Pioneer Investments: Pioneer Multi-Asset Ultrashort Income Fund


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Pioneer Multi-Asset Ultrashort Income Fund

Monthly Portfolio Holdings as of 5/30/2014

Security Name Coupon Maturity Date Par / Shares Market Value($)
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 5.7956 12/06/2016 750,000 790,002
Fresenius US Finance I, Inc., 8/7/19 2.2334 08/06/2019 1,492,500 1,494,366
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 11.0765 04/10/2015 1,945,000 2,051,661
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 10/25/34 0.87 10/25/2034 4,100,000 53,894
Nissan Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 0.4211 01/15/2016 760,000 760,881
General Electric Capital Corp., 3.75%, 11/14/14 3.75 11/14/2014 510,000 518,808
Drock Flt% 16mar20 14-2-A 0.4905 03/16/2020 1,800,000 1,800,074
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/34 0.3911 07/15/2034 5,000,000 720,867
John Deere Capital Corp., Floating Rate Note, 10/11/16 0.5176 10/11/2016 1,500,000 1,505,987
CHL Mortgage Pass-Through Trust 2005-19, 5.5%, 8/25/35 5.5 08/25/2035 6,000,000 469,426
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/40 0.7 01/25/2040 5,000,000 504,995
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 0.8 06/25/2035 4,005,000 1,308,411
Svenska Handelsbanken AB, Floating Rate Note, 3/21/16 0.6839 03/21/2016 2,275,000 2,289,118
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.4 03/25/2037 3,413,000 571,118
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A)   04/24/2017 1,350,000 1,321,650
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 7/27/36 (144A) 2.6536 07/27/2036 7,712,000 1,892,623
The Bank of New York Mellon Corp., Floating Rate Note, 10/23/15 0.4559 10/23/2015 3,533,000 3,541,953
Milacron LLC, 3/28/20 4.0 03/12/2020 693,000 694,733
Honda Auto Receivables 2011-1 Owner Trust, 1.8%, 4/17/17 1.8 04/17/2017 670,000 315,621
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2.8587 03/25/2034 8,200,000 592,791
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 4.5456 12/06/2016 2,900,000 2,999,035
Countrywide Asset-Backed Certificates, Floating Rate Note, 10/25/34 0.99 10/25/2034 5,000,000 2,210,536
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 2.1511 12/15/2028 2,910,000 2,929,850
American Express Credit Corp., Floating Rate Note, 6/12/15 1.3344 06/12/2015 3,185,000 3,226,778
Hercules Capital Funding Trust 2012-1, 3.32%, 12/16/17 (144A) 3.32 12/16/2017 400,000 149,320
Getty Images, Inc., 10/18/19 4.75 09/17/2019 114,443 110,819
Revlon Consumer Products Corp., 11/19/17 3.25 11/19/2017 976,136 977,357
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 0.7711 10/15/2037 9,195,000 863,258
Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37 0.3 03/25/2037 1,000,000 689,381
Metaldyne LLC, 12/18/18 4.25 12/18/2018 1,956,991 1,963,351
Bank of America Corp., 5.45%, 7/15/14 5.45 07/15/2014 4,980,000 5,112,368
D Cp Zero% 04jun14 Usd 0.0 06/04/2014 2,800,000 2,799,932
Armore Flt% 15dec16 144a 4.0304 12/15/2016 1,000,000 989,500
American Credit Acceptance Receivables Trust 2013-2, 1.32%, 2/15/17 (144A) 1.32 02/15/2017 805,000 425,388
WaMu Mortgage Pass-Through Certificates Series 2004-S1 Trust, Floating Rate Note, 3/25/34 0.55 03/25/2034 6,560,000 2,379
HJ Heinz Co., 6/5/20 3.5 03/27/2020 1,588,000 1,598,219
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 0.79 09/25/2034 49,152,075 2,155,511
RASC Series 2006-KS1 Trust, Floating Rate Note, 2/25/36 0.37 02/25/2036 8,211,000 406,538
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 0.7857 03/03/2017 2,000,000 2,009,281
Drug Royalty II LP 1, Floating Rate Note, 1/15/25 (144A) 4.2265 01/15/2025 500,000 350,012
Toyota Motor Credit Corp., 1.0%, 2/17/15 1.0 02/17/2015 2,265,000 2,283,684
The Bear Stearns Companies LLC, Floating Rate Note, 10/28/14 0.9479 10/28/2014 400,000 401,320
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 0.5511 05/15/2036 7,791,000 651,594
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 5.46 11/15/2035 1,240,000 1,138,681
Series 2007-1G WST Trust, Floating Rate Note, 5/21/38 (144A) 0.277 05/21/2038 545,000 53,153
Monitronics International, Inc., 3/23/18 4.25 03/23/2018 990,295 992,565
Merrill Lynch Mortgage Trust 2004-KEY2, Floating Rate Note, 8/12/39 4.947 08/12/2039 1,519,492 1,542,911
LifePoint Hospitals, Inc., 7/24/17 2.65 07/24/2017 342,404 342,689
The Goldman Sachs Group, Inc., 5.0%, 10/1/14 5.0 10/01/2014 1,862,000 1,905,171
AUDIO VISUAL SERVICES CORPORATION, Initial Term Loan (First Lien), 1/24/21 4.5 01/24/2021 230,000 230,527
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 0.45 10/25/2035 6,475,000 747,722
Calpine Construction Finance Co LP, 5/3/20 3.0 05/01/2020 1,191,000 1,170,654
Nordea Bank AB, Floating Rate Note, 4/4/17 (144A) 0.5901 04/04/2017 890,000 892,084
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 0.7003 12/10/2027 1,000,000 1,002,295
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE2, Floating Rate Note, 2/25/35 0.825 02/25/2035 8,100,000 1,042,417
VOLT XXIV LLC, 3.25%, 11/25/53 (Step) 3.25 11/25/2053 2,000,000 1,990,054
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP11, Floating Rate Note, 6/15/49 5.7886 06/15/2049 120,000 13,837
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/9/21 0.6815 03/09/2021 2,700,000 1,431,226
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 0.34 01/25/2036 23,055,603 3,775,438
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 0.6511 07/15/2036 15,317,285 1,404,867
Allied Security Holdings LLC, 2/12/21 3.4834 02/12/2021 517,045 515,833
United Auto Credit Securitization Trust 2012-1, 1.87%, 9/15/15 (144A) 1.87 09/15/2015 1,500,000 797,892
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 0.4 09/25/2036 12,500,000 29,051
Embarcadero Reinsurance, Ltd., Floating Rate Note, 2/4/16 (Cat Bond) (144A) 6.6492 08/04/2014 1,320,000 1,333,483
Toyota Motor Credit Corp., 1.25%, 11/17/14 1.25 11/17/2014 554,000 556,768
Spectrum Brands, Inc., 8/13/19 3.5 08/13/2019 298,500 298,709
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 0.75 12/25/2032 14,000,000 473,104
Structured Asset Securities Corp Mortgage Loan Trust 2006-EQ1, Floating Rate Note, 7/25/36 (144A) 0.3 07/25/2036 5,000,000 3,197,710
Drillships Financing Holding, Inc., 3/31/21 6.0 03/02/2021 992,500 996,594
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 0.3511 07/15/2036 5,000,000 1,215,271
JOHN DEERE CAPITAL Corp., Floating Rate Note, 2/25/16 0.3272 02/25/2016 2,883,000 2,882,113
Calpine Corp., 10/9/19 4.0 09/27/2019 764,054 767,038
Berkshire Hathaway Finance Corp., Floating Rate Note, 1/10/17 0.3773 01/10/2017 1,855,000 1,857,936
Cabmt Flt% 17sep18 10-2a-A2 0.8511 09/17/2018 300,000 301,764
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 0.5711 06/15/2036 5,835,000 694,275
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 0.4 02/25/2037 20,692,000 1,153,681
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 0.4011 04/15/2022 497,205 492,937
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 0.7 05/25/2040 2,619,152 1,339,559
Chesapeake Funding LLC, Floating Rate Note, 11/7/23 (144A) 2.1515 11/07/2023 250,000 253,482
PFS Financing Corp., Floating Rate Note, 10/17/16 (144A) 0.8511 10/17/2016 2,185,723 2,188,368
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 1.15 08/25/2034 158,000 6,623
Bright Horizons Family Solutions, Inc., 1/30/20 3.75 01/14/2020 375,250 376,247
Svenska Handelsbanken New York NY, Floating Rate Note, 11/17/14 0.3959 11/17/2014 1,000,000 1,000,544
Caterpillar Financial Services Corp., Floating Rate Note, 2/9/15 0.574 02/09/2015 2,000,000 2,005,013
Sequoia Mortgage Trust 2004-12, Floating Rate Note, 1/20/35 0.4193 01/20/2035 39,171,595 4,528,105
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37 0.77 12/25/2037 21,428,000 859,450
Mississippi Business Finance Corp., Floating Rate Note, 12/1/30 0.06 12/01/2030 2,500,000 2,500,117
Balta Flt% 25jan35 04-12-1a2 0.99 01/25/2035 11,245,000 1,329,352
Government National Mortgage Association, Floating Rate Note, 5/16/38 0.5511 05/16/2038 8,761,000 887,660
BA Credit Card Trust, Floating Rate Note, 12/15/16 0.2211 12/15/2016 6,150,000 6,149,432
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 0.48 01/25/2036 810,000 603,857
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R6, Floating Rate Note, 8 0.35 08/25/2035 2,850,000 39,687
Activision Blizzard, Inc., 7/26/20 3.25 07/26/2020 1,350,000 1,353,164
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 1.7765 10/15/2054 2,500,000 1,679,607
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/33 0.55 08/25/2033 485,000 22,649
Federal Farm Credit Banks, Floating Rate Note, 12/15/14 0.1711 12/15/2014 3,000,000 3,001,437
RAMP Series 2005-RZ4 Trust, Floating Rate Note, 11/25/35 0.41 11/25/2035 21,876,980 201,159
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 0.4 09/25/2030 10,120,098 1,817,820
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 0.4511 01/15/2036 1,837,000 450,541
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 0.65 06/25/2035 5,850,460 2,457,860
United Auto Credit Securitization Trust 2013-1, 1.74%, 4/15/16 (144A) 1.74 04/15/2016 1,900,000 1,910,107
Fosse Master Issuer Plc, Floating Rate Note, 10/18/54 (144A) 1.6279 10/18/2054 1,000,000 820,407
Ally Auto Receivables Trust 2013-2, Floating Rate Note, 7/15/16 0.41 07/15/2016 1,500,000 1,500,917
HLSS Servicer Advance Receivables Trust, 1.4953%, 1/16/46 (144A) 1.4953 01/16/2046 3,360,000 3,365,929
AmeriCredit Automobile Receivables Trust 2013-1, 0.49%, 6/8/16 0.49 06/08/2016 2,000,000 585,880
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/36 0.4511 03/15/2036 5,000,000 1,339,067
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 3/18/16 0.7149 03/18/2016 1,575,000 1,586,593
Ryder System, Inc., 3.15%, 3/2/15 3.15 03/02/2015 2,000,000 2,055,556
ZIGGO BV, (USD) TLB3, 1/15/22   01/15/2022 1,136,553 1,121,162
Burger King Corp., 9/28/19 3.75 09/28/2019 243,295 244,578
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 2.6021 06/25/2030 2,875,810 557,193
Carrington Mortgage Loan Trust Series 2005-NC4, Floating Rate Note, 9/25/35 0.55 09/25/2035 375,000 60,955
PNC Bank NA, Floating Rate Note, 4/29/16 0.5466 04/29/2016 3,268,000 3,271,088
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 0.42 09/25/2035 38,687,000 3,809,086
Unifrax I LLC, 11/28/18 4.25 12/31/2019 984,060 984,060
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 0.5511 02/15/2033 49,250,000 768,196
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/15/27 1.4511 02/15/2027 3,350,000 3,355,438
Freddie Mac Strips, Floating Rate Note, 8/15/36 0.4011 08/15/2036 10,000,000 624,277
Hartford Life Global Funding Trusts, Floating Rate Note, 6/16/14 0.4134 06/16/2014 1,500,000 1,501,298
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 0.7011 02/15/2033 15,000,000 515,044
Truven Health Analytics, Inc., 6/6/19 4.5 05/23/2019 343,901 341,537
Sequoia Mortgage Trust 4, Floating Rate Note, 11/22/24 0.8678 11/22/2024 6,940,000 193,523
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 1.15 03/25/2037 2,300,000 283,659
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 1.6281 12/22/2054 2,000,000 1,741,000
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 4/20/18 0.5493 04/20/2018 1,190,000 1,193,594
Conseco Financial Corp., 7.05%, 1/15/19 7.05 01/15/2019 600,362 7,581
Salomon Mortgage Loan Trust Series 2001-CB4, Floating Rate Note, 11/25/33 1.05 11/25/2033 4,754,000 136,067
Sequoia Mortgage Trust 2005-2, Floating Rate Note, 3/20/35 0.3693 03/20/2035 3,900,000 396,899
Harley-Davidson Motorcycle Trust 2011-2, 1.11%, 9/15/16 1.11 09/15/2016 300,000 100,129
Westpac Banking Corp., 4.2%, 2/27/15 4.2 02/27/2015 2,000,000 2,078,909
Volkswagen Auto Lease Trust 2014-A, Floating Rate Note, 10/20/16 0.3593 10/20/2016 1,500,000 1,500,670
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 9/25/14 (144A) 1.275 09/25/2014 6,512,459 1,487,346
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/36 0.39 12/25/2036 4,800,000 333,187
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 0.79 03/25/2034 50,182,000 3,207,304
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 0.5011 02/15/2036 5,000,000 480,606
Equity One Mortgage Pass-Through Trust 2004-3, Floating Rate Note, 7/25/34 0.47 07/25/2034 14,189,000 870,645
Jarden Corp., 9/30/20 2.9 09/18/2020 995,000 998,831
Foundation Re III, Ltd., Floating Rate Note, 2/25/15 (Cat Bond) (144A) 5.0203 02/25/2015 1,550,000 1,564,441
DEALERTRACK TECHNOLOGIES INC, Term Loan, 2/27/21 3.5 02/27/2021 1,000,000 1,000,306
Emdeon, Inc., 11/2/18 3.75 11/02/2018 1,610,542 1,611,347
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-E, Floating Rate Note, 11/25/29 0.81 11/25/2029 51,192,450 3,519,739
Hyundai Capital Auto Funding VIII, Ltd., Floating Rate Note, 9/20/16 (144A) 1.1493 09/20/2016 4,279,000 881,984
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.85 01/25/2035 17,745,000 2,242,520
JPMorgan Chase & Co., Floating Rate Note, 10/15/15 0.8865 10/15/2015 2,000,000 2,013,633
Structured Asset Securities Corp Mortgage Loan Trust 2006-GEL4, Floating Rate Note, 10/25/36 (144A) 0.37 10/25/2036 5,557,000 2,436,632
GE Business Loan Trust 2003-1, Floating Rate Note, 4/15/31 (144A) 0.5811 04/15/2031 20,374,890 1,090,570
Drock Flt% 16jul18 13-1-A 0.4911 07/16/2018 200,000 200,277
CIH International Sarl, 5/1/20 2.75 04/29/2020 992,500 996,115
Capital One NA, Floating Rate Note, 3/22/16 0.6836 03/22/2016 1,900,000 1,907,606
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/31 0.75 11/25/2031 44,000,000 461,165
Nhel Flt% 25mar35 04-4-M3 1.23 03/25/2035 1,150,000 645,790
First Franklin Mortgage Loan Trust Series 2005-FF12, Floating Rate Note, 11/25/36 0.41 11/25/2036 1,750,000 291,127
Ford Credit Auto Owner Trust 2013-C, 0.55%, 4/15/16 0.55 04/15/2016 1,480,000 881,499
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 0.5605 06/28/2044 8,536,000 279,101
Hologic, Inc., 8/1/19 3.25 08/01/2019 916,837 917,051
John Deere Owner Trust 2013-B, 0.55%, 1/15/16 0.55 01/15/2016 100,000 81,692
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 1.18 08/15/2017 1,138,000 456,706
Impac CMB Trust Series 2004-5, Floating Rate Note, 10/25/34 0.87 10/25/2034 27,915,000 1,708,923
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 0.61 06/25/2034 41,830,000 2,083,928
Kinetic Concepts, Inc., 5/4/18 4.0 05/04/2018 591,233 592,500
Amcar 0.65% 08dec17 13-2-A3 0.65 12/08/2017 485,000 485,454
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Series 2004-4, Floating Rate Note, 10 0.7 10/25/2034 3,977,618 965,993
GE Equipment Small Ticket LLC, 0.59%, 8/24/16 0.59 08/24/2016 1,900,000 1,901,046
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MHQ, Floating Rate Note 1.2 12/25/2034 1,560,000 105,658
Campbell Soup Co., Floating Rate Note, 8/1/14 0.5254 08/01/2014 3,225,000 3,228,182
Banc of America Mortgage 2003-A Trust, Floating Rate Note, 2/25/33 2.9789 02/25/2033 10,560,000 110,558
Bear Stearns Asset Backed Securities Trust 2005-SD1, Floating Rate Note, 8/25/43 0.55 08/25/2043 310,000 108,476
Chase Issuance Trust, Floating Rate Note, 5/15/17 0.2511 05/15/2017 2,000,000 1,999,585
Atlantic Power LP, 2/20/21 4.75 02/20/2021 3,150,000 3,177,563
General Electric Capital Corp., Floating Rate Note, 1/14/16 0.4571 01/14/2016 1,865,000 1,867,935
Entercom Radio LLC, 11/23/18 4.0171 11/23/2018 357,805 359,035
GE Business Loan Trust 2006-2, Floating Rate Note, 11/15/34 (144A) 0.3311 11/15/2034 6,967,382 2,962,128
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 2.15 10/25/2023 1,705,000 1,618,382
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 0.9494 01/25/2030 15,000,000 1,119,243
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 0.4634 05/02/2017 2,000,000 2,002,491
Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A) 0.45 01/25/2036 21,217,354 1,878,901
HLSS Servicer Advance Receivables Trust, 1.2437%, 1/17/45 1.2437 01/17/2045 3,750,000 3,757,698
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 0.61 03/25/2030 39,366,746 3,088,495
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-22A, Floating Rate Note, 6/25/3 2.5119 06/25/2033 4,000,000 396,410
The Bank of New York Mellon Corp., Floating Rate Note, 7/28/14 0.4979 07/28/2014 2,340,000 2,342,165
Ascentium Equipment Receivables 2014-1 LLC, 1.04%, 1/10/17 1.04 01/10/2017 1,000,000 1,000,972
Mirror BidCo Corp., 12/18/19 4.25 12/18/2019 1,014,079 1,015,346
Wfnmt 3.96% 15apr19 10-A-A 3.96 04/15/2019 200,000 206,993
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.37 04/25/2031 6,464,393 1,288,305
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 0.4729 07/20/2019 1,250,000 444,502
TI Group Automotive Systems LLC, 3/28/19 5.5 03/27/2019 639,905 643,705
Nissan Auto Lease Trust, Floating Rate Note, 6/15/15 0.2511 06/15/2015 2,570,000 424,708
Government National Mortgage Association, Floating Rate Note, 4/16/29 0.4511 04/16/2029 50,000,000 622,707
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 0.801 01/18/2032 16,977,308 290,068
Harley-Davidson Motorcycle Trust 2012-1, 0.68%, 4/15/17 0.68 04/15/2017 2,600,000 1,854,849
Loma Reinsurance, Ltd. Bermuda, Floating Rate Note, 1/8/18 (Cat Bond) (144A) 9.7804 01/08/2018 1,000,000 1,040,554
ACE Securities Corp Home Equity Loan Trust Series 2002-HE3, Floating Rate Note, 10/25/32 1.95 10/25/2032 4,600,000 1,365,769
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 (144A) 4.838 07/15/2041 2,030,626 748,015
Merrill Lynch Mortgage Trust 2005-CIP1, Floating Rate Note, 7/12/38 5.047 07/12/2038 2,170,000 2,262,021
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 0.55 05/25/2033 9,443,647 367,775
Vw Flt% 23may16 0.4474 05/23/2016 1,900,000 1,901,278
CNH Equipment Trust 2013-C, 0.63%, 1/17/17 0.63 01/17/2017 1,903,426 1,905,642
Stanwich Mortgage Loan Trust, 2.9814%, 2/16/43 (144A) 2.9814 02/16/2043 3,025,000 1,631,857
Santander Drive Auto Receivables Trust 2012-5, 0.83%, 12/15/16 0.83 12/15/2016 1,600,000 1,200,035
Government National Mortgage Association, Floating Rate Note, 8/20/38 0.6493 08/20/2038 4,585,000 536,467
Bear Stearns Asset Backed Securities Trust 2003-AC5, Floating Rate Note, 10/25/33 1.25 10/25/2033 2,875,000 301,035
Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A) 0.4488 04/25/2022 2,000,000 1,841,078
Harris County Health Facilities Development Corp., Floating Rate Note, 12/1/41 0.07 12/01/2041 6,210,000 6,210,315
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 8.1034 01/07/2016 1,000,000 1,051,580
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-D, Floating Rate Note, 9/25/29 2.1218 09/25/2029 11,000,000 807,690
GE Business Loan Trust 2004-2, Floating Rate Note, 12/15/32 (144A) 0.3711 12/15/2032 5,810,863 1,412,170
ConvaTec, Inc., 12/22/16 4.0 12/01/2016 696,876 698,836
Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/17/30 2.1 12/17/2030 1,800,000 1,807,000
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 2/15/19 0.5511 02/15/2019 900,000 900,451
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/15/30 (144A) 1.9012 12/15/2030 1,500,000 1,503,535
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 0.7522 08/15/2019 1,550,000 1,556,045
Wachovia Bank Commercial Mortgage Trust Series 2007-WHALE 8, Floating Rate Note, 6/15/20 (144A) 0.2311 06/15/2020 5,000,000 781,904
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B, Floating Rate Note, 5/25/29 0.8622 05/25/2029 12,160,000 459,896
Bear Stearns ALT-A Trust 2004-8, Floating Rate Note, 9/25/34 0.85 09/25/2034 12,800,000 1,080,949
Fannie Mae Trust 2003-W6, Floating Rate Note, 9/25/42 0.5 09/25/2042 10,100,000 893,339
MetroCat Re, Ltd., Floating Rate Note, 8/5/16 (Cat Bond) (144A) 4.5304 08/05/2016 1,500,000 1,544,775
SunTrust Bank, Floating Rate Note, 4/1/15 0.5334 04/01/2015 1,390,000 1,390,953
Ffcb Flt% 09mar15 0.08 03/09/2015 2,200,000 2,199,494
Mercedes-Benz Master Owner Trust, Floating Rate Note, 11/15/16 (144A) 0.4211 11/15/2016 1,000,000 1,000,424
American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A) 0.6022 05/26/2016 825,000 828,711
BAMLL Commercial Mortgage Securities Trust 2012-CLRN, Floating Rate Note, 8/15/29 (144A) 2.2511 08/15/2029 3,035,000 3,041,830
RASC Series 2005-EMX2 Trust, Floating Rate Note, 7/25/35 0.63 07/25/2035 157,752 59,950
Volkswagen Auto Lease Trust 2012-A, 0.87%, 7/20/15 0.87 07/20/2015 1,412,000 767,398
PNC Funding Corp., 5.4%, 6/10/14 5.4 06/10/2014 1,585,000 1,626,919
CommScope, Inc., 1/14/18 3.25 01/14/2018 238,854 239,672
Hyundai Auto Receivables Trust 2013-A, 0.4%, 12/15/15 0.4 12/15/2015 1,780,000 575,713
Wells Fargo Commercial Mortgage Trust 2014-TISH, Floating Rate Note, 2/15/27 (144A) 1.1811 02/15/2027 2,220,000 2,221,166
West Corp., 6/30/18 3.25 06/30/2018 1,143,359 1,133,355
AXIS Equipment Finance Receivables II LLC, 1.75%, 6/20/16 1.75 06/20/2016 1,000,000 791,676
Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36 0.5 05/25/2036 6,501,000 2,205,261
JP Morgan Chase Commercial Mortgage Securities Corp., 4.878%, 1/15/42 4.878 01/15/2042 3,500,000 3,562,930
Bank of Nova Scotia, Floating Rate Note, 3/15/16 0.6334 03/15/2016 2,000,000 2,009,407
The University of Texas System, Floating Rate Note, 8/1/34 0.04 08/01/2034 11,970,000 11,970,669
Armstrong World Industries, Inc., 3/15/20 3.5 02/26/2020 1,089,248 1,092,647
Oxford Finance Funding Trust 2012-1, 3.9%, 3/15/17 (144A) 3.9 03/15/2017 2,710,000 459,653
World Financial Network Credit Card Master Trust, Floating Rate Note, 2/15/19 0.5311 02/15/2019 2,850,000 2,854,629
Amsi Flt% 25jul35 05-R5-M1 0.58 07/25/2035 84,000 82,797
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 0.46 02/25/2035 2,497,000 873,150
Pepper Residential Securities Trust, Floating Rate Note, 7/24/14 (144A) 0.5 07/24/2014 1,000,000 989,351
LB-UBS Commercial Mortgage Trust 2005-C7, Floating Rate Note, 11/15/30 (144A) 5.197 11/15/2030 3,611,979 3,751,222
Direct Capital Funding V LLC, 0.7%, 9/20/14 (144A) 0.7 09/20/2014 1,309,000 203,684
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/18 0.4511 11/15/2018 7,142,857 165,693
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 3.5304 05/05/2017 2,500,000 2,490,583
Nissan Auto Receivables 2013-C Owner Trust, 0.4%, 6/15/16 0.4 06/15/2016 2,075,000 2,075,585
American Honda Finance Corp., Floating Rate Note, 11/13/14 (144A) 0.3241 11/13/2014 1,300,000 1,300,892
State Street Bank & Trust Co., Floating Rate Note, 12/8/15 0.4351 12/08/2015 2,320,000 2,320,629
Nelnet Student Loan Trust 2005-1, Floating Rate Note, 10/26/20 0.2988 10/26/2020 1,795,000 652,419
Countrywide Asset-Backed Certificates, Floating Rate Note, 1/25/36 0.52 01/25/2036 125,000 25,222
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A)   04/30/2018 2,000,000 2,006,600
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 11/15/22 3.5 11/15/2022 1,100,000 4,859
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 0.4731 02/22/2021 2,250,000 1,696,303
JBS USA LLC, 5/25/18 3.75 05/25/2018 874,626 874,079
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 0.55 07/25/2035 1,110,000 1,068,141
Castle Garden Funding, Floating Rate Note, 10/27/20 (144A) 0.4961 10/27/2020 7,000,000 2,141,913
Arc Automotive Group, Inc., 11/15/18 6.0 11/01/2018 480,469 484,673
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 1/15/24 4.0 01/15/2024 1,801,000 107,912
Navitas Equipment Receivables LLC 2013-1, 1.95%, 11/15/16 1.95 11/15/2016 1,750,000 1,278,784
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 0.6836 03/22/2016 3,000,000 3,001,813
Charter Communications Operating LLC, 12/31/20 3.0 01/01/2021 1,315,063 1,298,441
ABFC 2003-WMC1 Trust, Floating Rate Note, 3/25/33 2.925 03/25/2033 3,574,825 70,264
NCUA Guaranteed Notes Trust, Floating Rate Note, 3/11/20 0.5503 03/11/2020 2,035,000 1,140,168
Amcar 2.45% 08dec16 11-5-B 2.45 12/08/2016 1,700,000 1,717,942
Option One Mortgage Loan Trust 2005-1, Floating Rate Note, 2/25/35 0.95 02/25/2035 600,000 201,796
Credit Acceptance Auto Loan Trust 2012-2, 2.21%, 9/15/20 (144A) 2.21 09/15/2020 2,000,000 2,030,332
Global Container Assets 2013-1, Ltd., 2.2%, 11/5/28 (144A) 2.2 11/05/2028 1,750,000 1,442,486
Big Heart Pet Brands, 2/24/20 3.5 02/24/2020 481,871 478,633
Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2005-FM1, Floating Rate Note, 5/25/35 0.62 05/25/2035 1,700,000 104,624
WR Grace & Co., 1/23/21 3.0 01/23/2021 812,023 809,688
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 0.46 05/25/2036 13,100,000 1,668,486
Honda Auto Receivables 2012-2 Owner Trust, 0.7%, 2/16/16 0.7 02/16/2016 1,200,000 788,571
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 0.9 02/25/2035 21,336,125 1,543,081
Livingston International, Inc., 4/18/19 5.0 04/18/2019 496,250 497,801
General Electric Capital Corp., Floating Rate Note, 1/8/16 0.8296 01/08/2016 2,300,000 2,318,334
RegionalCare Hospital Partners, Inc., 4/21/19 6.0 04/21/2019 493,763 492,219
Riverfront Re, Ltd., Floating Rate Note, 1/6/17 (Cat Bond) (144A)   01/06/2017 1,000,000 980,600
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/32 1.15 07/25/2032 15,000,000 236,515
Colony American Homes 2014-1, Floating Rate Note, 5/17/31 2.0011 05/17/2031 2,300,000 2,293,774
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19, Floating Rate Note, 2/12/49 5.703 02/12/2049 475,000 127,598
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 7/20/16 0.7493 07/20/2016 1,200,000 1,200,924
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 0.5759 05/23/2016 3,150,000 3,168,748
Capital One Multi-Asset Execution Trust, Floating Rate Note, 8/15/18 0.2411 08/15/2018 6,145,000 6,138,567
CIFC Funding 2007-I, Ltd., Floating Rate Note, 5/10/21 0.4834 05/10/2021 500,000 404,516
Countrywide Asset-Backed Certificates, Floating Rate Note, 12/25/35 0.64 12/25/2035 750,000 208,968
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 0.6 02/25/2038 2,184,000 721,309
Lower Neches Valley Authority Industrial Development Corp., Floating Rate Note, 11/1/38 0.05 11/01/2038 16,475,000 16,475,776
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/36 0.44 07/25/2036 2,000,000 319,854
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 0.5933 03/13/2017 2,000,000 2,005,358
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 1.0494 06/25/2028 44,308,430 1,825,261
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/37 0.7 10/25/2037 1,030,000 156,207
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/23 0.65 03/25/2023 17,080,403 199,419
WideOpenWest Finance LLC, 4/1/19 4.75 03/27/2019 240,511 241,883
General Electric Capital Corp., Floating Rate Note, 8/1/17 1.375 08/01/2017 500,000 502,518
Queen Street V Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 8.555 04/09/2015 1,250,000 1,297,875
SNAAC Auto Receivables Trust, 4.38%, 6/15/17 (144A) 4.38 06/15/2017 1,800,000 1,836,379
TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16 0.9136 06/30/2016 1,204,000 1,215,827
Royal Bank of Canada, Floating Rate Note, 9/9/16 0.6951 09/09/2016 2,000,000 2,013,535
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 7.555 04/09/2015 2,250,000 2,320,200
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 0.7 10/25/2017 5,500,000 120,937
321 Henderson Receivables I LLC, Floating Rate Note, 9/15/45 (144A) 0.5011 09/15/2045 1,386,000 380,385
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 1.0279 10/28/2016 1,725,000 1,739,649
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 2.4505 07/25/2033 8,050,000 1,063,307
Residential Asset Securitization Trust 2003-A15, Floating Rate Note, 2/25/34 0.6 02/25/2034 10,120,000 679,184
Bbt Flt% 23may17 0.5274 05/23/2017 500,000 496,283
GreenPoint Mortgage Funding Trust 2005-HE1, Floating Rate Note, 9/25/34 0.825 09/25/2034 1,357,437 1,003,122
Morgan Stanley ABS Capital I Inc Trust 2005-WMC3, Floating Rate Note, 3/25/35 0.855 03/25/2035 131,174 84,713
RREF 2012 LT1 LLC, 2.85%, 5/15/24 2.85 05/15/2024 2,000,000 2,003,702
New York Life Global Funding, Floating Rate Note, 7/30/14 (144A) 0.2249 07/30/2014 1,300,000 1,300,440
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 9.035 01/08/2015 250,000 257,588
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/23 2.349 10/01/2023 1,890,000 10,358
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 0.4505 02/28/2041 5,200,000 194,333
Westpac Banking Corp., Floating Rate Note, 7/17/15 (144A) 1.0264 07/17/2015 500,000 504,206
Cedar Fair LP, 3/6/20 3.25 02/20/2020 98,476 99,029
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 0.47 11/25/2036 1,625,000 397,625
Wachovia Corp., Floating Rate Note, 10/28/15 0.5649 10/28/2015 1,983,000 1,986,604
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 1.15 02/25/2024 1,555,000 1,527,612
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 9/10/47 5.1771 09/10/2047 6,175,000 6,505,944
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 0.41 12/25/2035 2,967,970 906,427
Seminole Tribe of Florida, Inc., 4/29/20 3.0 04/11/2020 1,395,000 1,392,602
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 3.75 08/20/2025 2,805,000 1,928,515
American Credit Acceptance Receivables Trust 2012-2, 1.89%, 7/15/16 (144A) 1.89 07/15/2016 800,000 103,578
South Carolina Student Loan Corp., Floating Rate Note, 12/3/18 0.3361 12/03/2018 2,250,000 102,356
NEP, 1/22/20 4.25 01/22/2020 618,750 619,755
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-11, Floating Rate Note, 1 0.89 12/25/2033 6,950,000 317,592
Terex Corp., 4/28/17 3.5 04/28/2017 310,336 311,742
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 1.5 06/25/2033 1,826,298 1,171,182
EquiVantage Home Equity Loan Trust 1997-1, 8.05%, 3/25/28 (Step) 8.05 03/25/2028 1,500,000 28,950
Expert Global Solutions, Inc., 4/3/18 8.5 03/13/2018 30,696 29,699
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 0.4179 01/27/2017 1,900,000 1,903,266
Cbaau Flt% 18sep15 144a 1.0349 09/18/2015 1,575,000 1,592,223
United Auto Credit Securitization Trust 2012-1, 2.52%, 3/15/16 2.52 03/15/2016 1,645,000 1,657,036
Toyota Motor Credit Corp., Floating Rate Note, 1/23/15 0.3959 01/23/2015 1,290,000 1,291,979
CCG Receivables Truste 2013-1, 1.05%, 4/14/20 (144A) 1.05 04/14/2020 900,000 687,987
Visteon Corp Term B 1st Lien Dd L + 2.75% 08apr21 3.5 04/08/2021 500,000 496,485
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 6/20/17 1.0493 06/20/2017 500,000 499,090
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/33 0.5511 06/15/2033 10,000,000 641,234
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 0.71 01/25/2030 47,698,025 2,596,465
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 0.9 12/25/2034 5,414,212 559,916
USI, Inc. New York, 12/30/19 4.25 12/30/2019 1,096,167 1,098,222
AmeriCredit Automobile Receivables Trust 2013-4, 0.74%, 11/8/16 0.74 11/08/2016 1,500,000 1,147,383
Steward Health Care System LLC, 4/10/20 6.75 04/12/2020 992,500 981,334
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/34 0.45 11/25/2034 9,662,000 861,512
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 1.3493 11/20/2036 5,875,000 1,651,921
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/33 1.1511 11/15/2033 2,550,000 359,409
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/35 0.45 12/25/2035 3,750,000 445,755
CarMax Auto Owner Trust 2010-2, 2.04%, 10/15/15 2.04 10/15/2015 220,000 60,987
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 0.5 08/25/2036 4,987,000 1,553,594
TD Ameritrade Holding Corp., 4.15%, 12/1/14 4.15 12/01/2014 2,100,000 2,182,404
Verint Systems, Inc., 9/6/19 3.5 09/06/2019 745,631 744,792
Mississippi Business Finance Corp., Floating Rate Note, 11/1/35 0.05 11/01/2035 3,000,000 3,000,149
Maryland Health & Higher Educational Facilities Authority, Floating Rate Note, 7/1/36 0.05 07/01/2036 8,890,000 8,890,485
COMM 2013-FL3 Mortgage Trust, Floating Rate Note, 10/13/28 (144A) 1.6681 10/13/2028 1,597,000 1,602,099
World Omni Auto Receivables Trust 2013-B, 0.48%, 11/15/16 0.48 11/15/2016 50,000 49,714
BlackRock, Inc., 3.5%, 12/10/14 3.5 12/10/2014 1,037,000 1,071,416
Harris County Health Facilities Development Corp., Floating Rate Note, 12/1/41 0.07 12/01/2041 9,340,000 9,340,473
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 0.617 11/21/2016 2,465,000 2,461,875
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 0.5274 11/23/2016 1,800,000 1,804,200
BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A) 2.9442 09/26/2035 8,854,257 2,705,514
Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A)   01/09/2017 2,000,000 1,983,600
Resimac MBS Trust, Floating Rate Note, 3/7/15 (144A) 0.4515 03/07/2015 1,500,000 1,500,345
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 2/15/38 5.014 02/15/2038 2,536,000 2,220,670
Bayview Financial Acquisition Trust, Floating Rate Note, 8/28/44 0.7355 08/28/2044 22,812,944 22,484
ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A) 3.081 09/25/2025 1,558,000 1,073,647
Wilshire Mortgage Loan Trust, Floating Rate Note, 5/25/28 0.43 05/25/2028 10,000,000 38,084
Ibis Re II, Ltd., Floating Rate Note, 2/5/15 (Cat Bond) (144A) 8.3956 02/05/2015 300,000 308,399
Jpmcc Flt% 15nov18 06-Fl2a-E 0.4311 11/15/2018 8,570,000 1,905,622
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 1.35 08/25/2034 1,523,000 287,166
Fremont Home Loan Trust 2005-B, Floating Rate Note, 4/25/35 0.795 04/25/2035 2,750,000 840,792
Gracechurch Card Funding Plc, Floating Rate Note, 5/15/19 (144A) 1.0011 05/15/2019 1,300,000 1,319,103
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 0.4011 08/15/2036 17,556,000 1,128,152
GSAMP Trust 2004-SEA2, Floating Rate Note, 3/25/34 0.8 03/25/2034 3,898,600 3,708,731
Wells Fargo Bank NA, Floating Rate Note, 6/16/14 0.181 06/16/2014 1,800,000 1,800,150
East Lane Re, Ltd., Floating Rate Note, 3/13/15 (Cat Bond) (144A) 6.6956 03/13/2015 1,000,000 1,033,154
COMM 2007-FL14 Mortgage Trust, Floating Rate Note, 6/15/22 (144A) 0.4511 06/15/2022 9,355,000 2,871,048
Vwmt Flt% 20sep16 11-1a-Note 0.8293 09/20/2016 400,000 400,650
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 0.5893 10/20/2017 888,000 890,226
Tal 1.7% 20may39 A1 1.7 05/20/2039 1,400,000 1,401,668
Citigroup, Inc., Floating Rate Note, 11/5/14 0.5029 11/05/2014 2,692,000 2,694,760
Weight Watchers International, Inc., 4/2/20 4.0 04/02/2020 1,980,000 1,576,575
Ardagh Holdings USA, Inc., 12/17/19 4.0 12/17/2019 684,000 684,285
GSAMP Trust 2004-HE2, Floating Rate Note, 9/25/34 0.87 09/25/2034 163,261,786 1,442,317
Crown Castle 1st Lien Term-B2 L + 2.5% 31jan21 3.25 01/31/2021 1,189,148 1,185,990
Valeant Pharmaceuticals International, Inc., 12/11/19 3.75 12/11/2019 591,000 590,894
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 0.8511 12/15/2039 2,334,000 1,055,150
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/40 0.5511 11/15/2040 1,265,000 716,959
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 11/10/16 (Cat Bond) (144A) 11.779 11/10/2016 500,000 535,493
Structured Asset Investment Loan Trust 2005-4, Floating Rate Note, 5/25/35 0.75 05/25/2035 1,000,000 144,777
Vita Capital IV, Ltd., Floating Rate Note, 1/15/16 (Cat Bond) (144A) 2.922 01/15/2016 400,000 406,342
Government National Mortgage Association, Floating Rate Note, 8/16/39 1.1511 08/16/2039 2,960,000 603,825
Sensata Technologies BV, 5/12/18 3.25 04/29/2018 531,443 534,480
Triton Container Finance LLC, Floating Rate Note, 2/26/19 (144A) 0.29 02/26/2019 1,287,000 120,256
Metropolitan Life Global Funding I, 5.125%, 6/10/14 (144A) 5.125 06/10/2014 720,000 738,107
The Manitowoc Co, Inc., 12/18/20 3.25 12/18/2020 85,000 85,026
TORONTO-DOMINION BANK, Floating Rate Note, 11/6/15 0.4229 11/06/2015 1,725,000 1,727,982
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 0.5972 05/27/2016 2,530,000 2,542,145
NCUA Guaranteed Notes Trust, Floating Rate Note, 12/8/20 0.7115 12/08/2020 410,000 300,421
Kane Flt% 01dec20   12/01/2020 2,008,000 2,008,000
Merrill Lynch Mortgage Trust 2004-KEY2, Floating Rate Note, 8/12/39 4.864 08/12/2039 1,155,000 769,886
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 0.5011 05/15/2041 340,000 127,398
Crusade Global Trust, Floating Rate Note, 4/19/38 0.2879 04/19/2038 9,883,244 1,883,635
TransDigm, Inc., 2/28/20 3.75 02/28/2020 322,550 321,492
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/35 0.66 06/25/2035 1,575,000 698,729
Federal Home Loan Banks, 2.5%, 6/13/14 2.5 06/13/2014 10,855,000 10,989,685
The Huntington National Bank, Floating Rate Note, 4/24/17 0.6536 04/24/2017 2,000,000 2,002,796
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/34 5.0 06/15/2034 1,318,000 200,563
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 0.61 11/25/2035 1,945,000 1,902,225
RENT-A-CENTER, INC, Term Loan (2014), 2/6/21 3.75 02/06/2021 1,750,000 1,736,875
Rovi Solutions Corp., 3/29/19 3.5 03/29/2019 1,547,422 1,542,586
Morgan Stanley Capital I Trust 2005-HQ6, 4.989%, 8/13/42 4.989 08/13/2042 6,250,000 6,471,409
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.6 09/25/2037 9,159,000 442,745
HarborView Mortgage Loan Trust 2004-4, Floating Rate Note, 6/19/34 1.2765 06/19/2034 25,700,000 256,072
Kane Flt% 30jul16   07/30/2016 1,006,000 1,006,000
ABFC 2005-WF1 Trust, Floating Rate Note, 12/25/34 0.46 12/25/2034 1,610,000 802,778
Noranda Aluminum Acquisition Corp., 2/28/19 5.75 02/17/2019 117,600 113,190
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC17, 5.45%, 12/12/43 5.45 12/12/2043 48,000 8,107
ARI Fleet Lease Trust, 0.81%, 11/15/22 (144A) 0.81 11/15/2022 2,000,000 2,002,582
First Franklin Mortgage Loan Trust 2004-FF10, Floating Rate Note, 9/25/34 1.23 09/25/2034 1,161,072 55,581
Federal National Mortgage Association REMICS, 4.5%, 1/25/38 4.5 01/25/2038 4,850,000 15,222
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 0.4693 11/20/2034 3,885,000 422,861
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 0.4611 06/15/2036 52,250,000 2,499,315
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 0.43 09/25/2035 13,780,000 1,291,461
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 4.7304 01/07/2015 2,970,000 3,023,980
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 7.2804 07/05/2016 2,250,000 2,340,638
Virgin Media Investment Holdings, Ltd., 6/8/20 3.5 02/06/2020 2,205,000 2,190,185
The Hertz Corp., 3/11/18 3.75 03/11/2018 740,625 741,860
Ally Auto Receivables Trust 2011-4, 0.79%, 9/15/15 0.79 09/15/2015 750,000 18,688
Anheuser-Busch Companies LLC, 5.0%, 1/15/15 5.0 01/15/2015 691,000 723,832
Home Equity Asset Trust 2005-6, Floating Rate Note, 12/25/35 0.62 12/25/2035 3,404,000 3,356,085
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 12/8/20 0.7115 12/08/2020 1,330,000 975,645
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/17 0.6 02/25/2017 14,970,453 18,692
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 0.5533 09/13/2016 1,814,000 1,805,618
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.2 10/25/2037 2,211,066 1,961,819
Toyota Motor Credit Corp., Floating Rate Note, 5/17/16 0.5159 05/17/2016 2,800,000 2,809,945
Chase Issuance Trust, Floating Rate Note, 4/15/19 0.2011 04/15/2019 1,350,000 1,342,354
Structured Asset Mortgage Investments II Trust 2004-AR1, Floating Rate Note, 3/19/34 0.851 03/19/2034 16,800,000 998,373
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 2.125 09/15/2015 551,000 562,908
Wyle 1st Lien Tl-B L + 4% 22may21   05/22/2021 207,636 208,155
Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2006-HE1, Floating Rate Note, 2/25/36 0.36 02/25/2036 1,700,000 194,623
Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/15/26 (144A) 1.9011 08/15/2026 1,375,000 1,379,099
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 0.65 03/25/2024 14,460,650 632,496
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.1 10/25/2037 4,080,200 1,242,040
Alliant Holdings I, Inc., 12/20/19 4.25 12/07/2019 243,940 244,470
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 1.09 12/25/2034 23,713,000 719,047
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 0.5503 04/10/2028 1,100,000 1,100,319
Kleopatra Acquisition Corp., 12/21/16 4.75 12/14/2016 693,602 699,094
The PNC Financial Services Group, Inc., Floating Rate Note, 2/21/49 (Perpetual) 4.447 05/29/2049 1,500,000 1,504,853
IASIS Healthcare LLC, 5/3/18 4.5 05/03/2018 491,250 492,417
MortgageIT Trust 2005-2, Floating Rate Note, 5/25/35 0.41 05/25/2035 8,495,000 1,750,055
RALI Series 2004-QS1 Trust, 4.25%, 1/25/34 4.25 01/25/2034 4,500,000 49,375
Navios Maritime Partners LP, 6/27/18 5.25 06/27/2018 1,492,500 1,512,089
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/33 1.6515 05/15/2033 2,000,000 283,104
The Goldman Sachs Group, Inc., Floating Rate Note, 11/21/14 1.227 11/21/2014 1,000,000 1,004,321
Queen Street VI Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 10.5849 04/09/2015 250,000 263,425
Windstream Corp., 8/8/19 3.5 07/23/2019 714,148 712,809
Ford Credit Auto Lease Trust 2013-A, 0.46%, 5/15/15 0.46 05/15/2015 2,015,000 781,151
GreenPoint Mortgage Funding Trust 2005-HE4, Floating Rate Note, 7/25/30 0.59 07/25/2030 95,421,717 670,950
Sequoia Mortgage Trust 10, Floating Rate Note, 10/20/27 0.9093 10/20/2027 6,100,000 134,770
Credit Suisse First Boston Mortgage Securities Corp., 4.832%, 4/15/37 4.832 04/15/2037 3,450,000 3,548,162
Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34 0.89 11/25/2034 22,339,000 1,587,852
Federal Farm Credit Banks, Floating Rate Note, 9/24/14 0.19 09/24/2014 2,440,000 2,441,497
Sequoia Mortgage Trust 2003-2, Floating Rate Note, 6/20/33 1.0009 06/20/2033 13,097,000 579,461
PACCAR Financial Corp., Floating Rate Note, 6/5/14 0.4857 06/05/2014 5,660,000 5,666,728
Delta Air Lines, Inc., 4/20/17 3.5 03/29/2017 296,947 297,212
Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Floating Rate Note, 10/15/44 5.2388 10/15/2044 1,990,733 1,752,085
Federal Home Loan Mortgage Corp., Floating Rate Note, 6/1/35 2.595 06/01/2035 3,000,000 8,008
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 0.85 03/25/2035 5,042,000 785,621
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 0.7505 10/25/2028 42,221,000 1,436,892
JP Morgan Mortgage Trust 2005-A4, Floating Rate Note, 7/25/35 2.2351 07/25/2035 1,500,000 247,763
JP Morgan Chase Commercial Mortgage Securities Trust 2013-JWRZ, Floating Rate Note, 4/15/30 (144A) 0.9311 04/15/2030 4,975,000 4,942,428
Pfe Flt% 15may17 0.3739 05/15/2017 2,100,000 2,100,320
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 1.5733 03/25/2044 11,046,000 1,880,745
LEAF Receivables Funding 9 LLC, 0.88%, 11/15/15 (144A) 0.88 11/15/2015 1,500,000 1,500,587
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 0.5834 12/15/2016 2,850,000 2,842,802
Cabela's Master Credit Card Trust, Floating Rate Note, 1/16/18 (144A) 1.6011 01/16/2018 3,392,000 3,420,223
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 0.3211 04/15/2022 1,430,707 757,919
Honda Auto Receivables 2013-1 Owner Trust, 0.35%, 6/22/15 0.35 06/22/2015 1,375,000 345,643
New York Life Global Funding, 1.3%, 1/12/15 (144A) 1.3 01/12/2015 660,000 667,404
NCUA Guaranteed Notes Trust, Floating Rate Note, 10/7/20 0.6015 10/07/2020 2,000,000 1,045,703
DT Auto Owner Trust 2013-1, 0.75%, 5/16/16 (144A) 0.75 05/16/2016 1,232,000 297,183
City Center Trust 2011-CCHP, Floating Rate Note, 7/15/28 (144A) 4.65 07/15/2028 950,000 952,117
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 0.87 07/25/2035 2,600,000 2,576,176
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/15/26 (144A) 1.4511 03/15/2026 1,460,000 1,459,358
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 1.23 03/15/2019 2,401,000 1,848,066
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/25 0.4511 02/15/2025 2,142,856 569,085
Fannie Mae, Floating Rate Note, 9/1/32 2.238 09/01/2032 375,000 23,884
Aeroflex, Inc., 11/9/19 4.5 11/24/2019 126,184 126,842
The Bank of New York Mellon Corp., Floating Rate Note, 3/4/16 0.4657 03/04/2016 1,000,000 1,002,184
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 0.65 05/25/2040 8,500,000 1,643,735
Queen Street III Capital, Ltd., Floating Rate Note, 7/28/14 (144A) 4.805 07/28/2014 1,750,000 1,772,925
American Express Credit Corp., Floating Rate Note, 6/24/14 1.0836 06/24/2014 4,700,000 4,712,055
Citibank Credit Card Issuance Trust, Floating Rate Note, 2/7/18 0.3915 02/07/2018 9,931,000 9,940,405
Impac CMB Trust Series 2003-8, Floating Rate Note, 10/25/33 1.05 10/25/2033 5,200,000 377,150
Chase Issuance Trust, Floating Rate Note, 10/16/17 0.3011 10/16/2017 2,700,000 2,700,271
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 0.5511 07/15/2023 2,924,000 765,591
SMART Trust/Australia, Floating Rate Note, 7/14/16 0.4511 07/14/2016 1,500,000 1,500,320
Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A) 2.0779 01/26/2020 553,000 525,114
Michaels Stores, Inc., 1/28/20 3.75 01/16/2020 990,000 991,959
GSAA Home Equity Trust 2004-8, Floating Rate Note, 9/25/34 0.89 09/25/2034 7,860,000 311,802
Whls 0.87% 20mar23 A2 0.87 03/20/2023 1,000,000 1,000,146
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 1.3494 07/25/2029 3,866,000 167,621
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/32 0.6 09/25/2032 19,400,000 292,500
Bank of Nova Scotia, 1.85%, 1/12/15 1.85 01/12/2015 100,000 101,674
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP1, Floating Rate Note, 3/15/46 5.038 03/15/2046 3,110,000 3,084,842
Adjustable Rate Mortgage Trust 2004-1, Floating Rate Note, 1/25/35 2.4422 01/25/2035 5,000,000 484,609
Select Medical Corp., 6/1/18 3.7502 06/01/2018 236,016 235,869
Federal National Mortgage Association, Floating Rate Note, 1/27/15 0.35 01/27/2015 2,135,000 2,139,085
Cellular South, Inc., 5/23/20 3.25 05/21/2020 61,875 61,566
DigitalGlobe, Inc., 1/31/20 3.75 01/25/2020 881,720 884,062
First Horizon Mortgage Pass-Through Trust 2003-AR3, Floating Rate Note, 9/25/33 2.5925 09/25/2033 16,000,000 1,233,222
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R10, Floating Rate Note, 0.37 01/25/2036 12,055,000 848,936
CHL Mortgage Pass-Through Trust 2003-J7, Floating Rate Note, 8/25/18 0.55 08/25/2018 2,400,000 69,479
Nisource Finance Corp., 5.4%, 7/15/14 5.4 07/15/2014 2,731,000 2,802,110
TAL Advantage LLC, Floating Rate Note, 4/20/21 (144A) 0.3393 04/20/2021 1,250,000 237,044
Delta Air Lines, Inc., 10/18/18 3.5 10/18/2018 740,625 740,096
Duke Energy Ohio, Inc., Floating Rate Note, 3/6/15 0.3754 03/06/2015 725,000 726,144
AES Corp. Virginia, 6/1/18 3.75 05/27/2018 28,341 28,412
KeyBank NA Cleveland Ohio, Floating Rate Note, 11/25/16 0.7172 11/25/2016 1,800,000 1,808,157
Citigroup Mortgage Loan Trust, Inc., 6.5%, 6/25/16 6.5 06/25/2016 10,100,000 15,096
Citigroup, Inc., 5.5%, 10/15/14 5.5 10/15/2014 1,473,000 1,509,529
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 8.2229 05/07/2015 2,000,000 2,094,870
JP Morgan Mortgage Trust 2004-A5, Floating Rate Note, 12/25/34 2.2992 12/25/2034 1,119,000 914,525
MASTR Adjustable Rate Mortgages Trust 2003-3, Floating Rate Note, 9/25/33 2.1105 09/25/2033 2,650,000 836,873
Truman Capital Mortgage Loan Trust, Floating Rate Note, 1/25/34 1.85 01/25/2034 925,000 909,456
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A) 9.05 03/16/2016 250,000 271,363
Capital One Financial Corp., 2.125%, 7/15/14 2.125 07/15/2014 4,440,000 4,484,887
Fifth Third Bank Cincinnati Ohio, 4.75%, 2/1/15 4.75 02/01/2015 3,500,000 3,652,108
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/35 0.4911 05/15/2035 3,925,000 952,603
Anheuser-Busch InBev Worldwide, Inc., 4.125%, 1/15/15 4.125 01/15/2015 2,120,000 2,201,824
Darling Ingredients, Inc., 12/19/20 3.25 12/19/2020 1,590,000 1,594,452
NRG Energy, Inc., 7/1/18 2.75 07/01/2018 1,179,402 1,173,505
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 0.3 05/25/2036 2,895,912 1,008,182
Bear Stearns ALT-A Trust 2003-3, Floating Rate Note, 10/25/33 2.6146 10/25/2033 350,000 71,712
Fifth Third Bancorp, Floating Rate Note, 12/20/16 0.6549 12/20/2016 1,727,000 1,716,746
Toyota Motor Credit Corp., Floating Rate Note, 9/18/15 0.3849 09/18/2015 1,000,000 1,001,959
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 0.5 06/25/2034 11,977,997 1,222,190
DT Auto Owner Trust 2012-2, 1.85%, 4/17/17 (144A) 1.85 04/17/2017 900,000 372,162
Countrywide Home Equity Loan Trust, Floating Rate Note, 6/15/29 0.4111 06/15/2029 28,190,000 170,503
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 1.05 05/25/2035 5,600,000 1,639,503
The Coca-Cola Co., Floating Rate Note, 3/5/15 0.2157 03/05/2015 850,000 850,189
Telesat Canada, 3/28/19 3.5 03/28/2019 665,466 665,715
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 10/15/21 (144A) 0.3211 10/15/2021 10,150,000 2,982,765
Nissan Master Owner Trust Receivables, Floating Rate Note, 5/15/17 0.6211 05/15/2017 570,000 571,706
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.7 09/25/2037 1,915,000 278,456
AT&T, Inc., 0.875%, 2/13/15 0.875 02/13/2015 1,850,000 1,861,161
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 0.45 03/25/2036 700,000 125,992
Toyota Motor Credit Corp., 0.75%, 3/5/17 (Step) 0.75 03/05/2017 2,250,000 2,246,309
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 0.62 03/25/2035 5,000,000 1,702,852
WaMu Mortgage Pass-Through Certificates Series 2002-AR19 Trust, Floating Rate Note, 2/25/33 2.4621 02/25/2033 12,900,000 500,097
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 0.65 12/25/2032 15,000,000 356,407
CAM Mortgage Trust 2014-1, 3.3515%, 12/15/53 (Step) (144A) 3.3515 12/15/2053 2,060,000 1,309,307
Nissan Auto Receivables 2012-A Owner Trust, 0.73%, 5/16/16 0.73 05/16/2016 55,000 32,392
Ruby Western Pipeline Holdings LLC, 3/27/20 3.5 03/27/2020 801,336 802,088
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 0.79 01/25/2029 24,460,400 1,519,157
New Century Home Equity Loan Trust Series 2003-4, Floating Rate Note, 10/25/33 1.275 10/25/2033 2,500,000 1,466,644
Anheuser-Busch InBev Worldwide, Inc., 1.5%, 7/14/14 1.5 07/14/2014 2,300,000 2,316,761
Royal Bank of Canada, Floating Rate Note, 1/6/15 0.4604 01/06/2015 2,200,000 2,204,430
NSTAR Electric Co., Floating Rate Note, 5/17/16 0.4659 05/17/2016 1,013,000 1,011,896
Discover Card Execution Note Trust, Floating Rate Note, 1/16/18 0.3511 01/16/2018 690,000 690,501
Chemtura Corp., 8/29/16 3.5 08/27/2016 371,082 372,242
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/23 0.55 06/25/2023 3,460,000 232,396
Hyperion Insurance Group, Ltd., 10/4/19 5.75 10/03/2019 972,563 968,915
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 0.7565 07/15/2016 1,500,000 1,512,886
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 0.6086 03/30/2016 2,399,000 2,405,619
Government National Mortgage Association, Floating Rate Note, 9/16/31 0.4011 09/16/2031 34,344,532 802,635
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/30 0.7 12/25/2030 20,000,000 105,655
PACCAR Financial Corp., Floating Rate Note, 5/5/15 0.3605 05/05/2015 2,000,000 2,002,907
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/31 0.75 11/25/2031 50,000,000 524,051
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 7/10/43 4.857 07/10/2043 1,985,000 1,958,744
Wssnpl Flt% 25may54 2014_1_Ma   05/25/2054 3,530,000 3,530,000
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/35 2.2087 06/25/2035 1,500,000 254,769
Sandre Flt% 25may18   05/25/2018 1,000,000 991,500
BMW Vehicle Owner Trust 2011-A, 0.76%, 8/25/15 0.76 08/25/2015 2,630,000 286,041
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 0.4011 08/15/2035 5,000,000 1,063,811
COMM 2011-FL1 Mortgage Trust, Floating Rate Note, 7/17/28 (144A) 4.814 07/17/2028 500,000 161,825
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 0.4505 04/28/2036 4,911,055 1,474,339
Reynolds Group Holdings, Inc., 12/31/18 4.0 12/31/2018 791,258 793,126
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 11/25/34 0.95 11/25/2034 30,931,007 882,302
Chrysler Group LLC, 12/29/18 3.25 12/29/2018 2,900,000 2,886,019
Mizuho Bank, Ltd., Floating Rate Note, 4/16/17 (144A) 0.6587 04/16/2017 1,000,000 1,001,678
Westgate Resorts 2012-2 LLC, 3.0%, 1/20/25 (144A) 3.0 01/20/2025 1,000,000 465,536
RAAC Series 2005-RP3 Trust, Floating Rate Note, 5/25/39 (144A) 0.95 05/25/2039 2,000,000 1,574,767
TMS International Corp., 10/2/20 4.5 10/04/2020 149,625 150,124
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-5, Floating Rate Note, 1 0.4 12/25/2035 2,400,000 345,676
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.6 06/25/2037 900,000 120,768
Citibank Credit Card Issuance Trust, Floating Rate Note, 4/24/17 0.25 04/24/2017 10,870,000 10,866,334
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/32 0.75 08/25/2032 5,000,000 102,870
GSAA Home Equity Trust 2004-11, Floating Rate Note, 12/25/34 0.81 12/25/2034 5,735,000 327,099
Enterprise Fleet Financing LLC, 0.87%, 9/20/19 0.87 09/20/2019 2,000,000 2,001,278
Bank of America NA, Floating Rate Note, 2/14/17 0.6951 02/14/2017 2,000,000 2,002,306
Exxon Mobil Corp., Floating Rate Note, 3/15/17 0.2749 03/15/2017 1,980,000 1,981,090
American Express Credit Account Master Trust, Floating Rate Note, 3/15/18 0.3011 03/15/2018 8,890,000 8,896,369
Apple, Inc., Floating Rate Note, 5/3/16 0.2729 05/03/2016 1,500,000 1,500,996
KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A) 1.6739 05/15/2021 650,000 633,946
Cabela's Master Credit Card Trust, Floating Rate Note, 6/17/19 (144A) 0.7511 06/17/2019 1,500,000 1,510,327
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 4.0253 05/18/2016 2,000,000 2,016,067
Royal Bank of Canada, Floating Rate Note, 1/23/17 0.5559 01/23/2017 1,875,000 1,877,604
Bombardier Recreational Products, Inc., 1/30/19 4.0 07/17/2019 188,571 188,673
BMW Floorplan Master Owner Trust, Floating Rate Note, 9/15/17 (144A) 0.5511 09/15/2017 3,000,000 3,010,275
RALI Series 2003-QS22 Trust, Floating Rate Note, 12/26/33 0.6 12/26/2033 8,400,000 939,433
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 12/15/22 4.0 12/15/2022 4,041,000 150,095
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/25/23 1.6 11/25/2023 2,250,000 2,088,552
Offshore Group Investment, Ltd., 3/28/19 5.75 03/28/2019 495,000 492,525
Saxon Asset Securities Trust 2006-3, Floating Rate Note, 10/25/46 0.26 10/25/2046 2,800,000 13,819
Syncreon Group BV, 9/26/20 5.25 09/26/2020 199,500 200,996
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 0.4511 04/15/2022 1,105,112 1,092,888
Alternative Loan Trust 2004-2CB, Floating Rate Note, 3/25/34 0.55 03/25/2034 4,210,000 28,149
PVH Corp., 2/13/20 3.25 12/19/2019 1,578,700 1,588,932
Louisiana Public Facilities Authority, Floating Rate Note, 4/26/27 1.1288 04/26/2027 1,250,000 1,151,348
Tower Automotive Holdings USA LLC, 4/23/20 3.2329 04/23/2020 201,707 201,707
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/34 0.93 11/25/2034 21,906,000 678,746
The Toronto-Dominion Bank, 1.375%, 7/14/14 1.375 07/14/2014 1,100,000 1,107,285
JPMorgan Chase & Co., Floating Rate Note, 3/31/16 0.94 03/31/2016 1,000,000 998,955
Impac CMB Trust Series 2004-9, Floating Rate Note, 1/25/35 0.91 01/25/2035 14,700,000 1,042,500
Citigroup, Inc., Floating Rate Note, 11/15/16 0.9039 11/15/2016 1,700,000 1,707,696
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/21 0.4022 07/15/2021 17,312,039 353,947
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 0.77 09/25/2034 42,840,193 1,893,690
JP Morgan Chase Commercial Mortgage Securities Trust 2002-CIBC4, Floating Rate Note, 5/12/34 6.45 05/12/2034 257,000 159,059
US Bank NA Cincinnati Ohio, Floating Rate Note, 1/30/17 0.4549 01/30/2017 2,025,000 2,026,320
AmeriCredit Automobile Receivables Trust 2012-5, 0.51%, 1/8/16 0.51 01/08/2016 2,600,000 376,195
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 0.35 10/27/2037 2,382,000 2,377,033
General Electric Capital Corp., Floating Rate Note, 5/11/16 0.4234 05/11/2016 1,000,000 1,000,376
Bank of Nova Scotia, Floating Rate Note, 12/13/16 0.6533 12/13/2016 1,800,000 1,809,358
Numericable Us Llc Tl-B1 L + 3.75% 23apr20 4.5 04/23/2020 268,077 268,963
Gracechurch Card Funding Plc, Floating Rate Note, 2/15/17 (144A) 0.8511 02/15/2017 1,205,000 1,210,228
VOLT XX LLC, 3.625%, 2/1/39 (Step) (144A) 3.625 02/01/2039 1,000,000 975,577
Baxter International, Inc., Floating Rate Note, 12/11/14 0.4057 12/11/2014 895,000 896,149
National City Corp., 4.9%, 1/15/15 4.9 01/15/2015 2,750,000 2,877,807
SACO I Trust 2005-8, Floating Rate Note, 11/25/35 0.91 11/25/2035 31,285,727 667,955
Alternative Loan Trust 2004-2CB, 5.125%, 3/25/34 5.125 03/25/2034 1,500,000 135,017
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/31 1.1011 10/15/2031 1,750,000 112,824
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 0.5 02/25/2033 16,918,890 1,014,493
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 4.0304 05/05/2017 1,500,000 1,496,500
WESCO Distribution, Inc., 12/12/19 3.75 12/04/2019 318,295 318,643
Bayview Financial Acquisition Trust, Floating Rate Note, 2/28/44 0.8255 02/28/2044 46,440,000 1,982,199
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34 1.17 11/25/2034 3,500,000 235,312
Citigroup, Inc., Floating Rate Note, 4/1/16 1.0234 04/01/2016 1,325,000 1,334,746
RBSSP Resecuritization Trust 2009-5, Floating Rate Note, 8/26/37 (144A) 0.65 08/26/2037 7,810,000 2,863,420
Government National Mortgage Association II, Floating Rate Note, 1/20/22 1.625 01/20/2022 1,000,000 14,882
CHL Mortgage Pass-Through Trust 2003-15, Floating Rate Note, 6/25/18 0.65 06/25/2018 25,913,062 766,545
Royal Bank of Canada, Floating Rate Note, 12/16/15 0.4534 12/16/2015 1,800,000 1,805,010
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 0.45 09/25/2036 5,483,897 890,643
Federal National Mortgage Association, Floating Rate Note, 8/25/14 0.36 08/25/2014 1,800,000 1,801,162
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 0.77 10/25/2028 38,289,000 2,290,351
DineEquity, Inc., 10/19/17 3.75 10/19/2017 126,648 127,216
Skillsoft Corporation 1st Lien Tl L + 3.5% 23apr21 4.5 04/23/2021 400,000 400,417
Caterpillar Financial Services Corp., Floating Rate Note, 2/26/16 0.4672 02/26/2016 1,500,000 1,503,159
HomeBanc Mortgage Trust 2005-2, Floating Rate Note, 5/25/25 0.57 05/25/2025 45,670,847 2,035,347
NovaStar Mortgage Funding Trust Series 2003-1, Floating Rate Note, 5/25/33 0.93 05/25/2033 19,881,000 471,541
AdvancePierre Foods, Inc., 7/10/17 5.75 06/17/2017 186,875 186,875
Structured Asset Sec Corp Mor Pass Thr Cer Ser 2003-35, Floating Rate Note, 12/25/33 0.65 12/25/2033 2,500,000 176,890
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/15/35 0.8511 08/15/2035 50,000,000 5,914,787
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/31 0.65 08/25/2031 17,600,000 235,646
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/33 2.625 11/01/2033 850,000 15,887
Bacct Flt% 16sep19 14-A2-A 0.4215 09/16/2019 2,800,000 2,800,557
Gemnt Flt% 15jun18 12-4-A 0.4511 06/15/2018 2,700,000 2,701,111
America Movil SAB de CV, Floating Rate Note, 9/12/16 1.2344 09/12/2016 1,500,000 1,522,317
American Express Credit Corp., Floating Rate Note, 7/29/16 0.7366 07/29/2016 2,850,000 2,867,296
Prestige Brands, Inc., 1/31/19 3.75 01/31/2019 550,259 551,634
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/33 0.5511 01/15/2033 40,500,000 633,527
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-WWF, Floating Rate Note 1.17 12/25/2034 1,900,000 578,270
WMG Acquisition Corp., 7/1/20 3.75 07/03/2020 1,094,500 1,077,228
Spirit AeroSystems, Inc., 9/30/20 2.7349 09/30/2020 1,339,193 1,341,286
National Australia Bank, Ltd., Floating Rate Note, 7/25/14 (144A) 1.1779 07/25/2014 3,125,000 3,133,208
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 6/10/39 5.3289 06/10/2039 1,941,016 101,139
Federal National Mortgage Association, Floating Rate Note, 10/27/14 0.38 10/27/2014 2,370,000 2,373,538
Afin Flt% 20nov15 13-3-A1b 0.5793 11/20/2015 840,000 840,837
Txu 1st Lien Dip L + 2.75% 05may16   05/05/2016 1,595,935 1,602,917
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 1.05 04/25/2032 35,072,000 2,282,782
WaMu Mortgage Pass-Through Certificates Series 2002-AR18 Trust, Floating Rate Note, 1/25/33 2.4977 01/25/2033 34,265,000 406,045
Adjustable Rate Mortgage Trust 2005-2, Floating Rate Note, 6/25/35 0.93 06/25/2035 2,260,122 1,828,773
Samson Investment Co., 9/25/18 5.0 09/25/2018 400,000 400,786
United Airlines, Inc., 4/1/19 3.5 03/12/2019 247,500 248,243
Resimac MBS Trust, Floating Rate Note, 6/7/14 0.4315 06/07/2014 1,750,000 1,743,118
Fannie Mae, Floating Rate Note, 1/1/48 2.3 01/01/2048 175,000 26,017
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/19 0.3811 02/15/2019 4,675,000 436,956
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 8/15/38 5.1 08/15/2038 3,895,043 3,975,257
Booz Allen Hamilton, Inc., 7/31/19 4.5 07/31/2019 1,358,138 1,363,400
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/31 0.75 07/25/2031 50,000,000 358,354
Discover Card Execution Note Trust, 0.86%, 11/15/17 0.86 11/15/2017 1,700,000 1,708,971
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 0.4 10/25/2035 4,339,000 946,268
SMART Trust/Australia, Floating Rate Note, 9/14/16 0.6011 09/14/2016 1,785,000 1,786,865
Seadrill Operating LP, 2/14/21 4.0 02/14/2021 2,743,125 2,734,339
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 6.5 08/15/2030 1,250,000 227,353
Fannie Mae, Floating Rate Note, 2/1/34 2.295 02/01/2034 500,000 31,941
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 7.4253 01/09/2017 1,500,000 1,550,233
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25 0.52 10/25/2035 800,000 488,107
Deutsche Telekom International Finance BV, 4.875%, 7/8/14 4.875 07/08/2014 2,456,000 2,513,687
Bosphorus 1 Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 2.5456 05/03/2016 750,000 752,129
HSBC USA, Inc., 2.375%, 2/13/15 2.375 02/13/2015 3,064,000 3,129,119
LB-UBS Commercial Mortgage Trust 2005-C3, 4.739%, 7/15/30 4.739 07/15/2030 4,490,000 3,995,545
Ah4r Flt% 17jun31 14-Sfr1-B 1.4985 06/17/2031 1,500,000 1,497,022
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.5511 12/15/2032 9,063,000 891,113
Toyota Cp Zero% 03jun14 Usd   06/03/2014 5,425,000 5,424,977
Par Pharmaceutical Companies, Inc., 9/28/19 4.0 09/28/2019 1,475,815 1,474,893
PNC Bank NA, Floating Rate Note, 1/28/16 0.5379 01/28/2016 2,250,000 2,253,168
JP Morgan Chase Commercial Mortgage Securities Corp., Floating Rate Note, 10/15/25 (144A) 2.0161 10/15/2025 2,350,000 2,355,892
Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2005-C, Floating Rate Note, 10/25/35 0.42 10/25/2035 4,000,000 112,893
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 11.2601 01/08/2015 250,000 260,488
SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35 0.43 04/25/2035 28,476,673 655,131
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 4.568 01/15/2031 1,000,000 127,523
Freddie Mac Strips, Floating Rate Note, 8/15/36 0.4511 08/15/2036 43,230,336 2,703,557
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/29 0.5011 02/15/2029 23,100,000 304,582
Barclays Dryrock Issuance Trust, Floating Rate Note, 8/15/17 0.3011 08/15/2017 2,000,000 2,000,048
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 2.775 08/25/2034 2,122,000 290,393
Gracechurch Card Funding Plc, Floating Rate Note, 6/15/17 (144A) 0.8511 06/15/2017 2,200,000 2,210,059
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 0.3011 10/15/2020 1,400,000 172,407
VOLT XVI LLC, 4.25%, 8/25/58 (Step) (144A) 4.25 08/25/2058 2,102,951 1,843,854
Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16 1.0734 06/17/2016 1,130,000 1,143,747
Permanent Master Issuer Plc, Floating Rate Note, 7/15/42 (144A) 1.8265 07/15/2042 887,000 899,517
Volvo Financial Equipment LLC Series 2013-1, 0.53%, 11/16/15 (144A) 0.53 11/16/2015 1,820,000 1,139,961
NBTY, Inc., 10/1/17 3.5 10/01/2017 400,000 400,688
Southwire Co., 1/31/21 3.25 01/31/2021 925,000 925,144
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/28 0.49 03/25/2028 24,210,000 355,054
Swift Transportation Co LLC, 12/21/16 2.9008 12/21/2016 165,752 166,374
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR8, 4.75%, 6/11/41 4.75 06/11/2041 1,330,000 1,377,548
Hilton Worldwide Finance LLC, 9/23/20 3.5 09/23/2020 1,125,000 1,122,344
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 0.65 06/25/2035 1,393,325 1,029,686
Quest Trust, Floating Rate Note, 3/25/34 (144A) 0.81 03/25/2034 55,089,092 2,484,157
Ally Auto Receivables Trust 2011-3, 1.61%, 5/16/16 1.61 05/16/2016 602,000 485,424
Ship Midco, Ltd., 11/29/19 5.25 08/06/2017 98,939 99,805
Wlake 1.12% 15jan18 13-1a-A2 1.12 01/15/2018 375,000 376,325
Wells Fargo & Co., Floating Rate Note, 7/20/16 0.7579 07/20/2016 1,500,000 1,509,929
US Bank NA Cincinnati Ohio, Floating Rate Note, 10/14/14 0.5071 10/14/2014 4,355,000 4,361,798
JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC11, Floating Rate Note, 8/12/37 5.335 08/12/2037 5,345,000 5,424,431
Electricite de France, Floating Rate Note, 1/20/17 (144A) 0.6879 01/20/2017 1,865,000 1,874,259
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 0.3211 04/16/2035 4,787,273 2,187,838
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 0.89 11/25/2034 9,625,000 533,586
Nissan Motor Acceptance Corp., Floating Rate Note, 9/26/16 (144A) 0.9351 09/26/2016 1,500,000 1,512,890
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/37 0.55 07/25/2037 1,942,360 330,916
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.4 03/25/2037 30,888,000 939,702
FNA 2013-1 Trust, 1.98%, 1/10/18 1.98 01/10/2018 2,199,000 1,092,446
GE Capital Commercial Mortgage Corp., Floating Rate Note, 6/10/48 4.772 06/10/2048 4,205,000 4,299,308
Morgan Stanley, Floating Rate Note, 10/15/15 0.7065 10/15/2015 318,000 318,651
United States Treasury Floating Rate Note, Floating Rate Note, 1/31/16 0.075 01/31/2016 10,000,000 9,998,071
SBA Senior Finance II LLC, 3/31/21 3.25 03/31/2021 600,000 596,947
Government National Mortgage Association, Floating Rate Note, 10/20/38 0.5493 10/20/2038 2,000,000 822,853
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.42 11/25/2035 6,309,000 868,253
Federal Home Loan Banks, Floating Rate Note, 6/11/14 0.22 06/11/2014 16,010,000 16,018,597
RAAC Series 2006-RP1 Trust, Floating Rate Note, 10/25/45 (144A) 0.45 10/25/2045 15,300,000 793,502
Permanent University Fund, Floating Rate Note, 7/1/37 0.04 07/01/2037 11,670,000 11,670,652
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 0.7311 10/15/2037 18,287,000 1,560,865
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.43 11/25/2035 14,045,000 2,542,977
NSG Holdings LLC, 12/11/19 3.75 11/15/2019 1,592,028 1,597,999
Cisco Systems, Inc., Floating Rate Note, 9/3/15 0.2861 09/03/2015 1,000,000 1,000,831
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 1.15 12/25/2023 5,000,000 411,267
RPI Finance Trust, 11/9/18 3.25 11/09/2018 627,078 628,907
ARI Fleet Lease Trust 2013-A, 0.7%, 12/15/15 (144A) 0.7 12/15/2015 1,515,000 1,202,825
Banc of America Large Loan Trust 2007-BMB1, Floating Rate Note, 8/15/29 (144A) 1.251 08/15/2029 3,000,000 3,000,480
Six Flags Theme Parks, Inc., 12/20/18 3.5019 11/23/2018 735,350 736,729
Fannie Mae, 7.0%, 10/1/17 7.0 10/01/2017 2,241,352 7,962
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 11/18/16 0.7359 11/18/2016 1,800,000 1,810,896
Soundview Home Loan Trust 2005-DO1, Floating Rate Note, 5/25/35 0.6 05/25/2035 2,000,000 472,641
Sandre Flt% 07jun17 144a   06/07/2017 2,000,000 2,000,000
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 5.2855 03/07/2016 2,500,000 2,547,875
Federal Farm Credit Banks, Floating Rate Note, 1/20/15 0.26 01/20/2015 1,490,000 1,491,790
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/25/29 (144A) 1.35 08/25/2029 2,926,938 2,070,384
Mystic Re, Ltd., Floating Rate Note, 3/12/15 (Cat Bond) (144A) 12.0304 03/12/2015 1,500,000 1,587,300
Federal National Mortgage Association REMICS, 6.0%, 3/25/35 6.0 03/25/2035 1,000,000 68,646
SMART Trust/Australia, Floating Rate Note, 1/14/17 0.5811 01/14/2017 2,500,000 2,500,852
Bear Stearns Asset Backed Securities I Trust 2005-HE8, Floating Rate Note, 8/25/35 0.65 08/25/2035 4,984,852 589,705
BCC Funding Corp., 1.794%, 6/20/20 1.794 06/20/2020 2,000,000 1,829,074
Syniverse Holdings, Inc., 4/23/19 4.0 04/23/2019 727,141 728,278
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35 5.0 10/25/2035 17,468,000 1,764,985
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A)   04/18/2017 250,000 245,450
Federal Home Loan Banks, 5.739%, 7/18/14 5.739 07/18/2014 2,050,000 383,394
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 0.3511 08/15/2026 1,330,000 556,462
Impac CMB Trust Series 2004-5, Floating Rate Note, 8/25/34 0.99 08/25/2034 9,850,000 696,654
Cincinnati Bell, Inc., 9/10/20 4.0 08/20/2020 1,243,750 1,245,460
Pinnacle Entertainment, Inc., 8/13/20 3.75 08/05/2020 235,070 235,274
SMART Trust/Australia, Floating Rate Note, 6/14/15 0.4811 06/14/2015 1,800,000 317,885
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 0.3793 02/20/2035 31,769,748 3,579,656
Apex Tool Group LLC, 1/31/20 4.5 02/01/2020 1,237,500 1,211,977
The Goodyear Tire & Rubber Co., 4/30/19 4.75 03/27/2019 600,000 604,245
CarMax Auto Owner Trust 2011-3, 1.07%, 6/15/16 1.07 06/15/2016 518,000 200,241
Fannie Mae, 6.5%, 1/1/15 6.5 01/01/2015 1,381,759 1,919
Wells Fargo Home Equity Asset-Backed Securities 2005-2 Trust, Floating Rate Note, 11/25/35 0.56 11/25/2035 189,000 124,694
Loudoun County Economic Development Authority, Floating Rate Note, 2/15/38 0.04 02/15/2038 15,140,000 15,140,664
General Mills, Inc., Floating Rate Note, 1/29/16 0.5266 01/29/2016 1,765,000 1,770,682
Structured Asset Sec Corp Mort Pass Thr Certs Series 1998-8, Floating Rate Note, 8/25/28 1.09 08/25/2028 8,825,000 484,743
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 6/15/28 3.5 06/15/2028 5,381,000 945,848
Resid Flt% 06jun18 144a   06/06/2018 750,000 749,925
Bayview Opportunity Master Fund Trust IIB LP, Floating Rate Note, 1/28/33 (144A) 2.9814 01/28/2033 1,000,000 467,795
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 2.4 03/25/2032 500,000 285,627
Volkswagen International Finance NV, Floating Rate Note, 11/18/16 (144A) 0.6659 11/18/2016 1,750,000 1,757,264
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/35 0.4511 04/15/2035 1,775,000 439,458
RAMP Series 2006-EFC1 Trust, Floating Rate Note, 2/25/36 0.35 02/25/2036 1,500,000 26,474
Avago Technologies Ltd 1st Lien Tl-B L + 3% 16apr21   04/16/2021 1,300,000 1,305,688
Capital Auto Receivables Asset Trust/ Ally, 0.47%, 3/20/15 0.47 03/20/2015 1,750,000 285,594
Fosse Master Issuer Plc, Floating Rate Note, 10/18/54 (144A) 1.6279 10/18/2054 1,380,000 873,961
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP4, Floating Rate Note, 10/15/42 5.04 10/15/2042 3,950,000 4,075,898
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/38 0.55 12/25/2038 400,000 286,551
Mufg Cp Zero% 10jun14 Usd 0.0 06/10/2014 10,000,000 9,999,667
CHL Mortgage Pass-Through Trust 2004-29, Floating Rate Note, 2/25/35 0.69 02/25/2035 61,136,000 3,390,192
Csmc2014-Surf Flt% 15feb29 B   02/15/2029 2,400,000 2,405,858
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/25/45 (144A) 0.35 11/25/2045 13,635,000 1,649,178
National Australia Bank, Ltd., Floating Rate Note, 3/17/17 0.6034 03/17/2017 1,950,000 1,952,991
Valeant Pharmaceuticals International, Inc., 2/13/19 3.75 02/13/2019 246,250 246,206
Ascentium Equipment Receivables 2012-1 LLC, 1.83%, 9/15/19 (144A) 1.83 09/15/2019 1,528,000 431,823
Countrywide Asset-Backed Certificates, Floating Rate Note, 2/25/33 5.147 02/25/2033 1,113,000 282,990
Morgan Stanley Capital I Trust 2005-IQ10, Floating Rate Note, 9/15/42 5.23 09/15/2042 2,910,000 2,618,958
Thorn Flt% 25dec44 04-4-4a 1.9338 12/25/2044 4,235,000 921,628
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 6.8855 04/07/2017 2,300,000 2,412,531
WR Grace & Co., 1/23/21 2.4836 01/23/2021 290,008 289,174
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1.8 03/25/2035 2,443,000 2,398,430
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 6/20/17 0.6393 06/20/2017 2,000,000 2,006,189
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 0.55 05/25/2035 1,150,000 18,038
Covanta Energy Corp., 3/28/19 3.25 03/01/2019 133,000 133,466
Nissan Auto Receivables 2013-A Owner Trust, 0.37%, 9/15/15 0.37 09/15/2015