Pioneer Investments: Pioneer Multi-Asset Ultrashort Income Fund


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Pioneer Multi-Asset Ultrashort Income Fund

Monthly Portfolio Holdings as of 10/31/2014

Security Name Coupon Maturity Date Par / Shares Market Value($)
Government National Mortgage Association, 4.0%, 7/20/34 4.0 07/20/2034 31,635,000 1,307,595
British Telecommunications Plc, 2.0%, 6/22/15 2.0 06/22/2015 3,125,000 3,175,652
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 0.4528 04/15/2036 3,463,000 721,720
Atlantic Power LP, Term Loan, 2/20/21 4.75 02/20/2021 2,902,388 2,891,504
Credit Acceptance Auto Loan Trust 2012-2, 1.52%, 3/16/20 (144A) 1.52 03/16/2020 1,366,000 1,220,234
United Auto Credit Securitization Trust 2012-1, 3.12%, 3/15/18 (144A) 3.12 03/15/2018 4,100,000 4,112,848
Citigroup, Inc., Floating Rate Note, 11/15/16 0.9136 11/15/2016 1,700,000 1,709,969
Bway Holding Co 1st Lien Tl-B L + 4.5% 08aug20 5.5 08/08/2020 399,000 400,995
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 8.9101 06/06/2017 1,500,000 1,594,125
Verizon Communications, Inc., Floating Rate Note, 9/15/16 1.7641 09/15/2016 3,805,000 3,899,482
KeyCorp, 3.75%, 8/13/15 3.75 08/13/2015 2,650,000 2,734,267
RESI Finance LP 2003-CB1, Floating Rate Note, 6/10/35 1.6018 06/10/2035 7,815,000 2,090,148
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.422 11/25/2035 6,309,000 778,592
Six Flags Theme Parks, Inc., Tranche B Term Loan, 12/20/18 3.5037 12/20/2018 731,627 729,493
Wheelabrator 1st Lien Tl-B L + 4% 15oct21   10/15/2021 2,873,563 2,886,135
Discover Card Execution Note Trust, 0.86%, 11/15/17 0.86 11/15/2017 1,700,000 1,704,669
General Electric Capital Corp., 3.75%, 11/14/14 3.75 11/14/2014 510,000 519,306
Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 6.5051 01/09/2017 2,000,000 2,062,512
Oak Hill Advisors Residential Loan Trust 2014-NPL1, 2.8828%, 5/25/54 (Step) (144A) 2.8828 05/25/2054 1,810,000 1,405,362
NSG Holdings LLC, New Term Loan, 12/11/19 3.75 12/11/2019 1,574,366 1,560,590
United Auto Credit Securitization Trust 2013-1, 1.74%, 4/15/16 (144A) 1.74 04/15/2016 1,900,000 1,905,254
HSBC Home Equity Loan Trust USA 2006-2, Floating Rate Note, 3/20/36 0.307 03/20/2036 545,000 84,814
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 0.902 05/25/2035 2,925,000 2,832,890
RALI Series 2004-QS1 Trust, Floating Rate Note, 1/25/34 0.702 01/25/2034 4,000,000 32,458
Paragon Offshore Finance Co Tl-B L + 2.75% 11jul21 3.75 07/11/2021 875,000 818,125
Citibank Credit Card Issuance Trust, Floating Rate Note, 4/24/17 0.253 04/24/2017 17,520,000 17,515,028
Bear Stearns ALT-A Trust 2003-3, Floating Rate Note, 10/25/33 2.6805 10/25/2033 350,000 59,326
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 8.1051 01/07/2016 1,000,000 1,044,654
Structured Asset Investment Loan Trust 2006-1, Floating Rate Note, 1/25/36 0.352 01/25/2036 4,650,000 1,109,372
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 0.7606 07/15/2016 1,500,000 1,512,054
Enterprise Products Operating LLC, 3.7%, 6/1/15 3.7 06/01/2015 3,830,000 3,952,421
HLSS Servicer Advance Receivables Trust, 1.4953%, 1/16/46 (144A) 1.4953 01/16/2046 5,600,000 5,588,042
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.652 09/25/2037 7,400,000 824,167
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.402 03/25/2037 30,888,000 795,942
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 2.5158 11/25/2034 3,560,000 355,244
MUFG Union Bank NA, Floating Rate Note, 9/26/16 0.9851 09/26/2016 3,500,000 3,530,230
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 0.752 12/25/2023 13,749,086 114,718
Nsany Cp Zero% 14nov14 Usd 0.0 11/14/2014 2,525,000 2,524,796
Alterna Funding I LLC, 1.639%, 2/15/21 (144A) 1.639 02/15/2021 1,400,000 1,346,890
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 10.7542 04/10/2015 1,945,000 2,022,162
Morgan Stanley Capital I, Inc., Floating Rate Note, 10/15/20 (144A) 0.254 10/15/2020 2,650,000 749,210
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 (144A) 2.154 12/15/2028 2,910,000 2,907,539
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/37 1.4028 05/15/2037 3,000,000 281,820
Fly Funding II Sarl, Loan, 8/8/18 4.5 08/08/2018 1,587,542 1,588,161
Stanfield Bristol CLO, Ltd., Floating Rate Note, 10/15/19 (144A) 1.0336 10/15/2019 544,000 542,150
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-E, Floating Rate Note, 11/25/29 1.0437 11/25/2029 36,000,000 2,201,412
Sensata Technologies BV, Term Loan, 5/12/18 3.25 05/12/2018 528,773 526,716
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 1.092 12/25/2034 23,713,000 718,937
Conseco Financial Corp., 7.05%, 1/15/19 7.05 01/15/2019 600,362 6,780
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 0.8528 03/15/2032 22,000,000 206,045
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/33 0.5528 01/15/2033 41,500,000 586,370
BioScrip, Inc., Delayed Draw Term Loan, 7/31/20 6.5 07/31/2020 328,915 330,833
Enterprise Fleet Financing LLC, 0.93%, 4/20/18 (144A) 0.93 04/20/2018 1,800,000 1,804,139
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 0.597 10/20/2017 888,000 889,114
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP5, Floating Rate Note, 12/15/44 5.2364 12/15/2044 6,310,000 6,508,454
NCUA Guaranteed Notes Trust, Floating Rate Note, 3/11/20 0.5518 03/11/2020 2,035,000 1,049,756
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 0.807 01/18/2032 16,977,308 262,348
Offshore Group Investment, Ltd., Second Term Loan, 3/28/19 5.75 03/28/2019 302,243 272,019
Federal Farm Credit Banks, Floating Rate Note, 9/18/15 0.18 09/18/2015 2,540,000 2,541,911
Ameriquest Mort Sec Inc Asset Backed Pass Thr Cert 03 AR3, Floating Rate Note, 6/25/33 3.902 06/25/2033 729,633 418,203
Honda Auto Receivables 2013-2 Owner Trust, 0.53%, 2/16/17 0.53 02/16/2017 959,000 959,859
CIFC Funding 2007-I, Ltd., Floating Rate Note, 5/10/21 (144A) 0.4931 05/10/2021 500,000 328,026
Structured Asset Securities Corp Mortgage Loan Trust 2007-BC3, Floating Rate Note, 6/25/37 0.212 06/25/2037 3,500,000 137,412
Federal National Mortgage Association, Floating Rate Note, 8/26/16 0.172 08/26/2016 6,085,000 6,088,886
Crusade Global Trust, Floating Rate Note, 11/15/37 0.2936 11/15/2037 10,000,000 1,603,064
NPC International, Inc., Term Loan, 12/28/18 4.0 12/28/2018 156,000 149,370
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 0.902 02/25/2035 21,336,125 895,257
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 0.552 09/25/2035 369,713 125,610
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 0.352 02/25/2037 5,150,000 534,848
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/33 0.652 04/25/2033 36,000,000 1,087,153
CommScope, Inc., Tranche 4 Term Loan, 1/14/18 3.25 01/14/2018 237,654 237,505
The Bank of Nova Scotia, Floating Rate Note, 7/15/16 0.7506 07/15/2016 1,500,000 1,508,491
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 0.7328 10/15/2037 18,287,000 1,413,570
Sequa Corp., Initial Term Loan, 6/19/17 5.25 06/19/2017 417,563 398,146
RAAC Series 2005-RP3 Trust, Floating Rate Note, 5/25/39 (144A) 0.952 05/25/2039 2,000,000 1,408,819
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR10, Floating Rate Note, 12/11/40 5.405 12/11/2040 4,250,000 3,866,080
CNH Equipment Trust 2011-C, 1.19%, 12/15/16 1.19 12/15/2016 1,460,621 150,123
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 3.7703 04/24/2017 1,350,000 1,364,799
Volkswagen Auto Lease Trust 2013-A, Floating Rate Note, 12/21/15 0.407 12/21/2015 2,000,000 749,781
Barclays Dryrock Issuance Trust, Floating Rate Note, 12/16/19 0.5133 12/16/2019 1,050,000 1,051,227
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/32 0.652 09/25/2032 20,000,000 389,892
Centex Home Equity Loan Trust 2003-A, Floating Rate Note, 3/25/33 3.654 03/25/2033 2,230,000 372,603
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 0.3528 07/15/2036 5,000,000 1,020,280
Vodafone Group Plc, Floating Rate Note, 2/19/16 0.6171 02/19/2016 1,150,000 1,153,756
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 1.2345 03/25/2035 1,457,000 573,481
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 0.652 03/25/2024 14,460,650 583,126
AmeriCredit Automobile Receivables Trust 2011-5, 2.45%, 12/8/16 2.45 12/08/2016 1,700,000 1,286,391
Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2006-HE1, Floating Rate Note, 2/25/36 0.362 02/25/2036 1,700,000 143,504
Volkswagen International Finance NV, Floating Rate Note, 11/20/14 (144A) 0.8321 11/20/2014 1,000,000 1,001,929
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3 REMICS, Floating Rate Note, 8/15/42 4.936 08/15/2042 8,585,000 7,545,655
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 10.2312 01/07/2015 2,000,000 2,040,252
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 2.7808 07/25/2034 10,718,797 393,278
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 1.6 06/19/2031 1,500,000 1,459,111
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 0.4528 09/15/2026 1,427,500 863,122
Federal Farm Credit Banks, Floating Rate Note, 10/26/15 0.15 10/26/2015 2,560,000 2,560,100
NYCTL 2014-A Trust, 1.03%, 11/10/27 (144A) 1.03 11/10/2027 1,800,000 1,803,253
Mercedes-Benz Master Owner Trust, Floating Rate Note, 11/15/16 (144A) 0.4233 11/15/2016 1,000,000 1,000,224
Cabela's Credit Card Master Note Trust, Floating Rate Note, 2/18/20 (144A) 0.6833 02/18/2020 150,000 151,142
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 0.522 09/25/2035 8,206,169 2,629,238
General Mills, Inc., Floating Rate Note, 1/28/16 0.4331 01/28/2016 1,895,000 1,895,125
Embarcadero Reinsurance, Ltd., Floating Rate Note, 8/7/15 (Cat Bond) (144A) 5.0304 08/07/2015 525,000 538,178
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 0.4033 06/15/2033 4,489,882 2,308,514
BSN medical International Holding GmbH & Co KG, Facility B1b, 8/28/19 4.0 08/28/2019 593,611 592,498
American Express Credit Account Master Trust, Floating Rate Note, 1/15/20 0.4233 01/15/2020 50,000 50,055
RESI Finance LP, Floating Rate Note, 9/10/35 (144A) 1.5518 09/10/2035 11,796,589 2,222,871
KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A) 1.6836 05/15/2021 650,000 646,914
Ascentium Equipment Receivables 2014-1 LLC, 1.04%, 1/10/17 (144A) 1.04 01/10/2017 1,000,000 1,001,196
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.992 01/25/2035 11,245,000 1,254,042
Federal Farm Credit Banks, 0.39%, 4/25/16 0.39 04/25/2016 2,133,000 2,127,373
PepsiCo, Inc., Floating Rate Note, 2/26/16 0.4449 02/26/2016 860,000 861,063
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 0.502 02/28/2041 6,439,000 515,021
Wachovia Corp., Floating Rate Note, 6/15/17 0.5041 06/15/2017 1,999,000 1,993,697
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1.802 03/25/2035 2,443,000 2,399,330
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/31 0.752 11/25/2031 50,000,000 478,664
PNC Bank NA, Floating Rate Note, 4/29/16 0.5526 04/29/2016 3,268,000 3,269,481
Nissan Master Owner Trust Receivables, Floating Rate Note, 5/15/17 0.6233 05/15/2017 3,395,000 3,400,060
Revlon Consumer Products Corp., Replacement Term Loan, 11/19/17 3.25 11/19/2017 976,136 965,155
Wells Fargo Bank NA, 4.75%, 2/9/15 4.75 02/09/2015 1,564,000 1,598,418
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 0.3528 08/15/2026 1,330,000 506,981
Toyota Auto Receivables 2013-B Owner Trust, 0.48%, 2/15/16 0.48 02/15/2016 2,390,000 1,067,593
LEAF Receivables Funding 9 LLC, 0.88%, 11/15/15 (144A) 0.88 11/15/2015 1,500,000 920,829
Audio Visual Services Corp., Initial Term Loan (First Lien), 1/24/21 4.5 01/24/2021 228,850 227,801
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5.46 09/10/2045 3,590,000 3,739,226
Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A) 1.0146 09/16/2016 1,500,000 1,510,814
Impac CMB Trust Series 2003-8, Floating Rate Note, 10/25/33 1.052 10/25/2033 8,000,000 490,435
Waupaca Foundry, Inc., Term Loan, 6/29/17 4.0 06/29/2017 1,797,825 1,794,828
America Movil SAB de CV, Floating Rate Note, 9/12/16 1.2346 09/12/2016 1,500,000 1,517,196
SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35 0.712 04/25/2035 28,476,673 516,247
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 3.25 11/05/2020 497,500 492,525
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33 0.652 09/25/2033 19,984,406 2,265,085
Ford Credit Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 0.4233 01/15/2016 150,000 102,226
CWABS Inc Asset-Backed Certificates Trust 2004-6, Floating Rate Note, 11/25/34 0.932 11/25/2034 21,906,000 691,847
GRIFOLS WORLDWIDE OPERATIONS USA INC, U.S. Tranche B Term Loam, 4/1/21 3.2351 04/01/2021 522,375 516,261
Quest Trust REMICS, Floating Rate Note, 3/25/34 (144A) 0.812 03/25/2034 55,089,092 2,228,425
Ford Credit Auto Owner Trust, 1.35%, 12/15/16 1.35 12/15/2016 200,000 96,463
CHL Mortgage Pass-Through Trust 2003-J7, Floating Rate Note, 8/25/18 0.552 08/25/2018 2,400,000 54,805
John Deere Capital Corp., Floating Rate Note, 12/10/15 0.3536 12/10/2015 1,800,000 1,802,512
Countrywide Asset-Backed Certificates, Floating Rate Note, 3/25/35 1.052 03/25/2035 5,600,000 1,641,881
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/33 0.652 11/25/2033 10,000,000 812,962
American Credit Acceptance Receivables Trust 2014-3, 0.99%, 8/10/18 (144A) 0.99 08/10/2018 1,420,000 1,267,075
Commercial Mortgage Trust 2005-GG5, Floating Rate Note, 4/10/37 5.277 04/10/2037 6,995,000 7,250,650
Discover Card Execution Note Trust, 0.69%, 8/15/18 0.69 08/15/2018 3,125,000 3,125,530
Structured Asset Securities Corp Mortgage Loan Trust 2006-GEL4, Floating Rate Note, 10/25/36 (144A) 0.372 10/25/2036 5,557,000 2,140,247
American Credit Acceptance Receivables Trust 2012-2, 4.05%, 2/15/18 (144A) 4.05 02/15/2018 1,228,000 1,243,365
Foresight Energy LLC, Term Loan, 8/21/20 5.5 08/21/2020 221,862 223,526
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/33 0.552 08/25/2033 485,000 18,794
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 0.752 04/25/2034 9,566,021 521,010
Wells Fargo Home Equity Asset-Backed Securities 2005-2 Trust, Floating Rate Note, 11/25/35 0.562 11/25/2035 189,000 83,619
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 0.402 02/25/2037 26,822,396 2,590,079
Calpine Construction Finance Co LP, Term B-1 Loan, 5/3/20 3.0 05/03/2020 1,185,000 1,153,894
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.5101 04/30/2018 1,000,000 1,018,275
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/49 0.702 12/25/2049 2,000,000 290,250
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 0.872 07/25/2035 2,600,000 2,481,123
CarMax Auto Owner Trust 2011-3, 1.07%, 6/15/16 1.07 06/15/2016 518,000 72,422
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 0.652 06/25/2035 1,393,325 818,660
DigitalGlobe, Inc., Term Loan, 1/31/20 3.75 01/31/2020 877,267 873,429
General Electric Capital Corp., Floating Rate Note, 8/1/17 1.375 08/01/2017 500,000 500,954
RPI Finance Trust, Term B-3 Term Loan, 11/9/18 3.25 11/09/2018 623,927 622,692
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 3.9669 08/25/2053 5,300,000 4,462,172
Tempur Sealy International, Inc., New Term B Loan, 3/18/20 3.5 03/18/2020 426,697 421,630
TransDigm, Inc., Tranche C Term Loan, 2/28/20 3.75 02/28/2020 320,917 316,304
ZIGGO BV, (USD) TLB3, 1/15/22   01/15/2022 1,136,553 1,108,646
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 2.6984 04/19/2034 16,013,000 708,406
Golden State Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 3.7601 01/08/2015 750,000 755,869
COMM 2011-FL1 Mortgage Trust, Floating Rate Note, 7/19/28 (144A) 3.2478 07/19/2028 500,000 161,430
Citibank Credit Card Issuance Trust, Floating Rate Note, 2/7/18 0.393 02/07/2018 9,931,000 9,936,273
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 1.2018 12/10/2027 500,000 501,536
Delta Air Lines, Inc., Term Loan, 4/20/17 3.25 04/20/2017 295,420 293,810
Volvo Financial Equipment LLC Series 2013-1, 0.53%, 11/16/15 (144A) 0.53 11/16/2015 1,820,000 327,645
University of Michigan, Floating Rate Note, 12/1/29 0.04 12/01/2029 10,800,000 10,800,260
Credit Suisse Commercial Mortgage Trust Series 2006-C2, Floating Rate Note, 3/15/39 5.6681 03/15/2039 8,230,000 5,914,833
Golden State RE II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A)   01/08/2019 3,700,000 3,697,040
RASC Series 2006-KS1 Trust, Floating Rate Note, 4/25/35 0.372 04/25/2035 8,211,000 25,637
Baxter International, Inc., Floating Rate Note, 12/11/14 0.4046 12/11/2014 895,000 895,654
BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A) 2.7831 09/26/2035 8,854,257 2,155,276
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/36 0.5528 09/15/2036 3,470,000 340,384
Gszfp Cp Zero% 10nov14 Usd 0.0 11/10/2014 4,400,000 4,399,880
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 0.652 01/25/2033 13,036,000 476,847
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 0.6923 09/09/2016 1,000,000 1,006,004
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 2/26/16 0.6449 02/26/2016 3,330,000 3,341,766
RAIT 2014-FL2 Trust, Floating Rate Note, 5/15/31 (144A) 2.3033 05/15/2031 5,200,000 5,132,154
Jackson National Life Global Funding, Floating Rate Note, 9/30/15 (144A) 0.5831 09/30/2015 2,000,000 2,005,025
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 0.462 05/25/2036 13,100,000 1,557,283
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 0.462 02/25/2035 2,497,000 801,249
CNH Equipment Trust 2011-A, 2.04%, 10/17/16 2.04 10/17/2016 565,000 382,804
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 0.502 02/25/2033 16,918,890 845,033
Univision Communications, Inc., Replacement First-Lien Term Loan, 3/1/20 4.0 03/01/2020 664,913 659,164
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 1.753 02/13/2032 6,150,000 6,171,090
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 0.972 08/25/2034 3,500,000 446,095
HSBC USA, Inc., 2.375%, 2/13/15 2.375 02/13/2015 7,764,000 7,846,988
John Deere Capital Corp., Floating Rate Note, 10/11/16 0.52 10/11/2016 1,500,000 1,504,503
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 0.5528 07/15/2036 1,200,000 52,370
East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (Cat Bond) (144A) 2.7601 03/14/2018 2,000,000 2,015,065
Energy Transfer Partners LP, 5.95%, 2/1/15 5.95 02/01/2015 2,830,000 2,906,240
Bayview Financial Acquisition Trust, Floating Rate Note, 5/28/44 0.782 05/28/2044 23,920,000 322,617
Toyota Auto Receivables 2014-C Owner Trust, 0.51%, 2/15/17 0.51 02/15/2017 1,770,000 1,770,478
RASC Series 2004-KS10 Trust, Floating Rate Note, 11/25/34 0.932 11/25/2034 82,085,000 2,262,088
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 0.552 07/25/2034 7,443,000 520,409
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 0.802 01/25/2033 5,000,000 165,010
RENT-A-CENTER, INC, Term Loan (2014), 2/6/21 3.75 02/06/2021 1,741,250 1,706,425
East Lane Re, Ltd., Floating Rate Note, 3/13/15 (Cat Bond) (144A) 6.665 03/13/2015 1,000,000 1,024,082
Tower Automotive Holdings USA LLC, Refinancing Term Loan, 4/23/20 3.2331 04/23/2020 200,696 198,522
US Bank NA Cincinnati Ohio, Floating Rate Note, 4/22/16 0.3521 04/22/2016 2,000,000 2,000,188
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 2.5 03/20/2025 350,000 153,693
The Bank of New York Mellon Corp., Floating Rate Note, 10/23/15 0.4606 10/23/2015 3,533,000 3,541,179
Banc of America Mortgage 2004-I Trust, Floating Rate Note, 10/25/34 2.4955 10/25/2034 6,000,000 419,500
Nations Equipment Finance Funding II LLC, 1.558%, 7/20/18 (144A) 1.558 07/20/2018 2,100,000 1,947,914
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 1.052 05/26/2037 2,400,000 2,213,133
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.6028 12/15/2032 2,500,000 9,295
Bear Stearns ALT-A Trust 2004-8, Floating Rate Note, 9/25/34 0.852 09/25/2034 12,800,000 938,701
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 0.342 01/25/2036 23,055,603 3,089,486
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 4.0 07/09/2018 1,800,000 1,818,100
Ford Credit Auto Owner Trust 2011-A, 1.65%, 5/15/16 1.65 05/15/2016 1,870,000 326,097
Drillships Financing Holding, Inc., Tranche B-1 Term Loan, 3/31/21 6.0 03/31/2021 987,500 948,412
Wachovia Bank Commercial Mortgage Trust Series 2005-C22 REMICS, Floating Rate Note, 12/15/44 5.4485 12/15/2044 5,713,000 5,486,283
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.372 04/25/2031 6,464,393 1,155,908
Capital One Multi-Asset Execution Trust, Floating Rate Note, 8/15/18 0.2433 08/15/2018 6,945,000 6,941,763
Wachovia Bank Commercial Mortgage Trust Series 2007-WHALE 8, Floating Rate Note, 6/15/20 (144A) 0.2333 06/15/2020 5,000,000 341,990
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 0.322 08/25/2036 1,250,000 356,163
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 7/25/24 1.352 07/25/2024 5,330,000 4,951,278
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 2.447 07/25/2033 8,050,000 987,277
LB-UBS Commercial Mortgage Trust 2005-C3, 4.739%, 7/15/30 4.739 07/15/2030 4,490,000 2,698,937
Alternative Loan Trust 2004-6CB, Floating Rate Note, 4/25/34 0.732 04/25/2034 31,600,000 2,311,239
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 5.25 04/25/2032 2,691,322 819,300
Nissan Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 0.4233 01/15/2016 760,000 564,393
World Financial Network Credit Card Master Trust, 3.96%, 4/15/19 3.96 04/15/2019 200,000 204,511
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-1, Floating Rate Note, 1/25/35 (144 0.482 01/25/2035 3,700,000 110,954
Nissan Auto Receivables 2013-A Owner Trust, 0.5%, 5/15/17 0.5 05/15/2017 3,400,000 2,894,892
RBSSP Resecuritization Trust 2009-5, Floating Rate Note, 8/26/37 (144A) 0.652 08/26/2037 7,810,000 2,572,252
Resi Flt% 12dec45 A1 0.9346 12/12/2045 3,000,000 2,861,145
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 0.652 06/25/2035 5,850,460 2,124,739
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 1.0331 10/28/2016 1,725,000 1,738,653
Csfb Flt% 25jul35 05-6-1a2 0.422 07/25/2035 12,820,000 1,461,937
Anheuser-Busch Companies LLC, 5.0%, 1/15/15 5.0 01/15/2015 1,891,000 1,936,067
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 8.0152 06/06/2016 750,000 822,108
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1.3984 05/27/2016 1,800,000 1,814,668
Chase Issuance Trust, 0.47%, 5/15/17 0.47 05/15/2017 200,000 200,116
Morgan Stanley, Floating Rate Note, 2/25/16 1.4849 02/25/2016 4,350,000 4,416,067
Banc of America Merrill Lynch Commercial Mortgage, Inc. REMICS, Floating Rate Note, 7/10/43 4.857 07/10/2043 1,985,000 1,708,792
Nissan Auto Receivables 2013-C Owner Trust, 0.4%, 6/15/16 0.4 06/15/2016 2,075,000 1,381,367
GE Business Loan Trust 2006-2, Floating Rate Note, 11/15/34 (144A) 0.3333 11/15/2034 6,967,382 2,706,305
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/40 0.702 01/25/2040 5,000,000 406,776
GMAC Commercial Mortgage Securities Inc Series 2006-C1 Trust, Floating Rate Note, 11/10/45 5.233 11/10/2045 8,250,000 5,262,864
Progreso Receivables Funding II LLC, 3.5%, 7/8/19 (144A) 3.5 07/08/2019 4,750,000 4,763,590
New York Life Global Funding, 0.75%, 7/24/15 (144A) 0.75 07/24/2015 3,550,000 3,566,592
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 0.452 10/25/2035 6,475,000 672,022
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/34 0.452 11/25/2034 9,662,000 751,049
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/15/35 0.8528 08/15/2035 50,000,000 5,347,915
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/25 0.4528 02/15/2025 2,142,856 480,645
Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A) 1.1525 09/25/2037 6,105,345 1,209,555
Bear Stearns Asset Backed Securities Trust 2004-SD3, Floating Rate Note, 9/25/34 0.722 09/25/2034 310,000 131,332
Volkswagen International Finance NV, Floating Rate Note, 11/18/16 (144A) 0.6711 11/18/2016 1,750,000 1,760,252
State Street Bank & Trust Co., Floating Rate Note, 12/8/15 0.4331 12/08/2015 2,320,000 2,320,391
Numericable Sfr 1st Lien Tl-B2 L + 3.75% 23apr20 4.5 04/23/2020 231,923 232,731
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/19 0.6072 10/20/2019 2,700,000 2,700,501
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-AR4, Floating Rate Note, 12/25/34 2.6576 12/25/2034 1,170,000 151,420
Discover Card Execution Note Trust, Floating Rate Note, 1/16/18 0.3528 01/16/2018 1,345,000 1,345,224
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R6, Floating Rate Note, 8 0.352 08/25/2035 2,850,000 15,494
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/32 0.752 08/25/2032 5,000,000 92,954
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 0.5941 03/13/2017 2,000,000 2,004,821
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/32 0.852 01/25/2032 30,000,000 431,415
The Bank of New York Mellon Corp., 2.95%, 6/18/15 2.95 06/18/2015 2,400,000 2,465,101
Ellington Loan Acquisition Trust 2007-2, Floating Rate Note, 5/26/37 (144A) 1.052 05/26/2037 5,000,000 509,682
Noranda Aluminum Acquisition Corp., Term B Loan, 2/28/19 5.75 02/28/2019 117,000 114,148
BioScrip, Inc., Initial Term B Loan, 7/31/20 6.5 07/31/2020 548,191 551,389
Exeter Automobile Receivables Trust 2012-2, 1.3%, 6/15/17 (144A) 1.3 06/15/2017 1,000,000 145,796
GSAA Home Equity Trust 2004-11, Floating Rate Note, 12/25/34 0.812 12/25/2034 5,735,000 308,644
CCG Receivables Trust 2014-1, 1.06%, 11/14/21 (144A) 1.06 11/14/2021 1,900,000 1,900,163
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-WCW, Floating Rate Note 1.172 09/25/2034 2,800,000 1,421,552
Citigroup Mortgage Loan Trust, Inc., 6.5%, 6/25/16 6.5 06/25/2016 10,100,000 11,199
Royal Bank of Canada, Floating Rate Note, 9/9/16 0.6923 09/09/2016 2,000,000 2,011,642
Zebra Technologies Corporation 1st Lien Tl-B L + 4% 30sep21   09/30/2021 1,000,000 1,008,750
World Financial Network Credit Card Master Trust, Floating Rate Note, 12/16/19 0.5333 12/16/2019 2,850,000 2,852,584
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2, 4.78%, 7/15/42 4.78 07/15/2042 3,770,000 3,845,669
RAMP Series 2005-EFC4 Trust, Floating Rate Note, 9/25/35 0.562 09/25/2035 1,060,000 421,654
The Goldman Sachs Group, Inc., 3.7%, 8/1/15 3.7 08/01/2015 2,400,000 2,475,686
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 0.9253 01/25/2030 15,000,000 996,993
Toyota Motor Credit Corp., Floating Rate Note, 5/17/16 0.5211 05/17/2016 2,800,000 2,809,488
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 0.7533 02/15/2019 2,000,000 2,004,619
Morgan Stanley, Floating Rate Note, 10/15/15 0.7106 10/15/2015 318,000 319,095
Syncreon Group BV, Term Loan, 9/26/20 5.25 09/26/2020 198,500 198,004
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 0.602 07/25/2034 19,310,000 1,787,377
Toyota Motor Credit Corp., 0.75%, 3/3/17 (Step) 0.75 03/03/2017 2,250,000 2,245,630
Shell International Finance BV, Floating Rate Note, 11/15/16 0.4436 11/15/2016 1,500,000 1,504,741
Kane Flt% 14jul15 0.0 07/14/2015 1,528,080 1,470,624
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 1.23 03/15/2019 4,251,000 2,409,757
First Investors Auto Owner Trust 2014-2, 0.86%, 8/15/18 (144A) 0.86 08/15/2018 2,100,000 2,101,378
Santander Drive Auto Receivables Trust 2012-1, 3.78%, 11/15/17 3.78 11/15/2017 2,420,000 2,463,865
Structured Asset Securities Corp Mortgage Pass Through Ctfs Series 2003-35, Floating Rate Note, 12/2 0.652 12/25/2033 2,500,000 144,783
Westpac Banking Corp., Floating Rate Note, 7/17/15 (144A) 1.0281 07/17/2015 500,000 502,842
VFC 2014-2 LLC, 2.75%, 7/20/30 (144A) 2.75 07/20/2030 3,510,000 2,558,933
Credit Suisse First Boston Mortgage Securities Corp., 4.686%, 7/15/37 4.686 07/15/2037 5,510,000 4,977,561
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 2.6533 06/25/2030 2,875,810 480,857
Queen Street VI Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 10.3551 04/09/2015 250,000 257,875
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 0.4028 08/15/2035 5,000,000 930,260
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 0.792 01/25/2029 24,460,400 1,418,182
Ruby Western Pipeline Holdings LLC, Loan, 3/27/20 3.5 03/27/2020 751,177 749,299
GS Mortgage Securities Trust 2014-GSFL, Floating Rate Note, 7/15/31 (144A) 1.904 07/15/2031 1,690,000 1,695,457
Citibank Credit Card Issuance Trust, 4.55%, 6/20/17 4.55 06/20/2017 639,000 666,439
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 0.602 02/25/2038 2,184,000 621,349
Booz Allen Hamilton, Inc., Refinance Tranche B, 7/31/19 3.75 07/31/2019 1,358,138 1,353,894
Georgia Power Co., Floating Rate Note, 3/15/16 0.5541 03/15/2016 1,090,000 1,089,779
The Goodyear Tire & Rubber Co., Loan (Second Lien), 4/30/19 4.75 04/30/2019 600,000 602,250
EQTY 2014-INNS Mortgage Trust, Floating Rate Note, 5/8/31 (144A) 1.353 05/08/2031 3,530,000 3,487,636
JP Morgan Mortgage Trust 2004-A5, Floating Rate Note, 12/25/34 2.2488 12/25/2034 1,119,000 819,497
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 0.5728 06/15/2036 5,835,000 636,476
Federal Farm Credit Banks, Floating Rate Note, 3/4/15 0.23 03/04/2015 1,360,000 1,360,972
GreenPoint Mortgage Funding Trust 2005-HE1, Floating Rate Note, 9/25/34 0.827 09/25/2034 1,357,437 655,583
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 6/25/35 0.552 06/25/2035 3,880,000 57,027
Morgan Stanley, 4.2%, 11/20/14 4.2 11/20/2014 3,700,000 3,775,696
CPS Auto Receivables Trust 2014-C, 1.31%, 2/15/19 (144A) 1.31 02/15/2019 2,200,000 2,142,269
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 3/18/16 0.7144 03/18/2016 1,575,000 1,583,508
HLSS Servicer Advance Receivables Trust, 1.2437%, 1/17/45 1.2437 01/17/2045 3,750,000 3,753,198
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 0.972 05/25/2035 5,000,000 326,286
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 7.2675 07/05/2016 2,250,000 2,375,872
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R10, Floating Rate Note, 0.372 12/25/2035 15,705,000 810,602
ASG Resecuritization Trust 2010-3, Floating Rate Note, 12/29/45 (144A) 0.4598 12/29/2045 5,216,443 2,370,917
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45 2.2038 06/25/2045 1,500,000 239,008
HSBC Bank Middle East, Ltd., 3.0%, 10/21/15 3.0 10/21/2015 1,000,000 1,016,817
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 0.792 03/25/2034 75,117,000 4,362,605
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 0.5925 10/25/2030 3,600,000 320,815
Immucor, Inc., Term B-2 Loan, 8/19/18 5.0 08/19/2018 218,308 218,353
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 2.3033 06/15/2016 3,000,000 3,018,858
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/25/33 1.502 12/25/2033 300,000 11,757
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.102 10/25/2037 4,405,200 1,168,705
CAM Mortgage Trust 2014-1, 3.3515%, 12/15/53 (Step) (144A) 3.3515 12/15/2053 2,060,000 76,155
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 6.0042 04/10/2015 600,000 610,182
Government National Mortgage Association, Floating Rate Note, 1/16/33 0.3518 01/16/2033 26,309,521 1,032,075
CHS, 2021 Term D Loan, 1/27/21 4.25 01/27/2021 71,828 71,985
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/25 0.452 04/25/2025 540,000 100,708
LB-UBS Commercial Mortgage Trust 2006-C1 REMICS, 5.156%, 2/15/31 5.156 02/15/2031 5,465,000 5,547,027
Springleaf Mortgage Loan Trust 2012-3, Floating Rate Note, 12/26/59 (144A) 1.57 12/26/2059 1,000,000 518,382
Freddie Mac Strips, Floating Rate Note, 12/15/36 0.5028 12/15/2036 10,968,000 719,379
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 1.102 07/25/2037 2,130,580 1,180,509
Windstream Corp., Tranche B-5 Term Loan, 8/8/19 3.5 08/08/2019 710,568 704,493
LB-UBS Commercial Mortgage Trust 2005-C7 REMICS, Floating Rate Note, 11/15/30 (144A) 5.197 11/15/2030 8,161,979 7,656,651
Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18 2.63 03/31/2018 1,393,000 1,366,881
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 4.7312 01/07/2015 5,095,000 5,129,410
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.7601 04/30/2018 2,300,000 2,386,458
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 6/20/17 1.057 06/20/2017 500,000 500,189
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A) 9.02 03/16/2016 250,000 271,627
Quikrete Holdings, Inc., Initial Loan (First Lien), 9/26/20 4.0 09/26/2020 858,036 850,528
Specialty Underwriting & Residential Finance Trust Series 2005-AB2, Floating Rate Note, 6/25/36 0.542 06/25/2036 1,500,000 539,697
American Credit Acceptance Receivables Trust, 1.64%, 11/15/16 (144A) 1.64 11/15/2016 1,401,000 191,597
Federal National Mortgage Association REMICS, 4.0%, 6/25/37 4.0 06/25/2037 3,650,000 165,088
Svenska Handelsbanken New York NY, Floating Rate Note, 11/17/14 0.4011 11/17/2014 1,000,000 1,000,854
Motel 6 Trust, 1.5%, 10/7/25 (144A) 1.5 10/07/2025 1,000,000 774,258
IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36 0.492 02/25/2036 3,493,986 601,898
Fannie Mae, Floating Rate Note, 10/1/32 2.535 10/01/2032 500,000 27,266
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 0.702 12/25/2034 1,590,000 1,118,450
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 10/23/15 0.3606 10/23/2015 2,500,000 2,499,973
Home Equity Asset Trust 2005-7, Floating Rate Note, 1/25/36 0.532 01/25/2036 3,870,000 2,065,534
Pilot Travel Centers Llc 1st Lien Tl-B L + 3.25% 01oct21   10/01/2021 74,916 75,138
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 1.18 08/15/2017 1,138,000 311,556
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 1.052 04/25/2032 35,072,000 2,136,181
New Century Home Equity Loan Trust Series 2003-4, Floating Rate Note, 10/25/33 1.277 10/25/2033 2,500,000 1,397,207
Ford Credit Auto Owner Trust 2014-A, 0.48%, 11/15/16 0.48 11/15/2016 1,827,000 1,135,753
MGM Resorts International, Term B Loan, 12/20/19 3.5 12/20/2019 1,228,125 1,215,268
GE Business Loan Trust 2003-1, Floating Rate Note, 4/15/31 (144A) 0.5833 04/15/2031 20,374,890 1,008,938
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36 0.702 08/25/2036 4,450,000 274,767
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 4.75 04/25/2034 12,155,000 670,113
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/17 0.602 02/25/2017 14,970,453 9,510
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 0.552 05/25/2033 9,443,647 357,389
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 0.262 03/25/2037 6,984,978 2,087,683
SMART Trust/Australia, Floating Rate Note, 8/15/16 0.4527 08/15/2016 1,500,000 1,500,403
Westpac Banking Corp., Floating Rate Note, 10/28/14 0.5331 10/28/2014 1,000,000 1,002,973
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37 0.772 12/25/2037 21,428,000 751,553
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 0.4528 02/15/2039 1,251,000 672,733
MCC Iowa LLC, Tranche G Term Loan, 1/20/20 4.0 01/20/2020 735,000 725,353
Toyota Motor Credit Corp., 1.0%, 2/17/15 1.0 02/17/2015 2,265,000 2,274,365
Louisiana Public Facilities Authority, Floating Rate Note, 4/26/27 1.1341 04/26/2027 1,250,000 1,066,562
JPMorgan Chase & Co., 1.1%, 10/15/15 1.1 10/15/2015 1,528,000 1,535,566
Progressive Waste Solutions, Ltd., Term B Loan, 10/24/19 3.0 10/24/2019 1,173,075 1,179,918
Gracechurch Card Funding Plc, Floating Rate Note, 5/15/19 (144A) 1.0028 05/15/2019 1,300,000 1,313,509
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 0.612 11/25/2035 1,945,000 1,906,973
Nissan Motor Acceptance Corp., Floating Rate Note, 9/26/16 (144A) 0.9351 09/26/2016 1,500,000 1,510,985
Alliant Techsystems, Inc., Term B Loan, 10/22/20 3.5 10/22/2020 396,501 395,758
MassMutual Global Funding II, Floating Rate Note, 12/11/15 (144A) 0.3546 12/11/2015 1,750,000 1,752,626
Wesco Aircraft Hardware Corp., Tranche B Term Loan, 2/24/21 3.25 02/24/2021 2,535,000 2,490,638
77 Energy 1st Lien Tl-B L + 3% 17jun21 3.75 06/17/2021 1,446,375 1,418,051
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2.58 09/15/2021 2,100,000 2,116,825
Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 (144A) 1.2036 04/15/2032 4,920,000 4,917,006
inVentiv Health, Inc., Term B-3 Loan, 5/15/18 7.7517 05/15/2018 66,299 65,691
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP11, Floating Rate Note, 6/15/49 5.9596 06/15/2049 120,000 1,768
First Horizon Mortgage Pass-Through Trust 2003-AR3, Floating Rate Note, 9/25/33 2.5903 09/25/2033 13,000,000 910,441
MASTR Adjustable Rate Mortgages Trust 2003-3, Floating Rate Note, 9/25/33 2.0209 09/25/2033 2,650,000 766,356
Credit Suisse First Boston Mortgage Securities Corp., 4.832%, 4/15/37 4.832 04/15/2037 3,450,000 3,469,046
The Hertz Corp., Tranche B-1 Term Loan, 3/11/18 3.75 03/11/2018 736,875 730,658
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 0.603 05/07/2024 2,550,000 1,560,455
Rialto Capital Management LLC, 2.85%, 5/15/24 (144A) 2.85 05/15/2024 2,000,000 1,243,374
Cincinnati Bell, Inc., Tranche B Term Loan, 9/10/20 4.0 09/10/2020 1,237,500 1,228,219
Citibank Credit Card Issuance Trust, Floating Rate Note, 11/7/18 0.4671 11/07/2018 3,490,000 3,498,585
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/29 0.5028 05/15/2029 15,000,000 140,589
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 3.0806 07/15/2023 1,350,000 1,296,877
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.5528 12/15/2032 11,201,000 918,678
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 3.5 10/18/2018 736,875 723,212
Merrill Lynch Mortgage Trust 2004-KEY2, Floating Rate Note, 8/12/39 4.947 08/12/2039 1,519,492 3,137
Southwire Co., Initial Term Loan, 1/31/21 3.25 01/31/2021 1,069,999 1,041,020
JOHN DEERE CAPITAL Corp., Floating Rate Note, 2/25/16 0.3349 02/25/2016 2,883,000 2,885,892
Lehman XS Trust Series 2005-2, Floating Rate Note, 8/25/35 0.502 08/25/2035 40,616,000 2,779,685
Federal Home Loan Mortgage Corp., Floating Rate Note, 6/1/35 2.593 06/01/2035 3,000,000 7,759
RALI Series 2003-QS22 Trust, Floating Rate Note, 12/26/33 0.602 12/26/2033 8,400,000 886,294
ARI Fleet Lease Trust 2012-A, Floating Rate Note, 3/15/20 (144A) 0.7033 03/15/2020 2,070,000 417,032
FNA 2013-1 Trust, 1.98%, 1/10/18 1.98 01/10/2018 2,199,000 735,794
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.202 10/25/2037 2,211,066 1,719,154
Bank of America Corp., 4.5%, 4/1/15 4.5 04/01/2015 2,515,000 2,565,071
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34 1.172 11/25/2034 3,500,000 225,902
Daimler Finance North America LLC, 1.65%, 4/10/15 (144A) 1.65 04/10/2015 2,131,000 2,143,896
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A) 2.1 05/19/2031 2,300,000 2,251,201
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 0.5541 09/13/2016 1,814,000 1,811,448
Daimler Finance North America LLC, 1.3%, 7/31/15 (144A) 1.3 07/31/2015 5,100,000 5,144,988
Ibis Re II, Ltd., Floating Rate Note, 2/5/15 (Cat Bond) (144A) 8.365 02/05/2015 600,000 616,081
American Credit Acceptance Receivables Trust 2014-1, 1.14%, 3/12/18 (144A) 1.14 03/12/2018 5,045,000 2,577,496
Home Equity Asset Trust 2005-6, Floating Rate Note, 12/25/35 0.622 12/25/2035 3,404,000 3,204,130
Western Refining, Inc., Term Loan 2013, 11/12/20 4.25 11/12/2020 448,869 444,568
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A REMICS, Floating Rate Note, 4/25/29 0.612 04/25/2029 35,467,206 1,956,260
Structured Asset Securities Corp Mortgage Loan Trust 2006-EQ1, Floating Rate Note, 7/25/36 0.302 07/25/2036 5,000,000 2,891,572
GLC Trust 2013-1, 3.0%, 7/15/21 (144A) 3.0 07/15/2021 3,200,000 2,849,333
PF Chang's China Bistro, Inc., Term Borrowing, 6/22/19 4.25 06/22/2019 839,311 811,509
Caterpillar Financial Services Corp., Floating Rate Note, 2/9/15 0.5831 02/09/2015 2,000,000 2,004,496
Berkeley-Kane Flt% 12jun15   06/12/2015 2,008,000 2,055,590
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/23 0.6028 06/15/2023 6,500,000 124,117
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 6.5 08/15/2030 1,250,000 165,533
Cabela's Credit Card Master Note Trust, Floating Rate Note, 6/17/19 (144A) 0.7533 06/17/2019 1,500,000 1,508,410
Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/17/26 (144A) 1.904 08/17/2026 1,375,000 1,376,453
Prudential Financial, Inc., 6.2%, 1/15/15 6.2 01/15/2015 1,902,000 1,958,011
HarborView Mortgage Loan Trust 2004-4, Floating Rate Note, 6/19/34 1.2775 06/19/2034 25,700,000 249,874
PACCAR Financial Corp., Floating Rate Note, 5/5/15 0.362 05/05/2015 2,000,000 2,001,819
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 0.452 07/25/2035 9,145,238 2,082,812
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 1.7559 08/20/2034 7,500,000 348,419
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/38 0.552 12/25/2038 400,000 263,258
United States Treasury Floating Rate Note, Floating Rate Note, 4/30/16 0.089 04/30/2016 21,260,000 21,271,043
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 2.0931 11/19/2026 2,250,000 933,877
National Rural Utilities Cooperative Finance Corp., 1.0%, 2/2/15 1.0 02/02/2015 5,300,000 5,322,092
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 0.4236 01/27/2017 1,900,000 1,898,020
Intelsat Jackson Holdings SA, Tranche B-2 Term Loan, 6/30/19 3.75 06/30/2019 521,732 518,472
Federal National Mortgage Association, 0.75%, 8/16/17 (Step) 0.75 08/16/2017 1,415,000 1,417,464
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.852 01/25/2035 25,745,000 3,321,899
Asset-Backed Pass-Through Certificates Series 2004-R2, Floating Rate Note, 4/25/34 0.772 04/25/2034 4,000,000 218,923
Crowne Group Llc 1st Lien Tl-B L + 5% 29sep20 6.0 09/29/2020 500,000 495,000
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 5.46 11/15/2035 1,240,000 1,058,667
Golden Credit Card Trust, Floating Rate Note, 2/15/18 (144A) 0.4033 02/15/2018 1,300,000 1,299,737
Sequoia Mortgage Trust 2003-8, Floating Rate Note, 1/20/34 0.797 01/20/2034 5,750,000 269,321
Synchrony Credit Card Master Note Trust, Floating Rate Note, 6/15/18 0.4533 06/15/2018 3,600,000 3,600,317
Advantage Sales & Marketing Inc 1st Lien Dd L + 3.25% 21jul21 3.9167 07/21/2021 22,170 21,987
COMM 2014-PAT Mortgage Trust, Floating Rate Note, 8/13/27 (144A) 1.8 08/13/2027 2,722,000 2,724,588
Government National Mortgage Association, Floating Rate Note, 4/16/32 0.7018 04/16/2032 13,425,000 250,768
Apple, Inc., Floating Rate Note, 5/3/16 0.2891 05/03/2016 1,500,000 1,501,084
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 2/15/38 5.014 02/15/2038 2,536,000 1,062,359
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 5.167 06/10/2044 6,607,413 6,774,731
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 12/8/20 0.7161 12/08/2020 1,330,000 938,238
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 0.477 11/20/2034 5,055,000 533,539
Genpact International, Inc., Term Loan, 8/30/19 3.5 08/30/2019 982,563 980,106
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.602 09/25/2037 9,159,000 396,699
Express Scripts Holding Co., 2.75%, 11/21/14 2.75 11/21/2014 5,655,000 5,730,999
Caterpillar Financial Services Corp., Floating Rate Note, 2/26/16 0.4749 02/26/2016 1,500,000 1,504,122
Ally Auto Receivables Trust 2013-2, Floating Rate Note, 7/15/16 0.41 07/15/2016 1,500,000 843,873
Fifth Third Bank Cincinnati Ohio, 4.75%, 2/1/15 4.75 02/01/2015 3,500,000 3,576,787
Queen Street VIII Re, Ltd., Floating Rate Note, 6/8/16 (Cat Bond) (144A) 6.505 06/08/2016 500,000 512,911
Huntsman International LLC, 2014-1 Incremental Term Loan, 9/30/21   09/30/2021 1,000,000 991,863
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 0.5028 02/15/2036 5,000,000 423,968
RAMP Series 2006-RZ3 Trust, Floating Rate Note, 10/25/35 0.312 10/25/2035 10,534,000 2,490,351
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 4.0101 05/05/2017 1,500,000 1,535,917
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 4.894 08/10/2042 3,300,000 3,325,124
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 0.5528 02/15/2033 49,250,000 699,647
The Connecticut Light & Power Co., 5.0%, 4/1/15 5.0 04/01/2015 1,200,000 1,227,204
Bbb Industries Llc 1st Lien Tl L + 5% 20oct21   10/20/2021 1,000,000 995,000
Wachovia Bank Commercial Mortgage Trust Series 2005-C17, Floating Rate Note, 3/15/42 5.083 03/15/2042 6,504,854 3,557,432
Impac CMB Trust Series 2004-5, Floating Rate Note, 10/25/34 0.872 10/25/2034 27,915,000 1,596,741
CG-CCRE Commercial Mortgage Trust 2014-FL1, Floating Rate Note, 6/16/31 (144A) 1.1028 06/16/2031 5,670,000 5,661,007
Commonwealth Bank of Australia, Floating Rate Note, 12/4/15 (144A) 0.4431 12/04/2015 1,800,000 1,801,899
Calpine Corp., Term Loan (10/12), 10/9/19 4.0 10/09/2019 760,175 753,583
Marathon Oil Corp., 0.9%, 11/1/15 0.9 11/01/2015 709,000 712,851
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 2.777 08/25/2034 2,122,000 256,105
Covanta Energy Corp., Term Loan, 3/28/19 3.25 03/28/2019 132,333 132,333
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/36 0.5728 09/15/2036 3,320,000 414,279
Synchrony Credit Card Master Note Trust, 1.51%, 6/15/18 1.51 06/15/2018 849,000 855,485
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/33 1.1528 11/15/2033 2,550,000 333,070
Volkswagen International Finance NV, 1.15%, 11/20/15 (144A) 1.15 11/20/2015 2,000,000 2,022,582
Epiq Systems, Inc., Term Loan, 8/27/20 4.25 08/27/2020 470,250 467,899
Garda World Security Corp., Term B Loan, 11/1/20 4.0 11/01/2020 1,248,370 1,221,842
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 4.838 07/15/2041 2,030,626 224,539
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 11/10/16 (Cat Bond) (144A) 11.7604 11/10/2016 500,000 544,625
Royal Bank of Canada, Floating Rate Note, 12/16/15 0.4546 12/16/2015 1,800,000 1,803,840
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 0.7525 10/25/2028 42,221,000 1,403,548
Impac CMB Trust Series 2004-9, Floating Rate Note, 1/25/35 0.912 01/25/2035 19,075,000 1,279,873
Countrywide Asset-Backed Certificates, Floating Rate Note, 9/23/35 0.642 09/23/2035 750,000 133,816
Navitas Equipment Receivables LLC 2013-1, 1.95%, 11/15/16 1.95 11/15/2016 1,750,000 948,799
CNH Equipment Trust 2013-A, 0.69%, 6/15/18 0.69 06/15/2018 1,874,000 1,875,935
Ascentium Equipment Receivables 2012-1 LLC, 1.83%, 9/15/19 (144A) 1.83 09/15/2019 1,528,000 220,420
Salomon Brothers Mortgage Securities VII, Inc., Floating Rate Note, 3/25/28 0.632 03/25/2028 49,537,000 71,412
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/25/46 (144A) 0.352 11/25/2046 19,020,000 2,087,270
Gray Television Inc. 1st Lien Tl L + 3% 10jun21 3.75 06/10/2021 1,123,063 1,113,002
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 1.502 06/25/2033 1,826,298 1,123,268
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 0.652 05/25/2033 15,932,000 428,338
Select Medical Corp., Series E Tranche B Term Loan, 6/1/18 3.7502 06/01/2018 236,016 234,246
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 0.5028 05/15/2041 340,000 114,315
Emdeon, Inc., Term B-2 Loan, 11/2/18 3.75 11/02/2018 1,608,019 1,596,294
Cabela's Credit Card Master Note Trust, Floating Rate Note, 3/16/20 0.5028 03/16/2020 900,000 899,762
Ally Master Owner Trust, Floating Rate Note, 6/17/19 0.5533 06/17/2019 2,600,000 2,597,247
Scientific Games International Inc 1st Lien Tl-B2 L + 5% 17sep21 6.0 09/17/2021 2,000,000 1,961,562
Terraform 1st Lien Tl-B L + 3.75% 02jul19   07/02/2019 473,813 474,997
Getty Images, Inc., Initial Term Loan, 10/18/19 4.75 10/18/2019 113,863 107,494
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 0.4791 05/02/2017 2,000,000 2,001,347
Prestige Brands, Inc., Term B-2 Loan, 8/18/21 4.5 08/18/2021 600,000 602,125
CNO Financial Group, Inc., Tranche B-2 Term Loan, 9/28/18 3.75 09/28/2018 461,099 457,918
Federal National Mortgage Association, Floating Rate Note, 12/25/33 0.452 12/25/2033 25,758,805 7,640,213
CWABS Asset-Backed Certificates Trust 2005-1, Floating Rate Note, 2/25/33 5.147 02/25/2033 1,113,000 208,097
Chemtura Corp., New Term Loan, 8/29/16 3.5 08/29/2016 371,082 371,082
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 0.852 12/05/2031 900,000 899,468
JP Morgan Chase Commercial Mortgage Securities Trust 2014-CBM, Floating Rate Note, 10/15/29 (144A) 1.557 10/15/2029 4,280,000 4,280,000
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU REMICS, Floating Rate Note, 12/15/28 1.654 12/15/2028 3,510,000 3,506,199
MortgageIT Trust 2005-2, Floating Rate Note, 5/25/35 0.412 05/25/2035 8,495,000 1,667,921
Nelnet Student Loan Trust 2005-1, Floating Rate Note, 10/26/20 0.3036 10/26/2020 1,795,000 485,604
AmeriCredit Automobile Receivables Trust 2013-2, 0.65%, 12/8/17 0.65 12/08/2017 485,000 485,617
RegionalCare Hospital Partners, Inc., Term Loan (First Lien), 4/21/19 6.0 04/21/2019 492,528 493,452
Chase Issuance Trust, Floating Rate Note, 4/15/19 0.4028 04/15/2019 150,000 149,093
Hyundai Capital Services, Inc., Floating Rate Note, 3/18/17 (144A) 1.0344 03/18/2017 1,950,000 1,955,197
ABFC 2003-WMC1 Trust, Floating Rate Note, 3/25/33 2.927 03/25/2033 3,691,000 37,176
Monitronics International, Inc., Term B Loan (2013), 3/23/18 4.25 03/23/2018 985,281 983,127
Michaels Stores, Inc., Term B Loan, 1/28/20 3.75 01/28/2020 985,000 969,918
Berkshire Hathaway Finance Corp., Floating Rate Note, 8/14/17 0.3581 08/14/2017 2,500,000 2,498,180
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/28 0.46 03/25/2028 24,210,000 321,576
Government National Mortgage Association, Floating Rate Note, 4/16/29 0.4518 04/16/2029 50,000,000 572,820
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/34 5.0 06/15/2034 2,168,000 106,128
CommScope, Inc., Tranche 3 Term Loan, 1/21/17 2.7346 01/21/2017 158,436 158,040
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-B, Floating Rate Note, 4/25/28 0.832 04/25/2028 32,661,000 1,485,196
Federal National Mortgage Association REMICS, 6.0%, 3/25/35 6.0 03/25/2035 1,000,000 27,374
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 12/15/22 4.0 12/15/2022 4,041,000 41,750
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 1.252 09/25/2034 3,465,620 621,766
Toyota Motor Credit Corp., Floating Rate Note, 9/18/15 0.3844 09/18/2015 1,000,000 1,001,621
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/26/35 0.887 02/26/2035 19,369,028 4,559,537
CPS Auto Trust, 1.48%, 3/16/20 (144A) 1.48 03/16/2020 1,060,000 440,548
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 0.602 06/25/2036 8,454,822 902,431
Barclays Dryrock Issuance Trust, Floating Rate Note, 7/16/18 0.4933 07/16/2018 200,000 200,203
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14, 5.171%, 12/11/38 5.171 12/11/2038 2,735,000 1,011,393
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 0.6084 05/27/2016 2,530,000 2,540,369
American Airlines, Inc., Class B Term Loan, 6/27/19 3.75 06/27/2019 2,518,125 2,486,648
Merrill Lynch Mortgage Trust 2005-LC1, Floating Rate Note, 1/12/44 5.291 01/12/2044 6,177,508 5,729,734
Structured Asset Mortgage Investments II Trust 2004-AR5, Floating Rate Note, 10/19/34 0.817 10/19/2034 23,000,000 1,081,369
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/18 0.4528 11/15/2018 7,142,857 84,590
HSBC Home Equity Loan Trust USA 2006-4, Floating Rate Note, 3/20/36 0.387 03/20/2036 1,061,000 914,657
United Auto Credit Securitization Trust 2014-1, 0.74%, 6/15/16 (144A) 0.74 06/15/2016 3,000,000 3,000,820
Par Pharmaceutical Companies, Inc., Term B-2 Loan, 9/28/19 4.0 09/28/2019 1,473,547 1,450,523
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 0.4758 07/20/2019 1,250,000 278,251
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.382 04/25/2031 17,333,137 2,765,689
Bayview Financial Acquisition Trust, 6.205%, 5/28/37 (Step) 6.205 05/28/2037 100,000 58,101
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/35 0.4928 05/15/2035 3,925,000 887,125
American Express Credit Account Master Trust, Floating Rate Note, 2/15/18 1.3533 02/15/2018 1,945,000 1,960,452
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 8.005 07/09/2015 1,500,000 1,567,067
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 0.452 09/25/2036 5,483,897 774,847
Bank of America NA, Floating Rate Note, 2/14/17 0.7031 02/14/2017 2,000,000 2,003,090
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 3.9203 06/07/2017 2,000,000 2,063,417
U.S. Treasury Floating Rate Note, 0.090001011%, 7/31/16 0.09 07/31/2016 19,740,000 19,751,607
Pfizer, Inc., Floating Rate Note, 5/15/17 0.3836 05/15/2017 2,100,000 2,099,626
Chesapeake Funding LLC, Floating Rate Note, 4/7/24 (144A) 1.403 04/07/2024 2,050,000 1,252,103
Wells Fargo & Co., Floating Rate Note, 7/20/16 0.7608 07/20/2016 3,105,000 3,119,257
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 2/15/19 0.5533 02/15/2019 900,000 901,423
Harley-Davidson Motorcycle Trust 2012-1, 0.68%, 4/17/17 0.68 04/17/2017 2,600,000 1,067,889
Commonwealth Bank of Australia, Floating Rate Note, 9/18/15 (144A) 1.0344 09/18/2015 1,575,000 1,588,111
Chase Issuance Trust, Floating Rate Note, 4/16/18 0.3651 04/16/2018 3,000,000 2,998,327
Sequoia Mortgage Trust 2004-12 REMICS, Floating Rate Note, 1/20/35 0.427 01/20/2035 39,171,595 4,386,286
Aecom Technology Corp 1st Lien Tl-B L + 3% 17sep21 3.75 09/17/2021 287,913 288,093
Mcdermott International Inc 1st Lien Tl-B L + 4.25% 11apr19 5.25 04/11/2019 498,750 489,710
National Australia Bank, Ltd., Floating Rate Note, 3/17/17 (144A) 0.6046 03/17/2017 1,950,000 1,956,973
Flagstar Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/18 (144A) 0.612 06/25/2018 15,500,000 1,228,829
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 0.562 06/28/2044 8,536,000 44,509
Axalta Coating Systems US Holdings, Inc., Refinanced Term B Loan, 2/1/20 4.0 02/01/2020 1,026,924 1,012,162
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 0.7349 12/22/2054 1,250,000 1,212,132
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 0.4545 05/25/2036 25,142,877 2,169,362
Cabela's Credit Card Master Note Trust, Floating Rate Note, 9/17/18 (144A) 0.8533 09/17/2018 2,475,000 2,485,348
GE Equipment Transportation LLC Series 2013-1, 0.5%, 11/24/15 0.5 11/24/2015 570,000 89,184
Mufg 0.1% 05nov14 Usd 0.1 11/05/2014 6,725,000 6,724,991
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 0.4028 08/15/2035 2,185,000 452,064
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 0.902 02/25/2033 10,610,000 392,687
Electricite de France SA, Floating Rate Note, 1/20/17 (144A) 0.6908 01/20/2017 1,865,000 1,870,868
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 3.5 09/06/2019 325,732 324,673
Chase Issuance Trust, Floating Rate Note, 8/15/17 0.2828 08/15/2017 9,130,000 9,123,141
Adjustable Rate Mortgage Trust 2004-1, Floating Rate Note, 1/25/35 2.3942 01/25/2035 5,000,000 454,204
The PNC Financial Services Group, Inc., Floating Rate Note (Perpetual) 4.4544 02/21/2049 1,500,000 1,515,238
Credit Suisse Mortgage Capital Certificates REMICS, Floating Rate Note, 7/27/36 (144A) 2.6512 07/27/2036 7,712,000 1,596,178
Banc of America Funding 2004-B Trust, Floating Rate Note, 12/20/34 0.517 12/20/2034 20,499,000 1,547,340
BCC Funding VIII LLC, 1.794%, 6/22/20 (144A) 1.794 06/22/2020 2,000,000 1,444,945
Prudential Financial, Inc., 3.875%, 1/14/15 3.875 01/14/2015 290,000 295,247
Seminole Hard Rock Entertainment, Inc., New Term Loan B, 5/14/20 3.5 05/14/2020 592,500 584,600
Federal National Mortgage Association REMICS, Floating Rate Note, 7/18/27 0.657 07/18/2027 10,000,000 40,092
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 10/27/36 (144A) 0.422 10/27/2036 2,010,000 169,735
Altisource Solutions Sarl, Term B Loan, 12/9/20 4.5 12/09/2020 990,047 891,042
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/37 0.552 07/25/2037 1,942,360 304,777
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 5.7601 12/06/2016 1,500,000 1,587,488
American Express Centurion Bank, Floating Rate Note, 11/13/15 0.6838 11/13/2015 5,090,000 5,113,916
AmeriCredit Automobile Receivables Trust 2014-2, Floating Rate Note, 10/10/17 0.433 10/10/2017 1,320,000 1,320,360
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 3.25 12/19/2020 1,582,050 1,573,626
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 0.4558 01/20/2021 3,500,000 1,041,314
Asset Backed Securities Corp Home Equity Loan Trust Series NC 2005-HE4, Floating Rate Note, 5/25/35 0.827 05/25/2035 3,657,000 695,213
SMHL Global Fund 2007-1, Floating Rate Note, 6/12/40 0.3546 06/12/2040 1,100,000 97,810
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 4.025 06/28/2016 2,250,000 2,330,825
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3, Floating Rate Note, 8/25/35 (144 0.452 08/25/2035 1,300,000 55,261
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.5528 12/15/2032 9,063,000 758,194
Harley-Davidson Motorcycle Trust 2011-2, 1.11%, 9/15/16 1.11 09/15/2016 300,000 13,405
Alamo Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 6.35 06/07/2017 1,000,000 1,057,290
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 0.4528 01/15/2036 1,837,000 393,219
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/29 0.5028 02/15/2029 23,100,000 285,581
HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36 0.397 03/20/2036 7,738,000 6,880,401
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 1.303 05/07/2024 200,000 201,155
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/40 0.5528 11/15/2040 1,265,000 635,159
Chase Issuance Trust, Floating Rate Note, 2/15/17 0.2533 02/15/2017 6,345,000 6,345,182
Bank of America Corp., Floating Rate Note, 1/15/15 0.6906 01/15/2015 1,000,000 1,000,724
Waste Industries USA, Inc., Term B Loan, 3/17/17 4.0 03/17/2017 149,229 148,483
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 8.6051 04/08/2016 1,750,000 1,837,247
RAMP Series 2004-RS11 Trust, Floating Rate Note, 11/25/34 1.082 11/25/2034 3,805,000 1,147,937
Citigroup, Inc., Floating Rate Note, 4/1/16 1.0251 04/01/2016 1,325,000 1,334,044
Duke Energy Corp., Floating Rate Note, 4/3/17 0.6126 04/03/2017 1,740,000 1,746,689
ACA CLO 2006-2, Ltd., Floating Rate Note, 1/20/21 (144A) 0.9508 01/20/2021 3,000,000 2,951,310
Level 3 Financing Inc 1st Lien Tl-B5 L + 3.5% 31jan22 4.5 01/31/2022 1,000,000 1,004,688
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25 0.522 10/25/2035 800,000 422,407
Mystic Re, Ltd., Floating Rate Note, 3/12/15 (Cat Bond) (144A) 12.0101 03/12/2015 1,500,000 1,563,950
Discover Card Execution Note Trust, 0.81%, 8/15/17 0.81 08/15/2017 3,000,000 3,005,076
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 0.602 06/25/2036 668,753 522,877
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-1, Floating Rate Note, 2 0.452 02/25/2035 13,907,953 56,827
Cabela's Credit Card Master Note Trust, Floating Rate Note, 1/16/18 (144A) 1.6033 01/16/2018 3,392,000 3,402,733
MetLife Institutional Funding II, Floating Rate Note, 1/6/15 (144A) 0.6012 01/06/2015 3,205,000 3,208,717
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 2.5528 10/15/2015 1,556,000 1,567,986
Royal Bank of Canada, Floating Rate Note, 1/23/17 0.5606 01/23/2017 1,875,000 1,880,256
Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A) 3.5101 06/06/2018 750,000 770,433
HJ Heinz Co., Term B-2 Loan, 6/5/20 3.5 06/05/2020 1,580,000 1,572,100
NCF Dealer Floorplan Master Trust, Floating Rate Note, 10/20/20 (144A)   10/20/2020 3,000,000 3,000,413
American Honda Finance Corp., Floating Rate Note, 10/7/16 0.7316 10/07/2016 950,000 957,043
AdvancePierre Foods, Inc., Term Loan (First Lien), 7/10/17 5.75 07/10/2017 185,929 185,232
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 0.722 09/25/2036 13,053,000 873,413
Avago Technologies Ltd 1st Lien Tl-B L + 3% 16apr21 3.75 04/16/2021 1,296,750 1,294,434
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 0.652 05/25/2040 8,500,000 1,428,975
BlackRock, Inc., 3.5%, 12/10/14 3.5 12/10/2014 1,431,000 1,454,974
Total Capital Canada, Ltd., Floating Rate Note, 1/15/16 0.6106 01/15/2016 3,355,000 3,368,418
Santander Drive Auto Receivables Trust 2014-2, Floating Rate Note, 7/17/17 0.4733 07/17/2017 1,550,000 1,549,677
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 8/15/38 5.1 08/15/2038 6,455,043 4,870,104
Covidien International Finance SA, 1.35%, 5/29/15 1.35 05/29/2015 3,875,000 3,915,490
Fosse Master Issuer Plc, Floating Rate Note, 10/19/54 (144A) 1.6308 10/19/2054 1,000,000 700,215
Hercules Capital Funding Trust 2012-1, 3.32%, 12/16/17 (144A) 3.32 12/16/2017 400,000 83,299
American Express Credit Account Master Trust, Floating Rate Note, 3/15/18 0.3033 03/15/2018 8,890,000 8,893,986
Stanwich Mortgage Loan Trust, 2.9814%, 2/16/43 (144A) 2.9814 02/16/2043 3,025,000 967,187
NovaStar Mortgage Funding Trust Series 2003-1, Floating Rate Note, 5/25/33 0.932 05/25/2033 19,881,000 442,095
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 1.057 05/19/2033 36,301,000 1,811,470
Ford Credit Auto Lease Trust 2014-B, Floating Rate Note, 3/15/17 0.3133 03/15/2017 2,150,000 2,150,456
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2.3901 03/25/2034 3,865,000 589,142
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.722 09/25/2037 3,173,000 427,781
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/19 0.3828 02/15/2019 4,675,000 353,426
Morgan Stanley Capital I Trust 2005-TOP19, 4.89%, 6/12/47 4.89 06/12/2047 6,690,000 6,442,669
American Honda Finance Corp., 1.0%, 8/11/15 (144A) 1.0 08/11/2015 1,000,000 1,007,460
NRG Energy, Inc., 8.25%, 9/1/20 8.25 09/01/2020 1,250,000 1,368,750
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 1.152 03/25/2037 2,300,000 257,514
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 11.265 01/08/2015 250,000 256,172
JP Morgan Chase Commercial Mortgage Securities Trust 2014-PHH, Floating Rate Note, 8/15/27 (144A) 1.754 08/15/2027 3,770,000 3,785,711
Capital One Financial Corp., Floating Rate Note, 11/6/15 0.8771 11/06/2015 1,875,000 1,886,853
West Corp., Term B-10 Loan, 6/30/18 3.25 06/30/2018 1,004,821 991,507
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 0.352 01/25/2036 6,155,063 1,125,012
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-4, 5.0%, 7/25/20 5.0 07/25/2020 486,000 18,145
Nissan Auto Receivables 2012-A Owner Trust, 0.73%, 5/16/16 0.73 05/16/2016 55,000 17,594
Government National Mortgage Association, Floating Rate Note, 1/16/35 0.4018 01/16/2035 11,437,000 1,251,262
Carrington Mortgage Loan Trust Series 2005-NC4, Floating Rate Note, 9/25/35 0.552 09/25/2035 375,000 47,991
PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29 1.44 05/15/2029 1,300,000 1,053,365
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/34 0.3928 07/15/2034 5,000,000 663,479
Government National Mortgage Association, Floating Rate Note, 10/16/39 0.8318 10/16/2039 2,500,000 400,077
JP Morgan Chase Commercial Mortgage Securities Trust 2013-JWRZ, Floating Rate Note, 4/15/30 (144A) 0.934 04/15/2030 4,975,000 4,970,974
PHARMEDIUM HEALTHCARE Corp., Initial Term Loan (First Lien), 1/23/21 4.25 01/23/2021 261,900 257,535
City Center Trust 2011-CCHP, Floating Rate Note, 7/15/28 (144A) 4.65 07/15/2028 950,000 950,946
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 0.5841 12/15/2016 2,850,000 2,838,664
Crown Americas Llc 1st Lien Tl-B L + 3.25% 20oct21   10/20/2021 1,250,000 1,255,990
Fannie Mae Trust 2003-W6, Floating Rate Note, 9/25/42 0.502 09/25/2042 10,100,000 854,223
The Huntington National Bank, Floating Rate Note, 4/24/17 0.6578 04/24/2017 2,000,000 2,000,550
Wells Fargo & Co., Floating Rate Note, 6/26/15 1.1551 06/26/2015 5,230,000 5,264,304
Mastr Asset Backed Securities Trust 2004-HE1, Floating Rate Note, 9/25/34 1.127 09/25/2034 1,570,000 73,111
Hyundai Auto Receivables Trust 2012-A, 0.95%, 12/15/16 0.95 12/15/2016 3,878,000 3,888,712
Rovi Solutions Corp 1st Lien Tl-B L + 3% 02jul21 3.75 07/02/2021 1,023,464 997,238
JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A) 1.404 04/15/2027 5,600,000 5,595,781
United Auto Credit Securitization Trust 2013-1, 0.95%, 9/15/15 (144A) 0.95 09/15/2015 2,000,000 15,396
Daimler Finance North America LLC, Floating Rate Note, 8/1/16 (144A) 0.9196 08/01/2016 1,500,000 1,515,470
Toyota Motor Credit Corp., Floating Rate Note, 1/23/15 0.4006 01/23/2015 2,290,000 2,291,310
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 0.502 05/25/2036 23,900,354 820,071
Canadian National Railway Co., Floating Rate Note, 11/6/15 0.4371 11/06/2015 1,675,000 1,677,609
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 0.412 09/25/2035 6,230,000 314,186
Capital Auto Receivables Asset Trust 2013-3, Floating Rate Note, 11/20/15 0.587 11/20/2015 840,000 529,629
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 0.857 04/25/2035 724,529 525,957
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/41 0.5028 12/15/2041 1,000,000 686,603
Structured Asset Sec Corp Mort Pass Thr Certs Series 1998-8, Floating Rate Note, 8/25/28 1.092 08/25/2028 8,825,000 403,323
SNAAC Auto Receivables Trust 2014-1, 1.03%, 9/17/18 (144A) 1.03 09/17/2018 734,000 502,296
ARI Fleet Lease Trust 2013-A, 0.92%, 7/15/21 (144A) 0.92 07/15/2021 600,000 600,759
Volkswagen Auto Lease Trust 2014-A, 0.52%, 10/20/16 0.52 10/20/2016 2,535,000 2,182,938
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 0.4628 06/15/2036 52,250,000 2,315,096
Morgan Stanley ABS Capital I Inc Trust 2005-NC2, Floating Rate Note, 3/25/35 0.782 03/25/2035 2,854,027 1,751,764
Direct Capital Funding V LLC, 1.673%, 12/20/17 (144A) 1.673 12/20/2017 725,000 147,646
Federal National Mortgage Association, Floating Rate Note, 1/20/15 0.167 01/20/2015 760,000 760,186
NCUA Guaranteed Notes Trust, Floating Rate Note, 11/6/17 0.5261 11/06/2017 6,590,000 2,608,321
CAM Mortgage Trust 2014-2, 2.6%, 12/15/53 (Step) (144A) 2.6 12/15/2053 2,130,000 1,497,687
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/37 0.4928 05/15/2037 5,000,000 368,003
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 0.4708 04/19/2021 1,200,000 740,216
The Goldman Sachs Group, Inc., Floating Rate Note, 11/21/14 1.2344 11/21/2014 1,000,000 1,002,876
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 0.7028 02/15/2033 15,000,000 459,008
US Bancorp, 2.45%, 7/27/15 2.45 07/27/2015 2,620,000 2,676,223
Skandinaviska Enskilda Banken AB New York NY, Floating Rate Note, 9/21/15 0.5731 09/21/2015 2,500,000 2,502,670
JLL, Initial Dollar Term Loan, 1/23/21 4.25 01/23/2021 304,238 296,414
USI, Inc. New York, Initial Term Loan 2013, 12/30/19 4.25 12/30/2019 1,090,658 1,079,752
CCG Receivables Truste 2013-1, 1.05%, 4/14/20 (144A) 1.05 04/14/2020 900,000 487,503
Fannie Mae, Floating Rate Note, 2/1/34 2.295 02/01/2034 500,000 24,190
NewStar Commercial Loan Trust 2007-1, Floating Rate Note, 9/30/22 (144A) 0.4736 09/30/2022 2,000,000 1,073,864
Mastr Asset Backed Securities Trust 2005-FRE1, Floating Rate Note, 10/25/35 0.402 10/25/2035 1,400,000 52,307
WideOpenWest Finance LLC, Term B Loan, 4/1/19 4.75 04/01/2019 239,297 239,421
Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35 5.5 05/25/2035 19,264,330 422,237
Westpac Banking Corp., Floating Rate Note, 5/19/17 0.5621 05/19/2017 2,000,000 2,001,805
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 0.5836 03/10/2017 1,500,000 1,502,659
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 0.3028 10/15/2020 1,400,000 144,062
Foundation Re III, Ltd., Floating Rate Note, 2/25/15 (Cat Bond) (144A) 5.03 02/25/2015 2,550,000 2,602,531
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 1.352 08/25/2034 1,523,000 282,891
MALLINCKRODT INTERNATIONAL FINANCE SA, Initial Term B Loan, 3/6/21 3.5 03/06/2021 970,125 962,416
PACCAR Financial Corp., Floating Rate Note, 6/6/17 0.4231 06/06/2017 1,290,000 1,290,816
Alternative Loan Trust 2004-J13, Floating Rate Note, 2/25/35 1.052 02/25/2035 1,000,000 962,686
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35 5.0 10/25/2035 17,468,000 1,189,946
RPI Finance Trust, Term B-2 Term Loan, 5/9/18 3.25 05/09/2018 1,014,668 1,012,005
Ziggo Bv 1st Lien Tl-B2 L + 2.75% 15jan22 3.5 01/15/2022 691,064 674,095
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 0.402 09/25/2030 10,120,098 1,790,701
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 0.4799 02/22/2021 2,250,000 1,391,287
Apidos Quattro CDO, Floating Rate Note, 1/20/19 (144A) 1.6808 01/20/2019 1,000,000 985,281
Duke Energy Corp., 3.35%, 4/1/15 3.35 04/01/2015 2,600,000 2,637,819
Federal National Mortgage Association REMICS, 4.5%, 1/25/39 4.5 01/25/2039 820,000 61,270
Wells Fargo & Co., 5.0%, 11/15/14 5.0 11/15/2014 1,000,000 1,024,304
Xerium Technologies, Inc., New Term Loan, 5/17/19 5.75 05/17/2019 79,000 78,951
ABFC 2005-WF1 Trust, Floating Rate Note, 12/25/34 0.462 12/25/2034 1,610,000 686,552
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 0.412 12/25/2035 2,967,970 800,637
CHL Mortgage Pass-Through Trust 2004-29, Floating Rate Note, 2/25/35 0.692 02/25/2035 61,136,000 2,998,582
Duke Energy Ohio, Inc., Floating Rate Note, 3/6/15 0.3731 03/06/2015 725,000 725,591
Hewett's Island CDO, Ltd., Floating Rate Note, 6/9/19 (144A) 2.4823 06/09/2019 1,000,000 1,001,676
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 1.152 02/25/2024 1,555,000 1,453,654
Federal National Mortgage Association, Floating Rate Note, 12/15/14 0.42 12/15/2014 1,400,000 1,401,305
SunTrust Bank, Floating Rate Note, 4/1/15 0.5351 04/01/2015 1,390,000 1,390,588
JP Morgan Chase Commercial Mortgage Securities Trust 2013-FL3, Floating Rate Note, 4/17/28 (144A) 1.954 04/17/2028 1,200,000 1,200,495
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 0.422 09/25/2035 38,687,000 3,444,291
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 0.402 02/25/2030 6,250,000 897,665
GSAA Trust, Floating Rate Note, 6/25/35 0.947 06/25/2035 6,300,000 1,800,010
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 5.28 03/07/2016 2,500,000 2,575,917
Express Scripts Holding Co., 2.1%, 2/12/15 2.1 02/12/2015 5,323,000 5,368,929
Global Container Assets 2013-1, Ltd., 2.2%, 11/5/28 (144A) 2.2 11/05/2028 1,750,000 1,227,686
Enterprise Fleet Financing LLC, 0.72%, 4/20/18 (144A) 0.72 04/20/2018 4,500,000 1,587,851
Credit Acceptance Auto Loan Trust 2013-1, 1.21%, 10/15/20 (144A) 1.21 10/15/2020 1,000,000 1,000,617
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 2.73 01/15/2017 1,500,000 1,523,531
Mystic Re, Ltd., Floating Rate Note, 3/12/15 (Cat Bond) (144A) 9.0101 03/12/2015 1,000,000 1,031,750
GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34 0.932 06/25/2034 52,357,062 1,414,895
Svenska Handelsbanken AB, Floating Rate Note, 9/23/16 0.7031 09/23/2016 1,000,000 1,005,655
Hyundai Capital Auto Funding VIII, Ltd., Floating Rate Note, 9/20/16 (144A) 1.1535 09/20/2016 5,954,000 525,098
tw telecom holdings inc, Term Loan B Loan, 4/17/20 2.66 04/17/2020 997,375 996,440
MortgageIT Trust 2004-2, Floating Rate Note, 12/25/34 0.892 12/25/2034 12,960,000 2,101,091
Fresenius US Finance I, Inc., Tranche B Term Loan, 8/7/19 2.2336 08/07/2019 1,485,000 1,478,194
Bear Stearns Asset Backed Securities Trust 2005-SD1, Floating Rate Note, 8/25/43 0.552 08/25/2043 310,000 90,968
Bear Stearns Asset Backed Securities Trust 2003-AC5, Floating Rate Note, 10/25/33 1.252 10/25/2033 2,875,000 278,440
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 8.5304 01/05/2017 2,750,000 2,971,042
Volkswagen Group of America Finance LLC, Floating Rate Note, 5/23/16 (144A) 0.4549 05/23/2016 1,900,000 1,899,569
GS Mortgage Securities Trust 2006-GG6 REMICS, Floating Rate Note, 4/10/38 5.553 04/10/2038 3,550,000 3,700,234
Revlon Consumer Products Corp., Acquisition Term Loan, 8/19/19 4.0 08/19/2019 372,188 368,310
HomeBanc Mortgage Trust 2005-2, Floating Rate Note, 5/25/25 0.572 05/25/2025 45,670,847 1,766,812
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 0.462 11/25/2035 21,900,000 4,211,401
Burger King Corp., Tranche B Term Loan (2012), 9/28/19 3.75 09/28/2019 242,060 241,983
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 11/18/16 0.7411 11/18/2016 1,800,000 1,811,214
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R5, Floating Rate Note, 7 0.582 07/25/2035 84,000 83,286
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 3.0 05/15/2018 2,777,000 1,261,396
The Bank of New York Mellon Corp., 3.1%, 1/15/15 3.1 01/15/2015 670,000 679,718
The Geo Group, Inc., Term Loan, 4/3/20 3.25 04/03/2020 987,475 979,452
Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37 0.302 03/25/2037 1,000,000 596,285
Apex Tool Group LLC, Term Loan, 1/31/20 4.5 01/31/2020 1,231,250 1,169,688
Deltek, Inc., Term Loan (First Lien), 10/10/18 4.5 10/10/2018 296,231 294,935
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 0.552 03/25/2035 1,000,000 133,383
PFS Financing Corp., Floating Rate Note, 10/15/19 (144A) 1.0826 10/15/2019 1,700,000 1,700,869
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 1.454 03/16/2026 1,460,000 1,460,576
Crown Castle 1st Lien Term-B2 L + 2.5% 31jan21 3.25 01/31/2021 1,183,187 1,173,820
Velocity Commercial Capital Loan Trust 2014-1, Floating Rate Note, 9/25/44 (144A) 2.1545 09/25/2044 2,700,000 2,657,453
Starwood Property Mortgage Trust 2013-FV1, Floating Rate Note, 8/11/28 (144A) 1.452 08/11/2028 2,495,000 2,386,532
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 2.4983 05/25/2033 42,906,215 1,300,225
The Bank of Nova Scotia, 1.85%, 1/12/15 1.85 01/12/2015 100,000 100,853
Bank of Nova Scotia Houston, Floating Rate Note, 10/23/15 0.4806 10/23/2015 1,000,000 1,001,973
Alternative Loan Trust 2003-3T1, Floating Rate Note, 5/25/33 0.782 05/25/2033 15,000,000 620,802
Post Holdings Inc 1st Lien Tl-B L + 3% 23may21 3.75 05/23/2021 997,500 993,828
SBI Home Equity Loan Trust 2006-1, Floating Rate Note, 8/25/36 (144A) 0.502 08/25/2036 2,950,000 916,573
New York Life Global Funding, Floating Rate Note, 10/5/15 (144A) 0.2612 10/05/2015 2,350,000 2,351,063
PFS Financing Corp., Floating Rate Note, 2/15/18 (144A) 0.7033 02/15/2018 3,240,000 3,239,809
Microsemi Corp., Term Loan (2014), 3/14/21 3.25 03/14/2021 131,461 129,750
LifePoint Hospitals, Inc., Incremental Term Loan B, 7/24/17 2.66 07/24/2017 342,404 342,689
Federal National Mortgage Association, Floating Rate Note, 2/25/38 0.602 02/25/2038 50,000,000 15,472,756
Belden Finance 2013 LP, Initial Term Loan, 9/9/20 3.25 09/09/2020 643,500 640,685
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 1.074 06/15/2029 3,750,000 3,746,114
RBS Greenwich Capital Mortgage Loan Trust, Floating Rate Note, 4/15/24 (144A) 5.0079 04/15/2024 1,150,000 1,169,390
MASTR Adjustable Rate Mortgages Trust 2004-11, Floating Rate Note, 11/25/34 0.792 11/25/2034 5,400,000 1,705,500
MetLife Institutional Funding II, 1.625%, 4/2/15 (144A) 1.625 04/02/2015 4,500,000 4,528,467
Nordea Bank Finland Plc New York, Floating Rate Note, 6/13/16 0.4141 06/13/2016 2,225,000 2,225,486
Evergreen Skills Lux Sarl, Initial Term Loan (First Lien), 4/23/21 4.5 04/23/2021 399,000 395,010
RALI Series 2004-QS1 Trust, 4.25%, 1/25/34 4.25 01/25/2034 4,500,000 22,373
Morgan Stanley ABS Capital I Inc Trust 2005-WMC3, Floating Rate Note, 3/25/35 0.857 03/25/2035 131,174 70,186
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/36 0.4328 12/15/2036 17,426,100 1,437,858
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 0.5518 04/10/2028 1,100,000 1,100,750
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 0.3628 04/15/2022 1,982,362 1,970,413
Nationstar Agency Advance Funding Trust 2013-T1A, 0.997%, 2/15/45 (144A) 0.997 02/15/2045 2,250,000 2,249,355
Sequoia Mortgage Trust 2003-2, Floating Rate Note, 6/20/33 1.0032 06/20/2033 13,097,000 501,645
World Omni Automobile Lease Securitization Trust 2014-A, Floating Rate Note, 3/15/17 0.3636 03/15/2017 2,500,000 2,500,669
Firstmac Mortgage Funding Trust Series 1A-2014, Floating Rate Note, 6/26/15 (144A) 0.502 06/26/2015 2,500,000 2,500,452
The Bank of New York Mellon Corp., 1.7%, 11/24/14 1.7 11/24/2014 2,000,000 2,016,202
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 2.3302 08/25/2033 1,500,000 101,388
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/42 0.652 04/25/2042 642,857 472,014
Telesat Canada, U.S. Term B-2 Loan, 3/28/19 3.5 03/28/2019 662,105 653,691
Morgan Stanley Structured Trust, Floating Rate Note, 6/25/37 0.232 06/25/2037 1,500,000 190,697
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 2.2035 09/18/2031