Pioneer Investments: Pioneer Multi-Asset Ultrashort Income Fund


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Pioneer Multi-Asset Ultrashort Income Fund

Monthly Portfolio Holdings as of 3/31/2016

Security Name Coupon Maturity Date Par / Shares Market Value($)
Federal National Mortgage Association, Floating Rate Note, 12/25/33 0.733 12/25/2033 25,758,805 5,641,385
FREMF Mortgage Trust 2014-KF05 REMICS, Floating Rate Note, 9/25/21 (144A) 4.4405 09/25/2021 5,276,000 4,937,856
Specialty Underwriting & Residential Finance Trust Series 2005-AB2, Floating Rate Note, 6/25/36 0.763 06/25/2036 18,964,000 380,095
JP Morgan Chase Commercial Mortgage Securities Trust 2015-COSMO, Floating Rate Note, 1/15/32 (144A) 2.687 01/15/2032 4,650,000 4,531,877
Altice US Finance I Corp., Initial Term Loan, 12/14/22 4.25 12/14/2022 1,103,441 1,101,487
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 9.0334 01/05/2017 2,250,000 2,342,442
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 0.833 10/25/2036 71,456,000 2,050,962
RMAT 2015-1 LLC, 4.09%, 7/27/20 (Step) (144A) 4.09 07/27/2020 2,000,000 1,813,362
CRANBERRY RE, Ltd., Floating Rate Note, 7/6/18 (Cat Bond) (144A) 4.1052 07/06/2018 1,000,000 1,021,328
Volkswagen Group of America Finance LLC, Floating Rate Note, 11/20/17 (144A) 1.0582 11/20/2017 2,500,000 2,455,756
Evergreen Skills Lux Sarl, Initial Term Loan (First Lien), 4/23/21 5.75 04/23/2021 394,000 317,827
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/28/36 (144A) 2.6026 05/28/2036 1,084,000 600,497
Carefree Portfolio Trust 2014-CARE, Floating Rate Note, 11/15/29 (144A) 3.0207 11/15/2029 500,000 453,866
Fannie Mae, Floating Rate Note, 10/1/32 3.005 10/01/2032 500,000 25,756
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/21 1.333 09/25/2021 8,269,375 61,664
RAAC Series 2005-RP3 Trust, Floating Rate Note, 5/25/39 (144A) 1.233 05/25/2039 2,000,000 950,765
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/25 0.7362 02/15/2025 2,142,856 243,311
Mercedes-Benz Master Owner Trust 2015-A, Floating Rate Note, 4/15/19 (144A) 0.7562 04/15/2019 2,500,000 2,497,461
Morgan Stanley Capital I Trust 2015-XLF1, Floating Rate Note, 8/14/31 (144A) 2.6362 08/14/2031 2,870,000 2,837,076
Ford Motor Credit Co LLC, Floating Rate Note, 1/9/18 1.5569 01/09/2018 2,600,000 2,579,096
Kasima LLC, Term Loan, 5/17/21 3.25 05/17/2021 830,189 825,260
GMAT 2015-1 Trust, 4.25%, 9/25/20 (Step) (144A) 4.25 09/25/2020 5,250,000 4,554,525
Global Container Assets 2013-1, Ltd., 2.2%, 11/6/28 (144A) 2.2 11/06/2028 1,750,000 460,369
Caelus Re IV, Ltd., Floating Rate Note, 3/6/20 (Cat Bond) (144A)   03/06/2020 2,000,000 2,006,600
Silverton RE, Ltd., 0.0%, 9/18/18 (Cat Bond) (144A) 0.0 09/18/2018 1,000,000 1,028,200
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 0.9919 12/10/2027 1,000,000 385,906
Government National Mortgage Association, Floating Rate Note, 2/20/35 0.6821 02/20/2035 8,941,000 909,314
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/31 0.933 08/25/2031 17,600,000 176,794
RPI Finance Trust, Term B-3 Term Loan, 11/9/18 3.25 11/09/2018 614,473 614,537
Crusade Global Trust No 1 of 2007, Floating Rate Note, 4/19/38 0.6811 04/19/2038 15,883,244 1,924,058
CPS Auto Receivables Trust 2016-A, 2.25%, 10/15/19 (144A) 2.25 10/15/2019 2,700,000 2,502,929
Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A) 1.9339 06/15/2020 2,200,000 2,156,247
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 3.965 04/24/2017 1,350,000 1,345,433
Ford Credit Auto Owner Trust 2015-B, Floating Rate Note, 3/15/18 0.6662 03/15/2018 2,600,000 1,628,705
PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29 1.44 05/15/2029 2,155,000 947,465
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 0.9862 02/15/2033 15,000,000 297,132
Voya CLO 2012-3, Ltd., Floating Rate Note, 10/15/22 (144A) 1.942 10/15/2022 3,000,000 3,003,855
BA Credit Card Trust, Floating Rate Note, 1/15/20 0.7262 01/15/2020 2,750,000 2,751,763
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 2.0552 01/07/2019 3,800,000 3,770,070
Granite Acquisition, Inc., Term C Loan (First Lien), 10/15/21 5.0 10/15/2021 126,437 118,429
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 1.0738 07/20/2019 1,750,000 1,508,451
Cabela's Credit Card Master Note Trust, Floating Rate Note, 3/16/20 0.7862 03/16/2020 1,600,000 1,598,496
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 11/18/16 1.1282 11/18/2016 1,800,000 1,805,131
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 0.603 08/25/2036 1,325,000 170,770
Apple, Inc., Floating Rate Note, 5/3/16 0.6686 05/03/2016 1,500,000 1,501,910
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 1.3321 05/19/2033 36,301,000 1,476,173
Capital Auto Receivables Asset Trust 2013-1, 1.74%, 10/22/18 1.74 10/22/2018 3,200,000 3,202,616
Cooperatieve Rabobank UA New York, Floating Rate Note, 4/28/17 0.9511 04/28/2017 2,740,000 2,744,559
Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20 3.5 09/23/2020 1,322,321 1,324,305
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 1.073 01/25/2029 30,303,400 1,367,298
LSTAR Securities Investment Trust 2015-3, Floating Rate Note, 3/2/20 (144A) 2.4385 03/02/2020 5,360,000 4,743,285
DynCorp International, Inc., Term Loan, 7/7/16 6.2683 07/07/2016 143,055 138,764
Citi Held For Asset Issuance 2015-PM1, 1.85%, 12/15/21 (144A) 1.85 12/15/2021 1,700,000 864,801
NCF Dealer Floorplan Master Trust, Floating Rate Note, 10/20/20 (144A) 1.9321 10/20/2020 3,000,000 3,001,930
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 1.7011 03/25/2028 48,813,000 1,147,417
AT&T, Inc., 2.4%, 8/15/16 2.4 08/15/2016 3,925,000 3,960,822
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.883 06/25/2037 900,000 72,670
BAMLL Commercial Mortgage Securities Trust 2014-FL1, Floating Rate Note, 12/17/31 (144A) 2.6362 12/17/2031 3,613,000 3,570,483
Cazenovia Creek Funding I LLC, 2.773%, 12/10/23 (144A) 2.773 12/10/2023 1,735,000 1,413,310
Bank of America Corp., 3.875%, 3/22/17 3.875 03/22/2017 1,600,000 1,638,574
Xerium Technologies, Inc., Initial Term Loan, 5/17/19 6.25 05/17/2019 575,249 562,306
Paragon Offshore Finance Co., Term Loan, 7/11/21 5.2453 07/11/2021 864,063 191,534
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 1.4385 08/15/2031 5,350,000 1,732,766
Government National Mortgage Association, Floating Rate Note, 6/16/31 0.9413 06/16/2031 14,000,000 193,964
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 1.333 06/25/2033 2,000,000 35,318
Toyota Motor Credit Corp., Floating Rate Note, 7/13/18 1.0821 07/13/2018 2,250,000 2,254,506
Credit Acceptance Auto Loan Trust 2013-2, 1.5%, 4/15/21 (144A) 1.5 04/15/2021 330,000 148,054
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 2.4 11/17/2025 1,400,000 15,932
Harch CLO III, Ltd., Floating Rate Note, 4/17/20 (144A) 2.3681 04/17/2020 1,500,000 1,477,036
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.983 09/25/2037 1,915,000 168,838
Chevron Corp., Floating Rate Note, 11/16/18 1.1282 11/16/2018 1,385,000 1,379,283
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 9.5225 06/06/2017 850,000 883,255
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 (144A) 0.8338 04/20/2021 7,786,000 867,464
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 1.1382 02/15/2017 2,000,000 2,004,344
Univision Communications, Inc., Replacement First-Lien Term Loan (C-4), 3/1/20 4.0 03/01/2020 654,488 648,878
Toyota Motor Credit Corp., 2.0%, 9/15/16 2.0 09/15/2016 2,600,000 2,618,007
Wesco Aircraft Hardware Corp., Tranche B Term Loan, 2/24/21 3.25 02/24/2021 2,355,167 2,231,520
USI, Inc. New York, Initial Term Loan, 12/30/19 4.25 12/30/2019 1,074,133 1,059,364
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 1.003 09/25/2037 3,173,000 297,609
Credit Suisse Mortgage Capital Certificates REMICS, Floating Rate Note, 7/27/36 (144A) 2.9356 07/27/2036 7,712,000 476,438
GLC Trust 2013-1, 3.0%, 7/15/21 (144A) 3.0 07/15/2021 3,200,000 1,035,958
Structured Asset Sec Corp Mort Pass Thr Certs Series 1998-8, Floating Rate Note, 8/25/28 1.373 08/25/2028 37,025,000 918,575
Toyota Auto Receivables 2014-A Owner Trust, 0.67%, 12/15/17 0.67 12/15/2017 3,275,000 2,113,999
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 0.633 02/25/2037 5,150,000 389,193
Home Equity Asset Trust 2005-2, Floating Rate Note, 7/25/35 1.198 07/25/2035 860,000 283,407
Wells Fargo Bank NA, Floating Rate Note, 9/7/17 1.1746 09/07/2017 1,285,000 1,286,561
Revlon Consumer Products Corp., Replacement Term Loan, 11/19/17 3.25 11/19/2017 941,944 941,944
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 0.883 04/28/2039 4,049,351 1,506,409
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 1.113 06/25/2033 9,355,000 166,166
Tricon American Homes 2015-SFR1 Trust REMICS, Floating Rate Note, 5/19/32 (144A) 2.087 05/19/2032 4,150,000 4,023,517
COMM 2014-PAT Mortgage Trust REMICS, Floating Rate Note, 8/13/27 (144A) 1.237 08/13/2027 6,980,000 6,822,430
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 7.0636 04/07/2017 3,050,000 3,141,822
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 0.683 07/25/2035 23,056,000 1,790,075
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 1.183 12/25/2034 19,229,178 1,431,235
United Auto Credit Securitization Trust 2016-1, 2.0%, 10/16/17 (144A) 2.0 10/16/2017 1,440,000 1,149,328
Altisource Solutions Sarl, Term B Loan, 12/9/20 4.5 12/09/2020 974,520 867,323
Chevron Corp., Floating Rate Note, 11/9/16 0.7197 11/09/2016 2,640,000 2,641,266
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR15 REMICS, 5.331%, 2/11/44 5.331 02/11/2044 3,575,172 3,029,093
American Airlines, Inc., 2015 Term Loan, 10/10/21 3.5 10/10/2021 495,000 494,779
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 0.833 03/25/2035 13,790,000 1,126,544
Pharmaceutical Product Development LLC, Initial Term Loan, 8/6/22 4.25 08/06/2022 905,656 898,864
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 1.353 06/25/2034 41,830,000 467,814
Novelis, Inc., Initial Term Loan, 5/28/22 4.0 05/28/2022 1,405,124 1,374,095
GMF Floorplan Owner Revolving Trust, Floating Rate Note, 5/15/20 (144A) 0.9362 05/15/2020 1,300,000 1,290,586
Berkshire Hathaway Finance Corp., Floating Rate Note, 8/14/17 0.7432 08/14/2017 2,500,000 2,498,988
Ford Motor Credit Co LLC, Floating Rate Note, 3/27/17 1.2601 03/27/2017 3,500,000 3,483,774
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/42 0.933 04/25/2042 642,857 384,056
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 8.2725 06/06/2016 750,000 757,392
GCAT 2015-2, 3.75%, 7/25/20 (Step) (144A) 3.75 07/25/2020 4,400,000 3,625,681
JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A) 1.687 04/15/2027 5,600,000 5,507,542
Bank of Montreal, Floating Rate Note, 7/14/17 0.8736 07/14/2017 2,300,000 2,298,238
Chase Issuance Trust, Floating Rate Note, 11/15/18 0.686 11/15/2018 2,500,000 2,500,900
EQTY 2014-INNS Mortgage Trust REMICS, Floating Rate Note, 5/8/31 (144A) 2.038 05/08/2031 1,850,000 1,783,395
BBCMS Trust 2015-SLP, Floating Rate Note, 2/15/28 (144A) 2.437 02/15/2028 3,150,000 3,033,555
Atlantic Power LP, Term Loan, 2/20/21 4.75 02/20/2021 2,351,254 2,349,784
Accredited Mortgage Loan Trust 2005-3, Floating Rate Note, 9/25/35 0.8 09/25/2035 27,025,000 319,001
Armstrong World Industries Inc 1st Lien Tl-B L + 3.25% 23feb23 4.0 02/23/2023 965,000 965,000
CNH Equipment Trust 2013-A, 0.69%, 6/15/18 0.69 06/15/2018 1,874,000 108,621
FREMF Mortgage Trust 2014-KS02 REMICS, Floating Rate Note, 8/25/23 (144A) 5.4358 08/25/2023 5,600,000 5,449,532
Government National Mortgage Association, Floating Rate Note, 1/16/33 0.6413 01/16/2033 26,309,521 627,511
Sector Re V, Ltd., 0.0%, 12/1/19 (Cat Bond) (144A) 0.0 12/01/2019 3,777 26,439
Daimler Finance North America LLC, Floating Rate Note, 3/2/18 (144A) 1.0531 03/02/2018 1,275,000 1,262,295
LEAF Receivables Funding 9 LLC, 1.98%, 9/15/21 (144A) 1.98 09/15/2021 800,000 775,800
FREMF Mortgage Trust 2014-KF04 REMICS, Floating Rate Note, 6/25/21 (144A) 3.683 06/25/2021 4,400,000 3,021,768
FNA 2015-1 Trust, 3.24%, 12/10/23 (144A) 3.24 12/10/2023 3,000,000 2,417,876
PNC Bank NA, Floating Rate Note, 8/1/17 0.9156 08/01/2017 2,500,000 2,493,265
Dominion Resources, Inc. Virginia, 1.95%, 8/15/16 1.95 08/15/2016 2,376,000 2,389,426
Sensata Technologies BV, Sixth Amendment Term Loan, 10/14/21 2.8809 10/14/2021 1,914,969 1,909,983
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 1.133 03/25/2035 5,042,000 798,326
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-1, Floating Rate Note, 1/25/35 (144 0.763 01/25/2035 3,700,000 95,479
NCUA Guaranteed Notes Trust, Floating Rate Note, 3/11/20 0.838 03/11/2020 2,035,000 808,455
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 (144A) 4.838 07/15/2041 2,030,626 221,884
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 4.3052 05/05/2017 1,250,000 1,258,889
Branch Banking & Trust Co., 1.45%, 10/3/16 1.45 10/03/2016 6,074,000 6,132,781
Morgan Stanley Structured Trust, Floating Rate Note, 6/25/37 0.513 06/25/2037 2,400,000 106,686
Ace Zero% 12jul16 0.0 07/12/2016 250,000 245,500
Rovi Solutions Corp., Term B Loan, 7/2/21 3.75 07/02/2021 1,008,074 998,833
Lloyds Bank Plc, Floating Rate Note, 5/14/18 1.1682 05/14/2018 3,500,000 3,481,106
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-AR3, Floating Rate Note, 4.183 06/25/2033 729,633 151,468
Tramline Re II, Ltd., Floating Rate Note, 1/4/19 (Cat Bond) (144A) 10.0552 01/04/2019 250,000 256,611
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 1.035 10/25/2028 42,221,000 1,121,615
Banc of America Mortgage 2004-I Trust, Floating Rate Note, 10/25/34 2.7455 10/25/2034 6,000,000 330,277
Livingston International, Inc., Initial Term B-1 Loan (First Lien), 4/18/19 5.0 04/18/2019 486,250 446,134
Zero% 30nov19 0.0 11/30/2019 2,800,000 3,032,680
Activision Blizzard, Inc., Term Loan, 7/26/20 3.25 07/26/2020 844,838 849,260
Kizuna Re II, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A) 2.51 04/06/2018 1,800,000 1,803,038
Merck & Co, Inc., Floating Rate Note, 5/18/16 0.8082 05/18/2016 500,000 500,644
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 0.633 10/27/2037 2,738,000 1,562,146
Province of Ontario Canada, 1.6%, 9/21/16 1.6 09/21/2016 2,775,000 2,787,222
United Auto Credit Securitization Trust 2015-1, 1.68%, 9/15/17 (144A) 1.68 09/15/2017 2,500,000 2,193,639
Aegis Asset Backed Securities Trust 2005-3, Floating Rate Note, 8/25/35 0.903 08/25/2035 1,311,812 603,387
Capital One Bank USA NA, 1.15%, 11/21/16 1.15 11/21/2016 2,750,000 2,761,659
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC18, 5.44%, 6/12/47 5.44 06/12/2047 6,250,000 5,696,624
Level 3 Financing, Inc., Tranche B-II 2022 Term Loan, 5/31/22   05/31/2022 1,000,000 999,479
California Republic Auto Receivables Trust 2013-1, 1.41%, 9/17/18 (144A) 1.41 09/17/2018 535,000 100,734
Cabela's Credit Card Master Note Trust, Floating Rate Note, 2/18/20 (144A) 0.9662 02/18/2020 2,350,000 2,349,856
American Credit Acceptance Receivables Trust 2014-1, 5.2%, 4/12/21 (144A) 5.2 04/12/2021 1,300,000 1,312,337
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 2.039 02/13/2032 7,340,000 7,175,492
Ally Master Owner Trust, Floating Rate Note, 6/17/19 0.8362 06/17/2019 2,600,000 2,589,334
Dynegy, Inc., Tranche B-2 Term Loan, 4/23/20 4.0 04/23/2020 448,846 442,674
Symphony CLO X, Ltd., Floating Rate Note, 7/23/23 (144A) 1.8886 07/23/2023 3,050,000 3,053,455
Mallinckrodt International Finance SA, Initial Term B Loan, 3/6/21 3.25 03/06/2021 955,500 925,470
Boardwalk Pipelines LP, 5.5%, 2/1/17 5.5 02/01/2017 3,320,000 3,350,284
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 1.033 07/25/2035 1,110,000 600,519
Venture XII CLO, Ltd., Floating Rate Note, 2/28/24 (144A) 1.9356 02/28/2024 1,500,000 499,805
RAMP Series 2004-RS11 Trust, Floating Rate Note, 11/25/34 1.363 11/25/2034 3,805,000 576,535
MetroCat Re, Ltd., Floating Rate Note, 8/5/16 (Cat Bond) (144A) 4.8052 08/05/2016 1,500,000 1,519,688
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/37 0.7362 01/15/2037 63,238,000 2,639,259
Aon Corp., 3.125%, 5/27/16 3.125 05/27/2016 9,225,000 9,335,672
Pricoa Global Funding I, Floating Rate Note, 6/24/16 (144A) 0.8384 06/24/2016 3,255,000 3,256,007
ARI Fleet Lease Trust 2014-A, 0.81%, 11/15/22 (144A) 0.81 11/15/2022 3,000,000 1,063,591
Zebra Technologies Corp., Initial Term Loan, 9/30/21 4.75 09/30/2021 888,636 894,392
Cabela's Credit Card Master Note Trust, Floating Rate Note, 6/17/19 (144A) 1.0362 06/17/2019 3,630,000 3,633,254
Bear Stearns Asset Backed Securities I Trust 2005-TC1, Floating Rate Note, 5/25/35 1.093 05/25/2035 3,200,000 2,343,013
The Hertz Corp., Tranche B-1 Term Loan, 3/11/18 3.75 03/11/2018 725,625 726,079
Springleaf Mortgage Loan Trust 2013-2, Floating Rate Note, 12/28/65 (144A) 1.78 12/28/2065 1,600,000 804,079
Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36 0.813 06/25/2036 18,000,000 1,875,974
Cabela's Credit Card Master Note Trust, Floating Rate Note, 6/15/20 (144A) 0.9162 06/15/2020 2,895,000 2,891,631
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 4.3125 06/28/2016 3,500,000 3,527,533
BAMLL Re-REMIC Trust 2014-FRR5, Floating Rate Note, 3/29/45 (144A) 5.3707 03/29/2045 4,700,000 4,572,349
Chase Issuance Trust, Floating Rate Note, 4/15/19 0.686 04/15/2019 150,000 149,465
Truman Capital Mortgage Loan Trust, Floating Rate Note, 1/25/34 2.133 01/25/2034 925,000 643,339
B&G Foods, Inc., Tranche B Term Loan, 10/5/22 3.7544 10/05/2022 625,000 627,539
Citigroup, Inc., Floating Rate Note, 11/24/17 1.3246 11/24/2017 2,630,000 2,621,172
Freddie Mac Strips, Floating Rate Note, 12/15/36 0.7862 12/15/2036 10,968,000 434,514
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 1.253 08/25/2034 14,550,000 1,500,090
VOLT XXXIX LLC, 4.125%, 10/25/45 (Step) (144A) 4.125 10/25/2045 7,100,000 6,814,734
Ziggo BV, US$ B3 Facility, 1/15/22 3.6013 01/15/2022 1,136,553 1,124,477
United States Treasury Floating Rate Note, Floating Rate Note, 7/31/17 0.3772 07/31/2017 20,095,000 20,095,523
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 2/15/19 0.8362 02/15/2019 900,000 898,741
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 0.743 02/25/2035 2,497,000 672,644
Alliant Holdings I LLC, Initial Term Loan, 7/28/22 4.5 07/28/2022 71,943 71,224
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/38 0.833 12/25/2038 400,000 165,259
PennUnion Re, Ltd., Floating Rate Note, 12/7/18 (Cat Bond) (144A) 4.8001 12/07/2018 3,500,000 3,513,738
Pfizer, Inc., Floating Rate Note, 5/15/17 0.7682 05/15/2017 2,100,000 2,095,622
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 0.693 11/25/2046 12,390,000 1,584,404
MOTOR 2015-1 Plc, Floating Rate Note, 6/27/22 (144A) 1.033 06/27/2022 2,600,000 2,600,843
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/30 0.983 12/25/2030 20,000,000 76,740
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/31 1.033 11/25/2031 50,000,000 361,841
East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (Cat Bond) (144A) 2.945 03/14/2018 2,000,000 1,973,467
First Investors Auto Owner Trust 2014-2, 0.86%, 8/15/18 (144A) 0.86 08/15/2018 2,100,000 320,455
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 1.1182 12/22/2054 1,250,000 993,790
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 0.893 03/25/2030 40,482,746 1,823,166
Impac CMB Trust Series 2003-8, Floating Rate Note, 10/25/33 1.333 10/25/2033 14,250,000 631,252
GSAA Trust, Floating Rate Note, 6/25/35 1.228 06/25/2035 6,300,000 78,352
UnitedHealth Group, Inc., Floating Rate Note, 1/17/17 1.0696 01/17/2017 2,600,000 2,607,860
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/34 0.733 11/25/2034 9,662,000 455,370
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 2/25/32 1.083 02/25/2032 1,400,000 1,267,118
LSTAR Securities Investment 2016-1, Floating Rate Note, 1/1/21 (144A) 2.4385 01/01/2021 6,000,000 5,759,052
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-B, Floating Rate Note, 4/25/28 1.113 04/25/2028 33,661,000 1,205,429
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 7/25/36 0.7358 07/25/2036 4,500,000 2,892,289
Calpine Corp., Term Loan (2015), 1/15/23   01/15/2023 548,625 546,396
The Goldman Sachs Group, Inc., Floating Rate Note, 5/22/17 1.2882 05/22/2017 2,465,000 2,466,449
National Mentor Holdings, Inc., Tranche B Term Loan, 1/31/21 4.25 01/31/2021 494,949 490,774
The Huntington National Bank, Floating Rate Note, 4/24/17 1.0436 04/24/2017 2,000,000 1,997,257
Citibank Credit Card Issuance Trust, Floating Rate Note, 5/26/20 0.7115 05/26/2020 1,595,000 1,593,186
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 3/25/32 (144A) 1.558 03/25/2032 6,512,459 416,995
Albertsons LLC, Term B-2 Loan, 3/21/19 5.5 03/21/2019 1,488,439 1,490,699
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 1.033 06/25/2034 33,443,000 1,887,115
Thermo Fisher Scientific, Inc., 1.3%, 2/1/17 1.3 02/01/2017 2,600,000 2,603,928
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/25/23 1.8858 11/25/2023 2,250,000 1,111,493
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 8.9 04/08/2016 1,750,000 1,788,442
HSBC Home Equity Loan Trust USA 2007-1, Floating Rate Note, 3/20/36 0.6321 03/20/2036 14,000,000 1,513,079
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 1.0362 02/15/2019 4,145,000 4,131,665
Citicorp Residential Mortgage Trust Series 2006-1, 5.63788%, 7/25/36 (Step) 5.6379 07/25/2036 8,714,000 3,732,223
PQ Corp., 2014 Term Loan, 8/7/17 4.0 08/07/2017 919,125 912,396
General Motors Financial Co, Inc., Floating Rate Note, 4/10/18 1.9769 04/10/2018 2,500,000 2,488,350
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 0.8362 07/15/2023 2,924,000 437,282
Chesapeake Funding LLC, Floating Rate Note, 4/7/24 (144A) 1.6905 04/07/2024 3,050,000 414,911
Galileo Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 7.59 01/09/2017 1,250,000 1,285,188
Fannie Mae, Floating Rate Note, 1/1/48 2.524 01/01/2048 175,000 17,715
JP Morgan Chase Commercial Mortgage Securities Trust 2014-CBM, Floating Rate Note, 10/15/29 (144A) 2.387 10/15/2029 3,470,000 3,368,397
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-WCW, Floating Rate Note 1.453 09/25/2034 2,800,000 521,506
ING Bank NV, Floating Rate Note, 3/22/19 (144A) 1.7543 03/22/2019 2,675,000 2,676,271
National Australia Bank, Ltd., Floating Rate Note, 3/17/17 (144A) 1.012 03/17/2017 1,950,000 1,950,543
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/21 0.677 07/15/2021 17,312,039 99,480
Kilimanjaro Re, Ltd., Floating Rate Note, 12/6/19 (Cat Bond) (144A) 9.5552 12/06/2019 2,000,000 2,062,822
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 0.933 05/25/2040 8,500,000 873,611
New York Life Global Funding, 1.125%, 3/1/17 (144A) 1.125 03/01/2017 1,500,000 1,505,351
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 0.8921 02/20/2035 34,411,748 2,385,447
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/32 1.433 07/25/2032 15,000,000 154,547
PSEG Power LLC, 2.75%, 9/15/16 2.75 09/15/2016 2,500,000 2,523,033
Jackson National Life Global Funding, Floating Rate Note, 7/29/16 (144A) 0.8681 07/29/2016 5,100,000 5,110,874
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 0.823 11/25/2035 28,962,000 3,984,366
Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16 1.482 06/17/2016 1,130,000 1,130,602
Sequoia Mortgage Trust 2003-2, Floating Rate Note, 6/20/33 1.1984 06/20/2033 13,961,000 425,149
Wachovia Bank Commercial Mortgage Trust Series 2006-C28 REMICS, Floating Rate Note, 10/15/48 5.603 10/15/2048 4,500,000 4,578,152
Sterigenics-Nordion Holdings LLC, Initial Term Loan, 4/27/22 4.25 04/27/2022 995,000 982,563
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 6/15/28 3.5 06/15/2028 5,381,000 53,121
Structured Asset Investment Loan Trust 2006-1, Floating Rate Note, 1/25/36 0.633 01/25/2036 6,839,000 960,809
Jackson National Life Global Funding, Floating Rate Note, 10/13/17 (144A) 1.202 10/13/2017 2,600,000 2,608,077
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 9/8/17 (144A) 0.9435 09/08/2017 2,525,000 2,514,476
Valeant Pharmaceuticals International, Inc., Series C-2 Tranche B Term Loan, 12/11/19 5.5 12/11/2019 511,676 484,067
GS Mortgage Securities Trust 2014-GSFL, Floating Rate Note, 7/15/31 (144A) 2.1862 07/15/2031 2,000,000 1,995,179
CDGJ Commercial Mortgage Trust 2014-BXCH, Floating Rate Note, 12/15/27 (144A) 2.9362 12/15/2027 6,045,000 5,876,741
PURCHASING POWER FUNDING 2015-A LLC, 3.5%, 12/15/19 (144A) 3.5 12/15/2019 3,250,000 2,440,526
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 3.5 08/17/2020 758,550 760,130
Ziggo BV, US$ B1 Facility, 1/15/22 3.5 01/15/2022 1,072,383 1,060,989
Quincy Newspapers, Inc., Term Loan B, 10/19/22   10/19/2022 738,000 729,698
HomeBanc Mortgage Trust 2004-2, Floating Rate Note, 12/25/34 1.173 12/25/2034 22,423,000 2,204,076
New York Life Global Funding, Floating Rate Note, 12/15/17 (144A) 0.9139 12/15/2017 6,650,000 6,668,887
Nordea Bank AB, Floating Rate Note, 9/17/18 (144A) 1.482 09/17/2018 2,600,000 2,595,901
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/37 1.033 10/25/2037 2,400,000 550,196
Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A) 3.9175 11/25/2019 2,350,000 2,346,661
LSTAR Securities Investment Trust 2015-1, Floating Rate Note, 1/2/20 (144A) 2.4385 01/02/2020 4,800,000 4,257,015
Invitation Homes 2014-SFR1 Trust REMICS, Floating Rate Note, 6/19/31 (144A) 2.536 06/19/2031 3,340,000 3,236,130
Home Equity Asset Trust 2005-6, Floating Rate Note, 12/25/35 0.903 12/25/2035 4,004,000 1,659,765
VOLT XXXVII LLC, 3.625%, 7/25/45 (Step) (144A) 3.625 07/25/2045 3,750,000 3,393,947
Sequoia Mortgage Trust 2003-8, Floating Rate Note, 1/20/34 1.0721 01/20/2034 5,750,000 200,559
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 0.703 04/25/2032 49,625,000 2,943,032
AT&T, Inc., 2.95%, 5/15/16 2.95 05/15/2016 3,875,000 3,927,260
SMART ABS Series 2015-1US Trust, Floating Rate Note, 8/14/17 0.8562 08/14/2017 2,250,000 1,191,306
US Bancorp, Floating Rate Note, 4/25/19 1.0186 04/25/2019 2,650,000 2,635,432
CDW LLC, Term Loan, 4/29/20 3.25 04/29/2020 1,144,104 1,142,138
American Express Credit Account Master Trust, Floating Rate Note, 1/15/20 0.7062 01/15/2020 350,000 350,319
Macquarie Bank, Ltd., Floating Rate Note, 10/27/17 (144A) 1.2513 10/27/2017 2,500,000 2,495,538
Citibank Credit Card Issuance Trust, Floating Rate Note, 1/23/20 1.5818 01/23/2020 2,174,000 2,205,848
RAMP Series 2006-NC1 Trust, Floating Rate Note, 12/25/35 0.623 12/25/2035 19,100,000 147,475
Government National Mortgage Association, Floating Rate Note, 4/16/30 0.9413 04/16/2030 43,565,000 990,446
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 1.273 11/25/2034 21,976,800 778,188
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.673 06/25/2037 7,474,000 688,179
Longpoint Re, Ltd. III, Floating Rate Note, 5/23/18 (Cat Bond) (144A) 3.75 05/23/2018 4,000,000 4,055,183
Freddie Mac Strips, Floating Rate Note, 8/15/36 0.7362 08/15/2036 43,230,336 1,437,733
Fremont Home Loan Trust 2005-D, Floating Rate Note, 11/25/35 0.683 11/25/2035 44,651,000 433,408
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 1.133 01/25/2035 17,745,000 1,483,321
Morgan Stanley ABS Capital I Inc Trust 2005-HE3, Floating Rate Note, 7/25/35 1.228 07/25/2035 2,500,000 2,423,232
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 1.138 04/25/2035 724,529 199,423
Zero% 30nov20 0.0 11/30/2020 2,500,000 2,527,500
RALI Series 2005-QA1 Trust, Floating Rate Note, 1/25/35 0.733 01/25/2035 32,767,000 2,427,561
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 0.733 07/25/2035 9,145,238 1,589,285
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 0.783 05/25/2036 23,900,354 399,389
Bosphorus, Ltd., Floating Rate Note, 8/17/18 (Cat Bond) (144A) 3.7347 08/17/2018 750,000 744,442
Golden Credit Card Trust, Floating Rate Note, 3/15/19 (144A) 0.8739 03/15/2019 300,000 299,098
Chesapeake Funding LLC, Floating Rate Note, 2/7/27 (144A) 2.1905 02/07/2027 1,750,000 1,723,075
Rent-A-Center, Inc., Term Loan (2014), 2/6/21 3.6826 02/06/2021 508,227 487,580
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 1.033 05/25/2040 500,000 185,534
Federal National Mortgage Association, Floating Rate Note, 2/25/38 0.883 02/25/2038 50,000,000 11,960,618
Syncreon Group BV, Term Loan, 9/26/20 5.25 09/26/2020 196,000 162,435
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/28 1.0 03/25/2028 24,210,000 232,208
Schaeffler (Aka Ina Beteiligungsge 1st Lien Tl-B L + 3.5% 15may20 4.25 05/15/2020 569,950 572,444
Adjustable Rate Mortgage Trust 2005-2, Floating Rate Note, 6/25/35 1.213 06/25/2035 1,485,120 683,769
Alterna Funding I LLC, 1.639%, 2/15/21 (144A) 1.639 02/15/2021 1,400,000 715,014
Quebecor Media, Inc., Facility B-1 Tranche, 8/17/20 3.25 08/17/2020 491,184 485,863
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 1.013 07/25/2034 11,189,500 1,344,727
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 0.9839 12/15/2016 2,850,000 2,844,162
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 0.883 07/25/2034 2,860,000 124,456
Cent CLO, Floating Rate Note, 8/1/24 (144A) 1.5789 08/01/2024 5,220,000 5,225,739
Morgan Stanley Capital I Trust 2006-HQ10, 5.328%, 11/12/41 5.328 11/12/2041 4,240,000 3,552,568
RAMP Series 2004-RZ1 Trust, Floating Rate Note, 3/25/34 0.913 03/25/2034 20,100,000 769,133
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 1.0782 05/13/2016 2,700,000 2,705,014
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 0.633 12/25/2036 3,800,000 633,131
Flt% 15jun16 0.0 06/15/2016 1,000,000 1,010,600
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/33 0.933 11/25/2033 10,000,000 577,913
Progreso Receivables Funding III LLC, 3.625%, 1/30/25 (144A) 3.625 01/30/2025 3,050,000 3,054,615
Queen City Re, Floating Rate Note, 1/6/17 (Cat Bond) (144A) 3.7696 01/06/2017 1,750,000 1,725,709
American Express Credit Account Master Trust, Floating Rate Note, 1/15/20 0.7262 01/15/2020 2,600,000 2,601,925
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 4.7652 04/18/2017 250,000 248,492
ABFC 2005-HE2 Trust, Floating Rate Note, 6/25/35 1.183 06/25/2035 2,500,000 1,199,070
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2.6992 03/25/2034 3,865,000 457,985
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 8/25/24 2.8358 08/25/2024 853,600 748,614
Westlake Automobile Receivables Trust 2016-1, Floating Rate Note, 1/15/19 (144A) 1.4862 01/15/2019 2,730,000 2,733,510
Federal National Mortgage Association, Floating Rate Note, 12/25/23 2.064 12/25/2023 5,000,000 260,739
New Century Home Equity Loan Trust 2005-3 REMICS, Floating Rate Note, 7/25/35 0.923 07/25/2035 712,000 688,139
RegionalCare Hospital Partners, Inc., Term B-2 Loan (2015), 4/23/19 6.0 04/23/2019 395,841 396,088
Truven Health Analytics, Inc., New Tranche B Term Loan, 6/6/19 4.5 06/06/2019 336,954 336,743
Asset-Backed Pass-Through Certificates Series 2004-R2, Floating Rate Note, 4/25/34 1.123 04/25/2034 2,610,000 102,657
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/29 0.7862 02/15/2029 23,100,000 207,577
Freddie Mac, 4.0%, 12/15/23 4.0 12/15/2023 60,935,000 1,399,264
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/32 1.033 08/25/2032 5,000,000 68,687
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A) 1.0452 03/10/2017 1,000,000 998,930
Principal Life Global Funding II, Floating Rate Note, 12/1/17 (144A) 1.1351 12/01/2017 2,755,000 2,755,924
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 0.8113 01/27/2017 1,900,000 1,900,008
PF Chang's China Bistro, Inc., Term Borrowing, 7/2/19 4.2522 07/02/2019 826,171 787,960
Exeter Automobile Receivables Trust 2015-1, 1.6%, 6/17/19 (144A) 1.6 06/17/2019 1,700,000 707,411
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 0.733 03/25/2035 7,593,737 809,939
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/26/46 (144A) 3.3612 11/26/2046 2,500,000 2,513,318
DT Auto Owner Trust 2016-1, 2.0%, 9/16/19 (144A) 2.0 09/16/2019 1,700,000 1,460,223
Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 (144A) 1.4913 04/15/2032 4,920,000 3,476,487
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 2.5 03/20/2025 350,000 39,481
Numericable US LLC, Dollar Denominated Tranche B-2 Loan, 4/23/20 4.5 04/23/2020 229,024 227,799
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 0.8905 05/07/2024 2,550,000 244,193
Tronox Pigments Holland BV, New Term Loan, 3/19/20 4.5 03/19/2020 379,505 354,047
Ford Credit Auto Owner Trust 2015-A, Floating Rate Note, 1/15/18 0.81 01/15/2018 2,500,000 1,136,532
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR12, Floating Rate Note, 9/11/38 5.7901 09/11/2038 3,600,000 890,168
City Center Trust 2011-CCHP, Floating Rate Note, 7/17/28 (144A) 4.65 07/17/2028 950,000 953,693
Armstrong World Industries, Inc., Term Loan B, 3/15/20 3.5 03/15/2020 1,067,243 1,069,244
Chevron Corp., Floating Rate Note, 3/2/18 0.8031 03/02/2018 2,550,000 2,532,166
CCG Receivables Trust 2014-1, 1.06%, 11/15/21 (144A) 1.06 11/15/2021 1,900,000 883,271
CS Intermediate Holdco 2 LLC, Term Loan, 3/28/21 4.0 03/28/2021 342,258 340,012
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 1.783 06/25/2033 1,826,298 906,185
Nsany Cp Zero% 05apr16 Usd 0.0 04/05/2016 2,800,000 2,799,827
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 12/25/35 0.613 12/25/2035 21,878,000 3,099,394
First Horizon Mortgage Pass-Through Trust 2003-AR3, Floating Rate Note, 9/25/33 2.6846 09/25/2033 13,000,000 719,005
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 0.7462 06/15/2036 52,250,000 1,619,651
Popular ABS Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/25/36 0.753 02/25/2036 1,000,000 344,333
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 1.4358 02/25/2024 2,265,000 1,494,631
Pinnacle Foods Finance LLC, Tranche G Term Loan, 4/29/20 3.0 04/29/2020 2,158,833 2,160,374
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.683 03/25/2037 39,983,000 685,895
Fremont Home Loan Trust 2005-B, Floating Rate Note, 4/25/35 1.078 04/25/2035 10,250,000 855,659
DTZ US Borrower LLC, 2015-1 Additional Term Loan (First Lien), 11/4/21 4.25 11/04/2021 1,693,416 1,679,305
Milacron LLC, Term Loan, 9/28/20 4.5 09/28/2020 452,994 450,729
MortgageIT Trust 2004-2, Floating Rate Note, 12/25/34 1.173 12/25/2034 41,395,000 4,429,518
Cratos CLO, Ltd., Floating Rate Note, 5/19/21 (144A) 3.0194 05/19/2021 4,500,000 4,491,754
CHS, Incremental 2021 Term H Loan, 1/27/21 4.0 01/27/2021 45,954 45,274
America Movil SAB de CV, Floating Rate Note, 9/12/16 1.6324 09/12/2016 1,500,000 1,500,629
Government National Mortgage Association, Floating Rate Note, 10/16/39 1.1213 10/16/2039 2,500,000 264,898
TMS International Corp., Term B Loan, 10/2/20 4.5 10/02/2020 144,699 128,782
Resi Flt% 12dec45 A1 1.3339 12/12/2045 3,000,000 1,888,555
HSBC Home Equity Loan Trust USA 2007-2, Floating Rate Note, 7/20/36 0.6221 07/20/2036 3,073,874 409,483
Ford Motor Credit Co LLC, Floating Rate Note, 9/8/17 1.1535 09/08/2017 2,600,000 2,569,200
Morgan Stanley Capital I Trust 2006-TOP23, Floating Rate Note, 8/12/41 5.8908 08/12/2041 2,450,000 817,376
CarMax Auto Owner Trust 2015-3, Floating Rate Note, 11/15/18 0.8862 11/15/2018 4,600,000 4,294,486
Oscar US Funding Trust 2014-1, 1.0%, 8/15/17 (144A) 1.0 08/15/2017 2,500,000 536,647
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 0.803 09/25/2035 8,206,169 1,353,296
PFS Financing Corp., Floating Rate Note, 2/18/20 (144A) 2.1862 02/18/2020 1,250,000 1,249,689
Mizuho Bank, Ltd., Floating Rate Note, 4/16/17 (144A) 1.0496 04/16/2017 2,000,000 1,996,505
Government National Mortgage Association, Floating Rate Note, 8/20/38 0.9321 08/20/2038 4,585,000 333,608
Structured Asset Investment Loan Trust 2004-10, Floating Rate Note, 11/25/34 1.493 11/25/2034 1,700,000 518,286
IXIS Real Estate Capital Trust 2005-HE1, Floating Rate Note, 6/25/35 1.213 06/25/2035 1,500,000 387,323
Numericable US LLC, Dollar Denominated Tranche B-1 Loan, 4/23/20 4.5 04/23/2020 264,726 263,310
NPC International, Inc., Term Loan, 12/28/18 4.75 12/28/2018 154,000 153,230
JPMorgan Chase & Co., 3.15%, 7/5/16 3.15 07/05/2016 1,435,000 1,454,827
Structured Asset Securities Corp Mortgage Loan Trust 2006-GEL4, Floating Rate Note, 10/25/36 (144A) 0.653 10/25/2036 5,557,000 956,815
NSTAR Electric Co., Floating Rate Note, 5/17/16 0.8582 05/17/2016 1,013,000 1,014,072
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 0.8362 03/15/2041 13,046,000 1,879,288
Bear Stearns Asset Backed Securities I Trust 2006-EC2, Floating Rate Note, 2/25/36 0.833 02/25/2036 7,038,000 3,718,362
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 2.0196 04/19/2021 4,450,000 3,931,049
Chase Issuance Trust, Floating Rate Note, 4/16/18 0.752 04/16/2018 3,000,000 3,005,097
Navios Maritime Partners LP, Term Loan, 6/27/18 5.25 06/27/2018 1,395,472 1,234,993
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 1.4399 11/18/2032 105,671,000 1,520,391
Ford Motor Credit Co LLC, 1.7%, 5/9/16 1.7 05/09/2016 1,375,000 1,385,143
GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34 1.213 06/25/2034 52,357,062 1,044,501
PFP 2015-2, Ltd., Floating Rate Note, 7/14/34 (144A) 1.8862 07/14/2034 3,750,000 3,711,716
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/15/35 1.1362 08/15/2035 50,000,000 3,501,342
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MCW, Floating Rate Note 1.3705 10/25/2034 1,150,000 82,744
BAMLL Commercial Mortgage Securities Trust 2014-INLD REMICS, Floating Rate Note, 12/17/29 (144A) 3.037 12/17/2029 3,490,000 3,411,993
Monsanto Co., 2.75%, 4/15/16 2.75 04/15/2016 2,145,000 2,173,345
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 0.693 11/25/2035 20,500,508 936,674
Freddie Mac, 2.0%, 8/15/20 2.0 08/15/2020 5,100,000 968,690
Atlas IX Capital DAC, Floating Rate Note, 1/17/19 (Cat Bond) (144A) 3.8022 01/17/2019 1,500,000 1,542,581
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 1.4275 01/25/2030 22,131,000 969,158
Daimler Finance North America LLC, Floating Rate Note, 5/18/18 (144A) 1.0682 05/18/2018 2,370,000 2,344,807
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 2.4862 09/18/2031 3,778,000 3,566,683
Flagship Credit Auto Trust 2013-1, 5.38%, 7/15/20 (144A) 5.38 07/15/2020 1,250,000 1,236,344
Exeter Automobile Receivables Trust 2012-2, 3.06%, 7/16/18 (144A) 3.06 07/16/2018 1,000,000 1,001,986
IASIS Healthcare LLC, Term B-2 Loan, 5/3/18 4.5 05/03/2018 482,544 480,735
Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A) 3.8001 06/06/2018 750,000 749,346
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 0.743 11/25/2035 25,178,000 3,555,649
ING Bank NV, Floating Rate Note, 8/17/18 (144A) 1.3982 08/17/2018 2,690,000 2,686,153
SWAY Residential 2014-1 Trust, Floating Rate Note, 1/20/32 (144A) 1.737 01/20/2032 4,600,000 4,487,748
Trafigura Securitisation Finance Plc. 2014-1, Floating Rate Note, 4/16/18 (144A) 1.3862 04/16/2018 2,523,000 2,485,652
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 0.893 11/25/2035 4,385,000 2,529,969
Granite Acquisition, Inc., Term B Loan (First Lien), 10/15/21 5.0 10/15/2021 2,837,644 2,657,927
Alkermes, Inc., 2019 Term Loan, 9/25/19 3.5 09/25/2019 1,111,208 1,094,540
Banc of America Mortgage 2004-D Trust, Floating Rate Note, 5/25/34 2.7225 05/25/2034 17,088,000 1,216,391
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 1.033 12/25/2023 13,749,086 84,662
GCAT 2015-1 LLC, 3.625%, 5/26/20 (Step) (144A) 3.625 05/26/2020 2,500,000 1,720,478
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 1.183 02/25/2033 10,610,000 272,874
Oscar US Funding Trust IV, Floating Rate Note, 7/15/20 (144A)   07/15/2020 2,000,000 2,000,355
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C REMICS, Floating Rate Note, 6/25/28 1.093 06/25/2028 42,262,000 1,552,614
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 4.75 04/25/2034 16,155,000 392,249
Staples Escrow LLC, Initial Loan, 1/29/22 4.75 01/29/2022 1,000,000 999,286
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 1.0521 09/20/2033 72,500,000 2,661,358
Select Medical Corp., Series E Tranche B Term Loan, 6/1/18 6.0 06/01/2018 224,806 224,806
Bayer US Finance LLC, Floating Rate Note, 10/6/17 (144A) 0.8917 10/06/2017 1,400,000 1,400,676
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.663 04/25/2031 17,333,137 1,287,696
Quikrete Holdings, Inc., Initial Loan (First Lien), 9/26/20 4.0 09/26/2020 852,173 848,711
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 1.033 12/25/2032 14,000,000 297,844
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 1.213 11/25/2034 31,071,000 3,177,408
Citigroup Commercial Mortgage Trust 2006-C4, Floating Rate Note, 3/17/49 6.266 03/17/2049 4,900,000 4,902,028
Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A) 0.733 01/25/2036 51,217,354 3,050,181
Seadrill Operating LP, Initial Term Loan, 2/14/21 4.0 02/14/2021 2,688,125 1,198,455
Michaels Stores, Inc., Term B Loan, 1/28/20 3.75 01/28/2020 972,500 971,791
Caisse Centrale Desjardins, Floating Rate Note, 1/29/18 (144A) 1.2831 01/29/2018 2,590,000 2,587,792
Valeant Pharmaceuticals International, Inc., Series E-1 Tranche B Term Loan, 8/5/20 3.75 08/05/2020 1,313,724 1,237,950
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.7862 11/15/2036 2,850,000 358,662
NXP BV, Tranche B Loan, 10/30/20 3.75 10/30/2020 324,188 325,428
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/38 0.8362 06/15/2038 4,056,000 287,074
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 2.0073 01/25/2029 16,556,000 186,085
BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A) 2.9796 09/26/2035 8,854,257 1,194,888
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 0.8293 04/10/2028 1,100,000 621,427
LSTAR Securities Investment Trust 2015-9, Floating Rate Note, 10/1/20 (144A) 2.4385 10/01/2020 6,097,000 5,710,187
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/9/21 0.9357 03/09/2021 2,700,000 901,094
MRFC Mortgage Pass-Through Trust Series 2000-TBC3, Floating Rate Note, 12/15/30 0.8762 12/15/2030 29,850,000 1,154,695
Exxon Mobil Corp., Floating Rate Note, 2/28/18 1.2316 02/28/2018 2,700,000 2,710,852
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/16/30 (144A) 2.187 12/16/2030 1,700,000 1,406,122
Zero% 30nov20 0.0 11/30/2020 2,600,000 2,652,780
Sofi Professional Loan Program 2016-A LLC, Floating Rate Note, 8/25/36 (144A)   08/25/2036 1,800,000 1,790,545
DT Auto Owner Trust 2015-3, 1.66%, 3/15/19 (144A) 1.66 03/15/2019 3,000,000 1,981,747
First Franklin Mortgage Loan Trust 2006-FF1, Floating Rate Note, 1/25/36 0.673 01/25/2036 13,000,000 1,683,191
Royal Bank of Canada, Floating Rate Note, 1/23/17 0.9486 01/23/2017 1,875,000 1,877,787
Progreso Receivables Funding IV LLC, 3.0%, 7/8/20 (144A) 3.0 07/08/2020 1,700,000 1,693,979
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 1.153 07/25/2035 4,150,000 2,325,814
Enbridge, Inc., Floating Rate Note, 10/1/16 1.2622 10/01/2016 3,000,000 2,980,127
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 1.4211 10/28/2016 1,725,000 1,732,318
Citigroup Mortgage Loan Trust, Inc., 6.5%, 6/25/16 6.5 06/25/2016 10,100,000 1,035
Specialty Underwriting & Residential Finance Trust Series 2005-AB2, Floating Rate Note, 6/25/36 0.823 06/25/2036 1,500,000 230,649
Capital One Multi-Asset Execution Trust, Floating Rate Note, 12/16/19 0.516 12/16/2019 3,400,000 3,394,880
Fannie Mae, 3.5%, 10/25/23 3.5 10/25/2023 10,418,500 744,015
Ocwen Master Advance Receivables Trust, 2.532%, 11/15/46 (144A) 2.532 11/15/2046 4,573,000 4,572,430
SNAAC Auto Receivables Trust 2013-1, 4.56%, 4/15/20 (144A) 4.56 04/15/2020 2,400,000 2,407,530
Ford Credit Auto Owner Trust 2016-A, Floating Rate Note, 12/15/18 0.8362 12/15/2018 1,300,000 1,301,637
GO Financial Auto Securitization Trust 2015-2, 3.27%, 11/15/18 (144A) 3.27 11/15/2018 2,500,000 1,860,826
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 2.8272 06/25/2030 2,875,810 328,106
Bear Stearns Asset Backed Securities Trust 2004-SD3, Floating Rate Note, 9/25/34 1.003 09/25/2034 790,000 186,990
Merrill Lynch Mortgage Investors Trust Series 2005-A9, Floating Rate Note, 12/25/35 2.6809 12/25/2035 4,327,000 492,645
Mastr Asset Backed Securities Trust 2006-AB1 REMICS, Floating Rate Note, 2/25/36 0.663 02/25/2036 12,307,204 1,313,411
Bellemeade Re, Ltd., Floating Rate Note, 7/25/25 (144A) 2.9358 07/25/2025 3,650,000 2,099,721
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 3.75 12/12/2019 318,295 319,289
Golden Knight CDO, Ltd./Golden Knight CDO Corp, Floating Rate Note, 4/15/19 (144A) 1.012 04/15/2019 1,786,000 1,748,214
Structured Asset Securities Corp Trust 2005-AR1, Floating Rate Note, 9/25/35 0.653 09/25/2035 4,160,000 428,223
Federal Home Loan Mortgage Corp., Floating Rate Note, 6/15/31 1.0362 06/15/2031 25,000,000 266,997
Gray Television, Inc., Initial Term Loan, 6/10/21 3.9375 06/10/2021 1,002,368 1,001,366
The GEO Group, Inc., Term Loan, 4/3/20 3.25 04/03/2020 974,943 973,115
Pricoa Global Funding I, Floating Rate Note, 5/16/16 (144A) 0.7682 05/16/2016 1,500,000 1,501,697
PFS Financing Corp., Floating Rate Note, 4/15/20 (144A) 1.047 04/15/2020 950,000 938,323
Chemtura Corp., New Term Loan, 8/29/16 3.5 08/29/2016 71,429 71,674
Flt% 31mar19   03/31/2019 2,500,000 2,500,000
Albertsons LLC, Term B-5 Loan, 12/21/22 5.5 12/21/2022 498,750 499,373
Aberdeen Loan Funding, Ltd., Floating Rate Note, 11/1/18 (144A) 1.2656 11/01/2018 14,900,000 5,180,023
CHL Mortgage Pass-Through Trust 2003-15 REMICS, Floating Rate Note, 6/25/18 0.933 06/25/2018 43,013,062 492,008
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 0.583 05/25/2036 10,654,334 1,424,172
Mizuho Bank, Ltd., Floating Rate Note, 10/20/18 (144A) 1.8138 10/20/2018 2,800,000 2,818,291
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 1.183 05/25/2035 4,525,000 2,981,647
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 2/25/35 1.293 02/25/2035 17,437,000 2,943,590
Citigroup, Inc., Floating Rate Note, 6/9/16 0.9061 06/09/2016 2,500,000 2,500,007
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 1.7862 06/19/2031 1,500,000 1,452,289
KeyBank NA Cleveland Ohio, Floating Rate Note, 11/25/16 1.1191 11/25/2016 4,500,000 4,506,768
Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19 4.0 04/23/2019 727,141 545,356
Golden State RE II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A) 2.3 01/08/2019 2,650,000 2,622,263
GCI Holdings, Inc., New Term B Loan, 2/2/22 4.0 02/02/2022 653,400 654,217
UBS AG, Floating Rate Note, 6/1/17 1.1951 06/01/2017 2,500,000 2,500,763
Bayview Financial Acquisition Trust, 6.205%, 5/28/37 (Step) 6.205 05/28/2037 100,000 42,670
GS Mortgage Securities Trust 2007-GG10 REMICS, Floating Rate Note, 8/10/45 5.7936 08/10/2045 8,500,000 7,736,535
Alamo Re, Ltd., Floating Rate Note, 6/7/18 (Cat Bond) (144A) 6.2001 06/07/2018 2,500,000 2,559,306
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 0.6862 08/15/2036 17,556,000 603,055
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/31 1.3862 10/15/2031 1,750,000 62,413
Impac CMB Trust Series 2004-5, Floating Rate Note, 8/25/34 1.273 08/25/2034 9,850,000 454,585
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A REMICS, Floating Rate Note, 4/25/29 0.893 04/25/2029 36,167,206 1,454,257
Southwire Co., Initial Term Loan, 1/31/21 3.2545 01/31/2021 1,053,868 1,002,492
Gardner Denver, Inc., Initial Dollar Term Loan, 7/30/20 4.25 07/30/2020 232,157 210,682
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 0.743 05/25/2036 13,100,000 1,007,632
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 3.6675 05/05/2017 2,500,000 2,502,118
Government National Mortgage Association, Floating Rate Note, 10/20/38 0.8321 10/20/2038 3,000,000 522,499
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 0.7362 09/15/2026 1,427,500 645,168
321 Henderson Receivables I LLC, Floating Rate Note, 11/15/40 (144A) 0.6662 11/15/2040 4,630,000 1,092,658
Hertz Fleet Lease Funding LP, Floating Rate Note, 7/10/29 (144A) 2.7419 07/10/2029 2,600,000 2,580,437
Bank of America NA, Floating Rate Note, 6/5/17 1.0856 06/05/2017 5,135,000 5,131,800
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 0.733 09/25/2036 5,483,897 510,129
General Motors Financial Co, Inc., Floating Rate Note, 1/15/19 2.682 01/15/2019 6,975,000 6,979,670
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45 2.4484 06/25/2045 1,500,000 196,073
Soundview Home Loan Trust 2005-DO1, Floating Rate Note, 5/25/35 1.153 05/25/2035 2,000,000 1,058,472
EquiVantage Home Equity Loan Trust 1997-1, 8.05%, 3/25/28 (Step) 8.05 03/25/2028 1,500,000 5,466
CWABS Asset-Backed Certificates Trust 2004-7, Floating Rate Note, 12/25/34 1.483 12/25/2034 13,486,000 5,035,779
RBSHD 2013-1 Trust, 4.6853%, 10/25/47 (Step) (144A) 4.6853 10/25/2047 3,600,000 1,339,154
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 3.9597 01/15/2017 7,500,000 7,640,770
Bank of America NA, Floating Rate Note, 2/14/17 1.0882 02/14/2017 2,000,000 2,002,949
Citigroup, Inc., Floating Rate Note, 4/27/18 1.3113 04/27/2018 2,700,000 2,687,930
The Bank of Nova Scotia, Floating Rate Note, 12/13/16 1.0524 12/13/2016 1,800,000 1,803,224
Trade MAPS 1, Ltd., Floating Rate Note, 12/10/18 (144A) 1.1419 12/10/2018 2,795,000 2,778,941
Capital One Multi-Asset Execution Trust, Floating Rate Note, 2/15/19 0.616 02/15/2019 1,950,000 1,950,501
Merrill Lynch Mortgage Trust 2006-C2, Floating Rate Note, 8/12/43 5.782 08/12/2043 6,475,000 6,538,316
San Diego Gas & Electric Co., Floating Rate Note, 3/9/17 0.8361 03/09/2017 2,500,000 2,491,310
Consumer Credit Origination Loan Trust 2015-1, 2.82%, 3/15/21 (144A) 2.82 03/15/2021 2,500,000 930,167
The Chemours Co., Tranche B Term Loan, 5/12/22 3.75 05/12/2022 496,250 473,195
Fannie Mae, 3.0%, 8/25/25 3.0 08/25/2025 4,300,000 378,422
New York Life Global Funding, Floating Rate Note, 8/5/16 (144A) 0.6706 08/05/2016 2,675,000 2,676,498
Pangaea Zero% 01jul18 0.0 07/01/2018 2,300,000 41,400
Pepper Residential Securities Trust No 14, Floating Rate Note, 6/12/16 0.7662 06/12/2016 3,500,000 3,495,759
KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A) 2.0682 05/15/2021 1,250,000 1,230,861
CPS Auto Trust, 1.48%, 3/16/20 (144A) 1.48 03/16/2020 1,060,000 197,306
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/28 0.8862 12/15/2028 56,250,000 383,955
Svenska Handelsbanken AB, 3.125%, 7/12/16 3.125 07/12/2016 2,650,000 2,684,709
Terex Corporation 1st Lien Tl-B L + 3.75% 15dec22 4.5 12/15/2022 305,687 300,338
Capital One Multi-Asset Execution Trust, Floating Rate Note, 11/15/19 0.486 11/15/2019 2,635,000 2,631,418
BCAP LLC 2013-RR7 Trust, Floating Rate Note, 12/27/34 (144A) 3.1827 12/27/2034 1,410,000 836,318
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 7/25/34 1.093 07/25/2034 2,783,000 422,029
Federal Home Loan Mortgage Corp., 3.0%, 12/15/24 3.0 12/15/2024 32,045,000 3,899,101
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/21/19 0.8821 10/21/2019 3,255,000 3,235,465
Exeter Automobile Receivables Trust 2013-1, 2.41%, 5/15/18 (144A) 2.41 05/15/2018 1,000,000 438,092
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 0.733 04/28/2036 4,911,055 528,116
The Dayton Power & Light Co., 1.875%, 9/15/16 1.875 09/15/2016 2,700,000 2,713,315
Sector Re V, Ltd., 0.0%, 12/1/20 (Cat Bond) (144A) 0.0 12/01/2020 500,000 510,350
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 2/15/21 1.3362 02/15/2021 4,000,000 4,002,523
Intelsat Jackson Holdings SA, Tranche B-2 Term Loan, 6/30/19 3.75 06/30/2019 521,732 487,983
Golden Credit Card Trust, Floating Rate Note, 9/15/18 (144A) 0.8662 09/15/2018 2,045,000 2,045,836
Pepper Residential Securities Trust, Floating Rate Note, 4/10/16 (144A) 0.7719 04/10/2016 2,000,000 2,000,887
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 2.748 07/25/2033 8,661,215 295,736
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/31 1.033 07/25/2031 48,885,770 350,196
Bayview Financial Acquisition Trust, Floating Rate Note, 8/28/44 1.063 08/28/2044 635,000 139,847
Conseco Finance Home Equity Loan Trust 2002-C, Floating Rate Note, 4/15/32 1.9362 04/15/2032 800,000 183,746
Berkshire Hathaway, Inc., 2.2%, 8/15/16 2.2 08/15/2016 2,775,000 2,798,727
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 0.733 03/25/2036 700,000 94,372
Delta Funding Home Equity Loan Trust 1997-2, 7.04%, 6/25/27 7.04 06/25/2027 1,000,000 491
Morgan Stanley Capital I Trust 2015-XLF1, Floating Rate Note, 8/17/26 (144A) 3.187 08/17/2026 3,000,000 3,004,514
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 0.9686 05/23/2016 3,650,000 3,658,697
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 10/27/36 (144A) 0.703 10/27/2036 12,650,000 655,081
American Credit Acceptance Receivables Trust 2014-4, 1.33%, 7/10/18 (144A) 1.33 07/10/2018 2,040,000 350,893
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 7/25/24 1.633 07/25/2024 5,540,000 3,049,947
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 2.433 10/25/2023 4,205,000 2,265,517
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 0.6362 08/15/2026 1,330,000 345,333
Discover Card Execution Note Trust, Floating Rate Note, 8/15/19 0.8172 08/15/2019 2,000,000 2,000,609
Cazenovia Creek Funding I LLC, 2.0%, 12/10/23 (144A) 2.0 12/10/2023 2,605,000 2,124,302
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 2.341 11/05/2030 1,320,000 1,192,840
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 4.1096 06/07/2017 3,000,000 3,012,920
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-E, Floating Rate Note, 11/25/29 1.6331 11/25/2029 58,549,000 2,120,080
Shell International Finance BV, Floating Rate Note, 5/10/17 0.941 05/10/2017 1,390,000 1,389,256
CG-CCRE Commercial Mortgage Trust 2014-FL1, Floating Rate Note, 6/16/31 (144A) 1.3862 06/16/2031 5,670,000 5,662,046
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 0.6362 07/15/2036 5,000,000 500,813
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 6.0225 12/06/2016 1,500,000 1,511,240
Wells Fargo & Co., Floating Rate Note, 7/20/16 1.1538 07/20/2016 3,265,000 3,276,687
ABFC 2005-WF1 Trust, Floating Rate Note, 12/25/34 1.053 12/25/2034 2,300,000 457,738
US Bank NA Cincinnati Ohio, Floating Rate Note, 1/29/18 1.1981 01/29/2018 2,400,000 2,405,375
UBS AG, Floating Rate Note, 3/26/18 1.3301 03/26/2018 800,000 798,908
Morgan Stanley Capital I Trust 2006-HQ9, Floating Rate Note, 7/12/44 5.793 07/12/2044 3,200,000 3,228,505
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 4.0 04/30/2020 1,442,892 1,448,453
Ocwen Loan Servicing LLC, Initial Term Loan, 2/15/18 5.5 02/15/2018 410,710 404,036
American Honda Finance Corp., Floating Rate Note, 10/7/16 1.1171 10/07/2016 5,965,000 5,993,146
LSTAR Securities Investment Trust 2015-4, Floating Rate Note, 4/1/20 (144A) 2.4385 04/01/2020 4,000,000 3,470,629
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 0.833 05/25/2033 9,443,647 274,860
Hertz Fleet Lease Funding LP, Floating Rate Note, 7/10/29 (144A) 1.9419 07/10/2029 3,200,000 3,214,213
Queen Street X RE, Ltd., Floating Rate Note, 6/8/18 (Cat Bond) (144A) 6.0501 06/08/2018 1,500,000 1,499,096
American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A) 1.0096 05/26/2016 3,050,000 3,055,181
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 0.883 07/25/2034 22,310,000 1,298,441
Bear Stearns Asset Backed Securities I Trust 2005-HE9, Floating Rate Note, 10/25/35 1.198 10/25/2035 5,000,000 406,380
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 0.933 05/25/2033 15,932,000 298,490
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 1.5275 06/25/2028 44,308,430 1,222,055
Black Diamond CLO 2006-1 Luxembourg SA, Floating Rate Note, 4/29/19 (144A) 1.0081 04/29/2019 4,500,000 4,231,815
General Electric Co., Floating Rate Note, 5/11/16 0.8205 05/11/2016 1,000,000 1,001,401
Citigroup, Inc., Floating Rate Note, 5/15/18 2.3182 05/15/2018 1,330,000 1,352,825
JPMorgan Chase & Co., Floating Rate Note, 1/25/18 1.5186 01/25/2018 2,800,000 2,816,571
CarMax Auto Owner Trust 2015-4, Floating Rate Note, 4/15/19 1.0362 04/15/2019 2,500,000 2,504,855
SunTrust Bank, Floating Rate Note, 2/15/17 1.0582 02/15/2017 3,645,000 3,641,114
Fieldstone Mortgage Investment Trust Series 2004-5, Floating Rate Note, 2/25/35 2.158 02/25/2035 7,050,000 488,447
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 0.7362 04/15/2036 3,463,000 470,304
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 1.133 02/25/2038 4,400,000 195,325
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 0.8562 06/15/2036 5,835,000 394,041
Toyota Motor Credit Corp., Floating Rate Note, 5/16/17 0.8182 05/16/2017 2,589,000 2,592,545
Babson CLO, Ltd. 2011-I, Floating Rate Note, 9/28/21 (144A) 3.3531 09/28/2021 2,000,000 1,901,616
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 0.7362 02/15/2036 5,087,000 691,153
Government National Mortgage Association, Floating Rate Note, 8/16/39 1.4413 08/16/2039 2,960,000 371,860
CHS, Incremental 2019 Term G Loan, 12/31/19 3.3809 12/31/2019 24,975 24,587
CNH Equipment Trust 2013-B, 0.99%, 11/15/18 0.99 11/15/2018 750,000 747,664
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 4.8052 06/28/2016 1,000,000 1,009,900
Citigroup Mortgage Loan Trust Series 2004-OPT1 Asset Backed Pass-Through Certifi, Floating Rate Note 1.258 10/25/2034 2,940,000 1,243,627
Medtronic, Inc., Floating Rate Note, 3/15/20 1.4339 03/15/2020 2,680,000 2,674,924
Resource Capital Corp 2015-CRE4, Ltd., Floating Rate Note, 8/17/32 (144A) 1.8413 08/17/2032 2,000,000 1,965,300
Western Refining, Inc., Term Loan 2013, 11/12/20 4.25 11/12/2020 222,647 217,081
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 1.173 11/25/2034 11,771,000 447,511
Monitronics International, Inc., Term B Loan (2013), 3/23/18 4.25 03/23/2018 90,966 86,228
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-D, Floating Rate Note, 9/25/29 2.2851 09/25/2029 11,000,000 658,714
Daimler Finance North America LLC, Floating Rate Note, 8/1/16 (144A) 1.2956 08/01/2016 2,845,000 2,853,220
Eden Re II, Ltd., 0.0%, 4/23/19 (Cat Bond) (144A) 0.0 04/23/2019 1,287,000 1,299,870
COMM 2014-FL5 Mortgage Trust, Floating Rate Note, 10/17/31 (144A) 2.1222 10/17/2031 4,970,000 4,879,464
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 0.7362 02/15/2039 1,251,000 459,806
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 0.983 10/25/2017 5,500,000 39,818
Daimler Finance North America LLC, Floating Rate Note, 8/1/17 (144A) 0.9556 08/01/2017 2,061,000 2,051,945
Engs Commercial Finance Trust 2015-1, 0.7%, 8/22/16 (144A) 0.7 08/22/2016 5,400,000 450,793
KeyBank NA Cleveland Ohio, Floating Rate Note, 6/1/18 1.1551 06/01/2018 2,500,000 2,489,092
Wheels SPV 2 LLC, 0.84%, 3/20/23 (144A) 0.84 03/20/2023 1,000,000 437,272
Fannie Mae, 4.5%, 9/25/35 4.5 09/25/2035 21,935,000 992,150
Capital One NA, Floating Rate Note, 8/17/18 1.7682 08/17/2018 3,700,000 3,717,964
Green Tree Agency Advance Funding Trust I Series 2015-T1, 2.3019%, 10/15/46 (144A) 2.3019 10/15/2046 7,000,000 6,998,201
CSMC Trust 2015-SAND, Floating Rate Note, 8/15/30 (144A) 5.14 08/15/2030 1,100,000 1,071,555
Chase Issuance Trust, Floating Rate Note, 4/15/19 0.486 04/15/2019 6,480,000 6,470,649
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 1.383 07/25/2037 2,130,580 500,170
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/33 0.8362 01/15/2033 86,214,000 899,028
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 3.0 05/15/2018 2,777,000 267,664
Post Holdings, Inc., Series A Incremental Term Loan, 5/23/21 3.75 05/23/2021 235,423 236,282
BCC Funding VIII LLC, 1.794%, 6/22/20 (144A) 1.794 06/22/2020 7,640,000 1,826,374
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 1.2896 07/19/2016 1,500,000 1,505,822
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/20 0.8362 12/15/2020 1,000,000 106,873
MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35 0.783 02/25/2035 21,274,000 970,765
Wells Fargo Bank NA, Floating Rate Note, 5/16/16 0.8282 05/16/2016 975,000 975,632
American Credit Acceptance Receivables Trust 2016-1A, 2.37%, 5/12/20 (144A) 2.37 05/12/2020 1,300,000 1,208,836
LSTAR Securities Investment Trust 2014-2, Floating Rate Note, 11/1/19 (144A) 2.4385 11/01/2019 8,266,000 6,661,677
HSBC Home Equity Loan Trust USA 2007-2, Floating Rate Note, 7/20/36 0.7321 07/20/2036 600,000 407,704
World Financial Network Credit Card Master Trust, Floating Rate Note, 2/15/22 0.9162 02/15/2022 1,725,000 1,721,473
Sequoia Mortgage Trust 4, Floating Rate Note, 11/22/24 1.1483 11/22/2024 47,340,000 932,972
Citigroup, Inc., Floating Rate Note, 7/25/16 1.5786 07/25/2016 3,700,000 3,716,975
JP Morgan Seasoned Mortgage Trust 2014-1, Floating Rate Note, 5/25/33 (144A) 0.933 05/25/2033 6,400,000 5,325,932
Asset-Backed Pass-Through Certificates Series 2004-R2, Floating Rate Note, 4/25/34 1.053 04/25/2034 24,000,000 942,158
RPI Finance Trust, Term B-4 Term Loan, 11/9/20 3.5 11/09/2020 999,423 1,002,754
Scientific Games International, Inc., Initial Term B-2 Loan, 9/17/21 6.0 09/17/2021 1,975,000 1,920,379
Microsemi Corp., Closing Date Term B Loan, 12/17/22 5.25 12/17/2022 138,971 139,787
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 1.0961 09/09/2016 2,800,000 2,806,130
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 1.0899 01/18/2032 16,977,308 187,429
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 0.913 09/25/2035 2,450,000 2,126,961
PNC Bank NA, Floating Rate Note, 6/1/18 1.0551 06/01/2018 2,500,000 2,478,171
Oracle Corp., Floating Rate Note, 7/7/17 0.8171 07/07/2017 1,937,000 1,943,274
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/33 1.9385 05/15/2033 3,790,000 325,301
Zero% 30nov20 0.0 11/30/2020 750,000 761,400
Progress Residential 2015-SFR1 Trust, Floating Rate Note, 2/20/32 (144A) 2.8362 02/20/2032 3,000,000 2,916,020
Home Partners of America 2016-1 Trust, Floating Rate Note, 3/18/33 (144A) 3.7235 03/18/2033 1,499,000 1,446,025
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 4/20/18 0.8321 04/20/2018 1,190,000 1,190,302
Macquarie Group, Ltd., Floating Rate Note, 1/31/17 (144A) 1.6156 01/31/2017 1,210,000 1,213,096
Zero% 31aug16 0.0 08/31/2016 500,000 563,350
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 0.933 03/25/2024 14,460,650 436,950
PNC Funding Corp., 2.7%, 9/19/16 2.7 09/19/2016 1,045,000 1,053,160
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 0.6862 08/15/2035 2,185,000 322,597
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 0.763 01/25/2036 810,000 360,098
Manufacturers & Traders Trust Co., Floating Rate Note, 7/25/17 0.9186 07/25/2017 2,400,000 2,397,064
American Express Credit Corp., Floating Rate Note, 7/29/16 1.1281 07/29/2016 7,142,000 7,165,177
SMART ABS Series 2015-3US Trust, Floating Rate Note, 4/16/18 1.1862 04/16/2018 3,650,000 3,648,507
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 7.4175 07/05/2016 2,250,000 2,303,384
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/41 0.7862 12/15/2041 1,000,000 505,305
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 4.0038 11/08/2020 315,318 303,691
Fifth Third Bancorp, Floating Rate Note, 12/20/16 1.0434 12/20/2016 1,727,000 1,721,568
Morgan Stanley Capital I Trust 2007-TOP27 REMICS, Floating Rate Note, 6/11/42 5.6447 06/11/2042 4,145,000 4,221,090
Seminole Hard Rock Entertainment, Inc., Term Loan, 5/14/20 3.5 05/14/2020 583,500 579,124
Sector Re V, Ltd., 0.0%, 3/1/20 (Cat Bond) (144A) 0.0 03/01/2020 1,250,000 1,415,750
Electricite de France SA, Floating Rate Note, 1/20/17 (144A) 1.0838 01/20/2017 1,865,000 1,864,563
TerraForm AP Acquisition Holdings LLC, Term Loan, 6/26/22 5.0 06/26/2022 958,642 872,364
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/32 0.933 08/25/2032 15,000,000 228,155
PNC Bank NA, 5.25%, 1/15/17 5.25 01/15/2017 1,750,000 1,824,251
Exxon Mobil Corp., Floating Rate Note, 3/15/17 0.6739 03/15/2017 1,980,000 1,974,225
Hyatt Hotel Portfolio Trust 2015-HYT, Floating Rate Note, 11/15/29 (144A) 2.137 11/15/2029 2,480,000 2,418,658
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 0.5862 10/15/2020 1,400,000 66,499
Prudential Financial, Inc., 3.0%, 5/12/16 3.0 05/12/2016 2,500,000 2,533,946
WideOpenWest Finance LLC, Replacement Term B Loan, 4/1/19 4.5 04/01/2019 0 0
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 1.333 04/25/2032 35,072,000 1,641,719
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 1.4362 03/15/2032 64,920,000 533,674
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38 1.653 10/25/2038 6,344,000 480,993
Royal Bank of Canada, Floating Rate Note, 7/30/18 1.1581 07/30/2018 1,325,000 1,320,252
Volkswagen International Finance NV, Floating Rate Note, 11/18/16 (144A) 1.0582 11/18/2016 1,750,000 1,743,698
GE Capital International Funding Co., 0.964%, 4/15/16 (144A) 0.964 04/15/2016 2,916,000 2,928,263
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 2.2905 05/07/2024 3,534,000 3,538,878
17079z Zero% 31mar18 0.0 03/31/2018 750,000 882,000
Pretium Mortgage Credit Partners LLC, 4.375%, 2/27/31 (Step) (144A) 4.375 02/27/2031 3,000,000 2,995,172
PolyOne Corp., Initial Loan, 11/6/22 3.75 11/06/2022 249,375 249,609
Lehman XS Trust Series 2005-2, Floating Rate Note, 8/25/35 1.133 08/25/2035 42,014,000 1,764,380
Flagship Credit Auto Trust 2015-3, 2.38%, 10/15/20 (144A) 2.38 10/15/2020 3,000,000 2,639,697
Xylem, Inc. New York, 3.55%, 9/20/16 3.55 09/20/2016 2,650,000 2,655,236
321 Henderson Receivables I LLC, Floating Rate Note, 3/15/41 (144A) 0.6362 03/15/2041 6,100,000 1,040,001
AmeriCredit Automobile Receivables 2015-4, Floating Rate Note, 4/8/19 1.188 04/08/2019 3,000,000 3,004,412
T-Mobile USA, Inc., Senior Lien Term Loan, 11/3/22 3.5 11/03/2022 349,125 350,919
VOLT XXXI LLC, 3.375%, 2/25/55 (Step) (144A) 3.375 02/25/2055 3,000,000 2,432,335
CSMC Trust 2015-DEAL, Floating Rate Note, 4/16/29 (144A) 2.287 04/16/2029 3,500,000 3,384,054
Sierra Timeshare 2013-1 Receivables Funding LLC, 2.39%, 11/20/29 (144A) 2.39 11/20/2029 7,360,000 1,509,822
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 0.8526 05/02/2017 2,000,000 2,000,475
Bank of America Corp., 3.75%, 7/12/16 3.75 07/12/2016 1,325,000 1,345,566
Integro, Ltd., Initial Term Loan (First Lien), 10/9/22 6.75 10/09/2022 701,021 676,485
Royal Bank of Canada, Floating Rate Note, 6/16/17 0.8796 06/16/2017 2,200,000 2,195,822
American Honda Finance Corp., Floating Rate Note, 12/11/17 0.9446 12/11/2017 2,570,000 2,566,590
Wal-Mart Stores, Inc., 0.6%, 4/11/16 0.6 04/11/2016 955,000 957,725
Invitation Homes 2015-SFR3 Trust, Floating Rate Note, 8/19/32 (144A) 2.187 08/19/2032 3,500,000 3,401,782
Zero% 01feb18 0.0 02/01/2018 1,250,000 1,279,125
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 0.9931 01/30/2017 2,710,000 2,710,994
Six Flags Theme Parks, Inc., Tranche B Term Loan, 6/30/22 3.5 06/30/2022 1,141,375 1,143,278
United States Treasury Floating Rate Note, Floating Rate Note, 10/31/17 0.4682 10/31/2017 13,780,000 13,790,352
Keurig Green Mountain, Inc., Term B USD Loan, 2/10/23 5.25 02/10/2023 568,000 570,722
CPS Auto Receivables Trust 2014-C, 1.31%, 2/15/19 (144A) 1.31 02/15/2019 2,530,000 1,065,670
14112z Zero% 01feb19 0.0 02/01/2019 2,500,000 74,750
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 1.357 06/15/2029 3,750,000 3,662,941
FCA US LLC, Tranche B Term Loan, 12/29/18 3.25 12/29/2018 1,669,364 1,668,947
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 7/25/28 1.8858 07/25/2028 2,600,000 2,563,021
Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Floating Rate Note, 5/15/43 5.7584 05/15/2043 6,200,000 6,199,272
Westgate Resorts 2014-1 LLC, 2.15%, 12/20/26 (144A) 2.15 12/20/2026 2,800,000 1,680,615
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/36 0.8562 09/15/2036 3,320,000 299,166
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/33 1.4362 11/15/2033 2,550,000 233,216
HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36 0.6721 03/20/2036 8,638,000 3,313,628
BAMLL Commercial Mortgage Securities Trust 2014-ICTS, Floating Rate Note, 6/15/28 (144A) 1.5362 06/15/2028 1,920,000 1,926,292
American Credit Acceptance Receivables Trust 2013-1, 4.94%, 6/15/20 (144A) 4.94 06/15/2020 3,600,000 3,634,201
World Omni Auto Receivables Trust 2014-B, Floating Rate Note, 1/16/18 0.4362 01/16/2018 2,650,000 553,721
GSAA Home Equity Trust 2004-11, Floating Rate Note, 12/25/34 1.093 12/25/2034 14,390,000 601,242
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 1.941 11/05/2030 5,700,000 5,149,348
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 0.8362 07/15/2036 1,200,000 31,779
Freddie Mac, 2.0%, 11/15/20 2.0 11/15/2020 6,550,000 956,978
Terra-Gen Finance Co LLC, Term Loan, 12/31/21 5.25 12/31/2021 1,282,724 1,083,902
U.S. Treasury Notes, 0.625%, 7/15/16 0.625 07/15/2016 6,085,000 6,097,797
Bear Stearns Asset Backed Securities Trust 2006-1, Floating Rate Note, 2/25/36 0.713 02/25/2036 39,400,000 105,344
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 0.983 05/25/2040 2,619,152 763,282
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 2.083 03/25/2035 2,443,000 2,406,200
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35 5.0 10/25/2035 17,468,000 756,887
CIFC Funding 2007-I, Ltd., Floating Rate Note, 5/10/21 (144A) 0.881 05/10/2021 500,000 113,568
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37 1.053 12/25/2037 21,428,000 482,186
NCUA Guaranteed Notes Trust, Floating Rate Note, 12/8/20 0.9885 12/08/2020 410,000 245,388
Wells Fargo Credit Risk Transfer Securities Trust 2015, Floating Rate Note, 11/25/25 (144A) 3.183 11/25/2025 3,000,000 2,760,696
VOLT XXXVIII LLC, 3.875%, 9/25/45 (Step) (144A) 3.875 09/25/2045 3,700,000 3,323,375
Pretium Mortgage Credit Partners I 2015-NPL2 LLC, 3.75%, 5/27/30 (Step) (144A) 3.75 05/27/2030 4,300,000 3,792,190
321 Henderson Receivables I LLC, Floating Rate Note, 9/15/45 (144A) 0.7862 09/15/2045 3,120,000 571,221
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 0.733 05/25/2036 32,142,877 1,045,771
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/37 1.6862 05/15/2037 3,000,000 138,888
Baxalta, Inc., Floating Rate Note, 6/22/18 (144A) 1.4043 06/22/2018 2,500,000 2,450,800
Invitation Homes 2014-SFR2 Trust, Floating Rate Note, 9/18/31 (144A) 2.037 09/18/2031 2,100,000 2,049,307
Multi Packaging Solutions, Inc., Initial Dollar Tranche B Term, 9/30/20 4.25 09/30/2020 138,916 138,569
Blue Danube II, Ltd., Floating Rate Note, 5/23/16 (Cat Bond) (144A) 4.5618 05/23/2016 3,325,000 3,340,013
Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/19/30 (144A) 2.2862 12/19/2030 1,800,000 1,740,552
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 2.7969 04/19/2034 16,013,000 596,889
Telesat Canada, U.S. Term B-2 Loan, 3/28/19 3.5 03/28/2019 652,022 650,115
General Electric Co., Floating Rate Note, 7/12/16 1.2711 07/12/2016 850,000 855,948
MGM Resorts International, Term B Loan, 12/20/19 3.5 12/20/2019 1,209,375 1,208,368
Nations Equipment Finance Funding II LLC, 1.558%, 7/20/18 (144A) 1.558 07/20/2018 2,100,000 592,174
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 0.9524 09/13/2016 6,144,000 6,142,649
Structured Asset Securities Corp Mortgage Loan Trust 2005-S7, Floating Rate Note, 12/25/35 (144A) 1.033 12/25/2035 11,868,000 544,133
DaVita HealthCare Partners, Inc., Tranche B Term Loan, 6/19/21 3.5 06/19/2021 467,907 469,442
Citigroup, Inc., 1.35%, 3/10/17 1.35 03/10/2017 2,670,000 2,673,500
TAL Advantage V LLC, 1.7%, 5/20/39 (144A) 1.7 05/20/2039 1,400,000 735,817
Structured Asset Mortgage Investments II Trust 2004-AR1, Floating Rate Note, 3/19/34 1.1321 03/19/2034 16,800,000 654,470
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/32 1.133 01/25/2032 30,000,000 302,638
COMM 2014-KYO Mortgage Trust, Floating Rate Note, 6/11/27 (144A) 2.088 06/11/2027 5,740,000 5,635,142
Canadian National Railway Co., Floating Rate Note, 11/14/17 0.7872 11/14/2017 1,670,000 1,667,541
CFCRE 2015-RUM Mortgage Trust, Floating Rate Note, 7/15/30 (144A) 2.587 07/15/2030 7,200,000 6,990,806
CWGS Group LLC, Term Loan, 2/20/20 5.75 02/20/2020 371,975 368,952
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 1.4919 12/10/2027 500,000 500,652
UBS AG, Floating Rate Note, 9/26/16 1.1301 09/26/2016 3,000,000 3,003,046
Bear Stearns Asset Backed Securities Trust 2005-SD1, Floating Rate Note, 8/25/43 0.833 08/25/2043 310,000 51,896
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36 0.983 08/25/2036 4,450,000 208,196
Altice Financing SA, 7.875%, 12/15/19 (144A) 7.875 12/15/2019 1,250,000 1,335,234
Expert Global Solutions, Inc., Term B Advance (First Lien), 4/3/18 8.5 04/03/2018 10,555 10,370
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.8362 12/15/2032 11,201,000 500,712
Visteon Corp., Initial Term Loan, 4/8/21 3.5 04/08/2021 291,667 290,755
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 1.633 08/25/2034 7,523,000 601,356
Government National Mortgage Association, Floating Rate Note, 5/16/38 0.8413 05/16/2038 8,761,000 351,955
Enterprise Fleet Financing LLC, 0.87%, 9/20/19 0.87 09/20/2019 2,000,000 784,420
Kinetic Concepts, Inc., Dollar Term E-1 Loan, 5/4/18 4.5 05/04/2018 1,472,526 1,466,314
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 1.0082 11/21/2016 2,465,000 2,466,711
VOLT XXXVI LLC, 3.625%, 7/25/45 (Step) (144A) 3.625 07/25/2045 2,400,000 2,029,102
Allison Transmission, Inc., Term B-3 Loan, 8/23/19 3.5 08/23/2019 763,469 764,105
JP Morgan Mortgage Acquisition Trust 2006-CH1, Floating Rate Note, 1/25/35 0.573 01/25/2035 3,900,000 772,585
Apidos CLO IX, Floating Rate Note, 7/17/23 (144A) 1.922 07/17/2023 3,000,000 3,003,879
Colony American Homes 2014-2, Floating Rate Note, 7/19/31 (144A) 2.3362 07/19/2031 2,100,000 2,016,519
MPG Holdco I, Inc., Tranche B-1 Term Loan (2015), 10/20/21 3.75 10/20/2021 1,235,519 1,221,620
Daimler Finance North America LLC, Floating Rate Note, 8/3/17 (144A) 1.3286 08/03/2017 3,215,000 3,221,075
On Semiconductor Corporation 1st Lien Tl-B L + 4.5% 31mar23 5.25 03/31/2023 875,000 878,063
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/34 0.6762 07/15/2034 5,000,000 460,375
Salomon Mortgage Loan Trust Series 2001-CB4, Floating Rate Note, 11/25/33 1.333 11/25/2033 4,754,000 100,216
Golden Credit Card Trust, Floating Rate Note, 1/15/20 (144A) 1.026 01/15/2020 4,000,000 4,003,096
Tramline Re II, Ltd., Floating Rate Note, 7/7/17 (Cat Bond) (144A) 3.4175 07/07/2017 1,750,000 1,750,027
Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44 2.1307 12/25/2044 4,235,000 544,613
SNAAC Auto Receivables Trust 2014-1, 1.03%, 9/17/18 (144A) 1.03 09/17/2018 839,000 21,871
Enterprise Fleet Financing LLC, 1.59%, 2/22/21 (144A) 1.59 02/22/2021 2,600,000 2,596,389
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/31 1.033 11/25/2031 44,000,000 318,420
Federal Home Loan Mortgage Corp., Floating Rate Note, 6/1/35 2.586 06/01/2035 3,000,000 6,643
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 4/25/28 1.7858 04/25/2028 2,250,000 2,160,158
Wells Fargo Home Equity Asset-Backed Securities 2006-1 Trust REMICS, Floating Rate Note, 7/25/36 0.683 07/25/2036 1,300,000 1,219,054
RAMP Series 2006-RZ3 Trust, Floating Rate Note, 10/25/35 0.593 10/25/2035 10,534,000 948,850
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 9/25/28 2.588 09/25/2028 2,200,000 2,202,744
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 (144A) 0.8538 04/20/2021 1,800,000 517,652
Bright Horizons Family Solutions, Inc., Term B Loan, 1/30/20 3.7539 01/30/2020 589,215 589,337
Fremont Home Loan Trust 2005-2, Floating Rate Note, 6/25/35 1.153 06/25/2035 1,100,000 749,258
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/40 0.8362 11/15/2040 1,265,000 367,609
NRZ Advance Receivables Trust Advance Receivables Backed 2015-T1, 2.3147%, 8/15/46 (144A) 2.3147