Pioneer Investments: Pioneer Multi-Asset Ultrashort Income Fund


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Pioneer Multi-Asset Ultrashort Income Fund

Monthly Portfolio Holdings as of 4/29/2016

Security Name Coupon Maturity Date Par / Shares Market Value($)
HBCT FLT% 07Aug34 15-HBFL-AFL 2.018 08/07/2034 3,500,000 3,511,311
FNMA FLT% 25Jan32 02-1-FC 1.13885 01/25/2032 30,000,000 296,060
ACORNR FLT% 17Jul18 144A 4.04905 07/17/2018 1,250,000 1,263,077
FNMA FLT% 25May40 10-43-FD 1.03885 05/25/2040 500,000 178,791
BMO FLT% 14Jul17 0.8796 07/14/2017 2,300,000 2,298,178
WBCMT FLT% 15May43 06-C25-AJ 6.043756 05/15/2043 6,200,000 4,499,876
TRANSDIGM INC 1ST LIEN TL-C L + 3% 28Feb20 3.75 02/28/2020 1,274,053 1,274,551
ZERO% 30Nov19 0.0 11/30/2019 2,800,000 3,220,280
Deltek Systems Inc 1ST LIEN TERMLOAN L + 4% 31Dec22 5.0 12/31/2022 286,517 286,517
VOLT 3.875% 26Apr55 14-NP11-A1 3.875 04/26/2055 1,500,000 498,113
BAYV FLT% 28Aug44 04-D-M2 1.1077 08/28/2044 449,000 406,972
IHSFR FLT% 19Aug32 15-SFR3-B 2.183 08/19/2032 3,500,000 3,466,843
RESID FLT% 06Dec16 144A 4.7725 12/06/2016 2,900,000 2,907,975
CWALT FLT% 25Feb35 04-J13-M1 1.33885 02/25/2035 1,000,000 852,089
TMTS FLT% 25Dec34 03-8HE-A 1.37885 12/25/2034 23,713,000 721,093
FNR 3% 25Nov18 10-83-AK 3.0 11/25/2018 28,480,000 2,196,725
PRGSO 3% 08Jul20 15-B-A 3.0 07/08/2020 1,700,000 1,694,746
UACST 2% 16Oct17 16-1-A 2.0 10/16/2017 1,440,000 969,986
BACR FLT% 17Feb17 1.1982 02/17/2017 821,000 823,653
MABS FLT% 25Jan36 06-NC1 A3 0.62885 01/25/2036 23,055,603 61,216
ZEBRA TECHNOLOGIES CORPORATION 1ST LIEN TL-B L + 4% 30Sep21 4.75 09/30/2021 888,636 896,260
ABSHE FLT% 25Apr35 05-HE3-M3 1.14385 04/25/2035 724,529 177,361
MLCC FLT% 25Jun28 03-C-A2 1.5275 06/25/2028 44,308,430 1,166,392
ACAR 5.2% 12Apr21 14-1-D 5.2 04/12/2021 1,300,000 1,294,331
TRAMLN FLT% 04Jan19 144A 9.958526 01/04/2019 250,000 253,938
C FLT% 27Apr18 1.32385 04/27/2018 2,700,000 2,685,399
DAIGR FLT% 02Mar18 144A 1.0531 03/02/2018 1,275,000 1,263,936
KEY SAFETY SYSTEMS INC 1ST LIEN TL-B L + 3.75% 28Jul21 4.75 07/28/2021 744,332 745,728
WFC FLT% 22Jan18 1.3751 01/22/2018 2,700,000 2,713,623
TERRAFORM AP ACQUISITION HOLDINGS 1ST LIEN TL-B L + 4% 26Jun22 5.0 06/26/2022 958,641 843,604
VITAL FLT% 07Jan19 144A 1.958526 01/07/2019 3,800,000 3,761,656
WLAKE FLT% 17May21 15-3A-A2B 1.36275 05/17/2021 6,300,000 6,052,324
JBS USA LLC 1ST LIEN TL-B L + 3% 18Sep22 4.0 09/18/2022 748,125 747,501
COMM FLT% 11Jun27 14-KYO-C 2.087 06/11/2027 5,740,000 5,688,561
FHLMC FLT% 15Nov31 2377-FE 1.03275 11/15/2031 20,187,077 91,432
MLCC FLT% 25Jan29 03-H-A1 1.07885 01/25/2029 30,303,400 1,349,637
INTNED FLT% 22Mar19 144A 1.7543 03/22/2019 2,675,000 2,680,030
FHLMC FLT% 15May33 2614-FV 1.934 05/15/2033 3,790,000 321,151
AFIN 1.74% 22Oct18 13-1-C 1.74 10/22/2018 3,200,000 3,204,730
CCCIT FLT% 07Nov18 13-A12-NTS 0.8502 11/07/2018 3,490,000 3,498,810
SECTOR ZERO% 01Dec19 144A 0.0 12/01/2019 3,777 26,565
FHLMC FLT% 15May29 2156-FQ 0.78275 05/15/2029 15,000,000 94,273
KABB FLT% 08Mar18 14-1RT-A22 3.1847 03/08/2018 5,702,000 5,617,766
FHLMC FLT% 15May37 3560-FA 1.68275 05/15/2037 3,000,000 120,695
LSTRZ FLT% 01Jul17 15-7-A 2.434 07/01/2017 4,250,000 3,774,050
EXAR 2.41% 15May18 13-1A-B 2.41 05/15/2018 1,000,000 316,755
CATLK FLT% 15Jan26 15-3A-AX 1.92835 01/15/2026 2,200,000 2,201,758
TAOT 0.67% 15Dec17 14-A-A3 0.67 12/15/2017 3,275,000 1,880,881
GSAMP FLT% 25Mar46 06-HE2-A2 0.61885 03/25/2046 31,516,992 3,510,893
LIVINGSTON INTERNATIONAL INC. 1ST LIEN TL-B1 L + 3.75% 18Apr19 5.0 04/18/2019 486,250 453,428
MALLINCKRODT INTERNATIONAL FINANCE 1ST LIEN TL-B L + 2.75% 06Mar21 3.25 03/06/2021 955,500 935,594
FN ARM POOL FLT% #661690 01Sep32 2.36 09/01/2032 375,000 18,677
JPMCC FLT% 15Jan32 15-CSMO-C 2.683 01/15/2032 4,650,000 4,603,198
AMXCA FLT% 15May20 A 0.72275 05/15/2020 3,300,000 3,305,961
RIAL 3% 25Dec32 15-LT7 3.0 12/25/2032 3,200,000 1,946,787
ACER 0.95% 10Apr17 16-1A-A1 0.95 04/10/2017 3,700,000 3,700,847
FNMA FLT% 25May33 03-42-JF 0.93885 05/25/2033 15,932,000 294,621
COMMUNITY HEALTH 1ST LIEN TL-G L + 2.75% 31Dec19 3.38085 12/31/2019 24,975 24,637
CECLO FLT% 01Aug24 A1AR 1.5789 08/01/2024 5,220,000 5,234,055
B&G FOODS INC 1ST LIEN TL-B L + 3% 05Oct22 3.755126 10/05/2022 533,424 536,342
MERNA FLT% 07Apr17 144A 2.3 04/07/2017 2,000,000 1,995,533
A10 1.72% 15Apr33 14-1-A1 1.72 04/15/2033 4,000,000 2,546,873
TRAMLN FLT% 07Jul17 144A 3.4825 07/07/2017 1,750,000 1,741,806
SO FLT% 15Aug16 1.0182 08/15/2016 1,000,000 1,002,071
FNMA FLT% 25Jul34 04-54-FN 0.88885 07/25/2034 2,860,000 121,897
FNMA FLT% 25Jul36 06-56-FC 0.72885 07/25/2036 2,000,000 213,789
GSCLO FLT% 01Aug22 07-1A-D 3.3656 08/01/2022 3,500,000 3,422,074
FNMA FLT% 25Mar45 05-W3-2AF 0.65885 03/25/2045 12,700,000 1,468,952
RAAC FLT% 25Jul37 05-RP1-M2 1.38885 07/25/2037 2,130,580 456,021
FHLMC FLT% 15Feb25 3877-FN 0.73275 02/15/2025 2,142,856 228,356
PEPAU FLT% 12Jun16 14 0.7647 06/12/2016 3,500,000 3,498,603
PANGAEA ZERO% 01Jul18 0.0 07/01/2018 2,300,000 41,400
LPFA FLT% 26Apr27 11-A-A2 1.5381 04/26/2027 1,250,000 719,852
TD FLT% 02May17 0.8526 05/02/2017 2,000,000 2,002,410
DTAOT 1.73% 15Aug19 16-2A-A 1.73 08/15/2019 2,200,000 2,200,430
GRAY TELEVISION INC. 1ST LIEN TL L + 3% 10Jun21 3.9375 06/10/2021 1,002,368 1,004,749
GSRP FLT% 25Jun33 03-2-M1 1.78885 06/25/2033 1,826,298 899,918
ABSHE FLT% 25Jul35 05-HE6-M2 1.20385 07/25/2035 2,367,384 864,941
RSO-1211-AS FLT% 15Dec28 2.58275 12/15/2028 3,000,000 117,408
PFG FLT% 01Dec17 144A 1.1351 12/01/2017 3,355,000 3,361,095
WFC FLT% 20Jul16 1.16435 07/20/2016 3,265,000 3,267,972
MAPS1 FLT% 10Dec18 13-1A 1.68645 12/10/2018 3,079,000 3,053,619
FH ARM POOL FLT% #845535 01Oct23 2.563 10/01/2023 1,890,000 5,726
GOLDK FLT% 15Apr19 07-2A-B 1.01835 04/15/2019 1,786,000 1,751,735
CDGJ FLT% 15Dec27 14-BXCH-C 2.93275 12/15/2027 6,045,000 5,961,423
AMSI FLT% 25Jan36 05-R11-A2D 0.76885 01/25/2036 810,000 351,501
SCHAEFFLER (AKA INA BETEILIGUNGSGE 1ST LIEN TL-B L + 3.5% 15May20 4.25 05/15/2020 569,950 574,580
GCCT FLT% 15Sep18 13-2A-A 0.86275 09/15/2018 2,045,000 2,046,344
CMLTI FLT% 25Oct34 04-OPT1-M1 1.26385 10/25/2034 2,940,000 1,155,156
AMOT FLT% 17Jun19 14-4 0.83275 06/17/2019 2,600,000 2,591,786
WBCMT FLT% 15Oct48 06-C28-AM 5.603 10/15/2048 4,500,000 4,570,345
COMM FLT% 15Mar29 14-BBG-A 1.23275 03/15/2029 6,000,000 5,892,627
JBS USA INC 1ST LIEN TL L + 2.75% 25May18 3.75 05/25/2018 874,626 875,172
CSMC FLT% 15Mar28 15-TOWN-C 2.683 03/15/2028 2,300,000 2,242,163
PSTAT FLT% 21Jun24 16-2A-A2 2.7381 06/21/2024 500,000 500,000
VOLT14 3.375% 26Oct54 NPL8-A1 3.375 10/26/2054 4,390,000 1,203,144
T 2.95% 15May16 2.95 05/15/2016 3,875,000 3,930,299
COF 3.15% 15Jul16 3.15 07/15/2016 2,699,000 2,735,586
CPS 1.31% 15Feb19 A 1.31 02/15/2019 2,530,000 981,318
IBISRE FLT% 28Jun16 144A 4.3125 06/28/2016 4,000,000 4,040,355
FOCOR FLT% 22Jul20 06-3-A 0.8851 07/22/2020 18,500,000 1,513,617
AH4R FLT% 19Jun31 14-SFR1-B 1.78275 06/19/2031 2,000,000 1,961,889
CALPINE CORP 1ST LIEN TL-B3 L + 3% 09Oct19 4.0 10/09/2019 748,540 749,085
RESID FLT% 06Jun18 144A 3.800143 06/06/2018 750,000 754,085
HENDR FLT% 15Mar41 06-1A-A1 0.63275 03/15/2041 6,100,000 1,028,058
ENBCN FLT% 01Oct16 1.2751 10/01/2016 3,000,000 2,981,786
NATIONAL MENTOR HOLDINGS INC 1ST LIEN TL-B L + 3.75% 31Jan21 4.25 01/31/2021 494,949 494,485
MSM FLT% 25Sep35 05-5AR-1A1 0.70885 09/25/2035 65,687,000 2,961,207
SCIENTIFIC GAMES INTERNATIONAL INC 1ST LIEN TL-B2 L + 5% 17Sep21 6.0 09/17/2021 1,975,000 1,950,930
QUEBECOR MEDIA INC 1ST LIEN TL-B L + 2.5% 17Aug20 3.25 08/17/2020 491,183 488,318
GALE FLT% 19Apr21 07-3A-D 2.0331 04/19/2021 4,450,000 3,959,163
BAYV FLT% 28Feb44 04-A-A 1.1127 02/28/2044 80,047,000 816,187
SASC FLT% 25Dec33 03-35-3A1 0.93885 12/25/2033 3,944,000 99,992
LBSBC FLT% 25Apr31 06-1A-1A 0.65885 04/25/2031 6,464,393 534,291
CMSI 5% 25Oct35 05-7-3A1 5.0 10/25/2035 17,468,000 622,548
MRM FLT% 15Dec30 00-TB3-A1 0.87275 12/15/2030 29,850,000 1,121,436
MLCFC FLT% 12Jun46 06-2-AJ 6.10275 06/12/2046 3,700,000 3,723,463
GE FLT% 15May17 0.8982 05/15/2017 2,000,000 2,006,728
RASC FLT% 25Oct35 05-KS9-M2 0.86885 10/25/2035 700,000 587,055
DAIGR FLT% 03Aug17 144A 1.3286 08/03/2017 3,215,000 3,224,586
LRF 1.98% 15Sep21 13-1-A4 1.98 09/15/2021 800,000 709,564
JPMAC FLT% 25Jan35 06-CH1-A4 0.57885 01/25/2035 3,900,000 751,827
FNMA FLT% 25May36 06-34-FA 0.74885 05/25/2036 13,100,000 973,955
VW FLT% 18Nov16 144A 1.0582 11/18/2016 1,750,000 1,749,188
CCCIT FLT% 23Jan20 08-A2-A2 1.58885 01/23/2020 2,174,000 2,208,394
FHLMC FLT% 15Jan33 2551-FD 0.83275 01/15/2033 86,214,000 879,583
DAIGR FLT% 01Aug17 144A 0.9556 08/01/2017 2,061,000 2,055,959
RGTTA FLT% 15Jun20 07-1A-A1L 0.88385 06/15/2020 2,000,000 39,793
CONFIE SEGUROS HOLDING II CO 1ST LIEN TL-B L + 2.75% 09Nov18 5.75 11/09/2018 487,336 480,331
JPMAC FLT% 25Oct35 05-FRE1-A2 0.65885 10/25/2035 19,316,000 670,356
FFML FLT% 25Nov32 03-FFC-M1 1.73885 11/25/2032 3,200,000 127,716
SASC FLT% 25Dec34 05-GEL1-M1 1.26385 12/25/2034 1,590,000 726,446
FNMA FLT% 25Jun37 07-98-FD 0.88885 06/25/2037 900,000 71,436
FHLMC FLT% 15Nov35 3067-FA 0.78275 11/15/2035 850,000 144,102
FHR 2% 15Nov20 3760-KH 2.0 11/15/2020 6,550,000 926,945
SAMI FLT% 19May33 02-AR5-A1 1.33625 05/19/2033 36,301,000 1,423,601
LBUBS FLT% 15Jun38 06-C4-AJ 6.115485 06/15/2038 6,970,000 6,982,692
PEFCO 2.125% 15Jul16 2.125 07/15/2016 2,600,000 2,625,380
AMERICAN AIRLINES INC 1ST LIEN TL-B L + 3% 10Oct21 3.5 10/10/2021 495,000 495,270
SHBASS 3.125% 12Jul16 3.125 07/12/2016 2,650,000 2,687,463
RESI FLT% 12Dec45 A1 1.33385 12/12/2045 3,000,000 1,890,997
FRCCLO FLT% 26Jan20 2-D 2.48585 01/26/2020 553,000 517,273
TMTS FLT% 25Jun36 05-10HE-M1 0.88885 06/25/2036 4,868,753 1,667,511
FHLMC 3% 15Dec24 3874-GC 3.0 12/15/2024 32,045,000 3,846,323
MRK 0.7% 18May16 0.7 05/18/2016 3,650,000 3,661,847
HILT FLT% 05Nov30 13-HLF-CFL 2.338 11/05/2030 1,320,000 1,198,037
NCLF 3.27% 15Apr19 15-1A-A 3.27 04/15/2019 5,500,000 3,137,336
EASTLA FLT% 14Mar18 144A 2.945047 03/14/2018 2,000,000 1,976,897
FLT% 15Jun16 0.0 06/15/2016 1,000,000 1,010,700
CPS FLT% 15Aug18 14-A-A 1.21 08/15/2018 700,000 145,133
FHR 4% 15Dec23 3595-BA 4.0 12/15/2023 60,935,000 1,216,660
FHLMC FLT% 15Mar36 31-22-FP 0.73275 03/15/2036 5,000,000 754,475
FHLMC FLT% 15Feb36 3117-EF 0.78275 02/15/2036 5,000,000 262,015
BOAMS FLT% 25Jul33 03-F-2A5 2.748 07/25/2033 8,661,215 290,745
SEMT FLT% 20Nov34 04-10-A2 1.07875 11/20/2034 5,055,000 390,672
JPMAC FLT% 25Jul35 05-FLD1-M3 1.21885 07/25/2035 2,620,000 2,255,846
VITALI FLT% 09Jan17 144A 3.958526 01/09/2017 2,750,000 2,778,359
FLT% 31Mar19   03/31/2019 2,500,000 2,504,000
SOFI FLT% 25Aug36 16-A-A1 2.18885 08/25/2036 1,800,000 1,776,418
CMLTI FLT% 25May35 05-HE2-M1 1.183 05/25/2035 4,525,000 2,981,828
UNBC FLT% 26Sep16 1.3801 09/26/2016 6,200,000 6,218,279
FFML FLT% 25Jan36 06-FF1-2A3 0.67885 01/25/2036 13,000,000 1,520,812
GCI HOLDINGS INC 1ST LIEN TL-B L + 3.25% 02Feb22 4.0 02/02/2022 653,399 655,441
FTHIL FLT% 22Feb21 07-1A-A 0.8632 02/22/2021 9,750,000 578,821
EDF CP ZERO% 10Jun16 USD 0.0 06/10/2016 2,650,000 2,647,495
FORDO FLT% 15Jan18 15-A-A2B 0.68275 01/15/2018 2,500,000 955,979
SAMI FLT% 19Mar34 04-AR1-1A1 1.13625 03/19/2034 16,800,000 646,301
FNMA FLT% 25Apr42 12-40-PF 0.93885 04/25/2042 642,857 378,392
CRTOS FLT% 19May21 07-1A-D 3.0194 05/19/2021 4,500,000 4,503,086
LSS FLT% 25Nov25 15-WF1-1M1 3.18885 11/25/2025 3,000,000 2,673,506
WR GRACE 1ST LIEN TL-B L + 2.25% 23Jan21 2.75 01/23/2021 473,757 472,099
CHAIT FLT% 16Dec19 12-A10-A10 0.69275 12/16/2019 200,000 200,117
VFCP 2.75% 20Dec31 15-3-A 2.75 12/20/2031 2,752,000 48,847
CBASS FLT% 25Jul34 05-CB2-M1 1.09885 07/25/2034 2,783,000 413,948
COF FLT% 05Feb18 1.3006 02/05/2018 1,250,000 1,251,267
VFCP 2.75% 20Jul30 14-2-A 2.75 07/20/2030 3,510,000 2,662
HFLF FLT% 10Apr30 16-1-D 3.6385 04/10/2030 3,600,000 3,603,052
HAROT 0.53% 16Feb17 13-2-A3 0.53 02/16/2017 959,000 14,225
MICRO FOCUS US INC 1ST LIEN TL-B L + 4.25% 07Oct21 5.25 10/07/2021 203,549 203,599
VENCORE 1ST LIEN TL L + 4.75% 19Nov19 5.75 11/19/2019 1,224,238 1,225,768
QUINCY NEWSPAPERS INC 1ST LIEN TL-B L + 4.5% 19Oct22   10/19/2022 736,569 735,648
FHLMC FLT% 15Jul36 3244-TF 0.63275 07/15/2036 5,000,000 482,279
FNMA FLT% 25Oct38 08-88-FA 1.65885 10/25/2038 6,344,000 468,187
FHLMC FLT% 15Jun36 31-73-FC 0.85275 06/15/2036 5,835,000 393,027
OCWEN FINANCIAL CORPORATION 1ST LIEN TL-B L + 3.75% 15Feb18 5.5 02/15/2018 410,547 404,388
RAST FLT% 25Feb34 03-A15-1A2 0.88885 02/25/2034 10,120,000 419,580
FFCB FLT% 20Jun16 0.52 06/20/2016 10,000,000 10,006,982
FH ARM POOL FLT% #865451 01Jun35 2.813 06/01/2035 3,000,000 6,539
CARMX FLT% 15Nov18 15-3-A2B 0.88275 11/15/2018 4,600,000 3,965,595
BAYV FLT% 28Jun44 05-C-M1 0.9377 06/28/2044 4,088,000 2,069,888
FNMA FLT% 25Feb37 07-2-FT 0.68885 02/25/2037 20,692,000 528,317
SASC FLT% 25Sep35 05-AR1-A2 0.65885 09/25/2035 4,160,000 365,480
FIAOT 1.23% 15Mar19 13-2A-A2 1.23 03/15/2019 4,251,000 416,923
MEDIACOM ILLINOIS LLC 1ST LIEN TL-B L + 2.5% 31Mar18 2.91 03/31/2018 1,372,000 1,356,565
COMM FLT% 15Jun34 14-SAVA-B 2.183 06/15/2034 5,589,000 5,479,738
GSMS FLT% 15Feb33 16-ICE2-B 3.6881 02/15/2033 3,500,000 3,511,998
BAMLL FLT% 26Oct44 14-FRR7-A 2.68885 10/26/2044 7,000,000 6,843,718
BNS FLT% 13Dec16 1.05235 12/13/2016 1,800,000 1,804,391
BOSPHO FLT% 17Aug18 144A 3.73465 08/17/2018 750,000 752,623
FNMA FLT% 25Aug36 06-70-BF 0.98885 08/25/2036 4,450,000 206,539
VENTR FLT% 28Feb24 12-12A-AX 1.9356 02/28/2024 1,500,000 500,739
ALBERTSONS LLC 1ST LIEN TL-B L + 4.5% 21Dec22 5.5 12/21/2022 498,750 501,243
FNMA FLT% 25Dec23 93-247-FA 2.07 12/25/2023 5,000,000 253,170
BSABS FLT% 25Aug34 04-2-A3 1.63885 08/25/2034 7,523,000 581,062
FNMA FLT% 25Jan33 02-93-FH 0.93885 01/25/2033 13,036,000 321,760
CF FLT% 07Apr24 11-2A-A 1.6885 04/07/2024 3,050,000 323,241
CWHL FLT% 25Jun18 03-15-1A1 0.93885 06/25/2018 43,013,062 476,249
ARIFL 0.92% 15Jul21 13-A-A3 0.92 07/15/2021 600,000 344,183
SARM FLT% 25Mar34 04-3AC-A2 2.7084 03/25/2034 3,865,000 453,112
LCM FLT% 15Apr22 10AR-AR 1.88835 04/15/2022 4,000,000 3,110,359
PART 0.97% 15Mar18 14-1A-A2 0.97 03/15/2018 2,395,000 180,794
RAAC FLT% 25Feb37 06-RP2-A 0.68885 02/25/2037 26,822,396 1,635,953
FHLMC FLT% 15Jan37 32-66-F 0.73275 01/15/2037 63,238,000 2,530,555
IRWHE FLT% 25Jun25 05-1-1A 0.87885 06/25/2025 18,060,000 3,235,259
SELECT MEDICAL CORPORATION 1ST LIEN TL F L + 5% 04Mar21 6.0 03/04/2021 1,000,000 1,009,375
KLOECKNER PENTAPLAST OF AMERICA 1ST LIEN TL L + 4% 22Apr20 5.0 04/22/2020 67,210 67,378
GNMA FLT% 16Apr32 02-24-FR 0.98625 04/16/2032 13,425,000 192,669
GEDFT FLT% 21Oct19 14-2 0.88875 10/21/2019 3,255,000 3,242,860
ZIGGO BV US 1ST LIEN TL-B2 L + 2.75% 15Jan22 3.6478338 01/15/2022 691,063 689,606
FNMA FLT% 25Jun36 06-42-CF 0.88885 06/25/2036 8,454,822 599,133
MAPLE HOLDINGS ACQUISITION CORP 1ST LIEN TL-B L + 4.5% 10Feb23 5.25 02/10/2023 568,000 571,426
MRK FLT% 10Feb17 0.746 02/10/2017 2,500,000 2,505,789
HBAN FLT% 24Apr17 1.0631 04/24/2017 2,000,000 1,996,449
TFRN FLT% 31Jul17 0.3271581 07/31/2017 13,095,000 13,103,911
ENDO INTERNATIONAL 1ST LIEN TL-B1 L + 3% 24Jun22 3.75 06/24/2022 694,560 693,402
RY FLT% 16Jun17 0.87955 06/16/2017 2,200,000 2,199,398
MSC FLT% 12Nov49 07-T25-A3 5.514 11/12/2049 1,650,000 1,327,434
IHSFR FLT% 19Sep31 B 2.033 09/19/2031 2,100,000 2,077,438
CRMSI FLT% 25Jul36 06-1-A4 5.60571 07/25/2036 8,714,000 3,631,616
FHLMC FLT% 15Jun23 2626-NF 0.88275 06/15/2023 6,500,000 48,628
FHLMC FLT% 15Feb30 39-60-FB 0.73275 02/15/2030 2,056,750 639,765
GLENN POOL OIL & GAS TRUST 1ST LIEN TL L + 2.5% 02May16 4.5 05/02/2016 1,390 1,387
ZERO% 31Aug16 0.0 08/31/2016 500,000 569,400
HFLF FLT% 10Jul29 15-1 1.93645 07/10/2029 3,200,000 3,208,186
American Airlines 1ST LIEN TL-B L + 2.75% 27Jun20 3.25 06/27/2020 2,505,375 2,495,198
ACR FLT% 15Aug31 14-FL2-AS 1.884 08/15/2031 2,500,000 2,480,536
IMM FLT% 25Sep34 04-4-1A1 1.07885 09/25/2034 49,152,075 1,673,974
HNDA FLT% 26May16 144A 1.0096 05/26/2016 3,050,000 3,056,819
NDASS FLT% 13May16 144A 1.0782 05/13/2016 2,700,000 2,706,759
NAROT FLT% 15Feb19 16-A-A2B 0.78275 02/15/2019 2,750,000 2,754,746
CF FLT% 08Feb27 15-1A-A 0.9385 02/08/2027 2,700,000 2,542,267
EART FLT% 15Aug18 14-2A-A 1.06 08/15/2018 1,400,000 148,369
LONGRE FLT% 18May16 144A 4.489947 05/18/2016 10,975,000 11,048,715
FHLMC FLT% 15Dec32 2650-FV 0.83275 12/15/2032 9,063,000 394,696
GMAT FLT% 25Aug53 2013-1A_A 3.9669 08/25/2053 5,300,000 2,266,614
SENSATA TECHNOLOGIES 1ST LIEN L + 2.25% 14Oct21 2.88085 10/14/2021 1,914,969 1,915,967
NGN FLT% 11Mar20 11-R3-1A 0.83645 03/11/2020 2,035,000 792,806
MYTHEN FLT% 05Jan17 144A 9.0334 01/05/2017 2,250,000 2,295,737
ZERO% 30Nov20 0.0 11/30/2020 2,500,000 2,532,750
IMM FLT% 25Aug34 04-5-2A 1.27885 08/25/2034 9,850,000 454,641
ACE FLT% 25Mar36 06-ASP2-A1 0.63885 03/25/2036 60,572,000 3,578,279
NGN FLT% 06Apr20 11-R5-1A 0.818 04/06/2020 5,835,000 348,794
HYATT FLT% 15Nov29 15-HYT-B 2.133 11/15/2029 2,480,000 2,455,946
ACAC 4.96% 10May21 14-2-D 4.96 05/10/2021 850,000 862,087
SANDRE FLT% 07Jun17 144A 4.109587 06/07/2017 3,000,000 3,023,700
HENDR FLT% 15Dec41 06-4-A1 0.63275 12/15/2041 18,869,000 4,671,818
STI FLT% 15Feb17 1.0582 02/15/2017 3,645,000 3,647,965
UNH FLT% 17Jan17 1.08285 01/17/2017 2,600,000 2,604,773
CVX FLT% 09Nov16 0.7197 11/09/2016 2,640,000 2,643,662
F 1.7% 09May16 1.7 05/09/2016 1,375,000 1,386,258
C FLT% 09Jun16 0.9061 06/09/2016 2,500,000 2,503,522
FITB FLT% 20Dec16 1.0434 12/20/2016 1,727,000 1,724,397
DELHE 7.04% 25Jun27 97-2-A6 7.04 06/25/2027 1,000,000 480
GRIFOLS WORLDWIDE OPERATIONS USA I 1ST LIEN TL-B L + 3% 01Apr21 3.4352 04/01/2021 514,500 515,786
CNHMT FLT% 15Aug19 13-2A-A 1.03275 08/15/2019 1,550,000 1,550,206
FHLMC FLT% 15Sep36 3221-FW 0.85275 09/15/2036 3,320,000 292,333
CONN 4.565% 15Sep20 15-A-A 4.565 09/15/2020 4,000,000 1,448,155
SASC FLT% 25Mar37 07-BC2-A3 0.56885 03/25/2037 2,100,000 300,262
PFG FLT% 27May16 144A 1.0056 05/27/2016 2,680,000 2,685,370
NN INC 1ST LIEN TL-B L + 4.75% 02Oct22   10/02/2022 746,250 742,518
BAMLL FLT% 28Aug46 14-FRR6-B 3.93885 08/28/2046 3,600,000 2,952,220
WEIGHT WATCHERS INTERNATIONAL INC 1ST LIEN TL-B2 L + 3.25% 02Apr20 4.0 04/02/2020 381,841 282,403
DEFT FLT% 22Dec17 15-2-A2B 1.34125 12/22/2017 2,600,000 2,600,532
LANGUAGE LINE LLC 1ST LIEN TL-B L + 5.5% 02Jul21 6.5 07/02/2021 770,926 768,517
OPMAC FLT% 25Nov35 05-4-1APT 0.74885 11/25/2035 25,178,000 3,498,414
MSAC FLT% 25Jun34 04-SD3-A 1.35885 06/25/2034 41,830,000 417,756
FNMA FLT% 18Jul27 97-46-FA 0.93625 07/18/2027 15,000,000 47,531
UNIVISION COMMUNICATIONS INC 1ST LIEN TL L + 3% 01Mar20 4.0 03/01/2020 654,487 655,188
DUK FLT% 06Mar17 0.8356 03/06/2017 1,275,000 1,274,763
TMTS FLT% 25Jul36 05-12AL-AV2 0.74885 07/25/2036 28,736,000 1,173,275
FNLC FLT% 25Sep35 05-2-M1 0.91885 09/25/2035 2,450,000 2,092,404
CGCMT FLT% 17Mar49 06-C4-AJ 6.26596 03/17/2049 4,900,000 4,131,871
BAYV FLT% 28Apr36 06-B-2A4 0.7077 04/28/2036 13,680,000 384,030
VOLT 3.625% 25Jul45 15-NP11-A1 3.625 07/25/2045 3,750,000 3,262,888
RESID FLT% 06Dec16 144A 6.0225 12/06/2016 1,500,000 1,514,587
WFHET FLT% 25Nov35 05-3-M3 0.89885 11/25/2035 342,823 333,439
SUMIBK FLT% 02May17 USD 0.9826 05/02/2017 1,715,000 1,711,504
FHLMC FLT% 15Jan35 2916-NF 0.68275 01/15/2035 5,669,000 526,556
NSANY FLT% 03Mar17 144A 1.1816 03/03/2017 2,350,000 2,355,007
FORDO FLT% 15Dec18 16-A-A2B 0.83275 12/15/2018 1,300,000 1,302,051
GMAT FLT% 25Sep20 15-1A-A1 4.25 09/25/2020 5,250,000 4,404,903
BALTA FLT% 25Nov34 04-13-A1 1.17885 11/25/2034 11,771,000 438,385
WHEELABRATOR 1ST LIEN TL-C L + 4% 15Oct21 5.0 10/15/2021 126,436 122,564
IBISRE FLT% 28Jun16 144A 4.805231 06/28/2016 1,000,000 1,012,125
HMBT FLT% 25Oct35 05-4-A2 0.76885 10/25/2035 11,000,000 2,506,366
USB FLT% 30Jan17 0.8481 01/30/2017 2,025,000 2,028,620
HEAT FLT% 25Mar37 06-8-2A2 0.54885 03/25/2037 6,984,978 793,444
GSMS FLT% 15Jul31 14-GSFL-B 2.18275 07/15/2031 2,885,000 2,845,424
PATHEON 1ST LIEN TL-B L + 3.25% 23Jan21 4.25 01/23/2021 299,662 297,602
WESCO AIRCRAFT HARDWARE CORP 1ST LIEN TL-B L + 2.5% 24Feb21 3.25 02/24/2021 2,355,166 2,319,839
CHAI 1.85% 15Dec21 15-PM1-A 1.85 12/15/2021 1,700,000 763,302
VIZIENT INC 1ST LIEN TL-B L + 5.25% 09Feb23 6.25 02/09/2023 500,000 504,791
DTAOT 1.66% 15Mar19 15-3A-A 1.66 03/15/2019 3,000,000 1,814,835
TRUMN FLT% 25Jan34 04-1-M2 2.13885 01/25/2034 1,425,000 944,873
WFC FLT% 16May16 0.8282 05/16/2016 975,000 976,747
APEX TOOL GROUP LLC 1ST LIEN TL-B L + 3.25% 31Jan20 4.5 01/31/2020 1,212,500 1,190,523
ACAR 2.37% 12May20 16-1A-A 2.37 05/12/2020 1,300,000 1,135,555
WESCO DISTRIBUTION INC. 1ST LIEN TL-B1 L + 3% 12Dec19 3.75 12/12/2019 318,294 319,289
ZERO% 30Nov20 0.0 11/30/2020 750,000 765,075
TD FLT% 23Jul18 1.1781 07/23/2018 2,600,000 2,594,635
KASIMA LLC 1ST LIEN TL-B L + 2.5% 17May21 3.25 05/17/2021 783,018 780,327
CPS 1.65% 15Nov19 15-B-A 1.65 11/15/2019 1,700,000 1,180,254
ACACL FLT% 15Jun22 07-1A-D 2.97835 06/15/2022 2,000,000 1,882,739
WINDSTREAM CORPORATION 1ST LIEN TL-B3 L + 2.75% 08Aug19 3.5 08/08/2019 699,828 692,247
COMMSCOPE INC 1ST LIEN TL-B1 L + 3% 29Dec22 3.8275 12/29/2022 1,990,000 1,995,804
ALALTD FLT% 07Jun17 144A 6.665 06/07/2017 1,000,000 1,020,995
CNL FLT% 25Oct28 02-1A-A 1.03695 10/25/2028 42,221,000 1,117,666
XERIUM TECHNOLOGIES INC 1ST LIEN TL L + 4.5% 17May19 6.25 05/17/2019 575,248 562,305
STACR FLT% 25Feb24 2014-DN1_T 1.43885 02/25/2024 2,265,000 1,402,381
FHSTR FLT% 15Aug36 239-F29 0.68275 08/15/2036 10,000,000 322,090
FNMA FLT% 25Oct37 07-100-YF 0.98885 10/25/2037 1,030,000 95,867
INTC 1.95% 01Oct16 1.95 10/01/2016 2,800,000 2,819,689
BAYV FLT% 28Aug44 04-D-M1 1.0677 08/28/2044 635,000 139,878
CARR FLT% 26Dec35 06-OPT1-A3 0.61885 12/26/2035 21,878,000 3,013,909
PART 1.33% 15May19 13-1A-A3 1.33 05/15/2019 1,430,000 559,911
SASC FLT% 25Jul33 03-24A-1A3 2.5421 07/25/2033 8,050,000 691,361
AMXCA FLT% 15Jan20 12-1-A 0.70275 01/15/2020 350,000 350,397
MRK FLT% 18May16 0.8082 05/18/2016 500,000 500,873
MICHAELS STORES INC 1ST LIEN TL-B L + 2.75% 28Jan20 3.75 01/28/2020 970,000 972,525
GNMA FLT% 16Jun31 01-28-FB 0.93625 06/16/2031 14,000,000 188,308
USB FLT% 25Apr19 1.0381 04/25/2019 2,650,000 2,626,956
IMM FLT% 25Sep34 04-4-1A2 1.05885 09/25/2034 42,840,193 1,463,434
MGM GROWTH PROPERTIES OPERATING PA 1ST LIEN TL-B L + 3.25% 07Apr23 4.0 04/07/2023 1,135,000 1,143,512
ZERO% 30Nov20 0.0 11/30/2020 1,300,000 1,337,440
OPMAC FLT% 25Nov35 05-4-1A2 0.82885 11/25/2035 28,962,000 3,922,114
PFSFC FLT% 15Feb19 14-AA-A 1.03275 02/15/2019 4,145,000 4,133,097
GNMA FLT% 16Jan33 03-7-FB 0.63625 01/16/2033 26,309,521 608,549
VITALI FLT% 07Jan20 144A 2.378873 01/07/2020 2,000,000 2,002,663
FBRSI FLT% 25Nov35 05-5-AV24 1.17885 11/25/2035 700,000 420,720
NXP BV 1ST LIEN TL-B L + 3% 30Oct20 3.75 10/30/2020 324,187 325,707
TD FLT% 09Sep16 1.0961 09/09/2016 2,800,000 2,808,596
USROF 3.7213% 27Feb35 15-1IV 3.7213 02/27/2035 4,675,000 3,380,519
BOIT FLT% 15Apr19 07-A2-2007- 0.48275 04/15/2019 6,480,000 6,479,551
KINDRED HEALTHCARE 1ST LIEN TL-B L + 3% 10Apr21 4.25 04/10/2021 1,091,666 1,088,937
ACAR 1.95% 12Sep19 15-3-A 1.95 09/12/2019 4,500,000 2,931,236
CWL FLT% 25Oct34 04-BC5-M2 1.27885 10/25/2034 5,000,000 1,280,934
COMM FLT% 13Aug27 14-PAT-A 1.233 08/13/2027 6,980,000 6,872,412
CFCRE FLT% 15Jul30 15-RUM-E 5.03275 07/15/2030 1,000,000 976,733
MIZUHO FLT% 26Mar18 144A 1.2701 03/26/2018 1,670,000 1,664,713
JPMCC14-CBM FLT% 15Oct29 B 1.83275 10/15/2029 4,280,000 4,190,240
VOLT FLT% 25Sep45 15-NP12-A1 3.875 09/25/2045 3,700,000 3,337,139
GNMA FLT% 16Aug39 09-66-UF 1.43625 08/16/2039 2,960,000 365,454
DIEBOLD INC 1ST LIEN TL-B L + 4.5% 18Mar23 5.25 03/18/2023 1,000,000 1,004,158
NTHSHR FLT% 05Jul16 144A 7.4825 07/05/2016 2,250,000 2,270,790
FNMA FLT% 25Mar37 07-13-FA 0.68885 03/25/2037 39,983,000 685,733
FN ARM POOL FLT% #725738 01Oct32 3.006 10/01/2032 500,000 25,648
XOM FLT% 28Feb18 1.2316 02/28/2018 2,700,000 2,727,821
CPS 1.82% 15Sep20 13-B-A 1.82 09/15/2020 731,000 187,992
DARLING INTERNATIONAL INC. 1ST LIEN TL-B1 L + 2.5% 19Dec20 3.25 12/19/2020 1,558,200 1,561,589
INTEGRO LTD/UNITED STATES 1ST LIEN TL-B2 L + 5.75% 09Oct22 6.75 10/09/2022 47,222 45,569
FHLMC FLT% 15Oct20 3335-AF 0.58275 10/15/2020 1,400,000 62,790
APID FLT% 17Jul23 12-9AR-AR 1.92835 07/17/2023 3,000,000 2,994,296
HENDR FLT% 15Sep41 06-3A-A1 0.63275 09/15/2041 11,542,000 2,629,717
CPS 1.48% 16Mar20 12-D-A 1.48 03/16/2020 1,060,000 185,090
STACR FLT% 25Aug24 14-DN3-M2 2.833 08/25/2024 853,600 694,225
ZERO% 30Nov20 0.0 11/30/2020 2,700,000 2,767,230
APLP HOLDINGS LP 1ST LIEN TL L + 5% 12Apr23   04/12/2023 2,351,254 2,345,375
NAB FLT% 17Mar17 144A 1.01195 03/17/2017 1,950,000 1,952,121
ONT 1.6% 21Sep16 1.6 09/21/2016 2,775,000 2,788,323
EFF FLT% 20Sep19 14-1-A2 0.87 09/20/2019 2,000,000 709,802
WHLS 0.84% 20Mar23 A2 0.84 03/20/2023 1,000,000 389,995
DRUGB FLT% 15Jul23 14-1-A1 3.47835 07/15/2023 3,750,000 2,585,606
KILREL FLT% 06Dec19 144A 9.458526 12/06/2019 2,000,000 2,035,161
SKOP 3.55% 17Feb20 15-2A-A 3.55 02/17/2020 2,500,000 1,940,421
PRU FLT% 16May16 144A 0.7682 05/16/2016 1,500,000 1,502,457
ACASC FLT% 20Apr21 07-1A-A1 0.86435 04/20/2021 1,800,000 308,627
Delta Air Lines Inc 1ST LIEN TL-B-1 L + 2.75% 18Oct18 3.25 10/18/2018 725,625 728,346
DTZ US BORROWER LLC 1ST LIEN TL-B L + 3.25% 04Nov21 4.25 11/04/2021 1,693,416 1,694,826
FFML FLT% 25Apr35 05-FFH2-M2 1.24885 04/25/2035 1,500,000 1,158,446
BSABS FLT% 25Feb36 06-EC2-M1 0.83885 02/25/2036 7,038,000 3,641,754
REVLON CONSUMER PRODUCTS CORP 1ST LIEN TL-B L + 2.5% 19Nov17 3.25 11/19/2017 941,943 942,679
SECTOR ZERO% 01Dec20 144A 0.0 12/01/2020 500,000 511,400
CGCMT FLT% 15Jul27 15-SHP2-D 3.73275 07/15/2027 1,500,000 1,484,547
URSARE FLT% 21Sep18 144A 5.0 09/21/2018 2,500,000 2,541,380
FNMA FLT% 25Jul34 04-52-FW 0.83885 07/25/2034 7,443,000 378,651
GMSL FLT% 25Apr32 05-A-A2 0.70885 04/25/2032 49,625,000 2,761,020
OMART 2.5365% 17Sep46 15-1-AT1 2.5365 09/17/2046 1,700,000 1,701,023
BAC FLT% 14Feb17 1.0882 02/14/2017 2,000,000 2,005,658
AMCAR FLT% 10Sep18 15-2-A2B 0.839 09/10/2018 2,125,000 1,060,640
FMIC FLT% 25Mar35 05-1-M4 1.51885 03/25/2035 1,457,000 90,675
CPS 2.25% 15Oct19 16-A-A 2.25 10/15/2019 2,700,000 2,374,333
DROCK FLT% 16Dec19 A 0.79275 12/16/2019 1,100,000 1,100,363
MSC FLT% 14Aug31 15-XLF1-B 2.18275 08/14/2031 3,860,000 3,847,219
NYLIFE FLT% 23May16 144A 0.9881 05/23/2016 3,650,000 3,651,975
GSAA FLT% 25Jun34 04-6-A2 1.21885 06/25/2034 52,357,062 1,031,411
GAAFT 2.3019% 15Oct46 15-T1-AT 2.3019 10/15/2046 7,000,000 6,998,663
CSMC FLT% 15Aug30 15-SAND-D 3.28 08/15/2030 3,750,000 3,657,758
FHLB 2.9% 20Apr17 2.9 04/20/2017 4,130,000 540,369
FHLMC FLT% 15Jul40 3708-PF 0.78275 07/15/2040 2,570,000 383,225
BSABS FLT% 25Oct33 03-AC5-A3 1.53885 10/25/2033 2,875,000 196,307
NDASS FLT% 04Apr17 144A 0.9886 04/04/2017 2,175,000 2,177,128
FHLMC FLT% 15Jun33 2631-FC 0.83275 06/15/2033 10,000,000 389,625
FNMA FLT% 25Mar24 94-40-FC 0.93885 03/25/2024 14,460,650 430,001
MSAC FLT% 25Mar35 05-WMC3-M3 1.14385 03/25/2035 131,174 39,814
MLCC FLT% 25Jul29 04-C-A2B 1.8275 07/25/2029 3,866,000 95,992
17079Z ZERO% 31Mar18 0.0 03/31/2018 750,000 52,500
CCOLT 2.82% 15Mar21 15-1-A 2.82 03/15/2021 2,500,000 813,624
OKS 6.15% 01Oct16 6.15 10/01/2016 1,850,000 1,886,130
F FLT% 08Sep17 1.1535 09/08/2017 2,600,000 2,593,315
JACLIF FLT% 13Oct17 144A 1.20835 10/13/2017 2,600,000 2,602,710
BSABS FLT% 25Sep34 04-SD3-A3 1.00885 09/25/2034 1,400,000 324,098
BSN MEDICAL 1ST LIEN TL-BA1 L + 3% 28Aug19 4.0 08/28/2019 593,611 587,674
GSAA FLT% 25Sep34 04-8-A3A 1.17885 09/25/2034 18,359,000 445,700
MCCT 1.64% 22Jan18 13-3A-B 1.64 01/22/2018 1,700,000 1,701,712
CWL FLT% 25Mar35 05-BC1-M4 1.33885 03/25/2035 5,600,000 1,644,976
FHLMC FLT% 15Aug26 3914-LF 0.63275 08/15/2026 1,330,000 336,467
FHLMC FLT% 15Aug35 3012-FE 0.68275 08/15/2035 5,000,000 586,493
GMSL 5.25% 25Apr32 05-A-B1 5.25 04/25/2032 2,691,322 578,908
RESID FLT% 06Dec16 144A 13.019587 12/06/2016 1,000,000 1,032,325
HMAC FLT% 25Jul34 04-3-AV2C 1.01885 07/25/2034 11,189,500 1,333,176
ABIBB FLT% 27Jan17 0.82385 01/27/2017 1,900,000 1,898,950
FNR 3.5% 25Oct23 10-43-AB 3.5 10/25/2023 10,418,500 693,635
ALKERMES INC 1ST LIEN TL-B L + 2.75% 25Sep19 3.5 09/25/2019 1,111,208 1,109,819
TRONOX PIGMENTS (NETHERLANDS) BV 1ST LIEN TL-B L + 3% 19Mar20 4.5 03/19/2020 379,505 368,416
CCCIT FLT% 20May20 08-A7-A7 1.81375 05/20/2020 2,750,000 2,814,976
FHLT FLT% 25Apr35 05-B-M3 1.08385 04/25/2035 10,250,000 809,509
ABERD FLT% 01Nov18 08-1A-B 2.2656 11/01/2018 1,750,000 1,738,023
SOUTHWIRE CO 1ST LIEN T-B L + 2.5% 31Jan21 3.0 01/31/2021 1,036,873 1,019,375
CAS FLT% 25May24 12-C02-1M1 1.38885 05/25/2024 3,560,000 2,184,100
EW Scripps 1ST LIEN TERMLOAN L + 2.9717% 26Nov20 3.5 11/26/2020 519,716 519,175
BCAP FLT% 27Dec34 13-RR7-4A1 3.18273 12/27/2034 1,410,000 832,380
FHR 2% 15Aug20 3706-C 2.0 08/15/2020 5,100,000 943,146
RESID FLT% 06Jun16 144A 10.300143 06/06/2016 900,000 918,000
MDT FLT% 15Mar20 1.43385 03/15/2020 2,680,000 2,688,525
NMRR FLT% 26Oct36 14-1R-5A1 0.5858 10/26/2036 3,000,000 1,399,205
MLCC FLT% 25Apr28 03-B-A1 1.11885 04/25/2028 33,661,000 1,193,818
RAMP FLT% 25Sep35 05-RZ3-A3 0.83885 09/25/2035 950,000 195,837
FNMA FLT% 25Feb37 07-7-FJ 0.63885 02/25/2037 5,150,000 373,004
FHLMC FLT% 26Nov46 12-K501-C 3.47976 11/26/2046 2,500,000 2,514,185
COMMUNICATIONS SALES & LEASING INC 1ST LIEN TL-B L + 4% 16Oct22 5.0 10/16/2022 397,000 390,383
FNMA FLT% 25May40 11-19-FM 0.98885 05/25/2040 2,619,152 741,867
FNMA FLT% 25Jul32 02-56-FN 1.43885 07/25/2032 15,000,000 151,958
FN ARM POOL FLT% #889104 01Jan48 2.525 01/01/2048 175,000 17,745
FHLMC FLT% 15Dec32 2650-FX 0.83275 12/15/2032 11,201,000 486,688
CARMX FLT% 15Jun18 15-2-A2B 0.71275 06/15/2018 2,500,000 1,554,141
COMET FLT% 17Jun19 06-A11-A11 0.52275 06/17/2019 5,470,000 5,468,806
PPSI FLT% 25Sep35 05-WHQ4-A1A 0.69885 09/25/2035 6,785,000 169,279
TRUMN FLT% 25Mar36 06-1-A 0.69885 03/25/2036 4,750,000 755,949
FHLMC FLT% 15Jul36 3191-FE 0.83275 07/15/2036 1,200,000 31,688
AMSI FLT% 25Jul35 05-R5-M1 0.86885 07/25/2035 84,000 24,118
MSAC FLT% 25Mar35 05-NC2-M2 1.06885 03/25/2035 2,854,027 911,656
PHARMACEUTICAL PRODUCT DEVELOPMENT 1ST LIEN TL-B L + 3.25% 06Aug22 4.25 08/06/2022 905,656 905,656
FLY LEASING II SARL 1ST LIEN TL L + 2.75% 09Aug19 3.5 08/09/2019 2,023,083 2,018,974
WFC FLT% 15Jun17 0.90385 06/15/2017 1,999,000 1,996,972
FHLMC FLT% 15May35 2976-LF 0.77275 05/15/2035 3,925,000 705,194
FNMA FLT% 03Oct16 0.73 10/03/2016 8,925,000 8,938,650
WLAKE FLT% 15Jan19 16-1A-A2B 1.48275 01/15/2019 2,730,000 2,733,280
FNMA FLT% 25Mar37 07-103-AF 1.43885 03/25/2037 2,300,000 165,802
GNMA FLT% 16May38 09-109-FA 0.83625 05/16/2038 8,761,000 342,671
NPC INTERNATIONAL 1ST LIEN TERM-B L + 3% 28Dec18 4.75 12/28/2018 152,735 151,971
MLCC FLT% 25Jan29 03-G 1.07885 01/25/2029 14,411,000 640,937
BHP FLT% 30Sep16 0.8786 09/30/2016 1,795,000 1,793,891
AMXLMM FLT% 12Sep16 1.63235 09/12/2016 1,500,000 1,506,318
ARDAGH HOLDINGS USA INC/ARDAGH PAC 1ST LIEN TL-B3 L + 3% 17Dec19 4.0 12/17/2019 670,320 670,738
BLUDNB FLT% 23May16 144A 4.56175 05/23/2016 3,325,000 3,354,891
HRZN 3% 15May18 13-1A-A 3.0 05/15/2018 2,777,000 226,903
BLCP FLT% 15Aug29 14-CLRN-B 1.783 08/15/2029 2,490,000 2,424,178
RESID FLT% 06Jun16 144A 8.2725 06/06/2016 750,000 760,650
EXPERT GLOBAL SOLUTIONS INC 1ST LIEN TL-B L + 7.25% 03Apr18 8.5 04/03/2018 10,554 10,370
DCENT FLT% 17Aug20 15-A1-A1 0.78275 08/17/2020 300,000 300,586
CAS FLT% 25Oct23 2013-CO1 2.43885 10/25/2023 4,205,000 2,208,122
CONN 4.68% 16Apr18 16-A-A 4.68 04/16/2018 3,600,000 2,911,096
CMLTI FLT% 25Nov34 04-RES1-M2 1.45885 11/25/2034 3,500,000 192,094
TAH FLT% 19May32 15-SFR1-B 2.083 05/19/2032 4,150,000 4,093,570
SEMT FLT% 20Feb35 05-1-A1 0.89875 02/20/2035 41,736,748 2,720,971
CSMC FLT% 27Oct36 06-CF3-A1 0.70885 10/27/2036 12,650,000 642,095
JPM 3.15% 05Jul16 3.15 07/05/2016 1,435,000 1,455,478
MPG HOLDCO I INC 1ST LIEN TL-B L + 2.75% 20Oct21 3.75 10/20/2021 1,235,519 1,230,223
TD FLT% 08Jul16 0.699 07/08/2016 1,320,000 1,320,517
WFCM FLT% 15Jan27 14-TISH-SCH 3.93275 01/15/2027 1,500,000 1,447,573
FHLMC FLT% 15Feb33 2577-FA 0.98275 02/15/2033 15,000,000 289,014
AWAS AVIATION CAPITAL LTD 1ST LIEN TL-B1 L + 2.75% 16Jul18 3.5 07/16/2018 323,751 324,763
WIRECO WORLDGROUP TL B 1ST LIEN TL L + 4.75% 15Feb17 6.0 02/15/2017 821,181 812,456
BMO FLT% 16Mar18 1.339 03/16/2018 2,600,000 2,602,923
PFP FLT% 14Jul34 15-2-A 1.88275 07/14/2034 3,750,000 3,714,371
FNH 1.296% 10Dec22 14-1A-A 1.296 12/10/2022 2,500,000 1,011,291
WFNMT FLT% 15Feb22 15-A 0.91275 02/15/2022 1,725,000 1,720,671
SVHE FLT% 25May35 05-D01-M3 1.15885 05/25/2035 2,000,000 997,383
FHLMC FLT% 15Jan36 3102-FG 0.73275 01/15/2036 1,837,000 238,260
FHLMC FLT% 15Dec32 2543-EF 0.78275 12/15/2032 15,400,000 122,927
AMGN FLT% 22May17 0.9982 05/22/2017 2,725,000 2,724,325
TEREX CORPORATION 1ST LIEN TL-B L + 3.75% 15Dec22 4.5 12/15/2022 305,687 301,865
HEAT FLT% 25Aug36 06-4-2A3 0.60885 08/25/2036 1,325,000 156,026
WOLS FLT% 15Mar17 14-A-A2B 0.64275 03/15/2017 2,500,000 1,027,550
MLCC FLT% 25Sep29 04-D-A3 2.29369 09/25/2029 11,000,000 656,603
CWL FLT% 25Dec34 04-7-MV3 1.48885 12/25/2034 13,486,000 5,034,567
PNC FLT% 01Aug17 0.9156 08/01/2017 2,500,000 2,498,301
LSTRZ FLT% 01Jan21 16-1-A1 2.4385 01/01/2021 6,000,000 4,694,945
FNMA FLT% 25Dec23 93-230-FA 1.03885 12/25/2023 13,749,086 81,763
AMXCA FLT% 15Jan20 15-1-A 0.72275 01/15/2020 2,600,000 2,603,608
ARCLO FLT% 15May24 14-1A-A 2.18275 05/15/2024 4,300,000 4,297,753
DCENT FLT% 15Aug19 14-A2-A2 0.8172 08/15/2019 2,000,000 2,003,740
VERINT SYSTEMS INC. 1ST LIEN TL-B2 L + 2.75% 06Sep19 3.5 09/06/2019 325,731 326,546
NGN FLT% 08Dec20 10-R3-2A 0.998 12/08/2020 410,000 243,085
PNC 2.7% 19Sep16 2.7 09/19/2016 1,045,000 1,054,098
PRGSO 3.625% 30Jan25 15-A-A 3.625 01/30/2025 3,050,000 3,052,249
BMIR FLT% 25Jul25 15-1A-M1 2.9358 07/25/2025 3,650,000 2,105,220
SEMINOLE HARD ROCK ENTERTAINMENT I 1ST LIEN TL-B L + 2.75% 14May20 3.5 05/14/2020 583,500 583,500
GCCT FLT% 15Mar19 14-1A-A 0.87385 03/15/2019 300,000 299,378
BSABS FLT% 25Jun36 06-SD2-A3 0.92885 06/25/2036 1,620,000 547,517
INTELSAT 1ST LIEN TL-B2 L + 2.75% 30Jun19 3.75 06/30/2019 521,732 490,558
CBRYRE FLT% 06Jul18 144A 4.018697 07/06/2018 1,000,000 1,017,683
HENDR FLT% 15Nov40 05-1A 0.66275 11/15/2040 4,630,000 1,081,730
GCCT FLT% 15Jan20 16-1A-A 1.0362 01/15/2020 4,000,000 4,002,740
NRG ENERGY INC 1ST LIEN TL L + 2% 01Jul18 2.75 07/01/2018 1,651,739 1,647,437
BSPHOR FLT% 03May16 144A 2.8375 05/03/2016 1,050,000 1,053,135
SIX FLAGS THEME PARKS INC 1ST LIEN TL-B L + 2.75% 30Jun22 3.5021849 06/30/2022 1,141,375 1,147,081
ARCLO FLT% 17Mar25 15-FL1A-A 2.18275 03/17/2025 5,000,000 4,779,547
PNC 1.125% 27Jan17 1.125 01/27/2017 2,700,000 2,712,758
FHLMC FLT% 15Dec41 4056-QF 0.78275 12/15/2041 1,000,000 494,633
AVAGO TECHNOLOGIES CAYMAN FINANCE 1ST LIEN TL-B L + 3.5% 13Nov22 4.25 11/13/2022 2,375,000 2,380,773
ROVI SOLUTIONS CORP 1ST LIEN TL-B L + 3% 02Jul21 3.75 07/02/2021 1,008,073 1,000,512
ORAFP 2.75% 14Sep16 2.75 09/14/2016 2,750,000 2,776,982
T 2.4% 15Mar17 2.4 03/15/2017 1,250,000 1,266,603
SMAT FLT% 14Aug17 15-1US-A2B 0.85715 08/14/2017 2,250,000 983,233
CCCIT 1.23% 24Apr19 14-A4-A4 1.23 04/24/2019 1,250,000 1,253,911
CIFC FLT% 10May21 07-1-A1L 0.881 05/10/2021 500,000 113,981
CITEC2014VT1 0.86% 22May17 A2 0.86 05/22/2017 2,500,000 951,587
FNMA FLT% 25Apr25 10-38-F 0.73885 04/25/2025 2,280,000 206,548
RY FLT% 09Sep16 1.0961 09/09/2016 2,000,000 2,005,822
VITALI FLT% 09Jan17 144A 2.958526 01/09/2017 1,000,000 1,004,838
BSABS FLT% 25Feb36 06-1-A 0.71885 02/25/2036 39,400,000 86,940
F FLT% 27Mar17 1.2601 03/27/2017 3,500,000 3,494,942
ALLIANT HOLDINGS I LLC 1ST LIEN TL-B L + 3.5% 28Jul22 4.5 07/28/2022 71,943 71,448
FNMA FLT% 25Feb38 11-33-PF 0.88885 02/25/2038 2,184,000 216,864
CCG 1.06% 15Nov21 A2 1.06 11/15/2021 1,900,000 805,752
FHLMC FLT% 15Aug35 3042-PF 0.68275 08/15/2035 2,185,000 316,465
CHAIT FLT% 15Mar19 07-A5-A5 0.47275 03/15/2019 6,300,000 6,284,960
SHBASS FLT% 17Aug16 0.7982 08/17/2016 2,500,000 2,505,291
WSTP FLT% 19May17 0.9494 05/19/2017 2,000,000 2,002,295
SAMI FLT% 19May35 04-AR8-A1 1.11625 05/19/2035 87,018,704 3,423,883
DTAOT 1.24% 17Sep18 15-2A 1.24 09/17/2018 2,600,000 968,215
FN ARM POOL FLT% #323626 01Nov23 2.415 11/01/2023 970,000 5,556
FNMA FLT% 25Aug31 01-37-F 0.93885 08/25/2031 17,600,000 175,286
BALTA FLT% 25Jun34 04-4-A1 1.03885 06/25/2034 33,443,000 1,867,053
FIAOT 2.53% 15Jan20 13-1A-D 2.53 01/15/2020 4,175,000 4,148,363
CGWF FLT% 15Nov30 13-RKWH-B 2.33275 11/15/2030 9,130,000 9,110,526
PFE FLT% 15May17 0.7682 05/15/2017 2,100,000 2,104,811
FNMA FLT% 25Oct35 05-83-KT 0.73885 10/25/2035 6,475,000 469,209
POPLR FLT% 25Feb36 06-A-A4 0.75885 02/25/2036 1,000,000 333,311
STI 3.5% 20Jan17 3.5 01/20/2017 1,300,000 1,331,165
FORDO FLT% 15Mar18 15-B-A2B 0.66275 03/15/2018 2,600,000 1,408,177
GARDA WORLDWIDE SECURITY 1ST LIEN TL-B1 L + 3% 08Nov20 4.003836 11/08/2020 315,318 310,456
CHARTER COMMUNICATIONS OPERATING L 1ST LIEN TL-F1 L + 2.25% 31Dec20 3.0 12/31/2020 1,288,562 1,287,455
SASC FLT% 25Mar33 03-BC2-M1 1.93885 03/25/2033 5,000,000 1,048,060
COOPER-STANDARD AUTOMOTIVE INC 1ST LIEN TL-B L + 3% 28Mar21 4.0 03/28/2021 342,258 342,258
MSC 5.328% 12Nov41 06-HQ10-A4 5.328 11/12/2041 4,240,000 2,249,662
C FLT% 24Nov17 1.3246 11/24/2017 2,630,000 2,628,996
CITREL FLT% 24Apr17 144A 4.498704 04/24/2017 1,350,000 1,333,456
VIRGIN MEDIA 1ST LIEN TL-F L + 2.75% 30Jun23 3.64915 06/30/2023 1,484,673 1,483,977
LSTRZ FLT% 01Nov19 14-2-A 2.434 11/01/2019 8,266,000 6,557,270
FNMA FLT% 25Jun37 07-58-FA 0.68885 06/25/2037 3,590,000 248,917
CCCIT 1.02% 22Feb19 14-A2-A2 1.02 02/22/2019 5,700,000 5,715,623
SAIL FLT% 25Jul35 05-6-M1 1.15885 07/25/2035 4,150,000 2,192,589
UACST 1.68% 15Sep17 15-1-B 1.68 09/15/2017 2,500,000 1,497,324
UBS FLT% 26Mar18 1.3301 03/26/2018 800,000 800,866
CAELUS FLT% 06Mar20 144A   03/06/2020 2,250,000 2,259,000
PNC 5.25% 15Jan17 5.25 01/15/2017 1,750,000 1,825,032
CCO SAFARI III LLC 1ST LIEN TL I L + 2.75% 23Jan23 3.5 01/23/2023 1,000,000 1,005,446
C FLT% 15Nov16 1.2982 11/15/2016 3,200,000 3,211,166
CRGT FLT% 15Nov37 06-2-A1 0.6782 11/15/2037 17,300,000 1,875,569
FHR 3% 15Apr24 3805-AH 3.0 04/15/2024 11,000,000 1,334,537
CNH 0.99% 15Nov18 13-B-A4 0.99 11/15/2018 750,000 747,772
ARIFLT 0.8100000000000001% 15Nov22 14-A-A2 0.81 11/15/2022 3,000,000 935,799
MLCC FLT% 25May29 04-B-A2 1.17315 05/25/2029 12,160,000 335,459
BAC FLT% 15Jan19 1.66835 01/15/2019 1,350,000 1,351,213
MSC FLT% 17Aug26 15-XLF2-AFSB 3.18275 08/17/2026 3,000,000 3,003,978
FITAT FLT% 15May17 A2B 0.66275 05/15/2017 1,700,000 25,015
SURF FLT% 25Dec36 06-BC1-A2C 0.63885 12/25/2036 3,000,000 84,806
NHEL FLT% 25Mar35 04-4 M4 2.08885 03/25/2035 2,443,000 2,307,296
JPMCC FLT% 17Nov31 14-FL6-A 1.83275 11/17/2031 4,240,000 3,938,289
CNRCN FLT% 14Nov17 0.7872 11/14/2017 1,670,000 1,671,297
AABST FLT% 25Oct35 05-4-1A4 0.80885 10/25/2035 800,000 231,933
FNMA FLT% 25Apr32 02-23-FA 1.33885 04/25/2032 35,072,000 1,617,322
SAST FLT% 25Nov35 05-3-M1 0.89885 11/25/2035 4,385,000 2,472,692
SBA SENIOR FINANCE II LLC TL-B3 L + 2.5% 31Mar21 3.25 03/31/2021 589,500 589,721
ABNANV FLT% 28Oct16 144A 1.43435 10/28/2016 1,725,000 1,728,080
D 1.95% 15Aug16 1.95 08/15/2016 2,376,000 2,392,573
T-MOBILE USA INC 1ST LIEN TL-B L + 2.75% 03Nov22 3.5 11/03/2022 349,125 351,612
MASD FLT% 25Jan36 06-1-A 0.73885 01/25/2036 51,217,354 2,963,989
SRE FLT% 09Mar17 0.8361 03/09/2017 2,500,000 2,493,859
PNC FLT% 15Dec16 0.98385 12/15/2016 2,850,000 2,848,914
FNMA FLT% 25Mar23 99-49-FB 0.93885 03/25/2023 17,080,403 75,049
OSCAR FLT% 15Feb18 15-1A-A2B 1.1362 02/15/2018 2,500,000 1,422,787
WFNMT 1.26% 15Mar21 15-C-A 1.26 03/15/2021 3,000,000 2,999,983
NAROT FLT% 15Nov18 15-C-A2B 0.78275 11/15/2018 1,500,000 1,501,090
GNMA 4% 20Jul34 04-86C-TA 4.0 07/20/2034 31,635,000 41,706
FHLMC FLT% 15Mar32 2470-AF 1.43275 03/15/2032 122,751,000 768,762
BOAMS FLT% 25Oct34 04-I-1A1 2.7455 10/25/2034 6,000,000 329,995
NDASS FLT% 13Jun16 0.81235 06/13/2016 2,225,000 2,228,261
STACR FLT% 25Apr28 15-DNA3-M1 1.783 04/25/2028 2,250,000 2,142,300
TI GROUP AUTOMOTIVE SYSTEMS LLC 1ST LIEN TL-B L + 3.5% 25Jun22 4.5 06/25/2022 806,227 806,227
BBB INDUSTRIES LLC 1ST LIEN TL L + 5% 20Oct21 6.0 10/20/2021 990,000 990,309
PENNUN FLT% 07Dec18 144A 4.800143 12/07/2018 3,500,000 3,521,175
AMGN 2.125% 15May17 2.125 05/15/2017 1,350,000 1,377,162
WESTR 3.75% 20Aug25 13-1A-B 3.75 08/20/2025 8,405,000 2,142,750
HALST FLT% 16Jul18 16-A-A2B 0.98275 07/16/2018 1,800,000 1,805,123
NDASS FLT% 17Sep18 144A 1.48195 09/17/2018 2,600,000 2,610,751
LBSBC FLT% 25Oct37 07-3A-1A3 1.48885 10/25/2037 2,211,066 845,553
PSTAT FLT% 21Jun24 16-2A-A1 1.9881 06/21/2024 4,500,000 4,500,000
IMM FLT% 25Oct33 03-8-2A1 1.33885 10/25/2033 14,250,000 630,960
HENDR FLT% 15Sep45 04-A-A1 0.78275 09/15/2045 3,120,000 559,926
BOAMS FLT% 25May34 04-D-2A1 3.093476 05/25/2034 17,088,000 1,201,141
WHEELABRATOR 1ST LIEN TL-B L + 4% 15Oct21 5.0 10/15/2021 2,837,643 2,750,740
GSFT FLT% 15Feb58 161-A1A 1.37379 02/15/2058 2,600,000 2,605,718
EXC 1.2% 15Oct16 1.2 10/15/2016 1,370,000 1,373,564
PRESTIGE BRANDS 1ST LIEN L + 2.75% 03Sep21 3.521807 09/03/2021 713,408 716,231
DTAOT 1.06% 17Sep18 15-1A 1.06 09/17/2018 2,100,000 320,845
BBT FLT% 13Sep16 0.95235 09/13/2016 6,144,000 6,152,468
CGCC14-FL1 FLT% 16Jun31 A 1.38275 06/16/2031 5,670,000 5,663,484
HEAT FLT% 25Jan36 05-7 2A4 0.81885 01/25/2036 7,770,000 2,303,872
GALE FLT% 19Apr21 07-3A-A1 0.8731 04/19/2021 1,200,000 394,551
MLCC FLT% 25Mar28 03-A-2A2 1.70105 03/25/2028 48,813,000 1,134,116
MLMT FLT% 12Aug43 06-C2-AM 5.782 08/12/2043 6,475,000 6,530,936
SPECTRUM BRANDS INC 1ST LIEN TL L + 3% 16Jun22 3.5 06/16/2022 662,916 666,645
RESIMAC FLT% 10Oct47 16-1-A1   10/10/2047 3,600,000 3,600,371
PVH CORP 1ST LIEN TL-B L + 2.5% 13Feb20 3.25 02/13/2020 770,609 775,838
MABS FLT% 25Feb36 06-AB1-A2 0.66885 02/25/2036 12,307,204 1,207,119
NAVIOS MARITIME PARTNERS LP 1ST LIEN TL-B L + 4.25% 27Jun18 5.25 06/27/2018 1,395,472 1,234,992
FHR 3% 15Jul36 3843-KG 3.0 07/15/2036 4,340,000 313,221
BACCT FLT% 16Sep19 14-A2-A 0.70275 09/16/2019 6,400,000 6,405,989
FREMF FLT% 25Aug23 14-KS02-B 5.43725 08/25/2023 5,600,000 5,440,936
BRK FLT% 10Jan17 0.7788 01/10/2017 1,855,000 1,856,807
ALTICE US FINANCE I CORP 1ST LIEN TL-B L + 3.25% 14Dec22 4.25 12/14/2022 1,103,441 1,104,360
UBS FLT% 01Jun17 1.1951 06/01/2017 2,500,000 2,505,587
BOMFT FLT% 28Aug44 14-20NP-A 3.721 08/28/2044 1,480,000 614,010
HILT FLT% 05Nov30 1.938 11/05/2030 5,700,000 5,171,910
AMC ENTERTAINMENT INC. 1ST LIEN TL L + 2.75% 30Apr20 4.0 04/30/2020 1,439,276 1,447,822
AXP FLT% 29Jul16 1.14835 07/29/2016 7,142,000 7,169,121
RIOLN FLT% 17Jun16 1.48195 06/17/2016 1,130,000 1,132,449
JPMCC FLT% 15Jun29 14-INN-A 1.35275 06/15/2029 3,750,000 3,707,417
SASC FLT% 25Aug28 98-8-M1 1.37885 08/25/2028 37,025,000 872,054
WSSNPL FLT% 25May54 2014_1_MA 2.9814 05/25/2054 3,530,000 1,431,541
PRU 3% 12May16 3.0 05/12/2016 2,500,000 2,536,972
GM FLT% 10Apr18 1.9888 04/10/2018 2,500,000 2,487,406
DUK FLT% 11Jul16 0.9788 07/11/2016 2,285,000 2,286,836
ZERO% 01Feb18 0.0 02/01/2018 1,250,000 1,271,625
LLOYDS FLT% 14May18 1.1682 05/14/2018 3,500,000 3,486,348
GM FLT% 15Jan19 2.68835 01/15/2019 6,975,000 7,025,248
ON SEMICONDUCTOR CORPORATION 1ST LIEN TL-B L + 4.5% 31Mar23 5.25 03/31/2023 875,000 880,796
PEPAU FLT% 13Mar17 16-1-A1U1   03/13/2017 3,700,000 3,700,880
ON ASSIGNMENT INC 1ST LIEN TL-B L + 3% 05Jun22 3.75 06/05/2022 1,158,041 1,163,107
CCCIT FLT% 26May20 13-A2-A2 0.71885 05/26/2020 1,595,000 1,595,816
FHLMC FLT% 15Oct37 3373-FB 1.01275 10/15/2037 18,287,000 892,358
LSTRZ FLT% 02Jan20 15-1-A 2.434 01/02/2020 7,650,000 6,749,983
SUMIBK FLT% 19Jul16 1.3031 07/19/2016 1,500,000 1,501,805
GCAT 3.625% 26May20 15-1-A1 3.625 05/26/2020 2,500,000 1,638,256
PF CHANGS CHINA BISTRO INC 1ST LIEN TL-B L + 3.25% 02Jul19 4.2522373 07/02/2019 826,170 790,025
MSAC FLT% 25Jul35 05-HE3-M3 1.23385 07/25/2035 2,500,000 2,432,883
INTNED FLT% 17Aug18 144A 1.3982 08/17/2018 2,690,000 2,690,794
HEAT FLT% 25Jul35 05-2-M3 1.20385 07/25/2035 860,000 261,926
CSMC FLT% 27Jul36 09-3R-25A1 2.97272 07/27/2036 7,712,000 381,085
FHLMC FLT% 15Jun31 2411-FR 1.03275 06/15/2031 25,000,000 261,953
KILREL FLT% 06Dec19 144A 6.958526 12/06/2019 2,500,000 2,523,187
AMXCA FLT% 15May20 12-4-C 1.2362 05/15/2020 2,100,000 2,099,104
WASTE INDUSTRIES USA INC 1ST LIEN TL-B L + 3.25% 20Feb20 4.25 02/20/2020 148,500 149,428
RAMP FLT% 25Dec35 06-NC1 A2 0.62885 12/25/2035 19,100,000 62,314
RMAT 4.09% 27Jul20 15-1-A1 4.09 07/27/2020 2,000,000 1,775,865
ACTIVISION BLIZZARD INC 1ST LIEN TL-B L + 2.5% 26Jul20 3.25 07/26/2020 844,837 850,293
RESIF FLT% 09Jul35 03-CB1-B3 1.88645 07/09/2035 22,195,000 4,145,736
GSRPM FLT% 25Sep36 06-2 A2 0.73885 09/25/2036 5,483,897 486,615
TFRN FLT% 31Oct17 0.41815808 10/31/2017 13,780,000 13,808,634
VOLT 3.625% 25Oct57 15-NPL1-A1 3.625 10/25/2057 2,250,000 1,828,355
PPSI FLT% 25Oct34 04-MCW1-M1 1.37635 10/25/2034 1,150,000 66,314
Tribune Company TL-B L + 3.4684% 27Dec20 4.10225 12/27/2020 1,436,301 1,432,934
CGCMT FLT% 16Jun33 14-388G-B 1.486 06/16/2033 5,000,000 4,999,994
FHLMC FLT% 15Mar41 3867-PF 0.83275 03/15/2041 13,046,000 1,820,649
ALBERTSONS LLC 1ST LIEN TL-B2 L + 3.75% 21Mar19 5.5 03/21/2019 1,488,439 1,492,559
IMM FLT% 25Aug34 04-8-3A 1.25885 08/25/2034 14,550,000 1,499,004
NSANY CP ZERO% 20May16 USD 0.0 05/20/2016 2,750,000 2,749,197
JPMCC FLT% 15May47 06-LDP9-A3 0.58775 05/15/2047 200,000 66,490
C FLT% 15May18 2.3182 05/15/2018 1,330,000 1,356,825
CARMX 1.73% 15Feb18 12-2-B 1.73 02/15/2018 2,500,000 2,505,302
FHLMC FLT% 15Feb29 2122-FD 0.78275 02/15/2029 23,100,000 204,157
BSARM FLT% 25May33 03-3-IIIA1 2.99335 05/25/2033 42,906,215 1,045,458
GATORE FLT% 09Jan17 144A 6.483615 01/09/2017 2,000,000 1,944,715
BRIGHT HORIZONS FAMILY SOLUTIONS L 1ST LIEN TL-B L + 2.75% 30Jan20 3.750049 01/30/2020 589,214 591,056
GALIRE FLT% 09Jan17 144A 7.62 01/09/2017 1,250,000 1,261,756
BRK 2.2% 15Aug16 2.2 08/15/2016 2,775,000 2,800,730
MS FLT% 01Feb19 1.9963 02/01/2019 5,400,000 5,489,049
CHRYSLER GROUP LLC 1ST LIEN L + 2.5% 29Dec18 3.25 12/29/2018 1,669,364 1,670,824
NWSTR FLT% 20Jan23 12-2A-A 2.53435 01/20/2023 2,750,000 2,587,317
HANESBRANDS INC US 1ST LIEN TL-B L + 2.5% 15Apr22 3.25 04/15/2022 495,000 498,182
FNMA FLT% 25Sep37 07-93-FD 0.98885 09/25/2037 1,915,000 166,183
SURF FLT% 25Jun36 05-AB2-A1D 0.76885 06/25/2036 18,964,000 365,614
NFMOT FLT% 15Jul19 15-1A-B 2.1862 07/15/2019 2,600,000 2,577,796
GSAMP FLT% 25Dec34 05-HE1-M1 1.18885 12/25/2034 19,229,178 1,434,866
NCHET FLT% 25Mar35 05-1-A2C 1.13885 03/25/2035 5,042,000 798,625
QUEST FLT% 25Mar34 04-X1-A 1.09885 03/25/2034 95,089,092 2,294,718
HVMLT FLT% 19Apr34 04-1-4A 2.796866 04/19/2034 16,013,000 595,646
CF FLT% 07May24 12-2A-D 2.2885 05/07/2024 3,534,000 3,538,202
PFSFC FLT% 15Oct19 14-BA-B 1.28275 10/15/2019 1,700,000 1,679,573
CIM FLT% 25Nov57 15-4AG-A1 2.434 11/25/2057 2,700,000 2,441,642
BRK FLT% 14Aug17 0.7432 08/14/2017 2,500,000 2,499,769
SASC FLT% 25Apr31 07-TC1-A 0.73885 04/25/2031 12,921,000 3,420,121
SARMLT FLT% 25Nov34 04-17-A1 1.454883 11/25/2034 62,595,000 2,539,250
ENTERCOM RADIO LLC 1ST LIEN TL-B2 L + 3% 23Nov18 4.0007486 11/23/2018 311,590 311,720
HFCHC FLT% 20Jul36 07-2 0.73875 07/20/2036 600,000 392,900
SBY FLT% 18Sep31 14-1-C 2.48275 09/18/2031 3,778,000 3,662,824
HCA INC 1ST LIEN B6 L + 3.25% 08Mar23 3.6852 03/08/2023 1,966,717 1,982,697
SARM FLT% 25Jul34 04-9XS-A 0.80885 07/25/2034 20,600,000 2,036,072
LSTRZ FLT% 01Oct20 15-9-A1 2.434 10/01/2020 6,097,000 5,573,723
LANDRYS INC TL 1ST LIEN TL-B L + 3% 24Apr18 4.0 04/24/2018 345,834 346,591
MIZUHO FLT% 20Oct18 144A 1.82435 10/20/2018 2,800,000 2,809,300
UNBC FLT% 09Feb18 1.1897 02/09/2018 2,425,000 2,416,359
GMALT FLT% 20Jun18 15-3-A2B 1.01875 06/20/2018 1,000,000 1,000,677
MLCC FLT% 25Apr29 04-A-A1 0.89885 04/25/2029 36,167,206 1,412,398
HSMAC FLT% 25Jan35 04-6-A3B 1.35885 01/25/2035 11,300,000 44,376
BELDEN FINANCE 1ST LIEN TL-B L + 2.5% 09Sep20 3.4134798 09/09/2020 1,825,832 1,822,409
KEY FLT% 01Jun18 1.1551 06/01/2018 2,500,000 2,499,340
RAITF14-FL3 FLT% 15Dec31 A 1.684 12/15/2031 4,608,000 2,631,852
CAS FLT% 25Aug28 16-C01-1M1 2.383 08/25/2028 2,500,000 2,478,335
HMAC FLT% 25Sep34 04-4-A3 1.53885 09/25/2034 6,832,000 1,337,497
GMSL FLT% 25Nov32 04-A-A2 0.75885 11/25/2032 8,780,000 264,317
OOMLT FLT% 25Nov35 05-4-A3 0.69885 11/25/2035 20,500,508 893,394
HEAT FLT% 25Dec34 04-6-A1 1.11885 12/25/2034 49,300,000 410,735
SUMITR FLT% 16Sep16 144A 1.42195 09/16/2016 1,500,000 1,505,221
ACR FLT% 15Aug31 14-FL2_A 1.434 08/15/2031 5,350,000 1,733,550
BALTA FLT% 25Jan35 04-12_1A4 1.27885 01/25/2035 25,907,600 2,286,094
VZ FLT% 15Sep16 2.16385 09/15/2016 11,835,000 11,923,264
FHR 5% 15Oct26 3628-VB 5.0 10/15/2026 5,328,602 2,356,445
SEMT FLT% 20Sep33 03-5-A1 1.05875 09/20/2033 72,500,000 2,633,671
COMMUNITY HEALTH 1ST LIEN TL-H L + 3% 27Jan21 4.0 01/27/2021 45,954 45,339
FHLMC FLT% 15Dec20 3780-FE 0.83275 12/15/2020 1,000,000 99,498
HFLF FLT% 10Apr28 14-1-A 0.83645 04/10/2028 1,100,000 579,608
FHLMC FLT% 15Jul34 33-7-FT 0.67275 07/15/2034 5,000,000 451,070
DIGITALGLOBE INC. 1ST LIEN TL-B L + 2.75% 31Jan20 4.75 01/31/2020 1,856,235 1,864,341
FNMA FLT% 18Nov32 02-75-FD 1.43625 11/18/2032 105,671,000 1,492,496
INTEGRO LTD/UNITED STATES 1ST LIEN TL-B1 L + 5.75% 09Oct22 6.75 10/09/2022 701,020 676,485
CFAB 5.323% 26Feb35 04-2-1A4 5.323 02/26/2035 3,000,000 34,762
EPIQ SYSTEMS INC. 1ST LIEN TL-B L + 3.5% 27Aug20 4.5 08/27/2020 462,397 461,241
NSANY FLT% 26Sep16 144A 1.3301 09/26/2016 4,000,000 4,012,238
BCARD FLT% 15May19 12-3A-A 1.28275 05/15/2019 1,300,000 1,307,636
BEACON ROOFING SUPPLY INC. 1ST LIEN TL-B L + 3% 25Sep22 4.0 09/25/2022 696,500 698,132
STLNO FLT% 09Nov17 0.8197 11/09/2017 3,280,000 3,264,165
CABMT FLT% 16Mar20 14-1-A 0.78275 03/16/2020 1,600,000 1,598,081
UNH 1.875% 15Nov16 1.875 11/15/2016 800,000 811,587
BK FLT% 06Mar18 1.0756 03/06/2018 1,090,000 1,091,956
FNMA FLT% 25Sep37 07-85-FG 0.93885 09/25/2037 7,400,000 595,249
FNMA FLT% 25May40 10-43-IF 0.93885 05/25/2040 8,500,000 865,543
CAH FLT% 19Jul31 C 2.33275 07/19/2031 2,100,000 2,061,485
CWGS GROUP LLC 1ST LIEN TL-B L + 4.75% 20Feb20 5.75 02/20/2020 371,974 371,509
BSABS FLT% 25Mar35 05-SD2-1A3 0.83885 03/25/2035 13,790,000 1,095,560
HYUCAP FLT% 18Mar17 144A 1.439 03/18/2017 1,950,000 1,964,665
FNMA FLT% 25Mar18 03-17-FN 0.73885 03/25/2018 73,948,000 889,400
CBAAU FLT% 13Mar17 144A 0.99235 03/13/2017 2,000,000 2,003,229
HFLF FLT% 10Dec27 13-3-A 0.98645 12/10/2027 1,000,000 349,561
GLENLN FLT% 27May16 144A 1.7956 05/27/2016 1,800,000 1,800,976
PROG FLT% 20Feb32 15-SFR1-C 2.83275 02/20/2032 3,000,000 2,990,030
CNFHE FLT% 15Apr32 02-C-MV1 1.93275 04/15/2032 800,000 180,478
FHSTR FLT% 15Aug36 239-F30 0.73275 08/15/2036 43,230,336 1,394,931
BALTA FLT% 25Jan35 04-12-1A2 1.27885 01/25/2035 47,414,000 3,744,444
BSCMS 5.331% 11Feb44 07-PW15-A4 5.331 02/11/2044 3,575,172 3,023,091
ALTRL ZERO% 30Jun17 0.0 06/30/2017 695,760 113,200
FCAT 5.38% 15Jul20 13-1-D 5.38 07/15/2020 1,950,000 1,946,230
BMO FLT% 31Jul18 1.2281 07/31/2018 2,665,000 2,666,889
FHLMC FLT% 15May36 237-F14 0.83275 05/15/2036 7,791,000 360,871
VALEANT PHARMACEUTICALS INTERNATIO 1ST LIEN TL-B-E L + 3% 05Aug20 4.75 08/05/2020 1,299,287 1,265,722
CRGT FLT% 19Apr38 07-1-A1 0.6931 04/19/2038 15,883,244 1,833,838
BSABS FLT% 25May35 05-TC1-M1 1.09885 05/25/2035 3,200,000 2,323,230
ORES 3% 27Mar24 14-LV3-A 3.0 03/27/2024 4,250,000 771,488
KKR FLT% 15May21 07-1A-C 2.0682 05/15/2021 1,250,000 1,240,214
COMET FLT% 15Nov19 A1 0.82835 11/15/2019 2,000,000 2,001,678
DE FLT% 11Oct16 0.9188 10/11/2016 1,500,000 1,502,183
FORDF 1.92% 15Jan19 12-2-A 1.92 01/15/2019 2,620,000 2,635,163
FHLMC FLT% 15Feb18 2571-FB 0.78275 02/15/2018 26,045,000 265,108
OSCAR 1% 15Aug17 A2 1.0 08/15/2017 2,500,000 370,041
TEREX 1ST LIEN TL L + 2.75% 13Aug21 3.5 08/13/2021 304,913 298,052
ONGLT 4.87% 10Mar27 12-AA-B 4.87 03/10/2027 600,000 173,258
SEMT FLT% 20Oct27 10-2A1 1.19875 10/20/2027 9,100,000 134,652
SHBASS FLT% 23Sep16 1.0946 09/23/2016 4,405,000 4,415,842
RALI FLT% 25Jun33 03-QS11-A5 0.93885 06/25/2033 44,273,266 1,506,260
SYMP FLT% 09Jan23 12-8AR-BR 2.18645 01/09/2023 4,500,000 4,434,548
FNR 5% 25Jun34 05-83-TK 5.0 06/25/2034 5,572,000 273,183
BCAP FLT% 28May36 13-RR3-3A1 2.77392 05/28/2036 1,084,000 583,765
STACR FLT% 25Sep28 16-HQA1-M1 2.18885 09/25/2028 2,250,000 2,236,550
CWALT FLT% 25Apr34 04-6CB-A 1.01885 04/25/2034 32,705,000 1,775,206
NDASS 0.875% 13May16 144A 0.875 05/13/2016 4,050,000 4,066,852
ALLISON TRANSMISSION INC 1ST LIEN TL-B3 L + 2.75% 23Aug19 3.5 08/23/2019 763,468 765,854
GAAFT 3.9305% 15Oct46 15-T1-DT1 3.9305 10/15/2046 2,200,000 2,200,896
CAH FLT% 19May31 14-1A-C 2.283 05/19/2031 2,400,000 2,354,671
AON 3.125% 27May16 3.125 05/27/2016 9,225,000 9,365,637
MTB FLT% 25Jul17 0.9381 07/25/2017 2,400,000 2,396,035
BBT FLT% 23May17 0.9182 05/23/2017 500,000 499,401
RDSALN FLT% 10May17 0.941 05/10/2017 1,390,000 1,392,835
ARMT FLT% 25Sep35 05-5-6A22 0.71885 09/25/2035 13,780,000 834,576
CLNY FLT% 05Sep32 15-FL3-A 2.3905 09/05/2032 4,500,000 3,711,835
PPSI FLT% 25Sep35 05-WHQ4 A2D 0.80885 09/25/2035 8,206,169 1,250,023
WOART FLT% 16Jan18 14-B-A2B 0.66275 01/16/2018 2,650,000 360,250
MASTR FLT% 25Nov34 04-AR11-M1 1.07885 11/25/2034 5,400,000 740,187
BBT 1.45% 03Oct16 1.45 10/03/2016 6,074,000 6,094,363
WOART FLT% 15Jul19 15-B-A2B 0.83275 07/15/2019 3,000,000 3,000,498
SAST FLT% 25Nov37 05-4-A1A 0.66885 11/25/2037 31,986,000 666,654
AVIS BUDGET CAR RENTAL LLC 1ST LIEN TL-B L + 2.25% 15Mar19 3.0 03/15/2019 1,263,311 1,262,719
CSFB FLT% 25Jun34 04-AR5-11A2 1.17885 06/25/2034 26,125,000 338,210
CFAB FLT% 25Oct32 02-4-2A1 1.17885 10/25/2032 1,000,000 17,088
MICROSEMI CORPORATION 1ST LIEN TL-B L + 4.5% 17Dec22 5.25 12/17/2022 129,705 130,808
IMM FLT% 25Aug34 04-8-3B 3.06385 08/25/2034 2,122,000 220,179
HNDA FLT% 11Dec17 0.9446 12/11/2017 2,570,000 2,571,649
COMM FLT% 17Oct31 14-FL5-B 2.58275 10/17/2031 4,970,000 4,923,029
FLT% 31Mar19   03/31/2019 2,500,000 2,500,000
MLCC FLT% 25Jun28 03-C-A1 1.09885 06/25/2028 42,262,000 1,380,551
JPM FLT% 25Jan18 1.5381 01/25/2018 2,800,000 2,812,744
CMSI 5% 25Jul20 05-4-2A1 5.0 07/25/2020 486,000 5,953
CBASS FLT% 25Nov33 01-CB4-1A1 1.33885 11/25/2033 4,754,000 94,658
MHL FLT% 25May35 05-2-1A1 0.95885 05/25/2035 10,495,000 1,465,623
GSMS FLT% 10Aug45 07-GG10-A4 5.793622 08/10/2045 8,500,000 7,709,407
CFREE14-CARE FLT% 15Nov29 B 2.283 11/15/2029 3,300,000 3,297,175
SANDRE FLT% 05May17 144A 3.7325 05/05/2017 2,500,000 2,488,798
HPA FLT% 18Mar33 16-1-D 3.74125 03/18/2033 1,499,000 1,483,768
HFLF FLT% 10Dec27 B 1.48645 12/10/2027 500,000 500,584
FNMA FLT% 25May37 07-41-FA 0.83885 05/25/2037 32,172,000 630,334
CAZ FLT% 10Dec23 2015-1A-A 2.0 12/10/2023 2,605,000 2,024,869
RAMP FLT% 25Jun35 05-RS6-M1 1.18885 06/25/2035 1,393,325