Pioneer Investments: Pioneer Multi-Asset Ultrashort Income Fund


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Pioneer Multi-Asset Ultrashort Income Fund

Monthly Portfolio Holdings as of 8/29/2014

Security Name Coupon Maturity Date Par / Shares Market Value($)
Morgan Stanley Capital I Trust 2005-TOP19, 4.89%, 6/12/47 4.89 06/12/2047 6,690,000 6,701,519
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 2.3207 04/19/2034 16,013,000 715,702
Exeter Automobile Receivables Trust 2012-2, 1.3%, 6/15/17 (144A) 1.3 06/15/2017 1,000,000 197,444
Structured Asset Mortgage Investments II Trust 2004-AR5, Floating Rate Note, 10/19/34 0.8155 10/19/2034 23,000,000 1,121,176
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 0.6244 11/21/2016 2,465,000 2,469,215
MASTR Adjustable Rate Mortgages Trust 2004-11, Floating Rate Note, 11/25/34 0.795 11/25/2034 5,400,000 1,763,489
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 0.655 06/25/2035 5,850,460 2,242,353
Chrysler Group LLC, Tranche B Term Loan, 12/29/18 3.25 12/29/2018 2,892,750 2,872,862
General Mills, Inc., Floating Rate Note, 1/29/16 0.5341 01/29/2016 1,765,000 1,769,986
John Deere Capital Corp., Floating Rate Note, 12/10/15 0.3496 12/10/2015 1,800,000 1,801,875
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 2.5 03/20/2025 350,000 169,308
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 0.8549 02/26/2016 1,800,000 1,810,226
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 0.975 08/25/2034 3,500,000 450,890
Kleopatra Acquisition Corp., Term B-1 Loan, 12/21/16 4.75 12/14/2016 691,226 695,258
Merrill Lynch Mortgage Trust 2005-CKI1, Floating Rate Note, 11/12/37 5.4616 11/12/2037 7,925,000 6,982,527
The Connecticut Light & Power Co., 5.0%, 4/1/15 5.0 04/01/2015 1,200,000 1,256,313
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 0.555 02/15/2033 49,250,000 709,854
The Coca-Cola Co., Floating Rate Note, 3/5/15 0.2074 03/05/2015 850,000 850,252
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/33 0.555 08/25/2033 485,000 20,132
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/40 0.705 01/25/2040 5,000,000 471,439
Westpac Banking Corp., Floating Rate Note, 5/19/17 0.5621 05/19/2017 2,000,000 2,003,560
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/20 0.955 09/25/2020 13,700,000 39,765
United Auto Credit Securitization Trust 2012-1, 3.12%, 3/15/18 (144A) 3.12 03/15/2018 4,100,000 4,123,186
American Credit Acceptance Receivables Trust 2012-2, 4.05%, 2/15/18 (144A) 4.05 02/15/2018 1,228,000 1,247,514
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 0.6084 05/27/2016 2,530,000 2,540,615
Dartmouth Zero% 31dec14 0.0 12/31/2014 2,300,000 2,245,030
MetLife Institutional Funding II, Floating Rate Note, 1/6/15 (144A) 0.6021 01/06/2015 3,205,000 3,212,142
Bank of America Corp., Floating Rate Note, 1/15/15 0.6936 01/15/2015 1,000,000 1,001,889
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/36 0.455 03/15/2036 5,000,000 1,243,554
Citibank Credit Card Issuance Trust, Floating Rate Note, 12/12/16 0.307 12/12/2016 3,070,000 3,070,962
RALI Series 2003-QS6 Trust, Floating Rate Note, 3/25/33 0.805 03/25/2033 22,278,454 1,399,130
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 2.78 08/25/2034 2,122,000 257,304
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.405 03/25/2037 30,888,000 824,746
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 0.506 02/28/2041 6,439,000 594,522
Credit Suisse First Boston Mortgage Securities Corp., 4.686%, 7/15/37 4.686 07/15/2037 5,510,000 5,455,930
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 1.0253 06/25/2028 44,308,430 1,762,327
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 0.7755 09/20/2033 5,000,000 238,259
East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (Cat Bond) (144A) 2.783 03/14/2018 2,000,000 1,999,078
Cisco Systems, Inc., Floating Rate Note, 3/3/17 0.5074 03/03/2017 1,000,000 1,004,722
Citibank Credit Card Issuance Trust, 5.1%, 11/20/17 5.1 11/20/2017 1,650,000 1,763,713
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP4, Floating Rate Note, 10/15/42 5.04 10/15/2042 3,950,000 4,058,428
RBS Greenwich Capital Mortgage Loan Trust, Floating Rate Note, 4/15/24 (144A) 5.0079 04/15/2024 1,150,000 1,172,103
Morgan Stanley Capital I Trust 2005-TOP17, 4.78%, 12/13/41 4.78 12/13/2041 2,027,000 1,051,764
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25 0.525 10/25/2035 800,000 439,734
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 10/25/34 0.875 10/25/2034 4,100,000 6,826
Hyundai Auto Receivables Trust 2013-A, 0.4%, 12/15/15 0.4 12/15/2015 1,780,000 185,023
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 1.0351 10/28/2016 1,725,000 1,742,438
Nationstar Agency Advance Funding Trust 2013-T1A, 0.997%, 2/15/45 (144A) 0.997 02/15/2045 2,250,000 2,248,347
Freddie Mac Strips, Floating Rate Note, 8/15/36 0.455 08/15/2036 43,230,336 2,472,196
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/27/29 (144A) 1.357 08/25/2029 2,926,938 2,064,282
Santander Drive Auto Receivables Trust 2011-2, 3.28%, 6/15/16 3.28 06/15/2016 2,265,000 2,003,613
Queen Street V Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 8.5175 04/09/2015 1,750,000 1,803,487
Citigroup, Inc., Floating Rate Note, 4/1/16 1.0246 04/01/2016 1,325,000 1,336,245
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/32 0.755 09/15/2032 10,000,000 228,140
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 0.6938 05/13/2016 2,500,000 2,513,714
Fannie Mae, Floating Rate Note, 11/1/23 2.261 11/01/2023 970,000 11,011
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 0.705 05/25/2040 2,619,152 1,253,755
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/35 0.455 05/15/2035 10,200,000 814,838
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/38 0.555 12/25/2038 400,000 271,308
Bear Stearns Asset Backed Securities Trust 2005-SD1, Floating Rate Note, 8/25/43 0.555 08/25/2043 310,000 95,590
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 1.235 03/25/2035 1,457,000 613,470
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 1.3253 07/25/2029 3,866,000 155,995
Toyota Motor Credit Corp., 1.0%, 2/17/15 1.0 02/17/2015 2,265,000 2,273,639
American Express Centurion Bank, Floating Rate Note, 11/13/15 0.6838 11/13/2015 5,090,000 5,113,632
Structured Asset Investment Loan Trust 2006-1, Floating Rate Note, 1/25/36 0.355 01/25/2036 4,650,000 1,160,796
Anheuser-Busch Companies LLC, 5.0%, 1/15/15 5.0 01/15/2015 1,891,000 1,935,397
Sequoia Mortgage Trust 2005-2, Floating Rate Note, 3/20/35 0.3755 03/20/2035 5,275,000 547,568
Structured Asset Securities Corp Mortgage Loan Trust 2006-GEL4, Floating Rate Note, 10/25/36 (144A) 0.375 10/25/2036 5,557,000 2,210,589
RAMP Series 2004-RS11 Trust, Floating Rate Note, 11/25/34 1.085 11/25/2034 3,805,000 1,250,148
Arc Automotive Group, Inc., Term Loan, 11/15/18 6.0 11/01/2018 479,219 481,615
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 0.655 06/25/2033 44,273,266 2,162,900
Tribune Media Co., Initial Term Loan, 11/20/20 4.0 11/20/2020 2,116,251 2,117,561
HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36 0.3955 03/20/2036 4,674,000 4,483,740
National Rural Utilities Cooperative Finance Corp., 1.0%, 2/2/15 1.0 02/02/2015 3,300,000 3,312,024
Motor 2013-1 Plc, Floating Rate Note, 2/25/21 (144A) 0.655 02/25/2021 2,196,000 1,193,134
Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36 0.505 05/25/2036 6,501,000 2,207,605
Fosse Master Issuer Plc, Floating Rate Note, 10/19/54 (144A) 1.6336 10/18/2054 1,000,000 759,127
NCUA Guaranteed Notes Trust, Floating Rate Note, 4/6/20 0.5334 04/06/2020 5,835,000 1,601,128
Prestige Brands, Inc., Term B-1 Loan, 1/31/19 3.75 01/31/2019 550,259 549,571
World Omni Auto Receivables Trust 2013-B, 0.48%, 11/15/16 0.48 11/15/2016 50,000 36,370
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 0.705 10/25/2017 5,500,000 107,469
Foresight Energy LLC, Term Loan, 8/21/20 5.5 08/19/2020 435,875 439,956
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2, 4.78%, 7/15/42 4.78 07/15/2042 3,770,000 3,875,091
Direct Capital Funding V LLC, 1.673%, 12/20/17 (144A) 1.673 12/20/2017 725,000 188,956
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 6/25/34 0.895 06/25/2034 26,125,000 345,366
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/37 1.405 05/15/2037 3,000,000 301,467
Federal National Mortgage Association, Floating Rate Note, 3/25/18 0.455 03/25/2018 30,543,000 1,044,845
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2.859 03/25/2034 8,200,000 586,973
Nsany Cp Zero% 24sep14 Usd 0.0 09/24/2014 2,540,000 2,539,594
321 Henderson Receivables I LLC, Floating Rate Note, 6/15/41 (144A) 0.355 06/15/2041 8,090,000 3,112,254
West Corp., Term B-10 Loan, 6/30/18 3.25 06/30/2018 1,004,821 995,401
Ellington Loan Acquisition Trust 2007-2, Floating Rate Note, 5/26/37 (144A) 1.055 05/25/2037 5,000,000 530,630
HSBC USA, Inc., 2.375%, 2/13/15 2.375 02/13/2015 7,764,000 7,843,655
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/25/46 (144A) 0.355 11/25/2045 13,635,000 1,544,585
Westgate Resorts 2012-2 LLC, 3.0%, 1/21/25 (144A) 3.0 01/20/2025 1,000,000 399,987
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/40 0.505 07/15/2040 2,570,000 608,453
Santander Drive Auto Receivables Trust 2012-5, 0.83%, 12/15/16 0.83 12/15/2016 1,600,000 663,971
Mizuho Bank, Ltd., Floating Rate Note, 4/16/17 (144A) 0.6626 04/16/2017 1,000,000 1,001,603
Honda Auto Receivables 2012-4 Owner Trust, 0.52%, 8/18/16 0.52 08/18/2016 5,000,000 4,126,902
United Auto Credit Securitization Trust 2012-1, 2.52%, 3/15/16 (144A) 2.52 03/15/2016 1,645,000 1,461,277
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 3.5 10/18/2018 738,750 732,550
DynCorp International, Inc., Term Loan, 7/7/16 6.25 07/07/2016 165,972 166,014
DEALERTRACK TECHNOLOGIES INC, Term Loan, 2/27/21 3.5 02/27/2021 954,022 952,084
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 1.0 05/05/2017 2,500,000 2,525,333
Ziggo Bv 1st Lien Tl-B1 L + 2.75% 15jan22   01/15/2022 1,072,383 1,052,779
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 2.305 06/15/2016 3,000,000 3,027,148
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 2.125 09/15/2015 551,000 564,865
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 1.155 03/25/2037 2,300,000 266,461
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 11.2825 01/08/2015 250,000 257,488
AdvancePierre Foods, Inc., Term Loan (First Lien), 7/10/17 5.75 06/17/2017 186,402 187,334
Baxter International, Inc., Floating Rate Note, 12/11/14 0.4006 12/11/2014 895,000 896,096
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 0.6111 01/30/2017 1,900,000 1,904,866
PVH Corp., Tranche B Term Loan, 2/13/20 3.25 12/19/2019 1,319,693 1,327,340
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 0.345 01/25/2036 23,055,603 3,337,609
Numericable Sfr 1st Lien Tl-B2 L + 3.75% 23apr20 4.5 04/23/2020 231,923 233,041
CHL Mortgage Pass-Through Trust 2003-J7, Floating Rate Note, 8/25/18 0.555 08/25/2018 2,400,000 62,178
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/29 0.505 05/15/2029 15,000,000 143,917
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34 1.175 11/25/2034 3,500,000 230,827
Volvo Financial Equipment LLC Series 2013-1, 0.53%, 11/16/15 (144A) 0.53 11/16/2015 1,820,000 631,796
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 0.455 02/15/2036 4,291,000 821,945
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/19 0.385 02/15/2019 4,675,000 384,665
Santander Drive Auto Receivables Trust, 0.62%, 7/15/16 0.62 07/15/2016 987,000 173,802
Fieldwood Energy LLC, Closing Date Loan, 9/25/18 3.875 09/25/2018 2,682,121 2,684,132
The University of Texas System, Floating Rate Note, 8/1/34 0.03 08/01/2034 11,910,000 11,910,303
Fifth Third Auto 2013-1, 0.59%, 3/15/16 0.59 03/15/2016 100,000 51,165
Fannie Mae, 7.0%, 10/1/17 7.0 10/01/2017 2,241,352 7,392
Home Equity Asset Trust 2005-6, Floating Rate Note, 12/25/35 0.625 12/25/2035 3,404,000 3,394,359
Texas Competitive Electric Holdings Co LLC, DIP Delayed Draw Term Loan (2014), 5/5/16 3.75 05/05/2016 1,595,935 1,608,404
Federal Farm Credit Banks, Floating Rate Note, 3/9/15 0.08 03/09/2015 2,200,000 2,199,923
Alternative Loan Trust 2004-18CB, 5.7%, 9/25/34 5.7 09/25/2034 1,760,000 18,265
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 10.7583 04/10/2015 1,945,000 2,049,910
RAAC Series 2005-RP3 Trust, Floating Rate Note, 5/25/39 (144A) 0.955 05/25/2039 2,000,000 1,462,465
Pfizer, Inc., Floating Rate Note, 5/15/17 0.3836 05/15/2017 2,100,000 2,101,409
John Deere Owner Trust 2013-B, 0.55%, 1/15/16 0.55 01/15/2016 100,000 53,119
SMART Trust/Australia, 1.59%, 10/14/16 (144A) 1.59 10/14/2016 650,000 523,299
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 0.555 07/25/2034 7,443,000 538,209
Prestige Brands Inc 1st Lien Tl-B L + 3.5% 18aug21 4.5 08/18/2021 600,000 604,125
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 0.4636 04/20/2021 1,800,000 1,565,778
Wells Fargo Home Equity Asset-Backed Securities 2005-2 Trust, Floating Rate Note, 11/25/35 0.565 11/25/2035 189,000 98,944
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 0.605 02/25/2038 2,184,000 660,314
DigitalGlobe, Inc., Term Loan, 1/31/20 3.75 01/25/2020 879,494 878,500
Livingston International, Inc., Initial Term B-1 Loan (First Lien), 4/18/19 5.0 04/18/2019 495,000 494,381
New York Life Global Funding, Floating Rate Note, 10/5/15 (144A) 0.2621 10/05/2015 2,350,000 2,350,407
Honda Auto Receivables 2013-1 Owner Trust, 0.35%, 6/22/15 0.35 06/22/2015 1,375,000 3,277
Loudoun County Economic Development Authority, Floating Rate Note, 2/15/38 0.03 02/15/2038 15,140,000 15,140,382
The Huntington National Bank, Floating Rate Note, 4/24/17 0.6576 04/24/2017 2,000,000 2,002,666
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/28 0.46 03/25/2028 24,210,000 329,165
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 2.7412 07/25/2034 10,718,797 402,090
USI, Inc. New York, Initial Term Loan 2013, 12/30/19 4.25 12/30/2019 1,093,412 1,090,679
American Express Credit Corp., Floating Rate Note, 7/29/16 0.7441 07/29/2016 2,850,000 2,869,304
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/35 0.405 01/15/2035 5,669,000 845,799
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/33 0.555 06/15/2033 10,000,000 608,555
Wachovia Bank Commercial Mortgage Trust Series 2005-C16, Floating Rate Note, 10/15/41 4.847 10/15/2041 1,430,000 455,290
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/35 0.595 07/25/2035 2,058,000 198,906
Pilot Travel Centers LLC, Refinancing Tranche B Term Loan, 3/30/18 3.75 03/30/2018 98,000 98,214
EQTY 2014-INNS Mortgage Trust, Floating Rate Note, 5/8/31 (144A) 1.359 05/08/2031 3,530,000 3,501,977
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 0.505 02/15/2036 5,000,000 447,516
WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21 1.2341 01/23/2021 290,008 289,494
Sinclair Television Group, Inc., New Tranche B Term Loan, 4/19/20 3.0 10/29/2016 1,341,733 1,325,296
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-WWF, Floating Rate Note 1.175 12/25/2034 1,900,000 457,190
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 0.405 04/15/2022 497,205 493,591
Wachovia Bank Commercial Mortgage Trust Series 2005-C17, Floating Rate Note, 3/15/42 5.083 03/15/2042 6,504,854 5,690,368
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 0.4586 01/20/2021 3,500,000 1,149,830
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 2/26/16 0.6449 02/26/2016 3,330,000 3,340,719
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 3 0.605 03/25/2035 2,757,237 1,578,991
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 0.86 04/25/2035 724,529 584,202
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 3.9355 06/07/2017 2,000,000 2,012,000
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/17 0.605 02/25/2017 14,970,453 10,653
Berkshire Hathaway Finance Corp., Floating Rate Note, 1/10/17 0.3836 01/10/2017 1,855,000 1,859,063
WaMu Mortgage Pass-Through Certificates Series 2002-AR19 Trust, Floating Rate Note, 2/25/33 2.4315 02/25/2033 12,900,000 494,842
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 0.5898 03/13/2017 2,000,000 2,005,062
ARI Fleet Lease Trust 2014-A, 0.81%, 11/15/22 (144A) 0.81 11/15/2022 3,000,000 3,003,017
Volvo Financial Equipment LLC Series 2014-1, 0.54%, 11/15/16 (144A) 0.54 11/15/2016 1,700,000 1,700,604
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 0.415 11/25/2035 20,100,508 1,872,352
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 0.505 08/25/2036 4,987,000 1,339,311
JOHN DEERE CAPITAL Corp., Floating Rate Note, 2/25/16 0.3349 02/25/2016 2,883,000 2,882,230
Csfb Flt% 25jul35 05-6-1a2 0.425 07/25/2035 12,820,000 1,475,283
Nn Inc 1st Lien Tl-B L + 5% 18jul21 6.0 07/18/2021 1,250,000 1,243,750
CAM Mortgage Trust 2014-1, 3.3515%, 12/15/53 (Step) (144A) 3.3515 12/15/2053 2,060,000 357,684
GE Business Loan Trust 2004-2, Floating Rate Note, 12/15/32 (144A) 0.375 12/15/2032 5,810,863 1,175,653
Terraform 1st Lien Tl-B L + 3.75% 02jul19   07/02/2019 475,000 477,672
AmeriCredit Automobile Receivables Trust 2011-5, 2.45%, 12/8/16 2.45 12/08/2016 1,700,000 1,710,916
JP Morgan Mortgage Trust 2004-A5, Floating Rate Note, 12/25/34 2.2562 12/25/2034 1,119,000 885,833
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/32 0.655 12/25/2032 15,000,000 330,148
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 4/20/18 0.5555 04/20/2018 1,190,000 1,193,627
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5.46 09/10/2045 3,590,000 3,767,301
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/33 1.655 05/15/2033 2,000,000 263,418
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 2.63 12/25/2034 2,000,000 503,771
Louisiana Public Facilities Authority, Floating Rate Note, 4/26/27 1.1341 04/26/2027 1,250,000 1,088,504
AWAS Finance Luxembourg 2012 SA, Term Loan, 7/16/18 3.5 06/25/2018 443,638 443,175
CNO Financial Group, Inc., Tranche B-2 Term Loan, 9/28/18 3.75 09/04/2018 462,349 462,488
Spectrum Brands, Inc., Tranche C Term Loan, 8/13/19 3.5 08/13/2019 297,750 296,782
Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2006-HE1, Floating Rate Note, 2/25/36 0.365 02/25/2036 1,700,000 164,523
Ford Credit Auto Owner Trust 2014-A, 0.48%, 11/15/16 0.48 11/15/2016 1,827,000 1,447,272
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 2.027 10/25/2033 12,490,305 1,487,564
Jarden Corp., Tranche B1 Term Loan, 9/30/20 2.9067 09/18/2020 992,500 993,327
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 0.555 03/25/2035 1,000,000 138,434
RALI Series 2004-QS1 Trust, Floating Rate Note, 1/25/34 0.705 01/25/2034 4,000,000 44,922
Pm Cp Zero% 03sep14 Usd 0.0 09/03/2014 2,540,000 2,539,975
Ford Credit Auto Lease Trust 2014-B, Floating Rate Note, 3/15/17 0.315 03/15/2017 2,150,000 2,150,353
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 1.6349 12/22/2054 2,000,000 1,649,719
Covanta Energy Corp., Term Loan, 3/28/19 3.25 03/01/2019 132,667 132,501
Specialty Underwriting & Residential Finance Trust Series 2005-AB2, Floating Rate Note, 6/25/36 0.545 06/25/2036 1,500,000 586,061
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 0.6091 03/30/2016 2,399,000 2,408,443
SMART Trust/Australia, Floating Rate Note, 8/15/16 0.456 08/15/2016 1,500,000 1,500,394
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.505 11/15/2036 2,850,000 541,139
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 1.905 06/15/2034 3,954,000 3,958,127
MCC Iowa LLC, Tranche G Term Loan, 1/20/20 4.0 02/08/2020 736,875 735,954
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.655 09/25/2037 7,400,000 877,984
Jackson National Life Global Funding, Floating Rate Note, 9/30/15 (144A) 0.5841 09/30/2015 2,000,000 2,009,073
Federal Home Loan Mortgage Corp., Floating Rate Note, 6/1/35 2.594 06/01/2035 3,000,000 7,911
Global Container Assets 2013-1, Ltd., 2.2%, 11/5/28 (144A) 2.2 11/05/2028 1,750,000 1,314,228
Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37 0.305 03/25/2037 1,000,000 634,476
ARI Fleet Lease Trust 2012-B, Floating Rate Note, 1/15/21 (144A) 0.455 01/15/2021 1,030,000 371,578
PNC Bank NA, Floating Rate Note, 4/29/16 0.5541 04/29/2016 3,268,000 3,270,923
BMW Vehicle Owner Trust 2011-A, 0.76%, 8/25/15 0.76 08/25/2015 2,630,000 1,607
Discover Card Execution Note Trust, Floating Rate Note, 10/15/18 0.335 10/15/2018 750,000 750,034
Davita Healthcare Partners Inc 1st Lien Tl-B L + 2.75% 19jun21 3.5 06/19/2021 476,241 475,941
Samson Investment Co., Tranche 1 Term Loan (Second Lien), 9/25/18 5.0 09/25/2018 400,000 396,536
Hyperion Insurance Group, Ltd., Term Loan, 10/4/19 5.75 10/03/2019 970,125 968,912
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/31 0.755 11/25/2031 44,000,000 437,266
American Airlines, Inc., Class B Term Loan, 6/27/19 3.75 06/21/2019 2,524,500 2,510,300
PFS Financing Corp., Floating Rate Note, 10/17/16 (144A) 0.855 10/17/2016 2,185,723 2,186,102
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 0.5498 09/13/2016 1,814,000 1,811,454
Government National Mortgage Association, Floating Rate Note, 7/20/41 0.4055 07/20/2041 2,647,831 1,602,045
General Electric Capital Corp., Floating Rate Note, 7/12/16 0.8836 07/12/2016 1,001,000 1,011,620
Ally Auto Receivables Trust 2013-2, Floating Rate Note, 7/15/16 0.41 07/15/2016 1,500,000 1,119,081
JLL, Initial Dollar Term Loan, 1/23/21 4.25 01/23/2021 305,000 302,808
Seadrill Operating LP, Initial Term Loan, 2/14/21 4.0 02/14/2021 2,736,250 2,697,486
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/28 0.605 12/15/2028 56,250,000 525,447
Seminole Tribe of Florida, Inc., Initial Term Loan, 4/29/20 3.0 04/11/2020 1,368,750 1,365,115
Royal Bank of Canada, Floating Rate Note, 9/9/16 0.6906 09/09/2016 2,000,000 2,016,010
Nissan Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 0.425 01/15/2016 760,000 659,505
GSAMP Trust 2004-SEA2, Floating Rate Note, 3/25/34 0.805 03/25/2034 3,898,600 3,351,088
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 5.2855 03/07/2016 2,500,000 2,561,740
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WCW2, Floating Rate Note, 10/25/34 1.085 10/25/2034 4,874,309 438,714
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/37 0.555 07/25/2037 1,942,360 312,625
Federal Farm Credit Banks, Floating Rate Note, 10/23/14 0.17 10/23/2014 3,500,000 3,500,905
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/35 0.505 11/15/2035 850,000 202,374
PFS Financing Corp., Floating Rate Note, 10/17/16 (144A) 1.655 10/17/2016 325,276 325,415
State Street Bank & Trust Co., Floating Rate Note, 12/8/15 0.4306 12/08/2015 2,320,000 2,323,201
Mcdermott International Inc 1st Lien Tl-B L + 4.25% 11apr19 5.25 04/11/2019 500,000 505,313
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/35 0.455 04/15/2035 1,775,000 416,652
Audio Visual Services Corp., Initial Term Loan (First Lien), 1/24/21 4.5 01/24/2021 229,425 229,712
Valeant Pharmaceuticals International, Inc., Series E1 Tranche B Term Loan, 8/5/20 3.75 05/20/2020 1,313,724 1,311,980
Wells Fargo Mortgage Backed Securities 2005-AR6 Trust, Floating Rate Note, 4/25/35 4.9237 04/25/2035 611,000 46,263
Starwood Property Mortgage Trust 2013-FV1, Floating Rate Note, 8/11/28 (144A) 1.456 08/11/2028 2,495,000 2,385,944
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 1.756 02/13/2032 6,150,000 6,152,474
Bear Stearns ALT-A Trust 2003-3, Floating Rate Note, 10/25/33 2.6804 10/25/2033 350,000 60,056
WaMu Mortgage Pass-Through Certificates Series 2002-AR18 Trust, Floating Rate Note, 1/25/33 2.5006 01/25/2033 34,265,000 366,457
Baxter International, Inc., 4.625%, 3/15/15 4.625 03/15/2015 2,500,000 2,556,400
Government National Mortgage Association, Floating Rate Note, 1/16/35 0.405 01/16/2035 11,437,000 1,281,151
Morgan Stanley Capital I, Inc., Floating Rate Note, 10/15/20 (144A) 0.285 10/15/2020 3,025,000 3,019,957
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 0.635 06/15/2030 23,827,303 1,494,439
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 8.1046 01/07/2016 1,000,000 1,048,383
Duke Energy Ohio, Inc., Floating Rate Note, 3/6/15 0.3695 03/06/2015 725,000 726,149
General Electric Capital Corp., Floating Rate Note, 7/10/15 0.6136 07/10/2015 690,000 692,684
Ascentium Equipment Receivables 2012-1 LLC, 1.83%, 9/15/19 (144A) 1.83 09/15/2019 1,528,000 297,041
Volkswagen International Finance NV, 1.15%, 11/20/15 (144A) 1.15 11/20/2015 2,000,000 2,019,813
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 0.3855 02/20/2035 31,769,748 3,400,094
Daimler Finance North America LLC, Floating Rate Note, 8/1/17 (144A) 0.5796 08/01/2017 2,061,000 2,063,141
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 0.455 10/25/2035 6,475,000 696,795
The Toronto-Dominion Bank, Floating Rate Note, 5/1/15 0.4171 05/01/2015 5,695,000 5,703,010
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 0.4736 04/19/2021 1,200,000 781,026
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.855 01/25/2035 25,745,000 3,432,592
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 9.0304 06/06/2015 1,750,000 1,858,063
GE Business Loan Trust 2006-2, Floating Rate Note, 11/15/34 (144A) 0.335 11/15/2034 6,967,382 2,869,771
Chase Issuance Trust, Floating Rate Note, 4/15/19 0.405 04/15/2019 150,000 149,265
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 0.505 02/25/2033 16,918,890 910,385
JP Morgan Chase Commercial Mortgage Securities Trust 2004-C3, 4.878%, 1/15/42 4.878 01/15/2042 3,500,000 3,182,330
Electricite de France SA, Floating Rate Note, 1/20/17 (144A) 0.6936 01/20/2017 1,865,000 1,871,399
PF Chang's China Bistro, Inc., Term Borrowing, 6/22/19 4.25 05/15/2019 841,501 826,424
Ryder System, Inc., 3.15%, 3/2/15 3.15 03/02/2015 2,000,000 2,058,517
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 1.8836 10/15/2054 1,676,000 1,078,693
Federal National Mortgage Association REMICS, 6.0%, 3/25/35 6.0 03/25/2035 1,000,000 44,204
Unifrax I LLC, New Term B Dollar Loan, 11/28/18 4.25 12/31/2019 981,569 981,569
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 0.415 11/25/2046 12,390,000 2,331,651
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 0.465 02/25/2035 2,497,000 815,078
The Bank of New York Mellon Corp., 2.95%, 6/18/15 2.95 06/18/2015 2,400,000 2,465,201
Resi Flt% 12dec45 A1 0.9274 12/12/2045 3,000,000 3,007,468
TransDigm, Inc., Tranche C Term Loan, 2/28/20 3.75 02/28/2020 321,734 320,487
Southwire Co., Initial Term Loan, 1/31/21 3.25 01/31/2021 1,072,688 1,068,218
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 4.0 07/09/2018 1,800,000 1,817,900
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 2/15/19 0.555 02/15/2019 900,000 901,321
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/31 0.655 08/25/2031 17,600,000 229,075
Wachovia Corp., Floating Rate Note, 6/15/17 0.5006 06/15/2017 1,999,000 2,000,011
Caterpillar Financial Services Corp., Floating Rate Note, 2/26/16 0.4749 02/26/2016 1,500,000 1,504,047
NEP, Amendment No. 3 Incremental Term Loan (First Lien), 1/22/20 4.25 01/22/2020 617,203 614,792
Banc of America Funding 2004-B Trust, Floating Rate Note, 12/20/34 0.5155 12/20/2034 20,499,000 1,651,932
Michaels Stores, Inc., Term B Loan, 1/28/20 3.75 01/16/2020 987,500 977,625
Toyota Motor Credit Corp., Floating Rate Note, 1/23/15 0.4031 01/23/2015 2,290,000 2,292,433
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/32 0.755 08/25/2032 5,000,000 97,074
General Electric Capital Corp., Floating Rate Note, 5/15/17 0.5136 05/15/2017 2,000,000 2,004,132
Covidien International Finance SA, 1.35%, 5/29/15 1.35 05/29/2015 3,875,000 3,913,930
Chase Issuance Trust, 0.47%, 5/15/17 0.47 05/15/2017 200,000 200,144
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 0.415 12/25/2035 2,967,970 829,066
Mystic Re, Ltd., Floating Rate Note, 3/12/15 (Cat Bond) (144A) 12.0203 03/12/2015 1,500,000 1,575,900
Citibank Credit Card Issuance Trust, Floating Rate Note, 4/24/17 0.255 04/24/2017 13,370,000 13,366,061
New Residential Advance Receivables Trust Advance Receivables Backed 2014-T1, 1.2736%, 3/15/45 (144A 1.2736 03/15/2045 1,650,000 1,653,186
Merrill Lynch Mortgage Trust 2004-KEY2, Floating Rate Note, 8/12/39 4.864 08/12/2039 1,155,000 215,871
Sanders Re, Ltd., Floating Rate Note, 5/25/18 (Cat Bond)   05/25/2018 1,000,000 999,000
Fannie Mae, Floating Rate Note, 2/1/34 2.295 02/01/2034 500,000 31,628
GE Equipment Transportation LLC Series 2013-2, 0.61%, 6/24/16 0.61 06/24/2016 1,520,000 1,285,512
AmeriCredit Automobile Receivables Trust 2013-1, 0.49%, 6/8/16 0.49 06/08/2016 2,000,000 187,743
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 0.605 07/25/2034 19,310,000 1,937,111
Citibank Credit Card Issuance Trust, Floating Rate Note, 11/7/18 0.4671 11/07/2018 3,490,000 3,495,854
Fannie Mae, Floating Rate Note, 9/1/32 2.237 09/01/2032 375,000 21,892
American Credit Acceptance Receivables Trust 2013-2, 1.32%, 2/15/17 (144A) 1.32 02/15/2017 805,000 311,858
American Honda Finance Corp., 1.85%, 9/19/14 (144A) 1.85 09/19/2014 600,000 605,349
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 5.116 06/10/2044 2,675,000 2,616,422
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.385 06/25/2037 632,250 84,421
Intelsat Jackson Holdings SA, Tranche B-2 Term Loan, 6/30/19 3.75 06/30/2019 521,732 519,450
Cisco Systems, Inc., Floating Rate Note, 9/3/15 0.2774 09/03/2015 1,000,000 1,001,077
Capital One NA, Floating Rate Note, 3/22/16 0.6796 03/22/2016 1,900,000 1,906,855
Rialto Capital Management LLC, 2.85%, 5/15/24 (144A) 2.85 05/15/2024 2,000,000 1,491,588
GMAC Commercial Mortgage Securities Inc Series 2006-C1 Trust, Floating Rate Note, 11/10/45 5.233 11/10/2045 8,250,000 5,310,791
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/7/14 0.39 10/07/2014 4,200,000 4,203,560
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/23 0.655 03/25/2023 17,080,403 182,188
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Series 2004-4, Floating Rate Note, 10 0.705 10/25/2034 3,977,618 969,016
Westlake Automobile Receivables Trust 2013-1, 1.12%, 1/15/18 (144A) 1.12 01/15/2018 375,000 298,676
Structured Asset Securities Corp Mortgage Loan Trust 2005-S7, Floating Rate Note, 12/25/35 (144A) 0.455 12/25/2035 11,868,000 1,897,277
Bear Stearns ARM Trust 2005-5, Floating Rate Note, 8/25/35 2.16 08/25/2035 5,635,000 619,961
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 1.355 08/25/2034 1,523,000 294,945
Syncreon Group BV, Term Loan, 9/26/20 5.25 09/26/2020 199,000 198,005
LB-UBS Commercial Mortgage Trust 2006-C1 REMICS, 5.156%, 2/15/31 5.156 02/15/2031 5,465,000 5,698,603
Ally Master Owner Trust, Floating Rate Note, 1/16/18 0.525 01/16/2018 300,000 300,246
Ford Credit Auto Owner Trust 2013-C, 0.55%, 4/15/16 0.55 04/15/2016 1,480,000 519,211
RPI Finance Trust, Term B-3 Term Loan, 11/9/18 3.25 11/09/2018 625,502 626,545
JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC11, Floating Rate Note, 8/12/37 5.335 08/12/2037 5,345,000 5,224,273
United Airlines, Inc., Class B Term Loan, 4/1/19 3.5 03/12/2019 246,875 244,807
Federal Home Loan Banks, 2.9%, 4/20/17 2.9 04/20/2017 4,130,000 839,422
The Bear Stearns Companies LLC, Floating Rate Note, 10/28/14 0.9551 10/28/2014 400,000 400,726
Confie seguros Holding II Co., Term B Loan (First Lien), 11/9/18 5.75 11/09/2018 496,192 497,742
Morgan Stanley Capital I Trust 2005-IQ10, Floating Rate Note, 9/15/42 5.23 09/15/2042 2,910,000 2,289,383
Barclays Dryrock Issuance Trust, Floating Rate Note, 7/16/18 0.495 07/16/2018 200,000 200,229
JPMorgan Chase & Co., Floating Rate Note, 3/31/16 0.9467 03/31/2016 1,000,000 999,284
Gracechurch Mortgage Financing Plc, Floating Rate Note, 11/20/56 (144A) 1.7821 11/20/2056 2,500,000 1,848,380
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 1.055 06/25/2033 2,000,000 43,611
Chesapeake Funding LLC, Floating Rate Note, 4/7/24 (144A) 1.4085 04/07/2024 2,050,000 1,369,415
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 0.615 11/25/2035 1,945,000 1,906,134
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 0.4791 05/02/2017 2,000,000 2,001,184
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 0.465 05/25/2036 13,100,000 1,584,180
General Electric Capital Corp., 3.75%, 11/14/14 3.75 11/14/2014 510,000 518,996
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 1.207 12/10/2027 500,000 501,594
Booz Allen Hamilton, Inc., Refinance Tranche B, 7/31/19 3.75 07/31/2019 1,358,138 1,361,251
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 2.205 09/18/2031 3,378,000 3,335,829
Tradewynd Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 6.2703 01/08/2015 250,000 252,954
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 0.325 04/16/2035 4,787,273 2,112,319
NRG Energy, Inc., 8.25%, 9/1/20 8.25 09/01/2020 1,250,000 1,404,401
Daimler Finance North America LLC, 1.65%, 4/10/15 (144A) 1.65 04/10/2015 2,131,000 2,159,437
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 1.0555 05/19/2033 36,301,000 1,896,208
Par Pharmaceutical Companies, Inc., Term B-2 Loan, 9/28/19 4.0 09/28/2019 1,475,815 1,469,820
Univision Communications, Inc., Replacement First-Lien Term Loan, 3/1/20 4.0 03/01/2020 666,588 663,533
Franklin Resources, Inc., 3.125%, 5/20/15 3.125 05/20/2015 2,150,000 2,209,111
AXIS Equipment Finance Receivables II LLC, 1.75%, 6/20/16 1.75 06/20/2016 1,000,000 673,707
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 1/15/24 4.0 01/15/2024 1,801,000 80,249
Morgan Stanley Capital I, Inc., Floating Rate Note, 10/15/20 (144A) 0.255 10/15/2020 2,650,000 778,511
Nissan Master Owner Trust Receivables, Floating Rate Note, 5/15/17 0.625 05/15/2017 570,000 571,295
American Express Credit Account Master Trust, Floating Rate Note, 3/15/18 0.305 03/15/2018 8,890,000 8,894,389
Volkswagen International Finance NV, Floating Rate Note, 11/18/16 (144A) 0.6711 11/18/2016 1,750,000 1,756,562
JPMorgan Chase & Co., 1.1%, 10/15/15 1.1 10/15/2015 1,528,000 1,541,135
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/38 0.905 09/25/2038 1,000,000 1,577
Alternative Loan Trust 2004-2CB, 5.125%, 3/25/34 5.125 03/25/2034 1,500,000 35,622
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 3.25 12/19/2020 1,586,025 1,586,521
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 1.255 09/25/2034 3,465,620 664,724
Discover Card Execution Note Trust, Floating Rate Note, 1/16/18 0.355 01/16/2018 690,000 690,408
Bosphorus 1 Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 2.5304 05/03/2016 750,000 752,302
ARI Fleet Lease Trust 2012-A, Floating Rate Note, 3/15/20 (144A) 0.705 03/15/2020 2,070,000 474,284
SMHL Global Fund 2007-1, Floating Rate Note, 6/12/40 0.3503 06/12/2040 1,100,000 108,050
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 0.655 07/15/2036 15,317,285 1,329,869
The Goldman Sachs Group, Inc., Floating Rate Note, 9/29/14 0.8341 09/29/2014 3,333,000 3,339,018
Government National Mortgage Association, Floating Rate Note, 6/16/31 0.655 06/16/2031 14,000,000 259,939
Toyota Motor Credit Corp., Floating Rate Note, 5/17/16 0.5211 05/17/2016 2,800,000 2,811,135
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 0.835 06/25/2033 8,175,000 179,301
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 1.3055 11/20/2036 100,000 59,067
Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A) 1.0121 09/16/2016 1,500,000 1,512,827
American Honda Finance Corp., 1.45%, 2/27/15 (144A) 1.45 02/27/2015 2,655,000 2,669,899
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 6/25/35 0.555 06/25/2035 3,880,000 63,163
Pepper Residential Securities Trust, Floating Rate Note, 7/24/15 (144A) 0.455 07/24/2015 2,000,000 2,000,147
VOLT XXIV LLC, 3.25%, 11/25/53 (Step) 3.25 11/25/2053 2,000,000 1,643,912
Bear Stearns Asset Backed Securities I Trust 2005-HE8, Floating Rate Note, 8/25/35 0.655 08/25/2035 4,984,852 83,227
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 0.4799 02/22/2021 2,250,000 1,386,915
Six Flags Theme Parks, Inc., Tranche B Term Loan, 12/20/18 3.5018 11/23/2018 733,489 734,291
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/16/30 (144A) 1.905 12/16/2030 1,500,000 1,501,906
Hercules Capital Funding Trust 2012-1, 3.32%, 12/16/17 (144A) 3.32 12/16/2017 400,000 90,695
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 3.25 03/31/2021 600,000 595,313
Volkswagen Credit Auto Master Owner Trust, Floating Rate Note, 9/20/16 (144A) 0.8355 09/20/2016 400,000 400,208
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 6/25/34 0.525 06/25/2034 20,600,000 2,634,806
Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 (144A) 1.204 04/15/2032 4,920,000 4,922,470
U.S. Treasury Bills, 0.0%, 1/2/15 0.0 01/02/2015 5,645,000 5,644,616
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 7/22/19 0.5355 07/22/2019 2,670,000 2,671,019
Crusade Global Trust, Floating Rate Note, 11/15/37 0.2936 11/15/2037 10,000,000 1,600,303
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 0.615 03/25/2030 39,366,746 2,837,033
Crusade Global Trust, Floating Rate Note, 8/14/37 0.2931 08/14/2037 5,471,271 557,561
JP Morgan Chase Commercial Mortgage Securities Trust 2002-CIBC4, Floating Rate Note, 5/12/34 6.45 05/12/2034 257,000 152,187
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 0.31 05/15/2047 200,000 77,971
On Assignment, Inc., Initial Term B Loan, 5/15/20 3.5 05/16/2020 1,037,113 1,033,223
Structured Asset Securities Corp Mortgage Loan Trust 2007-BC3, Floating Rate Note, 6/25/37 0.215 05/25/2047 3,500,000 185,049
CommScope, Inc., Tranche 4 Term Loan, 1/14/18 3.25 01/14/2018 238,254 238,204
Harley-Davidson Motorcycle Trust 2011-2, 1.11%, 9/15/16 1.11 09/15/2016 300,000 46,592
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/32 0.605 09/25/2032 19,400,000 238,627
Federal National Mortgage Association, Floating Rate Note, 1/27/15 0.34 01/27/2015 2,135,000 2,137,792
Flagstar Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/18 (144A) 0.615 06/25/2018 15,500,000 1,299,443
British Telecommunications Plc, 2.0%, 6/22/15 2.0 06/22/2015 2,575,000 2,613,648
ACE Securities Corp Home Equity Loan Trust Series 2002-HE3, Floating Rate Note, 10/25/32 1.955 10/25/2032 4,600,000 1,294,855
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP18, Floating Rate Note, 2/13/42 4.933 02/13/2042 3,975,000 3,433,132
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 11/10/16 (Cat Bond) (144A) 11.7562 11/10/2016 500,000 538,960
South Carolina State Public Service Authority, Floating Rate Note, 6/1/15 1.027 06/01/2015 670,000 671,749
Salomon Brothers Mortgage Securities VII, Inc., Floating Rate Note, 3/25/28 0.635 03/25/2028 49,537,000 87,397
NSG Holdings LLC, New Term Loan, 12/11/19 3.75 11/15/2019 1,578,342 1,566,504
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/37 0.495 05/15/2037 5,000,000 393,077
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 0.426 04/28/2036 8,680,000 645,410
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP20, Floating Rate Note, 10/12/42 5.2886 10/12/2042 6,505,000 6,744,150
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 12/15/32 5.0 12/15/2032 410,000 8,835
LB-UBS Commercial Mortgage Trust 2005-C3, 4.739%, 7/15/30 4.739 07/15/2030 4,490,000 2,756,692
MGM Resorts International, Term B Loan, 12/20/19 3.5 12/13/2019 1,231,250 1,225,735
Royal Bank of Canada, Floating Rate Note, 12/16/15 0.4506 12/16/2015 1,800,000 1,803,980
Volkswagen Group of America Finance LLC, Floating Rate Note, 5/23/16 (144A) 0.4549 05/23/2016 1,900,000 1,901,043
Delta Air Lines, Inc., Term Loan, 4/20/17 3.25 03/29/2017 296,183 295,404
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 0.6906 09/09/2016 1,000,000 1,008,004
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 1.21 08/15/2018 700,000 586,505
Xerium Technologies, Inc., New Term Loan, 5/17/19 5.75 05/02/2019 79,000 79,395
CHS, 2021 Term D Loan, 1/27/21 4.25 01/27/2021 72,008 72,312
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 0.265 03/25/2037 6,984,978 2,305,543
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 8.0025 05/07/2015 2,000,000 2,087,425
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 0.5349 11/23/2016 1,800,000 1,809,340
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 0.6796 03/22/2016 3,000,000 3,007,175
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A REMICS, Floating Rate Note, 4/25/29 0.615 04/25/2029 35,467,206 2,114,910
Drillships Financing Holding, Inc., Tranche B-1 Term Loan, 3/31/21 6.0 03/02/2021 990,000 997,178
The Bank of Nova Scotia, Floating Rate Note, 3/15/16 0.6306 03/15/2016 2,000,000 2,009,652
Total Capital Canada, Ltd., Floating Rate Note, 1/15/16 0.6136 01/15/2016 3,355,000 3,373,459
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 0.705 02/15/2033 15,000,000 482,279
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-11, Floating Rate Note, 1 0.895 12/25/2033 6,950,000 313,325
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 6/20/17 1.0555 06/20/2017 500,000 499,326
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 0.805 06/25/2035 4,005,000 975,332
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.375 04/25/2031 6,464,393 1,180,162
MetroCat Re, Ltd., Floating Rate Note, 8/5/16 (Cat Bond) (144A) 4.5203 08/05/2016 1,500,000 1,556,325
DELOS FINANCE SARL, Loan, 2/27/21 3.5 02/27/2021 1,295,000 1,291,115
321 Henderson Receivables I LLC, Floating Rate Note, 9/15/45 (144A) 0.505 09/15/2045 1,386,000 362,982
RegionalCare Hospital Partners, Inc., Term Loan (First Lien), 4/21/19 6.0 04/21/2019 493,763 498,700
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 0.455 04/15/2036 3,463,000 757,568
Gracechurch Card Funding Plc, Floating Rate Note, 6/15/17 (144A) 0.855 06/15/2017 2,200,000 2,207,760
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/34 5.0 06/15/2034 2,168,000 201,546
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 4.974 07/10/2045 1,700,000 1,748,647
Mastr Asset Backed Securities Trust 2004-HE1, Floating Rate Note, 9/25/34 1.13 09/25/2034 1,570,000 101,739
TMS International Corp., Term B Loan, 10/2/20 4.5 10/04/2020 149,250 149,280
Advantage Sales & Marketing Inc 1st Lien Dd L + 3.25% 21jul21 1.625 07/21/2021 22,170 22,001
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 0.755 02/15/2019 2,000,000 2,004,035
Honda Auto Receivables 2013-1 Owner Trust, 0.48%, 11/21/16 0.48 11/21/2016 390,000 390,161
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 0.8355 05/19/2035 83,350,000 4,757,455
Santander Drive Auto Receivables Trust 2014-2, Floating Rate Note, 7/17/17 0.475 07/17/2017 1,550,000 1,550,525
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.705 09/25/2037 1,915,000 259,580
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/18 0.455 11/15/2018 7,142,857 118,905
RBSSP Resecuritization Trust 2009-5, Floating Rate Note, 8/26/37 (144A) 0.652 08/26/2037 7,810,000 2,713,205
General Electric Capital Corp., Floating Rate Note, 8/1/17 1.375 08/01/2017 500,000 499,728
Capital One Multi-Asset Execution Trust, Floating Rate Note, 2/15/19 0.335 02/15/2019 1,050,000 1,049,944
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 4.568 01/15/2031 1,000,000 118,985
New Albertsons Inc 1st Lien Tl L + 3.75% 24jun21 4.75 06/24/2021 500,000 498,360
Exxon Mobil Corp., Floating Rate Note, 3/15/17 0.2706 03/15/2017 1,980,000 1,982,142
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 9.0325 01/08/2015 250,000 255,563
Bayview Opportunity Master Fund IIa Trust 2012-4NPL, 3.9496%, 1/28/34 (Step) 3.9496 01/28/2034 2,125,000 1,317,935
Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A) 0.455 01/25/2036 21,217,354 1,805,746
Canadian Natural Resources, Ltd., 1.45%, 11/14/14 1.45 11/14/2014 1,330,000 1,338,408
First Investors Auto Owner Trust 2013-3, 0.89%, 9/15/17 (144A) 0.89 09/15/2017 220,000 155,119
GreenPoint Mortgage Funding Trust 2005-HE4, Floating Rate Note, 7/25/30 0.595 07/25/2030 95,421,717 186,318
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/31 1.105 10/15/2031 1,750,000 111,754
Georgia Power Co., Floating Rate Note, 8/15/16 0.6336 08/15/2016 1,000,000 1,000,258
First Investors Auto Owner Trust 2014-2, 0.86%, 8/15/18 (144A) 0.86 08/15/2018 2,100,000 2,100,490
Soundview Home Loan Trust 2005-DO1, Floating Rate Note, 5/25/35 0.605 05/25/2035 2,000,000 277,021
Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A) 1.1558 09/25/2037 6,105,345 1,417,183
TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16 0.9141 06/30/2016 3,544,000 3,579,858
CLI Funding LLC, Floating Rate Note, 8/18/21 (144A) 0.335 08/18/2021 7,250,000 1,308,879
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 9/25/14 (144A) 1.28 09/25/2014 6,512,459 1,349,067
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 0.455 02/15/2030 2,056,750 1,002,446
JBS USA LLC, Initial Term Loan, 5/25/18 3.75 05/25/2018 874,626 871,893
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/36 0.435 12/15/2036 17,426,100 1,513,192
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 0.455 10/25/2035 625,000 32,799
Deltek, Inc., Term Loan (First Lien), 10/10/18 4.5 10/10/2018 296,985 296,874
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 0.705 12/25/2034 1,590,000 1,153,732
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 1.6 06/19/2031 1,500,000 1,477,105
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 0.855 02/25/2038 4,400,000 327,572
Government National Mortgage Association, Floating Rate Note, 1/16/33 0.355 01/16/2033 26,309,521 1,079,137
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 4.25 04/25/2034 16,913,000 738,049
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/21 0.402 07/15/2021 17,312,039 296,668
Noranda Aluminum Acquisition Corp., Term B Loan, 2/28/19 5.75 02/17/2019 117,300 114,368
Bayview Financial Acquisition Trust, 6.205%, 5/28/37 (Step) 6.205 05/28/2037 100,000 60,045
Cincinnati Bell, Inc., Tranche B Term Loan, 9/10/20 4.0 08/20/2020 1,240,625 1,238,454
Bright Horizons Family Solutions, Inc., Term B Loan, 1/30/20 3.7501 01/14/2020 374,300 373,442
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 0.555 05/25/2037 32,172,000 1,332,117
JP Morgan Mortgage Trust 2005-A4, Floating Rate Note, 7/25/35 2.2054 07/25/2035 1,500,000 233,660
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 0.735 10/15/2037 18,287,000 1,505,529
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 0.7636 07/15/2016 1,500,000 1,513,527
Oracle Corp., Floating Rate Note, 7/7/17 0.4331 07/07/2017 1,937,000 1,942,065
Morgan Stanley Capital I Trust 2005-HQ6 REMICS, Floating Rate Note, 8/13/42 5.073 08/13/2042 2,900,000 2,986,506
Honda Auto Receivables 2012-2 Owner Trust, 0.7%, 2/16/16 0.7 02/16/2016 1,200,000 544,980
NCUA Guaranteed Notes Trust, Floating Rate Note, 10/7/20 0.6069 10/07/2020 2,000,000 1,005,783
CSMC Series 2014-ICE, Floating Rate Note, 4/15/27 (144A) 1.45 04/15/2027 6,470,000 6,467,704
Salomon Mortgage Loan Trust Series 2001-CB4, Floating Rate Note, 11/25/33 1.055 11/25/2033 4,754,000 127,943
Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2005-FM1, Floating Rate Note, 5/25/35 0.625 05/25/2035 1,700,000 73,241
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 0.655 06/25/2035 1,393,325 892,574
Volkswagen International Finance NV, 1.625%, 3/22/15 (144A) 1.625 03/22/2015 2,400,000 2,433,489
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-1, Floating Rate Note, 2 0.455 02/25/2035 13,907,953 94,034
DT Auto Owner Trust 2013-1, 0.75%, 5/16/16 (144A) 0.75 05/16/2016 1,232,000 81,162
CGBAM Commercial Mortgage Trust 2014-HD, Floating Rate Note, 2/15/31 1.352 02/15/2031 1,050,000 1,051,179
City Center Trust 2011-CCHP, Floating Rate Note, 7/15/28 (144A) 4.65 07/15/2028 950,000 950,969
Citibank Credit Card Issuance Trust, Floating Rate Note, 11/25/16 0.305 11/25/2016 4,050,000 4,050,599
BAMLL Commercial Mortgage Securities Trust 2014-ICTS, Floating Rate Note, 6/15/28 (144A) 1.3 06/15/2028 1,920,000 1,922,351
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/30 0.705 12/25/2030 20,000,000 101,132
BioScrip, Inc., Delayed Draw Term Loan, 7/31/20 6.5 07/22/2020 328,915 330,971
Royal Bank of Canada, Floating Rate Note, 1/6/15 0.4621 01/06/2015 2,200,000 2,203,436
Capital One Financial Corp., 2.15%, 3/23/15 2.15 03/23/2015 2,300,000 2,343,475
American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A) 0.6099 05/26/2016 3,050,000 3,064,673
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-22A, Floating Rate Note, 6/25/3 2.4882 06/25/2033 4,000,000 374,088
Ziggo Bv 1st Lien Tl-B2 L + 2.75% 15jan22 3.5 01/15/2022 691,064 678,430
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2 REMICS, 4.738%, 7/15/42 4.738 07/15/2042 3,175,000 3,239,045
Federal National Mortgage Association, Floating Rate Note, 11/21/14 0.46 11/21/2014 1,650,000 1,651,505
Bank of America Corp., 4.5%, 4/1/15 4.5 04/01/2015 2,515,000 2,619,332
Expert Global Solutions, Inc., Term B Advance (First Lien), 4/3/18 8.5 03/13/2018 30,457 30,502
Selene Non-Performing Loans LLC, 2.9814%, 5/25/54 (Step) (144A) 2.9814 05/25/2054 3,530,000 3,531,160
Lehman XS Trust Series 2005-2, Floating Rate Note, 8/25/35 0.505 08/25/2035 40,616,000 2,847,216
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/29 0.505 02/15/2029 23,100,000 295,391
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 1.605 08/15/2031 2,500,000 2,501,666
Post Holdings Inc 1st Lien Tl-B L + 3% 23may21 3.75 05/23/2021 1,000,000 1,001,125
The Goodyear Tire & Rubber Co., Loan (Second Lien), 4/30/19 4.75 03/27/2019 600,000 602,745
Sinclair Broadcasting 1st Lien Tl-B1 L + 2.75% 22jul21   07/22/2021 1,000,000 1,000,415
Kindred Healthcare 1st Lien Tl-B L + 3% 10apr21 4.0 04/10/2021 717,764 714,623
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/23 0.605 06/15/2023 6,500,000 135,664
RAMP Series 2006-EFC1 Trust, Floating Rate Note, 4/25/35 0.355 02/25/2036 1,500,000 4,575
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 9/10/47 5.3492 09/10/2047 6,175,000 6,397,336
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 4.155 10/15/2015 1,537,000 1,549,914
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/36 0.575 09/15/2036 3,320,000 436,314
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/34 0.455 11/25/2034 9,662,000 792,319
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.385 04/25/2031 17,333,137 2,857,967
Ford Credit Auto Owner Trust 2011-A, 1.65%, 5/15/16 1.65 05/15/2016 1,870,000 522,447
MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35 0.505 02/25/2035 21,274,000 2,092,830
Chase Issuance Trust, Floating Rate Note, 5/15/17 0.255 05/15/2017 2,102,000 2,101,725
Toyota Motor Credit Corp., Floating Rate Note, 9/18/15 0.3806 09/18/2015 1,000,000 1,002,028
Progressive Waste Solutions, Ltd., Term B Loan, 10/24/19 3.0 10/31/2019 1,176,060 1,180,471
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 0.455 01/15/2036 1,837,000 413,794
TD Ameritrade Holding Corp., 4.15%, 12/1/14 4.15 12/01/2014 2,805,000 2,859,015
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 2.4 11/15/2025 1,400,000 1,009,715
WaMu Mortgage Pass-Through Certificates Series 2004-AR14 Trust, Floating Rate Note, 1/25/35 2.3967 01/25/2035 2,390,499 523,571
CCG Receivables Trust 2014-1, 1.06%, 11/14/21 (144A) 1.06 11/14/2021 1,900,000 1,900,188
Multi Packaging Solutions, Inc., Initial Dollar Tranche B Term, 9/30/20 4.25 09/30/2020 174,563 174,708
New York Life Global Funding, 0.75%, 7/24/15 (144A) 0.75 07/24/2015 1,000,000 1,004,801
Nelnet Student Loan Trust 2005-1, Floating Rate Note, 10/26/20 0.3041 10/26/2020 1,795,000 571,463
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 0.525 09/25/2035 8,206,169 2,747,413
BCAP LLC 2013-RR7 Trust, Floating Rate Note, 12/27/34 3.029 12/27/2034 1,410,000 1,316,892
Commonwealth of Massachusetts, Floating Rate Note, 11/1/25 0.701 11/01/2025 2,250,000 2,225,959
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 1.105 07/25/2037 2,130,580 1,282,374
ARI Fleet Lease Trust 2013-A, 0.7%, 12/15/15 (144A) 0.7 12/15/2015 4,000,000 2,422,130
Spin Holdco, Inc., Initial Term Loan (First Lien), 11/14/19 4.25 05/08/2019 497,500 494,702
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 11/25/34 0.955 11/25/2034 30,931,007 830,549
BMW Vehicle Lease Trust 2013-1, 0.54%, 9/21/15 0.54 09/21/2015 3,062,000 2,858,545
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 11/18/16 0.7411 11/18/2016 1,800,000 1,809,031
Barclays Dryrock Issuance Trust, Floating Rate Note, 3/16/20 0.495 03/16/2020 1,800,000 1,800,371
Citigroup, Inc., 5.5%, 10/15/14 5.5 10/15/2014 1,473,000 1,512,313
Wesco Aircraft Hardware Corp., Tranche B Term Loan, 2/24/21 3.25 02/24/2021 2,548,000 2,525,705
Svenska Handelsbanken New York NY, Floating Rate Note, 11/17/14 0.4011 11/17/2014 1,000,000 1,000,306
Nissan Motor Acceptance Corp., Floating Rate Note, 9/26/16 (144A) 0.9336 09/26/2016 1,500,000 1,511,745
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.655 12/15/2032 1,700,000 35,123
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 4.838 07/15/2041 2,030,626 257,025
Chase Issuance Trust, Floating Rate Note, 8/15/17 0.285 08/15/2017 9,130,000 9,129,295
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 0.7536 02/15/2017 2,000,000 2,011,360
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 12/8/20 0.7169 12/08/2020 1,330,000 952,934
IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36 0.495 02/25/2036 3,493,986 646,541
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 0.355 12/25/2036 3,800,000 885,239
Morgan Stanley Structured Trust, Floating Rate Note, 6/25/37 0.235 06/25/2037 1,500,000 210,297
EquiVantage Home Equity Loan Trust 1997-1, 8.05%, 3/25/28 (Step) 8.05 03/25/2028 1,500,000 27,317
Alliant Holdings I, Inc., Initial Term Loan, 12/20/19 4.25 12/07/2019 243,443 243,288
Virgin Media Investment Holdings, Ltd., B Facility, 6/8/20 3.5 02/06/2020 2,205,000 2,178,816
Countrywide Asset-Backed Certificates, Floating Rate Note, 9/23/35 0.645 12/25/2035 750,000 173,536
Enbridge, Inc., Floating Rate Note, 10/1/16 0.8846 10/01/2016 1,650,000 1,660,923
BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A) 2.7687 09/26/2035 8,854,257 2,429,932
WideOpenWest Finance LLC, Term B Loan, 4/1/19 4.75 03/27/2019 239,904 240,504
NRG Energy, Inc., Term Loan (2013), 7/1/18 2.75 07/01/2018 1,176,423 1,168,440
Structured Asset Investment Loan Trust 2005-4, Floating Rate Note, 5/25/35 0.755 05/25/2035 1,411,289 101,278
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 0.605 07/25/2034 2,500,000 153,993
Credit Acceptance Auto Loan Trust 2012-2, 1.52%, 3/16/20 (144A) 1.52 03/16/2020 1,366,000 1,371,575
GMAC Commercial Mortgage Securities Inc Series 2004-C2 Trust, Floating Rate Note, 8/10/38 5.301 08/10/2038 5,341,000 45,200
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 0.555 07/25/2018 7,302,000 230,532
Federal National Mortgage Association, Floating Rate Note, 1/20/15 0.1655 01/20/2015 760,000 760,249
Metaldyne LLC, USD Term Loan 2014, 12/18/18 4.25 12/18/2018 1,956,991 1,960,253
Entercom Radio LLC, Term B-2 Loan, 11/23/18 4.0 11/23/2018 344,650 344,995
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 0.805 01/18/2032 16,977,308 271,231
RPI Finance Trust, Term B-2 Term Loan, 5/9/18 3.25 05/09/2018 1,017,230 1,018,756
Sequoia Mortgage Trust 2003-8, Floating Rate Note, 1/20/34 0.7955 01/20/2034 5,750,000 287,531
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/31 0.755 07/25/2031 50,000,000 334,237
GE Capital Credit Card Master Note Trust, Floating Rate Note, 6/15/18 0.455 06/15/2018 2,700,000 2,700,404
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 4.894 08/10/2042 3,300,000 3,351,534
Tronox Pigments BV, New Term Loan, 3/19/20 4.0 01/24/2017 386,334 386,425
First Horizon Mortgage Pass-Through Trust 2003-AR3, Floating Rate Note, 9/25/33 2.5915 09/25/2033 13,000,000 939,936
Centex Home Equity Loan Trust 2003-A, Floating Rate Note, 3/25/33 3.654 03/25/2033 2,230,000 372,648
Branch Banking & Trust Co., Floating Rate Note, 5/23/17 0.5349 05/23/2017 500,000 496,583
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 1.655 06/25/2028 3,247,000 907,891
American Honda Finance Corp., Floating Rate Note, 10/7/16 0.7321 10/07/2016 950,000 958,381
DineEquity, Inc., Term B-2 Loan, 10/19/17 3.75 10/19/2017 126,321 126,795
COMM 2007-FL14 Mortgage Trust, Floating Rate Note, 6/15/22 (144A) 0.455 06/15/2022 9,355,000 1,928,611
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/33 2.625 11/01/2033 850,000 15,649
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 7.275 07/05/2016 2,250,000 2,367,188
Charter Communications Operating LLC, Term F Loan, 12/31/20 3.0 01/01/2021 1,311,750 1,292,074
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 0.775 09/25/2034 42,840,193 1,828,232
MortgageIT Trust 2005-2, Floating Rate Note, 5/25/35 0.415 05/25/2035 8,495,000 1,700,046
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 9/15/16 0.505 09/15/2016 4,027,000 4,028,347
Pepper Residential Securities Trust, Floating Rate Note, 10/18/14 (144A) 0.455 10/18/2014 1,500,000 1,500,438
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 1.0109 11/25/2034 62,595,000 3,270,669
Quebecor Media, Inc., Facility B-1 Tranche, 8/17/20 3.25 08/01/2020 498,741 490,792
Penn National Gaming, Inc., Term B Facility Loan, 10/25/20 3.25 10/25/2020 537,300 535,717
Option One Mortgage Loan Trust 2007-FXD2, 5.9%, 3/25/37 (Step) 5.9 03/25/2037 810,000 42,941
Citibank Credit Card Issuance Trust, 4.55%, 6/20/17 4.55 06/20/2017 639,000 665,947
Ally Auto Receivables Trust 2011-3, 1.61%, 5/16/16 1.61 05/16/2016 602,000 326,609
Svenska Handelsbanken New York NY, Floating Rate Note, 1/16/15 0.5226 01/16/2015 700,000 701,272
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.435 11/25/2035 14,045,000 2,432,227
Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A) 1.155 03/25/2037 4,870,000 1,024,725
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 0.615 01/25/2035 11,300,000 1,558,044
Las Vegas Sands LLC, Term B Loan, 12/19/20 3.25 12/19/2020 437,800 437,219
SMART Trust/Australia, Floating Rate Note, 1/17/17 0.586 01/14/2017 2,500,000 2,503,606
Structured Asset Sec Corp Mor Pass Thr Cer Ser 2003-35, Floating Rate Note, 12/25/33 0.655 12/25/2033 2,500,000 164,662
Motel 6 Trust, 1.5%, 10/7/25 (144A) 1.5 10/05/2025 1,000,000 827,973
Svenska Handelsbanken AB, Floating Rate Note, 9/23/16 0.6996 09/23/2016 1,000,000 1,007,878
United States Treasury Floating Rate Note, Floating Rate Note, 4/30/16 0.099 04/30/2016 21,260,000 21,270,319
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 1.23 03/15/2019 4,251,000 2,728,181
Ship Midco, Ltd., Facility B2A-II, 11/29/19 5.25 08/06/2017 98,939 99,651
BCC Funding VIII LLC, 1.794%, 6/22/20 (144A) 1.794 06/22/2020 2,000,000 1,588,214
JP Morgan Mortgage Acquisition Corp 2005-FRE1, Floating Rate Note, 10/25/35 0.375 10/25/2035 19,316,000 1,275,768
CGWF Commercial Mortgage Trust 2013-RKWH REMICS, Floating Rate Note, 11/15/30 (144A) 2.055 11/15/2030 5,890,000 5,934,571
Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19 4.0 04/23/2019 727,141 722,142
Glenn Pool Oil & Gas Trust, Term Loan, 5/2/16 4.5 06/01/2016 30,227 30,303
Fannie Mae, Floating Rate Note, 10/1/32 2.535 10/01/2032 500,000 27,536
East Lane Re, Ltd., Floating Rate Note, 3/13/15 (Cat Bond) (144A) 6.6804 03/13/2015 1,000,000 1,029,569
Big Heart Pet Brands, Initial Term Loan, 2/24/20 3.5 02/24/2020 480,666 473,081
Federal National Mortgage Association, Floating Rate Note, 10/27/14 0.37 10/27/2014 2,370,000 2,371,858
John Deere Capital Corp., Floating Rate Note, 10/11/16 0.5241 10/11/2016 1,500,000 1,506,738
CPS Auto Trust, 1.82%, 12/16/19 (144A) 1.82 12/16/2019 1,179,000 484,939
Tower Automotive Holdings USA LLC, Refinancing Term Loan, 4/23/20 3.2306 04/23/2020 201,201 200,635
GE Capital Commercial Mortgage Corp., Floating Rate Note, 6/10/48 4.772 06/10/2048 4,205,000 4,262,672
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 5/1/15 0.2821 05/01/2015 2,720,000 2,721,322
Alliant Techsystems, Inc., Term B Loan, 10/22/20 3.5 10/22/2020 397,500 398,370
General Electric Capital Corp., Floating Rate Note, 7/2/15 1.2607 07/02/2015 2,793,000 2,821,645
Maryland Health & Higher Educational Facilities Authority, Floating Rate Note, 7/1/36 0.03 07/01/2036 8,890,000 8,890,227
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 1.15 08/15/2031 5,350,000 5,352,562
CCG Receivables Truste 2013-1, 1.05%, 4/14/20 (144A) 1.05 04/14/2020 900,000 563,914
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/40 0.555 11/15/2040 1,265,000 667,633
Kane Flt% 14jul15 0.0 07/14/2015 1,528,080 1,456,719
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 0.555 03/25/2034 20,624,640 1,332,996
Westpac Banking Corp., Floating Rate Note, 7/17/15 (144A) 1.0331 07/17/2015 500,000 503,900
Getty Images, Inc., Initial Term Loan, 10/18/19 4.75 09/17/2019 114,153 108,105
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1.0 12/06/2016 750,000 791,307
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 8.0325 07/09/2015 1,500,000 1,562,333
Credit Suisse First Boston Mortgage Securities Corp., 4.829%, 11/15/37 4.829 11/15/2037 649,797 379,518
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 3.25 11/05/2020 498,750 496,919
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.555 12/15/2032 11,201,000 991,963
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.425 11/25/2035 6,309,000 828,197
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 4.0203 05/05/2017 1,500,000 1,518,250
American Express Credit Account Master Trust, Floating Rate Note, 2/15/18 1.355 02/15/2018 1,945,000 1,963,804
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/25/33 1.505 12/25/2033 300,000 14,233
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.5203 04/30/2018 1,000,000 1,008,100
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 0.655 03/25/2024 14,460,650 607,049
Armor Re, Ltd., Floating Rate Note, 12/15/16 (Cat Bond) (144A) 4.0304 12/15/2016 1,000,000 1,005,589
Nissan Auto Receivables 2012-A Owner Trust, 0.73%, 5/16/16 0.73 05/16/2016 55,000 23,003
The Goldman Sachs Group, Inc., 5.0%, 10/1/14 5.0 10/01/2014 1,862,000 1,907,342
MetLife Institutional Funding II, 1.625%, 4/2/15 (144A) 1.625 04/02/2015 4,500,000 4,562,391
The Geo Group, Inc., Term Loan, 4/3/20 3.25 03/28/2020 989,981 989,672
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 0.425 09/25/2035 38,687,000 3,547,442
Berkshire Hathaway Finance Corp., Floating Rate Note, 8/14/17 0.3581 08/14/2017 2,500,000 2,501,555
Ascentium Equipment Receivables 2014-1 LLC, 1.04%, 1/10/17 1.04 01/10/2017 1,000,000 1,000,885
Chase Issuance Trust, Floating Rate Note, 10/16/17 0.305 10/16/2017 2,700,000 2,701,163
CPS Auto Trust, 1.48%, 3/16/20 (144A) 1.48 03/16/2020 1,060,000 477,515
Progreso Receivables Funding II LLC, 3.5%, 7/8/19 (144A) 3.5 07/08/2019 4,750,000 4,760,160
The Goldman Sachs Group, Inc., 3.7%, 8/1/15 3.7 08/01/2015 2,400,000 2,475,040
HSBC Bank Middle East, Ltd., 3.0%, 10/21/15 3.0 10/21/2015 1,000,000 1,033,686
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.515 11/15/2018 500,000 158,532
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.855 01/25/2035 17,745,000 2,174,005
Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A) 3.5355 06/06/2018 750,000 754,425
Svenska Handelsbanken New York NY, Floating Rate Note, 12/19/14 0.401 12/19/2014 1,500,000 1,501,967
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 8.0304 06/06/2016 750,000 826,267
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 0.405 08/15/2035 2,185,000 471,954
Sequoia Mortgage Trust 2004-12 REMICS, Floating Rate Note, 1/20/35 0.6154 01/20/2035 2,000,000 141,823
RALI Series 2003-QS5 Trust, Floating Rate Note, 3/25/18 0.605 03/25/2018 30,000,000 1,096,068
GSAMP Trust 2006-SD1, Floating Rate Note, 12/25/45 0.615 12/25/2045 18,098,000 2,350,337
Government National Mortgage Association II, Floating Rate Note, 1/20/22 1.625 01/20/2022 1,000,000 13,745
Capital One Multi-Asset Execution Trust, Floating Rate Note, 8/15/18 0.245 08/15/2018 6,145,000 6,140,871
BA Credit Card Trust, Floating Rate Note, 9/16/19 0.425 09/16/2019 2,800,000 2,803,373
Wachovia Bank Commercial Mortgage Trust Series 2005-C20 REMICS, Floating Rate Note, 7/15/42 5.118 07/15/2042 8,460,000 7,910,443
Arlington Flt% 01aug15 0.0 08/01/2015 100,000 102,480
Western Refining, Inc., Term Loan 2013, 11/12/20 4.25 11/12/2020 450,000 450,469
Skandinaviska Enskilda Banken AB New York NY, Floating Rate Note, 9/21/15   09/21/2015 2,500,000 2,504,110
Duke Energy Indiana, Inc., Floating Rate Note, 7/11/16 0.5841 07/11/2016 1,375,000 1,382,016
Enterprise Fleet Financing LLC, 0.87%, 9/20/19 0.87 09/20/2019 2,000,000 2,000,939
Citibank Credit Card Issuance Trust, 4.85%, 3/10/17 4.85 03/10/2017 4,180,000 4,374,599
Visteon Corp Term B 1st Lien Dd L + 2.75% 08apr21 3.5 04/08/2021 500,000 496,016
inVentiv Health, Inc., Term B-3 Loan, 5/15/18 7.7517 06/24/2018 66,299 66,216
Bayview Opportunity Master Fund IIa Trust 2014-20NPL, Floating Rate Note, 8/28/44 (144A) 3.721 08/28/2044 1,480,000 1,480,306
Countrywide Asset-Backed Certificates, Floating Rate Note, 1/25/36 0.525 01/25/2036 125,000 17,687
ZIGGO BV, (USD) TLB3, 1/15/22   01/15/2022 1,136,553 1,115,776
Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44 1.9513 12/25/2044 4,235,000 855,975
MASTR Adjustable Rate Mortgages Trust 2003-3, Floating Rate Note, 9/25/33 2.0392 09/25/2033 2,650,000 812,918
Acosta, Inc., Term B Loan (2013), 3/2/18 4.25 03/02/2018 840,267 843,943
Bayview Financial Acquisition Trust, Floating Rate Note, 2/28/44 0.831 02/28/2044 46,440,000 1,802,861
Adjustable Rate Mortgage Trust 2004-1, Floating Rate Note, 1/25/35 2.4452 01/25/2035 5,000,000 479,289
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 1.3555 11/20/2036 13,800,000 3,587,308
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.405 03/25/2037 3,413,000 536,103
Salix Pharmaceuticals, Ltd., Term Loan, 12/17/19 4.25 12/17/2019 438,750 439,984
Vita Capital IV, Ltd., Floating Rate Note, 1/15/16 (Cat Bond) (144A) 2.9257 01/15/2016 400,000 405,655
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 3.9669 08/25/2053 5,300,000 5,011,123
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 3.4246 01/17/2019 1,500,000 1,551,169
Honda Auto Receivables 2011-2 Owner Trust, 1.55%, 8/18/17 1.55 08/18/2017 950,000 659,495
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 0.92 06/25/2035 1,575,000 599,407
United States Treasury Floating Rate Note, Floating Rate Note, 1/31/16 0.075 01/31/2016 20,500,000 20,503,309
Encore Credit Receivables Trust 2005-3, Floating Rate Note, 10/25/35 0.625 10/25/2035 3,600,000 1,248,439
Government National Mortgage Association, Floating Rate Note, 8/16/39 1.155 08/16/2039 2,960,000 560,130
Ruby Western Pipeline Holdings LLC, Loan, 3/27/20 3.5 03/27/2020 776,462 773,874
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 1.149 03/25/2028 48,813,000 1,900,366
BioScrip, Inc., Initial Term B Loan, 7/31/20 6.5 07/22/2020 548,191 551,618
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 0.455 02/15/2039 1,251,000 699,358
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 0.385 11/25/2037 31,986,000 1,708,230
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/31 0.755 11/25/2031 50,000,000 496,893
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 0.9253 01/25/2030 15,000,000 1,009,040
Huntsman International LLC, 2014-1 Incremental Term Loan, 9/30/21   09/30/2021 1,000,000 995,000
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/32 0.855 01/25/2032 30,000,000 444,572
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 0.855 03/25/2035 5,042,000 803,518
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R10, Floating Rate Note, 0.375 01/25/2036 15,705,000 911,924
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 0.665 09/25/2035 4,351,000 2,331,193
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 10.2825 01/08/2015 1,000,000 1,026,883
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 5.23 12/15/2040 9,446,500 6,921,354
Government National Mortgage Association, Floating Rate Note, 4/16/32 0.705 04/16/2032 13,425,000 257,282
NSTAR Electric Co., Floating Rate Note, 5/17/16 0.4711 05/17/2016 1,013,000 1,012,046
77 Energy 1st Lien Tl-B L + 3% 17jun21   06/17/2021 1,450,000 1,453,173
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/41 0.505 12/15/2041 1,000,000 712,291
General Electric Capital Corp., Floating Rate Note, 5/11/16 0.4331 05/11/2016 1,000,000 1,000,415
Wells Fargo Bank NA, 4.75%, 2/9/15 4.75 02/09/2015 1,564,000 1,598,470
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-E, Floating Rate Note, 11/25/29 1.049 11/25/2029 36,000,000 2,397,232
Mastr Asset Backed Securities Trust 2005-FRE1, Floating Rate Note, 10/25/35 0.405 10/25/2035 1,400,000 80,547
Sequoia Mortgage Trust 2004-12 REMICS, Floating Rate Note, 1/20/35 0.4255 01/20/2035 39,171,595 4,517,984
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.725 09/25/2037 3,173,000 446,562
The Bear Stearns Companies LLC, 5.7%, 11/15/14 5.7 11/15/2014 2,150,000 2,208,772
SNAAC Auto Receivables Trust, 4.38%, 6/15/17 (144A) 4.38 06/15/2017 1,800,000 1,823,103
RAIT 2014-FL2 Trust, Floating Rate Note, 5/15/31 (144A) 2.3058 05/15/2031 5,200,000 5,152,994
Queen Street VIII Re, Ltd., Floating Rate Note, 6/8/16 (Cat Bond) (144A) 6.5175 06/08/2016 500,000 509,860
AmeriCredit Automobile Receivables Trust 2010-4, 6.4%, 4/9/18 (144A) 6.4 04/09/2018 470,000 477,880
CG-CCRE Commercial Mortgage Trust 2014-FL1, Floating Rate Note, 6/16/31 (144A) 1.105 06/16/2031 5,670,000 5,662,773
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MCW, Floating Rate Note 1.0925 10/25/2034 750,000 372,723
LB-UBS Commercial Mortgage Trust 2008-C1, Floating Rate Note, 4/15/41 6.3198 04/15/2041 414,000 198,901
SACO I Trust 2005-8, Floating Rate Note, 11/25/35 0.915 11/25/2035 31,285,727 282,785
Monitronics International, Inc., Term B Loan (2013), 3/23/18 4.25 03/23/2018 987,788 989,486
Belden Finance 2013 LP, Initial Term Loan, 9/9/20 3.25 09/09/2020 645,125 645,125
Wendy's International LLC, Term B Loan, 5/15/19 3.25 05/15/2019 724,757 723,851
Dnbno Cp Zero% 04sep14 Usd 0.0 09/04/2014 5,360,000 5,359,911
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 0.905 02/25/2033 10,610,000 410,461
Sensata Technologies BV, Term Loan, 5/12/18 3.25 04/29/2018 530,108 530,417
American Honda Finance Corp., 1.0%, 8/11/15 (144A) 1.0 08/11/2015 1,000,000 1,006,239
Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 6.2321 06/12/2015 1,550,000 1,606,472
Chase Issuance Trust, 0.79%, 6/15/17 0.79 06/15/2017 5,055,000 5,069,817
GreenPoint Mortgage Funding Trust 2005-HE4, Floating Rate Note, 7/25/30 0.875 07/25/2030 2,051,321 50,902
The Bank of New York Mellon Corp., 1.7%, 11/24/14 1.7 11/24/2014 2,000,000 2,012,875
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/26/35 0.89 02/25/2035 9,679,028 2,462,297
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 0.465 11/25/2035 21,900,000 4,415,188
CHL Mortgage Pass-Through Trust 2003-15 REMICS, Floating Rate Note, 6/25/18 0.655 06/25/2018 25,913,062 658,449
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 1.3085 05/07/2024 200,000 201,189
Bear Stearns Asset Backed Securities Trust 2003-AC5, Floating Rate Note, 10/25/33 1.255 10/25/2033 2,875,000 287,042
United Airlines Inc 1st Lien Tl-B L + 3% 07aug21   08/07/2021 1,000,000 993,438
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 (144A) 0.425 04/25/2032 29,975,000 2,965,135
CBS Outdoor Americas Capital LLC, Term Loan, 1/15/21 3.0 01/15/2021 1,629,423 1,618,366
Ally Master Owner Trust, Floating Rate Note, 2/15/17 0.955 02/15/2017 250,000 250,791
RBS Greenwich Capital Mortgage Loan Trust, 3.686%, 4/15/24 (144A) 3.686 04/15/2024 8,160,000 5,812,481
Navitas Equipment Receivables LLC 2013-1, 1.95%, 11/15/16 1.95 11/15/2016 1,750,000 1,077,545
Truman Capital Mortgage Loan Trust, Floating Rate Note, 1/25/34 1.855 01/25/2034 925,000 901,674
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-AR4, Floating Rate Note, 12/25/34 2.3397 12/25/2034 1,170,000 169,094
Sequa Corp., Initial Term Loan, 6/19/17 5.25 05/29/2017 418,625 410,384
Alternative Loan Trust 2004-6CB, Floating Rate Note, 4/25/34 0.735 05/25/2034 31,600,000 2,401,386
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 0.485 01/25/2036 810,000 578,452
Discover Card Execution Note Trust, Floating Rate Note, 3/15/17 0.365 03/15/2017 1,035,000 1,035,189
PHARMEDIUM HEALTHCARE Corp., Initial Term Loan (First Lien), 1/23/21 4.25 01/23/2021 262,575 259,293
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 1.155 03/15/2032 122,751,000 1,178,036
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 12/25/35 0.335 02/25/2036 9,778,000 2,069,363
VFC 2014-2 LLC, 2.75%, 7/20/30 (144A) 2.75 07/20/2030 3,510,000 3,032,477
Bank of Montreal, Floating Rate Note, 7/14/17 0.4836 07/14/2017 2,300,000 2,300,790
GE Equipment Transportation LLC Series 2013-1, 0.5%, 11/24/15 0.5 11/24/2015 570,000 162,003
Ibis Re II, Ltd., Floating Rate Note, 2/5/15 (Cat Bond) (144A) 8.3804 02/05/2015 300,000 308,059
FCI - FIDJI LUXEMBOURG BC4 SARL, Term Loan, 12/19/20 6.25 12/19/2020 1,382,500 1,393,733
JPMorgan Chase & Co., Floating Rate Note, 10/15/15 0.8936 10/15/2015 2,000,000 2,012,074
ABFC 2005-WF1 Trust, Floating Rate Note, 12/25/34 0.465 12/25/2034 1,610,000 730,798
Wells Fargo Commercial Mortgage Trust 2014-TISH, Floating Rate Note, 2/16/27 (144A) 1.185 02/16/2027 2,220,000 2,221,096
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 0.875 07/25/2035 2,600,000 2,574,178
The Bank of Nova Scotia, Floating Rate Note, 1/12/15 1.2736 01/12/2015 4,275,000 4,298,560
LifePoint Hospitals, Inc., Incremental Term Loan B, 7/24/17 2.66 07/24/2017 342,404 342,689
ABFC 2003-WMC1 Trust, Floating Rate Note, 3/25/33 2.93 03/25/2033 3,574,825 62,549
Bayview Opportunity Master Fund Trust, Floating Rate Note, 1/28/33 (144A) 2.9814 01/28/2033 1,000,000 330,070
GS Mortgage Securities Trust 2014-GSFL, Floating Rate Note, 7/15/31 (144A)   07/15/2031 1,690,000 1,691,341
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/21 1.055 09/25/2021 8,269,375 82,117
Santander Holdings USA, Inc. Pennsylvania, 3.0%, 9/24/15 3.0 09/24/2015 6,612,000 6,840,736
Sequoia Mortgage Trust 4, Floating Rate Note, 11/22/24 0.875 11/22/2024 6,940,000 188,507
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 0.9016 07/19/2016 1,500,000 1,513,062
Alamo Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A)   06/07/2017 1,000,000 1,023,800
Tesoro Corp., Initial Term Loan, 5/30/16 2.405 01/11/2016 795,000 796,988
HSBC Home Equity Loan Trust USA 2006-4, Floating Rate Note, 3/20/36 0.3855 03/20/2036 1,000,000 932,795
Waste Industries USA, Inc., Term B Loan, 3/17/17 4.0 02/23/2017 149,609 149,359
Wells Fargo Mortgage Backed Securities Trust, Floating Rate Note, 8/25/34 2.6152 08/25/2034 14,679,000 865,230
tw telecom holdings inc, Term Loan B Loan, 4/17/20 2.66 04/17/2020 999,900 998,963
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 4.5304 12/06/2016 2,900,000 3,007,083
Loma Reinsurance, Ltd. Bermuda, Floating Rate Note, 1/8/18 (Cat Bond) (144A) 9.7625 01/08/2018 1,000,000 1,050,754
Sumitomo Mitsui Banking Corp. New York, Floating Rate Note, 4/1/15 0.6346 04/01/2015 1,000,000 1,002,666
Southern California Edison Co., Floating Rate Note, 9/15/14 0.6806 09/15/2