3.985%, 1/1/29 4,075,000 $4,264,246
JobsOhio Beverage System, 4.532%, 1/1/35 1,035,000 $1,100,284
Johnson & Johnson, 4.375%, 12/5/33 3,150,000 $3,413,761
JPMorgan Chase & Co., Floating Rate Note, 8/29/49 9,100,000 $9,851,692
JP Morgan Chase Commercial Mortgage Securities Corp., 2.84%, 12/17/47 3,910,234 $3,927,778
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42 2,800,000 $1,869,912
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP6, Floating Rate Note, 4/15/43 4,800,000 $4,886,897
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 1,100,000 $396,069
JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2, 3.6159%, 11/15/43 (144A) 1,600,000 $1,668,581
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5, 4.1712%, 8/17/46 1,350,000 $1,471,269
JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8, Floating Rate Note, 10/17/45 (144A) 1,200,000 $1,238,414
JP Morgan Chase Commercial Mortgage Securities Trust 2014-C20 REMICS, 3.8046%, 7/17/47 5,000,000 $5,271,123
JP Morgan Chase Commercial Mortgage Securities Trust 2014-CBM, Floating Rate Note, 10/15/29 (144A) 4,600,000 $4,584,742
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4 REMICS, Floating Rate Note, 12/16/30 ( 2,200,000 $2,197,209
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5, Floating Rate Note, 7/15/31 (144A) 1,260,000 $1,264,573
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5 REMICS, Floating Rate Note, 7/15/31 (1 900,000 $898,026
JP Morgan Chase Commercial Mortgage Securities Trust 2015-COSMO, Floating Rate Note, 1/15/32 (144A) 4,600,000 $4,587,676
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 11,067,000 $421,273
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 20,103,000 $1,490,166
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 11,243,500 $511,527
JP Morgan Mortgage Trust 2004-S1, 5.0%, 9/25/34 17,960,288 $753,259
JP Morgan Mortgage Trust 2004-S1, 6.0%, 9/25/34 9,800,000 $1,705,164
JP Morgan Mortgage Trust 2013-1, Floating Rate Note, 3/25/43 (144A) 2,000,000 $1,804,325
JP Morgan Mortgage Trust 2013-1, Floating Rate Note, 3/25/43 (144A) 9,989,000 $5,878,350
JP Morgan Mortgage Trust 2013-1, Floating Rate Note, 3/25/43 (144A) 12,732,000 $7,625,351
JP Morgan Mortgage Trust 2013-2, Floating Rate Note, 5/25/43 (144A) 2,101,900 $1,471,378
JP Morgan Mortgage Trust 2014-1 REMICS, Floating Rate Note, 1/25/44 (144A) 1,000,000 $872,437
JP Morgan Mortgage Trust 2014-2, Floating Rate Note, 6/25/29 (144A) 9,276,000 $7,676,370
JP Morgan Mortgage Trust 2014-2, Floating Rate Note, 6/25/29 (144A) 10,055,000 $8,392,173
JP Morgan Mortgage Trust 2014-5, Floating Rate Note, 10/25/29 (144A) 6,000,000 $5,392,506
JP Morgan Mortgage Trust 2014-5, Floating Rate Note, 10/25/29 (144A) 2,609,000 $2,395,279
JP Morgan Mortgage Trust 2014-OAK4, Floating Rate Note, 9/25/44 (144A) 5,977,000 $5,886,796
JP Morgan Mortgage Trust 2015-4, Floating Rate Note, 6/25/45 (144A) 9,500,000 $9,562,746
JP Morgan Trust 2015-3 REMICS, Floating Rate Note, 5/25/45 (144A) 3,335,000 $3,261,205
Kane Ilw Zero% 02feb16 1,000,000 $963,300
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 1,956,533 $2,001,338
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 1,009,200 $1,044,219
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 3,654,000 $3,716,483
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 2,018,867 $2,052,178
Kane Sac Zero% 15jun16 1,200,000 $1,160,760
Kane Zero% 15jan16 1,012,000 $1,022,828
Kane Zero% 19feb16 3,000,000 $3,211,200
Kane Zero% 22jan16 1,300,000 $1,332,630
Kane Zero% 22jan16 800,000 $819,040
Kane Zero% 29apr16 3,700,000 $3,914,230
KeyCorp, 5.1%, 3/24/21 7,378,000 $8,321,592
Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A) 1,700,000 $1,678,290
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 3,700,000 $3,629,294
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 350,000 $339,246
Kinder Morgan, Inc. Delaware, 5.55%, 6/1/45 7,335,000 $6,741,400
Kinder Morgan Energy Partners LP, 4.25%, 9/1/24 4,675,000 $4,519,675
Kinetic Concepts, Inc., Dollar Term E-1 Loan, 5/4/18 1,988,646 $2,000,610
Kiowa Power Partners LLC, 5.737%, 3/30/21 (144A) 2,105,000 $1,743,799
KKR Group Finance Co III LLC, 5.125%, 6/1/44 (144A) 1,650,000 $1,635,966
KKR Group Finance Co II LLC, 5.5%, 2/1/43 (144A) 5,025,000 $5,299,295
Kraft Foods Group, Inc., 3.5%, 6/6/22 3,240,000 $3,302,737
La Hipotecaria Panamanian Mortgage Trust 2010-1, Floating Rate Note, 9/8/39 (144A) 750,000 $481,983
La Hipotecaria Panamanian Mortgage Trust 2014-1, Floating Rate Note, 11/24/42 (144A) 4,250,000 $4,070,679
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 1,700,000 $177,425
Leaf Receivables Funding 10 LLC, 2.74%, 3/15/21 (144A) 550,000 $545,885
Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A) 1,326,000 $427,220
Leaf Receivables Funding 8 LLC, 1.92%, 9/15/20 (144A) 2,203,000 $2,208,845
LeasePlan Corp NV, 2.5%, 5/16/18 (144A) 1,475,000 $1,490,829
Legg Mason, Inc., 3.95%, 7/15/24 2,400,000 $2,454,453
Legg Mason, Inc., 5.625%, 1/15/44 4,290,000 $4,548,657
Lehman ABS Manufactured Housing Contract Trust 2001-B, 3.01%, 5/15/41 22,820,000 $264,314
Lehman ABS Manufactured Housing Contract Trust 2001-B, 5.873%, 5/15/41 2,450,000 $281,038
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 16,378,656 $2,006,220
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1,079,000 $210,782
Liberty Mutual Insurance Co., 7.697% (Perpetual) (144A) 5,325,000 $6,807,594
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 1,400,063 $1,402,979
Loews Corp., 5.25%, 3/15/16 2,650,000 $2,775,272
Loma Reinsurance, Ltd. Bermuda, Floating Rate Note, 1/8/18 (Cat Bond) (144A) 250,000 $256,202
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 1,800,000 $1,818,660
Louisiana Local Government Environmental Facilities & Community Development Authority, 6.5%, 11/1/35 2,350,000 $2,835,134
LSTAR Commercial Mortgage Trust 2015-3, Floating Rate Note, 4/20/48 (144A) 3,690,000 $3,611,899
LSTAR Securities Investment Trust 2014-2, Floating Rate Note, 11/1/19 (144A) 10,700,000 $9,691,444
LSTAR Securities Investment Trust 2015-1, Floating Rate Note, 1/1/20 (144A) 4,970,000 $4,777,994
LSTAR Securities Investment Trust 2015-3, Floating Rate Note, 3/1/20 (144A) 2,500,000 $2,414,510
LSTAR Securities Investment Trust 2015-4, Floating Rate Note, 4/1/20 (144A) 5,651,000 $5,389,792
LSTAR Securities Investment Trust 2015-5, Floating Rate Note, 4/1/20 (144A) 2,925,000 $2,794,123
MacDermid, Inc., Tranche B Term Loan (First Lien), 6/7/20 911,524 $916,488
Macquarie Bank, Ltd., 4.875%, 6/10/25 (144A) 5,125,000 $5,136,574
Macquarie Bank, Ltd., 6.625%, 4/7/21 (144A) 840,000 $973,112
Macquarie Group, Ltd., 6.0%, 1/14/20 (144A) 2,730,000 $3,083,511
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 2,200,000 $278,207
Marathon Oil Corp., 5.9%, 3/15/18 901,000 $1,008,442
Masco Corp., 4.45%, 4/1/25 1,050,000 $1,069,109
Masco Corp., 5.95%, 3/15/22 825,000 $930,169
Masco Corp., 7.125%, 3/15/20 4,260,000 $5,077,565
Massachusetts Development Finance Agency, 5.25%, 4/1/37 325,000 $375,395
Massachusetts Development Finance Agency, 5.375%, 4/1/41 550,000 $620,321
Massachusetts Health & Educational Facilities Authority, 5.5%, 7/1/32 1,425,000 $1,909,320
Massachusetts Institute of Technology, 5.6%, 7/1/11 1,100,000 $1,386,143
MASTR Adjustable Rate Mortgages Trust 2005-1, Floating Rate Note, 1/25/35 6,959,000 $540,567
MASTR Alternative Loan Trust 2004-6, 6.0%, 7/25/34 12,000,000 $2,216,410
Medtronic, Inc., 4.625%, 3/15/45 (144A) 7,300,000 $7,513,023
Merna Reinsurance, Ltd., Floating Rate Note, 4/9/18 (Cat Bond) (144A) 750,000 $745,033
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 1,000,000 $996,578
Merrill Lynch Mortgage Investors Trust Series 2005-A3, Floating Rate Note, 4/25/35 27,604,109 $2,811,327
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 46,068,000 $1,565,128
Merrill Lynch Mortgage Trust 2005-LC1, Floating Rate Note, 1/12/44 4,000,000 $2,803,650
Methanex Corp., 4.25%, 12/1/24 2,625,000 $2,624,836
MGM Resorts International, 6.0%, 3/15/23 3,550,000 $3,692,592
Microsemi Corp., Term Loan (2014), 3/14/21 350,189 $350,758
Mid-State Capital Trust 2010-1, 5.25%, 12/15/45 (144A) 950,000 $696,128
ML-CFC Commercial Mortgage Trust 2006-1, Floating Rate Note, 2/12/39 2,500,000 $2,264,348
Mohawk Industries, Inc., 3.85%, 2/1/23 800,000 $822,814
Monsanto Co., 3.375%, 7/15/24 2,675,000 $2,585,853
Morgan Stanley, 4.1%, 5/22/23 5,100,000 $5,217,751
Morgan Stanley, 4.875%, 11/1/22 300,000 $321,846
Morgan Stanley, Floating Rate Note (Perpetual) 2,900,000 $2,892,653
Morgan Stanley, Floating Rate Note (Perpetual) 110,230 $2,834,013
Morgan Stanley Capital I Trust 2007-HQ13, 5.569%, 12/15/44 1,000,000 $1,063,480
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 2,385,000 $2,016,041
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 26,682,000 $3,092,889
Motiva Enterprises LLC, 6.85%, 1/15/40 (144A) 3,800,000 $4,379,239
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 9,460,074 $485,446
MRFC Mortgage Pass-Through Trust Series 2000-TBC3, Floating Rate Note, 12/15/30 15,930,000 $708,817
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 1,000,000 $1,016,986
Nakilat, Inc., 6.267%, 12/31/33 (144A) 2,450,000 $2,541,202
National Financial Partners 1st Lien Tl-B L + 3.5% 01jul20 1,161,227 $1,162,388
National Rural Utilities Cooperative Finance Corp., 5.45%, 2/1/18 2,000,000 $2,237,436
Nations Equipment Finance Funding II LLC, 3.276%, 1/22/19 (144A) 1,000,000 $957,546
Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37 550,000 $245,348
Nationstar Mortgage LLC, 6.5%, 6/1/22 5,480,000 $5,046,167
Navios Maritime Partners LP, Term Loan, 6/27/18 653,165 $656,975
NBTY, Inc., Term B-2 Loan, 10/1/17 861,429 $859,545
NCR Corp., 4.625%, 2/15/21 4,600,000 $4,695,203
NCR Corp., 6.375%, 12/15/23 1,425,000 $1,513,202
Neuberger Berman Group LLC, 4.875%, 4/15/45 (144A) 4,250,000 $3,949,216
Nevada Power Co., 6.5%, 8/1/18 910,000 $1,064,472
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 5,700,000 $900,650
Newfield Exploration Co., 5.375%, 1/1/26 2,360,000 $2,276,171
Newfield Exploration Co., 5.625%, 7/1/24 1,400,000 $1,378,563
New Jersey Economic Development Authority, 0.0%, 2/15/18 4,500,000 $4,170,780
New Jersey Educational Facilities Authority, 4.0%, 7/1/45 3,100,000 $3,257,680
New Jersey Transportation Trust Fund Authority, 5.5%, 6/15/41 2,750,000 $2,917,744
New Residential Mortgage Loan Trust 2014-1, Floating Rate Note, 1/25/54 (144A) 5,200,000 $4,074,800
New Residential Mortgage Loan Trust 2014-2, Floating Rate Note, 5/26/54 (144A) 4,978,000 $4,058,035
New Residential Mortgage Loan Trust 2014-3, Floating Rate Note, 11/25/54 (144A) 3,900,000 $3,406,760
New Residential Mortgage Loan Trust 2015-1, Floating Rate Note, 4/28/52 (144A) 11,783,000 $11,675,889
New York City Transitional Finance Authority Future Tax Secured Revenue, 5.0%, 11/1/33 2,400,000 $2,772,216
New York State Electric & Gas Corp., 6.15%, 12/15/17 (144A) 5,055,000 $5,598,399
NextGear Floorplan Master Owner Trust, 1.92%, 10/15/19 (144A) 1,050,000 $1,051,136
NextGear Floorplan Master Owner Trust, 2.61%, 10/15/19 (144A) 1,000,000 $997,062
Nordea Bank AB, 4.25%, 9/21/22 (144A) 4,500,000 $4,704,751
Nordea Bank AB, Floating Rate Note (Perpetual) (144A) 5,600,000 $5,693,956
Nortek Inc 1st Lien Tl-B L + 3% 31dec20 1,375,946 $1,372,219
North American Development Bank, 2.3%, 10/10/18 643,000 $661,168
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 1,100,000 $1,118,087
NOVA Chemicals Corp., 5.0%, 5/1/25 (144A) 40,000 $40,100
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 430,000 $423,082
Novelis Inc 1st Lien Tl-B L + 3.25% 28may22 700,000 $700,560
NRG Energy, Inc., 8.25%, 9/1/20 2,000,000 $2,151,750
NRG Energy, Inc., Term Loan (2013), 7/1/18 1,315,739 $1,312,151
NRP Mortgage Trust 2013-1, Floating Rate Note, 7/25/43 6,602,000 $6,235,048
NRP Mortgage Trust 2013-1, Floating Rate Note, 7/25/43 (144A) 5,440,000 $4,818,990
NRP Mortgage Trust 2013-1, Floating Rate Note, 7/25/43 (144A) 3,927,800 $3,670,910
NRP Mortgage Trust 2013-1, Floating Rate Note, 7/25/43 (144A) 5,945,000 $5,089,890
NSG Holdings LLC, New Term Loan, 12/11/19 746,113 $747,046
Nuance Communications, Inc., Term C Loan, 8/7/19 368,859 $362,404
NYU Hospitals Center, 4.428%, 7/1/42 2,400,000 $2,349,055
Ohio Higher Educational Facility Commission, 5.0%, 1/1/42 1,765,000 $1,939,111
Omega Healthcare Investors, Inc., 4.95%, 4/1/24 3,945,000 $4,129,437
OMNOVA Solutions, Inc., Term B-1 Loan, 5/31/18 477,500 $477,053
OneBeacon US Holdings, Inc., 4.6%, 11/9/22 1,000,000 $1,041,652
OneMain Financial Issuance Trust 2015-1, 3.19%, 3/18/26 (144A) 1,600,000 $1,622,531
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 35,386,800 $5,885,550
Oracle Corp., 2.5%, 5/15/22 10,600,000 $10,364,248
Orcal Geothermal, Inc., 6.21%, 12/30/20 (144A) 1,730,000 $567,614
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 1,550,000 $695,700
Origen Manufactured Housing Contract Trust 2004-A, Floating Rate Note, 1/15/35 1,400,000 $527,659
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 484,000 $359,111
Ormat Funding Corp., 8.25%, 12/30/20 555,000 $244,943
Owens Corning, 4.2%, 12/1/24 5,150,000 $5,137,583
OXEA Sarl, Tranche B-2 Term Loan (First Lien), 1/15/20 193,641 $189,042
Oxford Finance Funding Trust 2014-1, 3.475%, 12/15/22 (144A) 1,600,000 $1,605,719
Pangaea Zero% 01jul18 2,000,000 $36,000
Panoche Energy Center LLC, 6.885%, 7/31/29 (144A) 2,610,000 $2,623,457
Parish of St John the Baptist Louisiana, 5.125%, 6/1/37 2,560,000 $2,685,035
Penske Truck Leasing Co Lp, 3.375%, 2/1/22 (144A) 8,850,000 $8,789,247
Permanent University Fund, 5.0%, 7/1/30 800,000 $951,749
PFS Financing Corp., Floating Rate Note, 10/15/19 (144A) 1,000,000 $997,572
PHH Mortgage Capital LLC, 6.600001%, 12/25/27 (Step) (144A) 4,250,000 $92,091
Piedmont Operating Partnership LP, 3.4%, 6/1/23 2,550,000 $2,446,199
Pinnacle Entertainment, Inc., Tranche B-2 Term Loan, 8/13/20 666,034 $667,352
Pinnacle Foods Finance LLC, New Term Loan G, 4/29/20 20,755 $20,737
Plains All American Pipeline LP, 4.9%, 2/15/45 5,300,000 $5,195,743
PNC Bank NA, 6.0%, 12/7/17 1,435,000 $1,579,091
Port Authority of New York & New Jersey, 4.458%, 10/1/62 600,000 $604,122
Port Freeport Texas, 5.95%, 5/15/33 3,965,000 $4,478,155
PPL Capital Funding, Inc., 5.9%, 4/30/73 164,000 $4,213,160
President and Fellows of Harvard College, 2.3%, 10/1/23 2,600,000 $2,487,567
President and Fellows of Harvard College, 6.3%, 10/1/37 3,095,000 $3,274,414
Pride International, Inc., 6.875%, 8/15/20 1,025,000 $1,180,947
Progreso Receivables Funding III LLC, 3.625%, 1/30/25 (144A) 3,200,000 $3,215,222
Progreso Receivables Funding LLC, 3.0%, 7/8/20 2,000,000 $2,004,829
Progress Residential 2014-SFR1 Trust, Floating Rate Note, 10/17/31 (144A) 180,000 $180,614
Progress Residential 2015-SFR1 Trust, Floating Rate Note, 2/20/32 (144A) 2,700,000 $2,720,254
Protective Life Corp., 7.375%, 10/15/19 4,250,000 $5,127,643
Prudential Financial, Inc., 4.5%, 11/16/21 1,090,000 $1,199,703
Prudential Financial, Inc., Floating Rate Note, 6/15/43 1,500,000 $1,568,606
Prudential Financial, Inc., Floating Rate Note, 6/15/68 2,140,000 $2,525,393
Prudential Financial, Inc., Floating Rate Note, 9/15/42 1,800,000 $1,943,450
Public Service Co of New Mexico, 7.95%, 5/15/18 2,690,000 $3,166,443
PVH Corp., Tranche B Term Loan, 2/13/20 376,269 $378,444
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 1,650,000 $1,667,912
QVC, Inc., 4.45%, 2/15/25 7,300,000 $7,208,264
RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32 9,900,000 $330,418
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 10,766,469 $823,883
RALI Series 2003-QS13 Trust, Floating Rate Note, 7/25/33 8,990,000 $863,074
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 7,610,000 $340,173
RALI Series 2004-QS3 Trust, 5.0%, 3/25/19 13,042,000 $873,120
Ras Laffan Liquefied Natural Gas Co, Ltd. III, 5.832%, 9/30/16 (144A) 1,605,000 $509,270
Remy International, Inc., Term B Loan 2013, 3/5/20 1,714,996 $1,720,356
Residential Asset Securitization Trust 2004-A8, 5.25%, 11/25/34 21,888,000 $452,778
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 1,000,000 $990,750
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,650,000 $1,683,371
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 2,800,000 $2,825,900
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 800,000 $839,760
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 275,000 $289,190
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 250,000 $259,794
RESI Finance LP 2003-CB1, Floating Rate Note, 7/9/35 12,829,000 $2,927,544
Resolute Forest Products, Inc., 5.875%, 5/15/23 3,930,000 $3,330,293
Revlon Consumer Products Corp., Acquisition Term Loan, 8/19/19 977,058 $979,256
Reynolds American, Inc., 3.75%, 5/20/23 (144A) 1,050,000 $1,040,063
RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35 1,745,152 $763,575
Rosneft Finance SA, 7.875%, 3/13/18 (144A) 1,000,000 $1,083,988
Rowan Companies, Inc., 4.75%, 1/15/24 6,185,000 $5,826,765
RPI Finance Trust, Term B-4 Term Loan, 11/9/20 1,648,573 $1,653,931
RREF 2015-LT7 LLC, 3.0%, 12/25/32 (144A) 4,000,000 $3,651,812
Sabine Pass LNG LP, 6.5%, 11/1/20 3,500,000 $3,644,375
Sanders Re, Ltd., Floating Rate Note, 5/25/18 (Cat Bond) (144A) 800,000 $778,067
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 1,250,000 $1,233,931
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 1,200,000 $1,180,577
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 2,000,000 $1,990,000
San Diego Gas & Electric Co., 1.914%, 2/1/22 3,150,000 $3,169,468
Santander Drive Auto Receivables Trust 2012-1, 3.78%, 11/15/17 1,450,000 $491,831
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 850,000 $859,458
SBA Tower Trust, 3.869%, 10/15/49 (144A) 6,975,000 $7,046,463
SBP DPR Finance Co., Floating Rate Note, 3/15/17 (144A) 2,000,000 $739,547
Scientific Games International Inc 1st Lien Tl-B2 L + 5% 17sep21 4,328,250 $4,352,055
Scotiabank Peru SAA, Floating Rate Note, 12/13/27 (144A) 2,600,000 $2,596,368
Seagate HDD Cayman, 4.75%, 6/1/23 3,450,000 $3,519,575
Seagate HDD Cayman, 4.875%, 6/1/27 (144A) 3,700,000 $3,597,851
Seagate HDD Cayman, 5.75%, 12/1/34 (144A) 4,350,000 $4,302,386
Sector Re V, Ltd., 0.0%, 3/1/20 (Cat Bond) (144A) 400,000 $407,120
Sector Re V, Ltd., 0.0%, 3/1/20 (Cat Bond) (144A) 3,000,000 $3,027,300
Selma Industrial Development Board, 5.8%, 5/1/34 2,310,000 $2,665,047
Semt % 25may43 13-6-A1 9,070,000 $7,225,987
Sensata Technologies 1st Lien L + 2.25% 14oct21 1,166,202 $1,170,575
Sequoia Mortgage Trust, Floating Rate Note, 9/25/42 100,000 $48,376
Sequoia Mortgage Trust 2012-6, Floating Rate Note, 12/26/42 8,060,000 $4,986,555
Sequoia Mortgage Trust 2013-10, Floating Rate Note, 8/25/43 (144A) 7,372,000 $6,944,083
Sequoia Mortgage Trust 2013-3, Floating Rate Note, 3/25/43 7,915,000 $7,584,765
Sequoia Mortgage Trust 2013-4, Floating Rate Note, 4/25/43 6,585,000 $6,279,862
Sequoia Mortgage Trust 2013-4 REMICS, Floating Rate Note, 4/27/43 9,500,000 $7,440,050
Sequoia Mortgage Trust 2013-5 REMICS, Floating Rate Note, 5/25/43 (144A) 3,300,000 $2,679,695
Sequoia Mortgage Trust 2013-7, Floating Rate Note, 6/25/43 14,077,000 $11,317,908
Sequoia Mortgage Trust 2013-7, Floating Rate Note, 6/25/43 1,841,592 $1,525,672
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 916,000 $741,377
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 6,700,000 $6,423,605
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 928,000 $679,433
Sequoia Mortgage Trust 2013-9, 3.5%, 7/27/43 (144A) 2,190,000 $1,820,749
Sequoia Mortgage Trust 2015-1, Floating Rate Note, 1/25/45 (144A) 7,710,000 $6,812,461
Sequoia Mortgage Trust 2015-2, Floating Rate Note, 5/25/45 (144A) 8,762,000 $8,693,565
Ship Midco, Ltd., Facility B2A-II, 11/29/19 795,333 $801,298
Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A) 4,692,000 $986,261
Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A) 750,000 $191,544
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 3,360,000 $3,360,483
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 $1,109,000
Sinopec Group Overseas Development 2014, Ltd., 4.375%, 4/10/24 (144A) 4,750,000 $5,041,658
Sinopec Group Overseas Development 2015, Ltd., 2.5%, 4/28/20 (144A) 10,050,000 $9,956,991
Skopos Auto Receivables Trust 2015-1, 3.1%, 12/15/23 (144A) 1,200,000 $1,036,841
Sotheby's, 5.25%, 10/1/22 (144A) 1,300,000 $1,293,500
Southern California Edison Co., 1.845%, 2/1/22 6,200,000 $6,263,945
Southern California Edison Co., Floating Rate Note (Perpetual) 2,200,000 $2,497,000
Southwest Airlines Co., 2.75%, 11/6/19 2,350,000 $2,398,901
Southwestern Electric Power Co., 3.9%, 4/1/45 10,800,000 $9,773,975
Spectra Energy Capital LLC, 6.2%, 4/15/18 2,475,000 $2,762,319
Spectra Energy Capital LLC, 6.75%, 7/15/18 1,500,000 $1,678,625
Spirit Master Funding LLC, 4.6291%, 1/20/45 (144A) 3,300,000 $3,343,201
Spirit Master Funding LLC, 5.74%, 3/20/42 (144A) 268,008 $293,816
Spirit Master Funding VII LLC, 3.8868%, 12/21/43 700,000 $720,005
SpringCastle America Funding LLC, 2.7%, 5/25/23 2,600,000 $1,878,635
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2,800,000 $1,414,326
Springleaf Funding Trust 2014-A, 2.41%, 12/15/22 (144A) 1,200,000 $1,204,804
Springleaf Mortgage Loan Trust 2012-3, Floating Rate Note, 12/26/59 (144A) 565,000 $568,687
Springleaf Mortgage Loan Trust 2013-1, Floating Rate Note, 6/25/58 (144A) 2,500,000 $1,499,384
Springleaf Mortgage Loan Trust 2013-1, Floating Rate Note, 6/25/58 (144A) 750,000 $757,271
Sprint Corp., 7.125%, 6/15/24 1,500,000 $1,386,156
Sprint Corp., 7.25%, 9/15/21 1,500,000 $1,475,458
Standard Chartered Bank, 6.4%, 9/26/17 (144A) 2,200,000 $2,439,198
Standard Chartered Plc, 3.95%, 1/11/23 (144A) 4,800,000 $4,739,455
Stanley Black & Decker, Inc., Floating Rate Note, 12/15/53 3,600,000 $3,882,950
Staples Inc 1st Lien Tl-B L + 2.75% 24apr21 1,925,000 $1,927,936
State of Texas, 4.0%, 10/1/44 3,000,000 $3,137,620
State of Washington, 3.0%, 7/1/28 560,000 $564,278
State of Washington, 5.0%, 7/1/30 1,600,000 $1,877,467
State Street Corp., Floating Rate Note, 12/31/73 54,200 $1,407,574
Steel Dynamics, Inc., 5.125%, 10/1/21 1,385,000 $1,405,198
Store Master Funding I LLC, 3.75%, 4/20/45 (144A) 1,400,000 $1,385,663
STORE Master Funding LLC, 4.16%, 3/20/43 (144A) 300,000 $297,006
STORE Master Funding LLC, 5.77%, 8/20/42 (144A) 2,095,000 $2,164,303
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 1/25/35 3,080,000 $648,328
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 6,054,578 $508,512
Structured Asset Investment Loan Trust 2006-1, Floating Rate Note, 1/25/36 5,475,000 $1,043,019
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 79,912,853 $3,774,211
Structured Asset Mortgage Investments Trust 2003-AR2, Floating Rate Note, 12/19/33 41,560,377 $1,924,781
Structured Asset Securities Corp., 4.77%, 10/25/34 (Step) 2,100,000 $66,335
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 7,000,000 $562,477
Structured Asset Securities Corp Mortgage Loan Trust 2006-GEL4, Floating Rate Note, 10/25/36 (144A) 5,952,000 $1,486,486
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 3,200,000 $149,807
Structured Asset Securities Corp Trust 2005-14, Floating Rate Note, 7/25/35 6,935,000 $560,317
Structured Asset Securities Corp Trust 2005-17, 5.5%, 10/25/35 7,170,000 $4,238,013
Successor X, Ltd., Floating Rate Note, 11/10/15 (Cat Bond) (144A) 250,000 $255,131
Sumitomo Mitsui Banking Corp., 1.75%, 1/16/18 1,800,000 $1,799,999
SunGard Data Systems, Inc., Tranche C Term Loan, 2/28/17 953,650 $955,581
Sunoco Logistics Partners Operations LP, 6.1%, 2/15/42 2,200,000 $2,261,875
Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A) 2,250,000 $1,659,299
SunTrust Banks, Inc., 3.5%, 1/20/17 1,025,000 $1,054,701
SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A) 1,200,000 $510,051
Syniverse Holdings, Inc., Initial Term Loan, 4/23/19 333,333 $317,917
Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19 666,667 $635,833
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 300,000 $306,943
TD Ameritrade Holding Corp., 3.625%, 4/1/25 6,025,000 $6,193,003
Teachers Insurance & Annuity Association of America, 6.85%, 12/16/39 (144A) 3,205,000 $4,020,402
Telefonica Emisiones SAU, 6.221%, 7/3/17 2,750,000 $2,989,345
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 24,739,000 $750,723
Terwin Mortgage Trust Series TMTS 2005-12ALT, 4.99742%, 7/25/36 (Step) 835,000 $390,583
Terwin Mortgage Trust Series TMTS 2005-16HE, 4.3409%, 9/25/36 (Step) 14,000,000 $2,659,752
Texas Competitive Electric Holdings Co LLC, DIP Delayed Draw Term Loan (2014), 5/5/16 1,285,660 $1,291,821
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/30 1,050,000 $1,141,223
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/31 2,100,000 $2,275,432
Texas Transportation Commission State Highway Fund, 5.0%, 4/1/33 1,000,000 $1,172,397
The Allstate Corp., 5.95%, 4/1/36 1,300,000 $1,613,355
The Allstate Corp., Floating Rate Note, 1/15/53 145,871 $3,792,646
The Allstate Corp., Floating Rate Note, 5/15/57 5,455,000 $6,198,092
The Bank of New York Mellon Corp., Floating Rate Note (Perpetual) 1,250,000 $1,162,656
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 2.3%, 3/5/20 (144A) 11,675,000 $11,698,873
The George Washington University, 1.827%, 9/15/17 1,900,000 $1,937,618
The Goldman Sachs Group, Inc., 6.75%, 10/1/37 6,875,000 $8,381,966
The Goodyear Tire & Rubber Co., Loan (Second Lien), 4/30/19 3,491,667 $3,512,945
The Home Depot, Inc., 2.625%, 6/1/22 4,520,000 $4,489,540
The Kroger Co., 2.95%, 11/1/21 7,472,000 $7,460,060
The PNC Financial Services Group, Inc., Floating Rate Note (Perpetual) 890,000 $1,017,771
The Priceline Group, Inc., 3.65%, 3/15/25 7,375,000 $7,326,374
The University of Texas System, 5.0%, 8/15/43 525,000 $606,126
The Valspar Corp., 3.3%, 2/1/25 3,025,000 $2,992,613
The Williams Companies, Inc., 5.75%, 6/24/44 5,980,000 $5,272,845
The Williams Companies, Inc., 7.75%, 6/15/31 2,475,000 $2,737,966
Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43 24,278,000 $732,043
Thornburg Mortgage Securities Trust 2004-3, Floating Rate Note, 9/25/34 78,599,000 $5,504,795
Tiers Trust, Floating Rate Note, 10/15/97 (144A) 1,250,000 $1,137,622
Ti Group Automotive Systems Llc 1st Lien Tl-B L + 3.5% 25jun22 532,336 $535,164
TimberStar Trust I, 5.7467%, 10/15/36 (144A) 1,435,000 $1,497,933
TimberStar Trust I REMICS, 5.668%, 10/15/36 (144A) 4,470,000 $4,683,761
Time Warner, Inc., 4.7%, 1/15/21 8,300,000 $8,992,053
Toyota Motor Credit Corp., 2.125%, 7/18/19 5,000,000 $5,024,597
Trafigura Securitisation Finance Plc. 2014-1, Floating Rate Note, 4/16/18 (144A) 800,000 $802,355
TransCanada PipeLines, Ltd., 1.875%, 1/12/18 4,425,000 $4,451,774
Trans Union Llc 1st Lien Tl-B2 L + 3% 09apr21 1,492,443 $1,485,354
Tronox Pigments Holland BV, New Term Loan, 3/19/20 764,864 $733,313
TTX Co., 3.6%, 1/15/25 (144A) 6,650,000 $6,706,512
Tufts University, 5.017%, 4/15/12 3,550,000 $3,743,994
Tyco Electronics Group SA, 6.55%, 10/1/17 2,950,000 $3,319,739
U.S. Treasury Bonds, 2.5%, 2/15/45 31,575,000 $29,151,687
U.S. Treasury Bonds, 4.375%, 11/15/39 6,865,000 $8,777,919
U.S. Treasury Bonds, 4.375%, 5/15/40 4,500,000 $5,760,243
U.S. Treasury Bonds, 4.375%, 5/15/41 1,150,000 $1,478,352
U.S. Treasury Bonds, 4.5%, 2/15/36 30,000,000 $39,461,060
U.S. Treasury Floating Rate Note, 0.12000632%, 7/31/16 11,325,000 $11,329,839
U.S. Treasury Inflation Indexed Bonds, 0.125%, 7/15/24 64,580,000 $62,838,051
U.S. Treasury Notes, 2.0%, 2/15/25 4,400,000 $4,364,626
U.S. Treasury Notes, 2.125%, 5/15/25 4,250,000 $4,239,924
UBS AG, 7.625%, 8/17/22 4,400,000 $5,321,105
UBS Commercial Mortgage Trust 2012-C1, 3.4%, 5/12/45 5,100,000 $5,320,230
Unison Ground Lease Funding LLC, 2.981%, 3/16/43 (144A) 1,500,000 $1,495,207
United Auto Credit Securitization Trust 2015-1, 2.92%, 6/17/19 (144A) 2,140,000 $2,148,577
UnitedHealth Group, Inc., 3.35%, 7/15/22 9,640,000 $9,843,678
United States Treasury Floating Rate Note, Floating Rate Note, 1/31/16 11,325,000 $11,326,820
United States Treasury Floating Rate Note, Floating Rate Note, 1/31/17 16,435,000 $16,446,216
United States Treasury Floating Rate Note, Floating Rate Note, 4/30/16 11,325,000 $11,329,357
United States Treasury Floating Rate Note, Floating Rate Note, 4/30/17 16,395,000 $16,397,846
United Technologies Corp., 1.778%, 5/4/18 (Step) 10,250,000 $10,303,903
University of California, 3.38%, 5/15/28 2,600,000 $2,598,376
University of Virginia, 5.0%, 4/1/45 3,100,000 $3,631,664
Univision Communications, Inc., Replacement First-Lien Term Loan, 3/1/20 2,253,902 $2,255,466
USAA Capital Corp., 2.45%, 8/1/20 (144A) 11,625,000 $11,707,628
US Airways 2013-1 Class A Pass Through Trust, 3.95%, 5/15/27 1,500,000 $1,420,814
US Bancorp, Floating Rate Note (Perpetual) 84,255 $2,266,460
USI, Inc. New York, Initial Term Loan, 12/30/19 6,177,456 $6,186,463
US Residential Opportunity Fund III Trust 2015-1, 3.7213%, 1/29/35 (144A) 4,000,000 $3,764,318
Valeant Pharmaceuticals Internatio 1st Lien Tl-Bf1 L + 3.25% 13mar22 997,500 $1,003,337
Valeant Pharmaceuticals International, Inc., Series C-2 Tranche B Term Loan, 12/11/19 532,996 $534,376
Valero Energy Corp., 6.625%, 6/15/37 2,825,000 $3,250,090
Valero Energy Corp., 9.375%, 3/15/19 2,890,000 $3,658,713
Valmont Industries, Inc., 6.625%, 4/20/20 604,000 $704,175
Velocity Commercial Capital Loan Trust 2014-1, Floating Rate Note, 9/25/44 (144A) 3,000,000 $2,167,587
Velocity Commercial Capital Loan Trust 2015-1, Floating Rate Note, 6/25/45 (144A) 5,775,000 $5,667,504
Verisk Analytics, Inc., 5.5%, 6/15/45 5,275,000 $5,333,110
Verizon Communications, Inc., 5.012%, 8/21/54 1,938,000 $1,834,587
Verizon Communications, Inc., 5.15%, 9/15/23 5,100,000 $5,712,380
Verizon Communications, Inc., 6.55%, 9/15/43 1,934,000 $2,332,739
Vers 2015-A Zero% 31dec17 2,500,000 $2,671,500
VFC 2015-3 LLC, 2.75%, 12/20/31 (144A) 2,000,000 $1,460,144
Virginia Commonwealth Transportation Board, 4.0%, 5/15/31 2,200,000 $2,335,156
Virginia Commonwealth Transportation Board, 4.0%, 5/15/32 2,210,000 $2,337,151
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 1,500,000 $1,518,828
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 500,000 $506,846
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 500,000 $497,103
Viterra, Inc., 5.95%, 8/1/20 (144A) 5,175,000 $5,772,231
Volt 3.625% 25jul45 15-Np10-A1 2,900,000 $2,900,475
VOLT XXXIII LLC, 3.5%, 3/25/55 (Step) (144A) 4,000,000 $3,795,437
VOLT XXXI LLC, 3.375%, 2/25/55 (Step) (144A) 1,850,000 $1,711,746
VOLT XXX LLC, 3.625%, 10/25/57 (Step) 2,150,000 $2,032,644
Washington Suburban Sanitary Commission, 4.0%, 6/1/43 1,620,000 $1,680,631
Washington Suburban Sanitary Commission, 4.0%, 6/1/44 1,565,000 $1,622,383
WASH Multifamily Laundry Systems LLC, 2/21/19 0 $0
Waste Management, Inc., 3.125%, 3/1/25 1,700,000 $1,669,789
Weatherford International, Ltd. Bermuda, 5.95%, 4/15/42 675,000 $550,349
Weatherford International, Ltd. Bermuda, 9.625%, 3/1/19 2,815,000 $3,326,196
Welk Resorts 2015-A LLC, 2.79%, 6/16/31 (144A) 1,938,000 $1,895,291
Wells Fargo & Co., 7.5% (Perpetual) 5,610 $6,687,737
Wells Fargo & Co., Floating Rate Note (Perpetual) 3,400,000 $3,506,828
Wells Fargo Alternative Loan 2005-2 Trust, Floating Rate Note, 10/25/35 1,233,457 $1,228,630
Wells Fargo Bank NA, 6.0%, 11/15/17 3,540,000 $3,930,617
Wells Fargo Commercial Mortgage Trust 2010-C1, 3.349%, 11/18/43 (144A) 3,900,000 $2,056,646
Wells Fargo Commercial Mortgage Trust 2012-LC5 REMICS, 3.539%, 10/17/45 1,927,000 $2,003,676
Wells Fargo Commercial Mortgage Trust 2014-LC16 REMICS, 3.477%, 8/17/50 4,500,000 $4,699,838
Wells Fargo Commercial Mortgage Trust 2014-TISH REMICS, Floating Rate Note, 2/16/27 (144A) 5,300,000 $5,270,681
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 $809,172
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 2,025,000 $828,311
Westgate Resorts 2014-1 LLC, 2.15%, 12/20/26 (144A) 3,500,000 $2,631,474
Westgate Resorts 2015-1 LLC, 2.75%, 5/20/27 (144A) 3,000,000 $2,604,948
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 550,000 $143,745
WF-RBS Commercial Mortgage Trust 2011-C2, Floating Rate Note, 2/15/44 (144A) 1,323,000 $1,438,967
WF-RBS Commercial Mortgage Trust 2011-C2, Floating Rate Note, 2/15/44 (144A) 350,000 $383,900
WideOpenWest Finance LLC, Replacement Term B Loan, 4/1/19 147,202 $147,583
Wilton Re Finance LLC, Floating Rate Note, 3/30/33 (144A) 1,400,000 $1,521,770
Win % 20mar45 15-3-A3 8,149,000 $7,792,322
Worthington Industries, Inc., 4.55%, 4/15/26 3,135,000 $3,256,071
WP Carey, Inc., 4.6%, 4/1/24 1,715,000 $1,759,952
WPX Energy, Inc., 7.5%, 8/1/20 4,150,000 $4,220,031
WR Grace & Co-Conn, 5.125%, 10/1/21 (144A) 1,130,000 $1,160,604
WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21 238,745 $238,831
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 663,448 $663,685
Zero% 30nov19 4,000,000 $4,063,200
Zero% 31aug16 900,000 $912,780

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