Pioneer Investments: Pioneer Multi-Asset Ultrashort Income Fund


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Pioneer Multi-Asset Ultrashort Income Fund

Monthly Portfolio Holdings as of 2/27/2015

Security Name Coupon Maturity Date Par / Shares Market Value($)
Apple, Inc., Floating Rate Note, 5/3/16 0.3031 05/03/2016 1,500,000 1,500,686
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 0.4946 05/02/2017 2,000,000 2,000,102
Western Refining, Inc., Term Loan 2013, 11/12/20 4.25 11/12/2020 447,739 445,500
Bear Stearns Asset Backed Securities Trust 2005-SD1, Floating Rate Note, 8/25/43 0.571 08/25/2043 310,000 83,675
Cabela's Credit Card Master Note Trust, Floating Rate Note, 6/17/19 (144A) 0.773 06/17/2019 3,630,000 3,640,854
TAL Advantage V LLC, 1.7%, 5/20/39 (144A) 1.7 05/20/2039 1,400,000 1,120,979
US Bank NA Cincinnati Ohio, Floating Rate Note, 4/22/16 0.3767 04/22/2016 2,000,000 2,001,016
NCUA Guaranteed Notes Trust, Floating Rate Note, 11/6/17 0.541 11/06/2017 6,590,000 2,418,920
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 0.612 10/25/2030 3,600,000 297,755
Bear Stearns ARM Trust 2005-5, Floating Rate Note, 8/25/35 2.16 08/25/2035 5,635,000 561,269
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 1.6615 12/22/2054 5,635,000 4,189,617
Georgia Power Co., Floating Rate Note, 8/15/16 0.6571 08/15/2016 1,000,000 999,707
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 8.0424 05/07/2015 6,250,000 6,335,158
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-WCW, Floating Rate Note 1.191 09/25/2034 2,800,000 1,251,846
Eart 1.6% 17jun19 15-1a-A 1.6 06/17/2019 1,700,000 1,699,899
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45 2.2362 06/25/2045 1,500,000 221,836
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/35 0.422 01/15/2035 5,669,000 757,491
Government National Mortgage Association, Floating Rate Note, 9/16/31 0.422 09/16/2031 34,344,532 664,876
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 0.991 08/25/2034 14,550,000 1,697,260
The Geo Group, Inc., Term Loan, 4/3/20 3.25 04/03/2020 984,969 981,891
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 2.4356 11/25/2034 7,430,000 719,623
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 3.25 10/18/2018 735,000 735,919
NRG Energy, Inc., Term Loan (2013), 7/1/18 2.75 07/01/2018 1,170,467 1,170,375
FCI - FIDJI LUXEMBOURG BC4 SARL, Term Loan, 12/19/20 6.25 12/19/2020 1,347,500 1,351,711
Citigroup, Inc., Floating Rate Note, 11/24/17 0.9626 11/24/2017 2,630,000 2,635,044
JOHN DEERE CAPITAL Corp., Floating Rate Note, 2/25/16 0.3616 02/25/2016 2,883,000 2,884,992
Fannie Mae, Floating Rate Note, 10/1/32 2.534 10/01/2032 500,000 27,450
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 0.6316 03/30/2016 4,114,000 4,111,812
Jackson National Life Global Funding, Floating Rate Note, 9/30/15 (144A) 0.6066 09/30/2015 3,300,000 3,308,567
Exxon Mobil Corp., Floating Rate Note, 3/15/17 0.2806 03/15/2017 1,980,000 1,981,947
Volkswagen Group of America Finance LLC, Floating Rate Note, 5/23/16 (144A) 0.4815 05/23/2016 1,900,000 1,899,801
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 2.7576 01/15/2017 1,500,000 1,528,456
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 3.0 05/15/2018 2,777,000 1,061,463
Oscar US Funding Trust 2014-1, 1.0%, 8/15/17 (144A) 1.0 08/15/2017 2,500,000 2,497,768
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 0.422 06/15/2033 7,203,882 3,119,037
BMW Vehicle Lease Trust 2013-1, 0.54%, 9/21/15 0.54 09/21/2015 3,062,000 684,576
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 1/15/24 4.0 01/15/2024 1,801,000 34,536
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 12/8/20 0.731 12/08/2020 1,330,000 901,182
United Airlines Inc 1st Lien Tl-B L + 3% 07aug21 3.75 08/07/2021 997,500 996,409
Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A) 3.5152 06/06/2018 750,000 762,725
FNA 2014-1 Trust, 1.296%, 2/10/22 (144A) 1.296 12/10/2022 2,500,000 2,278,542
Huntsman International LLC, 2014-1 Incremental Term Loan, 9/30/21 3.75 09/30/2021 1,000,000 1,004,363
Charter Communications Operating LLC, Term F Loan, 12/31/20 3.0 12/31/2020 1,305,125 1,300,412
Dynegy, Inc., Tranche B-2 Term Loan, 4/23/20 4.0 04/23/2020 454,615 453,605
Mercedes Benz Auto Lease Trust 2014-A, Floating Rate Note, 6/15/16 0.353 06/15/2016 1,900,000 1,409,548
Sensata Technologies Bv 1st Lien Tl-B2 L + 2.75% 08oct21 3.5 10/08/2021 1,496,250 1,505,228
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 0.571 05/25/2037 32,172,000 1,056,968
Countrywide Asset-Backed Certificates, Floating Rate Note, 10/25/34 1.011 10/25/2034 5,000,000 2,212,393
RAMP Series 2004-RS11 Trust, Floating Rate Note, 11/25/34 1.101 11/25/2034 3,805,000 998,402
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 0.731 01/25/2030 64,515,401 2,585,974
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 0.631 01/25/2035 11,300,000 1,047,660
General Mills, Inc., Floating Rate Note, 1/29/16 0.5526 01/29/2016 1,765,000 1,766,238
Medtronic, Inc., 4.75%, 9/15/15 4.75 09/15/2015 2,710,000 2,830,603
CPS Auto Trust, 1.48%, 3/16/20 (144A) 1.48 03/16/2020 1,060,000 373,376
Merrill Lynch Mortgage Trust 2005-LC1, Floating Rate Note, 1/12/44 5.291 01/12/2044 6,177,508 5,553,816
ARI Fleet Lease Trust 2012-B, Floating Rate Note, 1/15/21 (144A) 0.473 01/15/2021 1,030,000 274,372
Navios Maritime Partners LP, Term Loan, 6/27/18 5.25 06/27/2018 1,481,250 1,484,027
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/28/36 (144A) 2.4544 05/28/2036 1,084,000 779,962
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 0.469 02/28/2041 5,200,000 95,481
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 1.171 02/25/2024 1,555,000 1,421,663
Citibank Credit Card Issuance Trust, 4.85%, 3/10/17 4.85 03/10/2017 4,180,000 4,281,258
Fresenius US Finance I, Inc., Tranche B Term Loan, 8/7/19 2.211 08/07/2019 1,481,250 1,478,473
Wyle 1st Lien Tl-B L + 4% 22may21 5.0 05/22/2021 196,496 196,680
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 0.772 10/25/2028 42,221,000 1,304,933
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3, Floating Rate Note, 8/25/35 (144 0.471 08/25/2035 1,300,000 51,083
Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 6.03 06/12/2015 3,550,000 3,633,070
WMG Acquisition Corp., Tranche B Refinancing Term Loan, 7/1/20 3.75 07/01/2020 1,086,250 1,067,512
RASC Series 2004-KS10 Trust, Floating Rate Note, 11/25/34 0.951 11/25/2034 82,085,000 2,264,927
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 0.773 02/15/2019 3,490,000 3,486,918
MCC Iowa LLC, Tranche G Term Loan, 1/20/20 4.0 01/20/2020 733,125 732,667
Virgin Media Investment Holdings, Ltd., B Facility, 6/8/20 3.5 06/08/2020 2,205,000 2,203,106
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 2.6998 04/19/2034 16,013,000 697,795
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 0.7771 02/15/2017 2,000,000 2,004,253
CWABS Master Trust Series 2003-D Subtrust, Floating Rate Note, 6/15/29 0.432 06/15/2029 28,190,000 17,893
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/35 0.512 05/15/2035 3,925,000 854,281
Pfizer, Inc., Floating Rate Note, 5/15/17 0.4071 05/15/2017 2,100,000 2,100,091
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 10/25/24 1.571 10/25/2024 2,480,000 2,436,058
Alternative Loan Trust 2004-J13, Floating Rate Note, 2/25/35 1.071 02/25/2035 1,000,000 964,341
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 0.5016 07/20/2019 1,250,000 267,090
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 2.7532 07/25/2034 10,718,797 372,273
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/2/21 0.0 03/02/2021 2,700,000 1,199,325
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/39 0.622 03/15/2039 1,000,000 258,572
Four Seasons Holdings, Inc., Term Loan (First Lien) 2013, 6/27/20 3.5 06/27/2020 493,750 492,979
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 0.371 02/25/2037 5,150,000 484,614
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 6.5 08/15/2030 1,250,000 113,129
Exeter Automobile Receivables Trust 2014-2, 1.06%, 8/15/18 1.06 08/15/2018 1,400,000 863,665
Drillships Financing Holding, Inc., Tranche B-1 Term Loan, 3/31/21 6.0 03/31/2021 985,000 772,240
Pangaea Zero% 01jul18 0.0 07/01/2018 2,300,000 2,486,300
American Honda Finance Corp., Floating Rate Note, 1/11/16 0.5489 01/11/2016 2,650,000 2,650,625
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 5.116 06/10/2044 2,675,000 2,140,818
Irwin Whole Loan Home Equity Trust 2005-B, Floating Rate Note, 12/25/29 0.641 12/25/2029 6,125,000 3,173,645
WireCo WorldGroup, Inc., Term Loan, 2/15/17 6.0 02/15/2017 871,421 873,599
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/33 2.61 11/01/2033 850,000 15,050
Kleopatra Acquisition Corp., Term B-1 Loan, 12/21/16 4.75 12/21/2016 686,473 689,047
Quikrete Holdings, Inc., Initial Loan (First Lien), 9/26/20 4.0 09/26/2020 852,173 849,616
Enterprise Fleet Financing LLC, 0.72%, 4/20/18 (144A) 0.72 04/20/2018 4,500,000 938,300
American Credit Acceptance Receivables Trust 2014-4, 1.23%, 7/10/18 (144A) 1.23 07/10/2018 1,150,000 1,018,651
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 2.125 09/15/2015 551,000 560,778
Structured Asset Sec Corp Mort Pass Thr Certs Series 1998-8, Floating Rate Note, 8/25/28 1.111 08/25/2028 8,825,000 371,658
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 0.471 07/25/2035 9,145,238 1,950,185
Canadian National Railway Co., Floating Rate Note, 11/14/17 0.4271 11/14/2017 1,670,000 1,669,401
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 0.721 05/25/2040 2,619,152 1,107,253
Government National Mortgage Association, Floating Rate Note, 6/16/31 0.672 06/16/2031 14,000,000 234,255
BNC Mortgage Loan Trust 2007-4, Floating Rate Note, 11/25/37 0.421 11/25/2037 9,500,000 38,098
VOLT XXIV LLC, 3.25%, 11/25/53 (Step) 3.25 11/25/2053 2,000,000 952,479
Invitation Homes 2014-SFR2 Trust, Floating Rate Note, 9/18/31 (144A) 1.772 09/18/2031 2,100,000 2,096,595
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 0.472 04/15/2036 3,463,000 657,072
Government National Mortgage Association, Floating Rate Note, 10/16/39 0.852 10/16/2039 2,500,000 361,384
Ally Master Owner Trust, 4.59%, 4/15/17 (144A) 4.59 04/15/2017 3,000,000 3,019,793
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR10, Floating Rate Note, 12/11/40 5.405 12/11/2040 4,250,000 3,364,399
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 3.75 12/12/2019 318,295 318,394
Duke Energy Progress, Inc., Floating Rate Note, 3/6/17 0.4354 03/06/2017 1,275,000 1,275,754
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 0.6515 11/21/2016 2,465,000 2,462,590
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 1.321 05/07/2024 200,000 201,057
Structured Asset Securities Corp Mortgage Loan Trust 2006-GEL4, Floating Rate Note, 10/25/36 (144A) 0.391 10/25/2036 5,557,000 1,910,451
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/32 0.621 09/25/2032 19,400,000 89,054
Calpine Construction Finance Co LP, Term B-1 Loan, 5/3/20 3.0 05/03/2020 1,182,000 1,169,441
American Express Credit Corp., Floating Rate Note, 7/29/16 0.7626 07/29/2016 2,850,000 2,860,162
Credit Suisse First Boston Mortgage Securities Corp., 4.832%, 4/15/37 4.832 04/15/2037 3,450,000 1,207,009
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 0.371 12/25/2036 3,800,000 772,424
CommScope, Inc., Tranche 4 Term Loan, 1/14/18 3.25 01/14/2018 237,054 237,125
RegionalCare Hospital Partners, Inc., Term Loan (First Lien), 4/21/19 6.0 04/21/2019 491,294 493,443
RAMP Series 2005-EFC4 Trust, Floating Rate Note, 9/25/35 0.581 09/25/2035 1,060,000 304,998
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/16/27 (144A) 1.472 02/16/2027 3,350,000 3,350,086
Level 3 Financing Inc 1st Lien Tl-B5 L + 3.5% 31jan22 4.5 01/31/2022 1,000,000 1,006,042
RBS Greenwich Capital Mortgage Loan Trust, Floating Rate Note, 4/15/24 (144A) 4.2114 04/15/2024 1,150,000 1,156,233
American Credit Acceptance Receivables Trust 2014-1, 1.14%, 3/12/18 (144A) 1.14 03/12/2018 5,045,000 1,567,488
Morgan Stanley Capital I Trust 2006-TOP21, Floating Rate Note, 10/12/52 5.162 10/12/2052 1,960,000 1,998,872
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 0.9574 01/25/2030 15,000,000 925,980
Kane Zero% 29apr16 0.0 04/29/2016 2,600,000 2,662,660
Bank of Nova Scotia Houston, Floating Rate Note, 10/23/15 0.5071 10/23/2015 1,640,000 1,642,733
Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 6.7003 01/09/2017 2,000,000 1,801,456
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 0.5715 04/10/2028 1,100,000 1,098,746
Envision Healthcare Corp., Initial Term Loan, 5/25/18 4.0 05/25/2018 1,249,098 1,249,488
Electricite de France SA, Floating Rate Note, 1/20/17 (144A) 0.7166 01/20/2017 1,865,000 1,868,723
NCUA Guaranteed Notes Trust, Floating Rate Note, 4/6/20 0.5477 04/06/2020 5,835,000 1,196,079
Golden Credit Card Trust, Floating Rate Note, 9/15/18 (144A) 0.603 09/15/2018 715,000 715,629
First Horizon Mortgage Pass-Through Trust 2003-AR3, Floating Rate Note, 9/25/33 2.5903 09/25/2033 13,000,000 895,639
Queen Street V Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 8.5051 04/09/2015 1,750,000 1,785,797
JPMorgan Chase & Co., 1.875%, 3/20/15 1.875 03/20/2015 2,600,000 2,623,195
Big Heart Pet Brands, Initial Term Loan, 2/24/20 3.5 02/24/2020 478,257 478,137
Motor Flt% 25jun22 15-1a-A1   06/25/2022 2,600,000 2,600,277
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-1, Floating Rate Note, 1/25/35 (144 0.501 01/25/2035 3,700,000 106,345
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 0.431 12/25/2035 2,967,970 735,881
Merrill Lynch Mortgage Trust 2005-CIP1, Floating Rate Note, 7/12/38 5.047 07/12/2038 2,170,000 2,190,390
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR8, 4.75%, 6/11/41 4.75 06/11/2041 1,330,000 1,345,260
World Omni Automobile Lease Securitization Trust 2014-A, Floating Rate Note, 3/15/17 0.383 03/15/2017 2,500,000 2,496,859
CAM Mortgage Trust 2014-2, 2.6%, 12/15/53 (Step) (144A) 2.6 12/15/2053 2,130,000 405,794
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 7/25/36 0.471 07/25/2036 4,500,000 4,426,972
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 7/25/24 1.371 07/25/2024 5,330,000 4,659,201
DynCorp International, Inc., Term Loan, 7/7/16 6.25 07/07/2016 143,055 142,400
CPS Auto Trust, 1.82%, 12/16/19 (144A) 1.82 12/16/2019 1,179,000 376,052
Livingston International, Inc., Initial Term B-1 Loan (First Lien), 4/18/19 5.0 04/18/2019 492,500 479,572
NPC International, Inc., Term Loan, 12/28/18 4.0 12/28/2018 155,600 154,239
Wells Fargo Home Equity Asset-Backed Securities 2005-2 Trust, Floating Rate Note, 11/25/35 0.581 11/25/2035 189,000 50,774
Raymond James Financial, Inc., 4.25%, 4/15/16 4.25 04/15/2016 7,409,000 7,825,981
Oak Hill Advisors Residential Loan Trust 2014-NPL1, 2.8828%, 5/25/54 (Step) (144A) 2.8828 05/25/2054 1,810,000 1,196,174
Wachovia Corp., Floating Rate Note, 10/28/15 0.5946 10/28/2015 1,983,000 1,983,995
Government National Mortgage Association, Floating Rate Note, 10/20/38 0.5735 10/20/2038 3,000,000 949,805
Sector Re V, Ltd., 0.0%, 12/1/19 (Cat Bond) (144A) 0.0 12/01/2019 500,000 509,100
Citigroup, Inc., Floating Rate Note, 11/15/16 0.9371 11/15/2016 1,900,000 1,909,267
GMAC Commercial Mortgage Securities Inc Series 2004-C2 Trust, Floating Rate Note, 8/10/38 5.301 08/10/2038 5,341,000 40,051
AXIS Equipment Finance Receivables II LLC, 1.75%, 6/20/16 1.75 06/20/2016 1,000,000 444,643
Chase Issuance Trust, Floating Rate Note, 10/16/17 0.323 10/16/2017 2,700,000 2,699,016
ACIS CLO 2014-4, Ltd., Floating Rate Note, 5/1/26 (144A) 1.2546 05/01/2026 3,000,000 1,503,150
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/32 0.772 09/15/2032 10,000,000 216,165
The Bank of New York Mellon Corp., Floating Rate Note, 10/23/15 0.4871 10/23/2015 3,533,000 3,539,006
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 0.821 06/25/2035 4,005,000 497,023
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 8.9152 06/06/2017 1,500,000 1,559,058
Kizuna Re II, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A) 2.2652 04/06/2018 1,800,000 1,811,925
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 4.2753 04/18/2017 250,000 250,165
America Movil SAB de CV, Floating Rate Note, 9/12/16 1.2399 09/12/2016 1,500,000 1,515,208
RASC Series 2005-EMX2 Trust, Floating Rate Note, 7/25/35 0.651 07/25/2035 157,752 10,669
Ally Master Owner Trust, Floating Rate Note, 8/15/17 1.243 08/15/2017 3,000,000 3,010,955
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 0.472 02/15/2030 2,056,750 907,532
Enterprise Products Operating LLC, 3.2%, 2/1/16 3.2 02/01/2016 2,500,000 2,559,614
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 0.422 08/15/2036 17,556,000 871,087
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-D, Floating Rate Note, 9/25/29 2.0989 09/25/2029 11,000,000 739,890
LB-UBS Commercial Mortgage Trust 2005-C3, 4.739%, 7/15/30 4.739 07/15/2030 4,490,000 2,122,242
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 1.071 04/25/2032 35,072,000 1,999,771
CWGS Group LLC, Term Loan, 2/20/20 5.75 02/20/2020 397,452 399,191
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 3.5425 05/05/2017 2,500,000 2,501,597
LB-UBS Commercial Mortgage Trust 2005-C7 REMICS, Floating Rate Note, 11/15/30 5.197 11/15/2030 8,161,979 7,275,112
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 0.6006 03/13/2017 2,000,000 2,003,695
Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20 3.5 09/23/2020 986,842 987,613
Gracechurch Card Funding Plc, Floating Rate Note, 5/15/19 (144A) 1.022 05/15/2019 1,300,000 1,311,059
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 0.7833 07/15/2016 1,500,000 1,509,404
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 10/10/45 5.115 10/10/2045 8,970,000 7,339,595
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 5.2652 03/07/2016 2,250,000 2,295,684
Rialto Capital Management LLC, 2.85%, 5/15/24 (144A) 2.85 05/15/2024 2,000,000 533,911
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-E, Floating Rate Note, 11/25/29 1.1047 11/25/2029 36,000,000 2,066,406
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 1.271 09/25/2034 3,465,620 563,964
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 0.431 11/25/2035 20,500,508 1,506,399
Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A) 3.7753 11/25/2019 2,350,000 2,356,903
Quest Trust REMICS, Floating Rate Note, 3/25/34 (144A) 0.831 03/25/2034 95,089,092 3,475,734
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 0.5066 09/30/2016 1,795,000 1,796,219
Baxter International, Inc., 4.625%, 3/15/15 4.625 03/15/2015 2,500,000 2,554,172
US Bank NA Cincinnati Ohio, Floating Rate Note, 1/30/17 0.4846 01/30/2017 2,025,000 2,027,161
Chase Issuance Trust, Floating Rate Note, 8/15/17 0.303 08/15/2017 9,130,000 9,126,947
GE Equipment Small Ticket LLC Series 2014-1, 1.59%, 8/24/16 0.59 08/24/2016 1,900,000 1,899,629
Eco Services Operations Llc 1st Lien Tl-B L + 3.75% 10oct21 4.75 10/10/2021 1,400,000 1,405,250
Kane Ilw Zero% 02feb16 0.0 02/02/2016 750,000 695,550
Structured Asset Securities Corp Trust 2005-14, Floating Rate Note, 7/25/35 0.471 07/25/2035 3,899,641 365,760
Golden State RE II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A) 2.2152 01/08/2019 2,650,000 2,654,951
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 0.7935 09/20/2033 52,500,000 2,322,734
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 0.571 09/25/2035 369,713 93,902
Capital One Multi-Asset Execution Trust, Floating Rate Note, 8/15/18 0.263 08/15/2018 6,945,000 6,942,898
Sequoia Mortgage Trust 2003-8, Floating Rate Note, 1/20/34 0.8135 01/20/2034 5,750,000 262,159
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A) 0.6476 03/10/2017 1,000,000 1,000,635
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 0.811 01/25/2029 24,460,400 1,296,732
Citibank Credit Card Issuance Trust, Floating Rate Note, 4/24/17 0.2715 04/24/2017 17,520,000 17,514,817
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 (144A) 2.173 12/15/2028 2,910,000 2,915,029
Vantiv LLC, Term B Loan, 6/12/21 3.75 06/12/2021 958,661 958,062
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/34 0.412 07/15/2034 5,000,000 613,493
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5.46 09/10/2045 3,590,000 3,700,601
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 0.936 05/25/2035 1,575,000 314,824
Louisiana Public Facilities Authority, Floating Rate Note, 4/26/27 1.1561 04/26/2027 1,250,000 952,463
Impac CMB Trust Series 2004-5, Floating Rate Note, 8/25/34 1.011 08/25/2034 9,850,000 566,196
Wheels SPV 2 LLC, 0.84%, 3/20/23 (144A) 0.84 03/20/2023 1,000,000 1,000,926
Numericable Us Llc 1st Lien Tl-B1 L + 3.75% 23apr20 4.5 04/23/2020 268,077 269,054
Mastr Asset Backed Securities Trust 2006-AB1 REMICS, Floating Rate Note, 2/25/36 0.401 02/25/2036 12,307,204 1,992,600
United Auto Credit Securitization Trust 2013-1, 1.74%, 4/15/16 (144A) 1.74 04/15/2016 1,900,000 224,576
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 0.8811 02/26/2016 1,800,000 1,805,292
Bear Stearns Asset Backed Securities Trust 2006-1, Floating Rate Note, 2/25/36 0.451 02/25/2036 32,600,000 909,089
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 0.921 02/25/2035 21,336,125 290,206
MUFG Union Bank NA, Floating Rate Note, 9/26/16 1.0046 09/26/2016 6,200,000 6,242,254
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/37 1.422 05/15/2037 3,000,000 239,512
Cmcsa Flt% 15apr18 144a 0.9383 04/15/2018 1,300,000 1,311,305
Credit Acceptance Auto Loan Trust 2012-2, 1.52%, 3/16/20 (144A) 1.52 03/16/2020 3,241,000 1,597,006
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 0.342 04/15/2022 1,430,707 196,888
Seadrill Operating LP, Initial Term Loan, 2/14/21 4.0 02/14/2021 2,722,500 2,209,600
Progress Residential 2015-SFR1 Trust, Floating Rate Note, 2/17/32 (144A) 2.572 02/20/2032 3,000,000 3,023,151
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5.372 09/10/2045 5,040,000 5,155,663
Xerium Technologies, Inc., New Term Loan, 5/17/19 6.25 05/17/2019 78,601 78,797
GS Mortgage Securities Trust 2014-GSFL, Floating Rate Note, 7/15/31 (144A) 1.923 07/15/2031 1,690,000 1,694,607
Fieldwood Energy LLC, Closing Date Loan, 9/25/18 3.875 09/25/2018 2,668,616 2,560,204
Pepper Residential Securities Trust, Floating Rate Note, 4/10/15 (144A) 0.5215 04/10/2015 2,000,000 2,000,404
Bear Stearns Asset Backed Securities Trust 2003-AC5, Floating Rate Note, 10/25/33 1.271 10/25/2033 2,875,000 264,604
Enterprise Fleet Financing LLC, 0.87%, 9/20/19 0.87 09/20/2019 2,000,000 1,832,472
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MCW, Floating Rate Note 1.1085 10/25/2034 1,150,000 416,190
American Honda Finance Corp., 1.0%, 8/11/15 (144A) 1.0 08/11/2015 1,000,000 1,003,410
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/38 0.571 12/25/2038 400,000 242,474
CGWF Commercial Mortgage Trust 2013-RKWH REMICS, Floating Rate Note, 11/15/30 (144A) 2.072 11/15/2030 6,770,000 6,786,561
JBS USA LLC, Initial Term Loan, 5/25/18 3.75 05/25/2018 874,626 875,151
Spectrum Brands, Inc., Tranche C Term Loan, 8/13/19 3.5 08/13/2019 296,250 296,472
Manufacturers & Traders Trust Co., Floating Rate Note, 7/25/17 0.5561 07/25/2017 2,400,000 2,392,625
Crusade Global Trust, Floating Rate Note, 11/15/37 0.3171 11/15/2037 17,300,000 2,397,849
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Series 2004-4, Floating Rate Note, 10 1.271 10/25/2034 3,977,618 874,743
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37 0.472 02/15/2037 23,400,000 1,350,819
ABFC 2005-WF1 Trust, Floating Rate Note, 12/25/34 0.791 12/25/2034 2,140,000 803,035
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/49 0.721 12/25/2049 2,000,000 261,249
Ally Auto Receivables Trust 2013-2, Floating Rate Note, 7/15/16 0.403 07/15/2016 1,500,000 350,066
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/33 0.572 06/15/2033 10,000,000 538,491
Armor Re, Ltd., Floating Rate Note, 12/15/16 (Cat Bond) (144A) 4.0152 12/15/2016 1,000,000 1,008,378
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/30 0.721 12/25/2030 20,000,000 92,717
Vericrest Opportunity Loan Transferee 2014-NPL4 LLC, 3.125%, 4/27/54 (Step) (144A) 3.125 04/27/2054 6,000,000 4,907,011
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.7652 04/30/2018 2,300,000 2,358,081
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 1.6209 08/15/2031 2,500,000 2,496,314
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 0.482 06/15/2036 52,250,000 2,191,304
Ixis Flt% 25jun35 05-He1-M3 0.951 06/25/2035 1,500,000 744,755
Toyota Motor Credit Corp., 0.875%, 7/17/15 0.875 07/17/2015 1,200,000 1,204,129
Banc of America Mortgage 2004-I Trust, Floating Rate Note, 10/25/34 2.4955 10/25/2034 6,000,000 403,793
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 0.328 05/15/2047 200,000 74,729
FCA US LLC, Tranche B Term Loan, 12/29/18 3.25 12/29/2018 2,878,250 2,876,811
Fifth Third Bancorp, Floating Rate Note, 12/20/16 0.6671 12/20/2016 1,727,000 1,717,196
GSAA Home Equity Trust 2004-11, Floating Rate Note, 12/25/34 0.831 12/25/2034 5,735,000 301,132
RAIT 2014-FL3 Trust, Floating Rate Note, 12/15/31 (144A) 1.4209 12/15/2031 3,540,000 3,492,914
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 0.469 04/28/2036 4,911,055 1,018,707
Capital One Financial Corp., Floating Rate Note, 11/6/15 0.8951 11/06/2015 1,875,000 1,880,458
US Bank NA Cincinnati Ohio, Floating Rate Note, 1/26/18 0.5561 01/26/2018 2,600,000 2,600,497
Southwire Co., Initial Term Loan, 1/31/21 3.25 01/31/2021 1,067,311 1,047,299
Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A) 3.721 11/16/2044 3,070,000 2,967,916
JP Morgan Chase Commercial Mortgage Securities Trust 2014-CBM, Floating Rate Note, 10/15/29 (144A) 1.572 10/15/2029 4,280,000 4,263,163
JP Morgan Chase Commercial Mortgage Securities Trust 2013-JWRZ, Floating Rate Note, 4/15/30 (144A) 0.952 04/15/2030 4,975,000 4,975,279
Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A) 1.1709 09/25/2037 6,105,345 769,998
321 Henderson Receivables I LLC, Floating Rate Note, 9/15/45 (144A) 0.522 09/15/2045 3,120,000 743,555
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 2.171 10/25/2023 4,205,000 3,330,856
BAMLL Commercial Mortgage Securities Trust 2014-ICTS, Floating Rate Note, 6/15/28 (144A) 1.272 06/15/2028 1,920,000 1,919,605
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 8.5355 05/09/2016 1,500,000 1,586,483
JMC Steel Group, Inc., Term Loan, 4/1/17 4.75 04/01/2017 357,546 355,609
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 0.821 01/25/2033 5,000,000 157,860
Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18 2.65 03/31/2018 1,389,500 1,373,289
Reynolds Group Holdings, Inc., Incremental U.S. Term Loan, 12/31/18 4.0 12/31/2018 785,308 789,088
Bear Stearns ALT-A Trust 2003-3, Floating Rate Note, 10/25/33 2.6805 10/25/2033 350,000 58,348
NBCUniversal Enterprise, Inc., Floating Rate Note, 4/15/16 (144A) 0.7903 04/15/2016 2,694,000 2,705,220
Federal National Mortgage Association, Floating Rate Note, 12/25/33 0.471 12/25/2033 25,758,805 7,243,484
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 9/8/17 (144A) 0.5454 09/08/2017 2,525,000 2,519,337
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 0.521 02/25/2033 16,918,890 796,220
VOLT XIX LLC, 3.875%, 4/26/55 (Step) 3.875 04/26/2055 1,500,000 1,442,591
RAMP Series 2006-RZ3 Trust, Floating Rate Note, 10/25/35 0.331 10/25/2035 10,534,000 2,217,649
Prestige Auto Receivables Trust 2014-1, 0.97%, 3/15/18 (144A) 0.97 03/15/2018 2,395,000 1,621,213
MALLINCKRODT INTERNATIONAL FINANCE SA, Initial Term B Loan, 3/6/21 3.25 03/06/2021 967,688 962,728
Home Equity Asset Trust 2005-7, Floating Rate Note, 1/25/36 0.551 01/25/2036 7,770,000 3,995,402
Cincinnati Bell, Inc., Tranche B Term Loan, 9/10/20 4.0 09/10/2020 1,234,375 1,233,990
Progreso Receivables Funding I LLC, 3.625%, 1/30/25 (144A) 3.625 01/30/2025 3,050,000 3,058,599
HomeBanc Mortgage Trust 2005-2, Floating Rate Note, 5/25/25 0.591 05/25/2025 45,670,847 1,447,677
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 0.722 02/15/2033 15,000,000 413,831
MassMutual Global Funding II, 3.125%, 4/14/16 (144A) 3.125 04/14/2016 2,060,000 2,139,878
Ally Auto Receivables Trust 2014-SN1, Floating Rate Note, 10/20/16 0.3735 10/20/2016 1,800,000 1,198,565
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.401 06/25/2037 632,250 76,226
RENT-A-CENTER, INC, Term Loan (2014), 2/6/21 3.75 02/06/2021 1,736,875 1,702,138
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/32 0.671 08/25/2032 15,000,000 294,720
Westgate Resorts 2012-2 LLC, 9.0%, 1/21/25 (144A) 9.0 01/21/2025 1,500,000 417,697
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/20 0.572 12/15/2020 1,000,000 149,077
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 1.3735 11/20/2036 13,800,000 3,064,904
Federal Farm Credit Banks, Floating Rate Note, 9/18/15 0.18 09/18/2015 2,540,000 2,541,884
GE Business Loan Trust 2004-2, Floating Rate Note, 12/15/32 (144A) 0.392 12/15/2032 9,937,438 1,354,446
Blue Danube II, Ltd., Floating Rate Note, 5/23/18 (Cat Bond) (144A) 4.2787 05/23/2018 2,575,000 2,582,453
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 2.421 03/25/2032 1,000,000 311,719
Fly Funding II Sarl, Loan, 8/8/18 4.5 08/08/2018 1,546,307 1,548,240
NovaStar Mortgage Funding Trust Series 2003-1, Floating Rate Note, 5/25/33 0.951 05/25/2033 19,881,000 405,584
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 0.343 04/16/2035 5,387,273 2,147,383
FCA US LLC, Term Loan B, 5/24/17 3.5 05/24/2017 374,031 373,914
Barclays Dryrock Issuance Trust, Floating Rate Note, 3/16/20 0.513 03/16/2020 1,800,000 1,798,783
Scientific Games International Inc 1st Lien Tl-B2 L + 5% 17sep21 6.0 09/17/2021 2,000,000 1,999,876
AWAS Finance Luxembourg 2012 SA, Term Loan, 7/16/18 3.5 07/16/2018 386,589 387,309
PNC Bank NA, Floating Rate Note, 4/29/16 0.5726 04/29/2016 3,268,000 3,269,278
Federal National Mortgage Association, Floating Rate Note, 4/25/35 2.6722 04/25/2035 750,000 134,391
Select Medical Corp., Series E Tranche B Term Loan, 6/1/18 3.7502 06/01/2018 236,016 236,311
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 0.681 09/25/2035 4,351,000 1,952,552
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 2.4432 07/25/2033 8,050,000 951,685
Riverfront Re, Ltd., Floating Rate Note, 1/6/17 (Cat Bond) (144A) 4.0152 01/06/2017 1,000,000 1,005,156
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.401 04/25/2031 17,333,137 2,435,266
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 420,500 421,425
Nordea Bank AB, 2.25%, 3/20/15 (144A) 2.25 03/20/2015 3,100,000 3,133,325
American Express Credit Account Master Trust, Floating Rate Note, 2/15/18 1.373 02/15/2018 1,945,000 1,953,189
Crusade Global Trust, Floating Rate Note, 7/20/38 (144A) 0.3166 07/20/2038 1,200,000 134,952
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 7/25/35 0.441 07/25/2035 15,315,000 1,686,547
Discover Card Execution Note Trust, 0.86%, 11/15/17 0.86 11/15/2017 1,700,000 1,702,248
Sensata Technologies BV, Term Loan, 5/12/18 3.25 05/12/2018 527,437 529,232
Calpine Corp., Term Loan (10/12), 10/9/19 4.0 10/09/2019 758,236 759,421
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1.7652 01/07/2019 1,800,000 1,808,855
Valeant Pharmaceuticals International, Inc., Series E1 Tranche B Term Loan, 8/5/20 3.5 08/05/2020 1,313,724 1,312,658
CHL Mortgage Pass-Through Trust 2003-J7, Floating Rate Note, 8/25/18 0.571 08/25/2018 2,400,000 47,909
Capital Auto Receivables Asset Trust 2013-1, 1.74%, 10/22/18 1.74 10/22/2018 3,200,000 3,211,461
Milacron LLC, Term Loan, 3/28/20 4.0 03/28/2020 687,803 679,205
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 0.621 06/25/2036 8,454,822 825,181
American Credit Acceptance Receivables Trust 2013-2, 1.32%, 2/15/17 (144A) 1.32 02/15/2017 805,000 107,286
American Credit Acceptance Receivables Trust 2014-3, 0.99%, 8/10/18 (144A) 0.99 08/10/2018 1,420,000 926,239
Morgan Stanley ABS Capital I Inc Trust 2005-HE3, Floating Rate Note, 7/25/35 0.951 07/25/2035 95,000 33,656
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 0.641 03/25/2035 5,700,000 1,650,702
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 2.323 06/15/2016 3,000,000 3,005,342
Ursa Re, Ltd., Floating Rate Note, 12/7/17 (Cat Bond) (144A) 3.5 12/07/2017 1,100,000 1,100,440
RAAC Series 2006-RP1 Trust, Floating Rate Note, 10/25/45 (144A) 0.471 10/25/2045 15,300,000 381,352
Embarcadero Reinsurance, Ltd., Floating Rate Note, 2/7/17 (Cat Bond) (144A) 5.0051 02/07/2017 1,025,000 1,033,602
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 0.791 09/25/2034 42,840,193 1,748,674
JPMorgan Chase & Co., 3.4%, 6/24/15 3.4 06/24/2015 1,325,000 1,344,670
Government National Mortgage Association, Floating Rate Note, 2/20/35 0.4235 02/20/2035 8,941,000 1,144,051
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 (144A) 0.441 04/25/2032 29,975,000 2,542,568
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 1.7673 08/20/2034 7,500,000 321,538
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 1/15/18 0.553 01/15/2018 350,000 350,181
Axalta Coating Systems US Holdings, Inc., Refinanced Term B Loan, 2/1/20 3.75 02/01/2020 1,024,205 1,018,728
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, 4.871%, 9/11/42 4.871 09/11/2042 7,568,000 5,744,760
ARI Fleet Lease Trust 2013-A, 0.92%, 7/15/21 (144A) 0.92 07/15/2021 600,000 601,148
Epiq Systems, Inc., Term Loan, 8/27/20 4.5031 08/27/2020 469,063 467,890
Federal Farm Credit Banks, Floating Rate Note, 6/20/16 0.27 06/20/2016 10,000,000 10,017,540
MetLife Institutional Funding II, 1.625%, 4/2/15 (144A) 1.625 04/02/2015 5,015,000 5,052,799
Daimler Finance North America LLC, 1.65%, 4/10/15 (144A) 1.65 04/10/2015 2,131,000 2,147,498
Daimler Finance North America LLC, Floating Rate Note, 8/1/16 (144A) 0.9346 08/01/2016 1,500,000 1,509,234
Chesapeake Funding LLC, Floating Rate Note, 11/7/23 (144A) 2.171 11/07/2023 250,000 251,184
Dtz Us Borrower Llc 1st Lien Tl L + 4.5% 28oct21 5.5 10/28/2021 1,714,787 1,724,432
Countrywide Asset-Backed Certificates, Floating Rate Note, 3/25/35 1.071 03/25/2035 5,600,000 1,643,076
Altria Group, Inc., 4.125%, 9/11/15 4.125 09/11/2015 1,075,000 1,115,147
DigitalGlobe, Inc., Term Loan, 1/31/20 3.75 01/31/2020 875,041 875,474
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.621 09/25/2037 9,159,000 392,746
EQTY 2014-INNS Mortgage Trust, Floating Rate Note, 5/8/31 (144A) 1.368 05/08/2031 3,530,000 3,490,593
NSTAR Electric Co., Floating Rate Note, 5/17/16 0.4971 05/17/2016 1,013,000 1,012,080
Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37 0.321 03/25/2037 1,000,000 559,792
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 11/10/16 (Cat Bond) (144A) 11.7874 11/10/2016 500,000 535,509
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/31 0.772 11/15/2031 20,187,077 128,907
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 0.871 12/05/2031 900,000 896,563
321 Henderson Receivables I LLC, Floating Rate Note, 12/15/41 (144A) 0.373 12/15/2041 10,869,000 3,735,264
Vers 2015-A Zero% 31dec17 0.0 12/31/2017 2,500,000 2,519,500
Federal Home Loan Banks, Floating Rate Note, 10/1/15 0.21 10/01/2015 10,000,000 10,008,833
Crown Castle 1st Lien Term-B2 L + 2.5% 31jan21 3.0 01/31/2021 1,180,207 1,178,142
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 0.876 04/25/2035 724,529 485,954
Fannie Mae, 7.0%, 10/1/17 7.0 10/01/2017 2,241,352 6,218
Caisse Centrale Desjardins, Floating Rate Note, 1/29/18 (144A) 0.9176 01/29/2018 2,590,000 2,591,584
Carefree Portfolio Trust 2014-CARE, Floating Rate Note, 11/15/29 (144A) 2.022 11/15/2029 3,300,000 3,307,072
Atlas Flt% 07jan19 144a   01/07/2019 250,000 249,950
Sirius International Group, Ltd., Floating Rate Note (Perpetual) (144A) 7.506 12/31/2049 1,150,000 1,221,887
Federal Home Loan Banks, Floating Rate Note, 10/7/15 0.22 10/07/2015 2,640,000 2,642,544
Bank of Montreal, Floating Rate Note, 7/14/17 0.5028 07/14/2017 2,300,000 2,299,748
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.672 12/15/2032 1,700,000 31,682
The Coca-Cola Co., Floating Rate Note, 3/5/15 0.2149 03/05/2015 850,000 850,432
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R10, Floating Rate Note, 0.391 12/25/2035 15,705,000 634,261
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 2.6341 07/25/2033 5,472,215 238,410
COMM 2014-KYO Mortgage Trust, Floating Rate Note, 6/11/27 (144A) 1.823 06/11/2027 5,740,000 5,734,414
Vodafone Group Plc, Floating Rate Note, 2/19/16 0.6417 02/19/2016 1,150,000 1,150,630
PFS Financing Corp., Floating Rate Note, 10/15/19 (144A) 0.772 10/15/2019 1,400,000 1,399,624
Gracechurch Mortgage Financing Plc, Floating Rate Note, 11/20/56 (144A) 3.3606 11/20/2056 2,500,000 1,653,090
CNO Financial Group, Inc., Tranche B-2 Term Loan, 9/28/18 3.75 09/28/2018 459,849 458,263
NCUA Guaranteed Notes Trust, Floating Rate Note, 10/7/20 0.621 10/07/2020 2,000,000 932,167
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R5, Floating Rate Note, 7 0.601 07/25/2035 84,000 70,437
Harley-Davidson Motorcycle Trust 2011-1, 2.12%, 8/15/17 2.12 08/15/2017 190,000 191,393
Banc of America Merrill Lynch Commercial Mortgage, Inc., 4.933%, 7/10/45 4.933 07/10/2045 6,180,000 6,001,967
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 2.646 12/25/2034 2,000,000 267,002
Chase Issuance Trust, Floating Rate Note, 4/15/19 0.223 04/15/2019 1,350,000 1,343,149
The Toronto-Dominion Bank, Floating Rate Note, 7/8/16 0.431 07/08/2016 1,320,000 1,321,707
Entercom Radio LLC, Term B-2 Loan, 11/23/18 4.0012 11/23/2018 343,664 344,093
Bank of America NA, Floating Rate Note, 2/14/17 0.7271 02/14/2017 2,000,000 1,999,322
Pepper Residential Securities Trust, Floating Rate Note, 7/24/15 (144A) 0.4715 07/24/2015 2,000,000 2,001,017
GSAA Home Equity Trust 2004-8, Floating Rate Note, 9/25/34 0.911 09/25/2034 7,860,000 254,024
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 0.472 04/15/2022 1,105,112 1,096,594
MGM Resorts International, Term B Loan, 12/20/19 3.5 12/20/2019 1,225,000 1,222,091
Salix Pharmaceuticals, Ltd., Term Loan, 12/17/19 4.25 12/17/2019 427,500 427,807
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 1.671 06/25/2028 7,545,000 1,761,875
Terex Corp., U.S. Term Loan, 8/13/21 3.5 08/13/2021 308,783 310,230
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 0.472 02/15/2039 1,251,000 618,926
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 0.421 10/25/2035 4,339,000 349,549
American Honda Finance Corp., Floating Rate Note, 10/7/16 0.7536 10/07/2016 950,000 955,531
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 0.631 06/25/2034 41,830,000 1,497,804
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 3.25 11/05/2020 496,250 496,327
Davita Healthcare Partners Inc 1st Lien Tl-B L + 2.75% 19jun21 3.5 06/19/2021 473,860 475,595
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.411 06/25/2037 7,474,000 911,580
Svenska Handelsbanken AB, Floating Rate Note, 9/23/16 0.7221 09/23/2016 3,650,000 3,670,111
General Electric Capital Corp., Floating Rate Note, 5/11/16 0.4584 05/11/2016 1,000,000 1,000,915
Telesat Canada, U.S. Term B-2 Loan, 3/28/19 3.5 03/28/2019 660,424 660,556
Allison Transmission, Inc., Term B-3 Loan, 8/23/19 3.5 08/23/2019 146,649 147,062
Master Credit Card Trust II, Floating Rate Note, 1/22/18 (144A) 0.6035 01/22/2018 1,050,000 1,051,398
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP6, Floating Rate Note, 4/15/43 5.565 04/15/2043 2,712,000 2,804,413
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 0.361 12/25/2035 1,719,377 500,750
Apex Tool Group LLC, Term Loan, 1/31/20 4.5 01/31/2020 1,228,125 1,203,050
RPI Finance Trust, Term B-3 Term Loan, 11/9/18 3.25 11/09/2018 622,351 625,074
Prestige Brands, Inc., Term B-1 Loan, 1/31/19 4.125 01/31/2019 435,422 435,966
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 1.171 03/25/2037 2,300,000 236,197
Nn Inc 1st Lien Tl-B L + 5% 18jul21 6.0 07/18/2021 1,232,143 1,236,763
Sequoia Mortgage Trust 2005-2, Floating Rate Note, 3/20/35 0.3935 03/20/2035 5,275,000 482,225
Caterpillar Financial Services Corp., Floating Rate Note, 2/26/16 0.5011 02/26/2016 1,500,000 1,502,091
Noranda Aluminum Acquisition Corp., Term B Loan, 2/28/19 5.75 02/28/2019 116,700 110,379
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 1.3235 11/20/2036 100,000 34,995
KeyCorp Student Loan Trust 2004-A, Floating Rate Note, 10/28/41 0.5561 10/28/2041 500,000 89,399
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 0.872 12/15/2039 2,334,000 917,810
Citibank Credit Card Issuance Trust, Floating Rate Note, 5/9/18 0.371 05/09/2018 3,500,000 3,498,568
Bank of Montreal, 0.8%, 11/6/15 0.8 11/06/2015 2,600,000 2,612,724
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.452 11/15/2018 8,570,000 1,682,916
ARI Fleet Lease Trust 2014-A, 0.81%, 11/15/22 (144A) 0.81 11/15/2022 3,000,000 2,945,749
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.121 10/25/2037 4,405,200 1,023,041
Navitas Equipment Receivables LLC 2013-1, 1.95%, 11/15/16 1.95 11/15/2016 1,750,000 711,968
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 0.5065 02/22/2021 2,250,000 974,241
HLSS Servicer Advance Receivables Trust, 1.4953%, 1/16/46 (144A) 1.4953 01/16/2046 5,600,000 5,533,024
Mdlz Cp Zero% 04mar15 Usd 0.0 03/04/2015 2,500,000 2,499,861
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 5/25/24 1.121 05/25/2024 3,560,000 3,079,650
Citibank Credit Card Issuance Trust, Floating Rate Note, 5/22/17 1.3735 05/22/2017 6,500,000 6,516,778
Cedar Fair LP, U.S. Term Facility, 3/6/20 3.25 03/06/2020 96,885 97,293
United Auto Credit Securitization Trust 2014-1, 0.74%, 6/15/16 (144A) 0.74 06/15/2016 3,000,000 3,000,799
Pinnacle Entertainment, Inc., Tranche B-2 Term Loan, 8/13/20 3.75 08/13/2020 195,562 195,348
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 1.671 11/05/2030 2,475,000 2,440,947
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 8.0152 06/06/2016 750,000 809,375
Anheuser-Busch InBev Finance, Inc., 0.8%, 1/15/16 0.8 01/15/2016 3,700,000 3,713,955
Capital One Financial Corp., 2.15%, 3/23/15 2.15 03/23/2015 6,359,000 6,423,385
Microsemi Corp., Term Loan (2014), 3/14/21 3.25 03/14/2021 131,461 131,160
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.522 12/15/2032 15,400,000 233,841
Altrl Zero% 30jun17 0.0 06/30/2017 600,000 605,820
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/33 0.572 01/15/2033 86,214,000 1,131,395
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 0.422 08/15/2035 2,185,000 424,077
Government National Mortgage Association, 4.0%, 7/20/34 4.0 07/20/2034 31,635,000 995,940
Glenn Pool Oil & Gas Trust, Term Loan, 5/2/16 4.5 05/02/2016 21,345 21,238
Audio Visual Services Corp., Initial Term Loan (First Lien), 1/24/21 4.5 01/24/2021 228,275 228,560
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/38 0.572 06/15/2038 4,056,000 797,252
Svenska Handelsbanken AB, Floating Rate Note, 3/21/16 0.6971 03/21/2016 3,625,000 3,644,581
Duke Energy Corp., Floating Rate Note, 4/3/17 0.6356 04/03/2017 1,740,000 1,742,754
Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A) 1.171 03/25/2037 4,870,000 919,059
Volkswagen Auto Lease Trust 2014-A, Floating Rate Note, 10/20/16 0.3835 10/20/2016 1,500,000 955,206
Ally Master Owner Trust, Floating Rate Note, 1/16/18 0.543 01/16/2018 300,000 299,782
WaMu Mortgage Pass-Through Certificates Series 2004-AR14 Trust, Floating Rate Note, 1/25/35 2.3934 01/25/2035 2,390,499 482,328
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 0.9266 07/19/2016 1,500,000 1,507,434
GE Equipment Small Ticket LLC Series 2013-1, 0.73%, 1/25/16 (144A) 0.73 01/25/2016 800,000 162,092
Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44 1.8352 12/25/2044 4,235,000 658,979
inVentiv Health, Inc., Term B-3 Loan, 5/15/18 7.75 05/15/2018 66,145 65,649
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP4, Floating Rate Note, 10/15/42 5.04 10/15/2042 3,950,000 4,002,551
Global Mortgage Securitization, Ltd., Floating Rate Note, 11/25/32 (144A) 0.491 11/25/2032 8,780,000 462,540
Fifth Third Bancorp, 3.625%, 1/25/16 3.625 01/25/2016 3,790,000 3,893,618
JP Morgan Chase Commercial Mortgage Securities Trust 2002-CIBC4, Floating Rate Note, 5/12/34 6.45 05/12/2034 257,000 138,683
RAIT 2014-FL2 Trust, Floating Rate Note, 5/15/31 (144A) 2.3213 05/15/2031 5,200,000 5,142,097
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/29 0.522 05/15/2029 15,000,000 127,168
Hologic, Inc., Refinancing Tranche B Term Loan, 8/1/19 3.25 08/01/2019 668,423 670,512
PFS Financing Corp., Floating Rate Note, 10/15/19 (144A) 1.022 10/15/2019 1,700,000 1,699,312
VOLT NPL X LLC, 3.375%, 10/26/54 (Step) (144A) 3.375 10/26/2054 4,390,000 4,171,900
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 5.46 11/15/2035 1,240,000 998,202
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 2.5 03/20/2025 350,000 124,653
American Credit Acceptance Receivables Trust 2014-2, 0.99%, 10/10/17 (144A) 0.99 10/10/2017 3,300,000 1,452,991
GSAA Trust, Floating Rate Note, 6/25/35 0.966 06/25/2035 6,300,000 1,519,376
HSBC Home Equity Loan Trust USA 2006-4, Floating Rate Note, 3/20/36 0.4035 03/20/2036 1,061,000 773,171
PFS Financing Corp., Floating Rate Note, 2/15/18 (144A) 0.723 02/15/2018 3,240,000 3,240,456
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 0.491 11/25/2036 1,625,000 335,905
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 0.872 03/15/2032 22,000,000 202,445
BSN medical International Holding GmbH & Co KG, Facility B1b, 8/28/19 4.0 08/28/2019 593,611 592,375
Tower Automotive Holdings USA LLC, Refinancing Term Loan, 4/23/20 4.0 04/23/2020 188,956 188,799
Barclays Dryrock Issuance Trust, Floating Rate Note, 7/16/18 0.513 07/16/2018 200,000 200,110
JLL, Initial Dollar Term Loan, 1/23/21 4.25 01/23/2021 303,475 301,389
RAAC Series 2005-RP3 Trust, Floating Rate Note, 5/25/39 (144A) 0.971 05/25/2039 2,000,000 1,318,809
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 0.571 03/25/2034 20,624,640 1,257,314
TransDigm, Inc., Tranche C Term Loan, 2/28/20 3.75 02/28/2020 320,101 319,234
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 1.271 12/05/2031 800,000 798,481
Westlake Automobile Receivables Trust 2013-1, 1.12%, 1/15/18 (144A) 1.12 01/15/2018 375,000 139,111
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 1.121 07/25/2037 2,130,580 1,056,848
Direct Capital Funding V LLC, 1.673%, 12/20/17 (144A) 1.673 12/20/2017 725,000 74,650
Enterprise Products Operating LLC, 3.7%, 6/1/15 3.7 06/01/2015 3,830,000 3,893,646
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 12/25/35 0.351 12/25/2035 9,778,000 1,895,383
Michaels Stores, Inc., Term B Loan, 1/28/20 3.75 01/28/2020 982,500 977,690
Ameriquest Mort Sec Inc Asset Backed Pass Thr Cert 03 AR3, Floating Rate Note, 6/25/33 3.921 06/25/2033 729,633 354,567
CGBAM Commercial Mortgage Trust 2014-HD, Floating Rate Note, 2/18/31 (144A) 1.372 02/18/2031 1,050,000 1,047,637
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 1.0561 10/28/2016 1,725,000 1,738,178
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 2.572 10/15/2015 1,556,000 1,560,250
John Deere Capital Corp., Floating Rate Note, 12/10/15 0.3576 12/10/2015 1,800,000 1,802,662
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 0.371 01/25/2036 6,155,063 1,044,262
Prestige Auto Receivables Trust 2013-1, 1.33%, 5/15/19 (144A) 1.33 05/15/2019 350,000 350,823
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 0.501 01/25/2036 810,000 506,217
Morgan Stanley, Floating Rate Note, 10/15/15 0.7333 10/15/2015 318,000 318,779
Chase Issuance Trust, 0.47%, 5/15/17 0.47 05/15/2017 200,000 200,059
PACCAR Financial Corp., Floating Rate Note, 5/5/15 0.381 05/05/2015 2,000,000 2,000,891
Albertsons LLC, Term B-2 Loan, 3/21/19 5.375 03/21/2019 1,503,474 1,511,528
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 1.093 06/15/2029 3,750,000 3,742,386
Tradewynd Re, Ltd., Floating Rate Note, 1/8/18 (Cat Bond) (144A) 5.025 01/08/2018 750,000 753,750
Berkshire Hathaway Finance Corp., Floating Rate Note, 1/10/17 0.4021 01/10/2017 1,855,000 1,855,633
RALI Series 2004-QR1 Trust, 5.25%, 10/25/34 5.25 10/25/2034 66,901,390 668,233
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 1.071 12/25/2031 30,500,000 1,078,956
The Bank of Nova Scotia, Floating Rate Note, 12/13/16 0.6606 12/13/2016 1,800,000 1,807,553
Advantage Sales & Marketing Inc 1st Lien Tl-B L + 3.25% 11jul21 4.25 07/11/2021 685,544 683,034
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 4.568 01/15/2031 1,000,000 110,764
Citigroup Mortgage Loan Trust 2010-4 REMICS, 5.0%, 10/25/35 (144A) 5.0 10/25/2035 9,095,000 2,489,246
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 0.619 04/28/2039 1,899,351 1,742,562
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3 REMICS, Floating Rate Note, 8/15/42 4.936 08/15/2042 8,585,000 6,870,798
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 0.521 05/25/2036 23,900,354 687,059
Asset-Backed Pass-Through Certificates Series 2004-R2, Floating Rate Note, 4/25/34 0.791 04/25/2034 24,000,000 1,248,785
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 1,147,083 1,148,345
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 2.3788 08/25/2033 1,500,000 93,036
ConvaTec, Inc., Dollar Term Loan, 12/22/16 4.0 12/22/2016 796,876 800,860
Hyundai Capital Services, Inc., Floating Rate Note, 3/18/17 (144A) 1.0426 03/18/2017 1,950,000 1,956,794
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 0.572 05/15/2036 7,791,000 529,107
Ardagh Holdings USA, Inc., New Term Loan, 12/17/19 4.0 12/17/2019 678,870 678,870
Texas Competitive Electric Holdings Co LLC, DIP Delayed Draw Term Loan (2014), 5/5/16 3.75 05/05/2016 1,595,935 1,606,109
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 0.8135 11/20/2034 5,055,000 508,769
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 1.1709 08/15/2031 5,350,000 4,112,053
Westpac Banking Corp., Floating Rate Note, 7/17/15 (144A) 1.0566 07/17/2015 500,000 501,957
Volkswagen International Finance NV, 1.15%, 11/20/15 (144A) 1.15 11/20/2015 4,990,000 5,026,130
American Express Credit Corp., Floating Rate Note, 6/12/15 1.3399 06/12/2015 3,441,000 3,460,879
Chesapeake Funding LLC, Floating Rate Note, 4/7/24 (144A) 1.421 04/07/2024 2,050,000 1,012,551
Branch Banking & Trust Co., Floating Rate Note, 5/23/17 0.5615 05/23/2017 500,000 497,765
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/37 0.721 10/25/2037 1,030,000 126,516
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-4, 5.0%, 7/25/20 5.0 07/25/2020 486,000 15,179
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 7/25/34 0.831 07/25/2034 2,783,000 646,786
GE Business Loan Trust 2006-2, Floating Rate Note, 11/15/34 (144A) 0.353 11/15/2034 6,967,382 2,468,498
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/28 0.52 03/25/2028 24,210,000 299,292
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 1.472 03/16/2026 1,460,000 1,460,725
Chevron Corp., Floating Rate Note, 11/9/16 0.3561 11/09/2016 2,640,000 2,640,771
Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Floating Rate Note, 10/17/44 5.2416 10/17/2044 2,840,733 2,032,088
Credit Acceptance Auto Loan Trust 2013-1, 1.21%, 10/15/20 (144A) 1.21 10/15/2020 1,000,000 1,001,114
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 0.471 03/25/2036 700,000 111,990
Structured Asset Securities Corp Mortgage Loan Trust 2007-TC1, Floating Rate Note, 4/25/31 (144A) 0.471 04/25/2031 3,000,000 986,533
Bright Horizons Family Solutions I 1st Lien Tl-B1 L + 3.25% 30jan20 4.25 01/30/2020 600,000 603,750
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C REMICS, Floating Rate Note, 6/25/28 0.831 06/25/2028 42,262,000 1,890,859
Government National Mortgage Association, Floating Rate Note, 1/16/33 0.372 01/16/2033 26,309,521 928,963
Wells Fargo Bank NA, Floating Rate Note, 5/16/16 0.4671 05/16/2016 975,000 973,500
AmeriCredit Automobile Receivables Trust 2013-4, 0.74%, 11/8/16 0.74 11/08/2016 1,500,000 220,633
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2.3979 03/25/2034 3,865,000 565,962
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 0.541 09/25/2035 8,206,169 2,215,933
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 0.571 07/25/2034 7,443,000 492,658
Prestige Brands, Inc., Term B-2 Loan, 8/18/21 4.5 08/18/2021 558,333 559,869
IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36 0.851 02/25/2036 3,493,986 529,963
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 0.971 10/25/2034 9,071,000 459,388
Amazon.com, Inc., 0.65%, 11/27/15 0.65 11/27/2015 2,950,000 2,955,874
World Omni Auto Receivables Trust 2013-B, 0.48%, 11/15/16 0.48 11/15/2016 50,000 13,458
First Investors Auto Owner Trust 2014-3, 1.06%, 11/15/18 (144A) 1.06 11/15/2018 2,000,000 1,998,014
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 4.985 09/11/2042 3,751,000 3,834,061
Bank of The West Auto Trust 2014-1, 0.69%, 7/17/17 (144A) 0.69 07/17/2017 1,850,000 1,850,449
Crusade Global Trust No 1 of 2007, Floating Rate Note, 4/19/38 0.3166 04/19/2038 15,883,244 2,493,912
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 0.521 08/25/2036 4,987,000 965,871
Metropolitan Life Global Funding I, 3.125%, 1/11/16 (144A) 3.125 01/11/2016 690,000 708,517
Crowne Group Llc 1st Lien Tl-B L + 5% 29sep20 6.0 09/29/2020 498,750 491,269
Sinclair Television Group, Inc., New Tranche B Term Loan, 4/19/20 3.0 04/19/2020 1,334,952 1,317,988
PVH Corp., Tranche B Term Loan, 2/13/20 3.25 02/13/2020 1,112,487 1,119,671
Cabela's Credit Card Master Note Trust, Floating Rate Note, 2/18/20 (144A) 0.703 02/18/2020 2,150,000 2,156,097
Federal Farm Credit Banks, Floating Rate Note, 10/26/15 0.15 10/26/2015 2,560,000 2,560,913
Government National Mortgage Association, Floating Rate Note, 4/16/32 0.722 04/16/2032 13,425,000 240,020
McKesson Corp., Floating Rate Note, 9/10/15 0.6376 09/10/2015 3,130,000 3,135,875
Credit Suisse Commercial Mortgage Trust Series 2006-C2, Floating Rate Note, 3/15/39 5.6818 03/15/2039 3,730,000 2,483,715
Volvo Financial Equipment LLC Series 2014-1, 0.54%, 11/15/16 (144A) 0.54 11/15/2016 1,700,000 1,365,675
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/27/45 (144A) 0.371 11/27/2045 21,220,000 2,057,252
Sanders Re, Ltd., Floating Rate Note, 5/25/18 (Cat Bond) (144A) 3.0152 05/25/2018 1,000,000 993,033
ABFC 2003-WMC1 Trust, Floating Rate Note, 3/25/33 2.946 03/25/2033 3,691,000 15,337
Kubota Credit Owner Trust 2014-1, 0.58%, 2/15/17 0.58 02/15/2017 800,000 719,728
Verizon Communications, Inc., 0.7%, 11/2/15 0.7 11/02/2015 3,300,000 3,309,839
The Huntington National Bank, Floating Rate Note, 4/24/17 0.6811 04/24/2017 2,000,000 1,998,421
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 0.631 03/25/2030 40,482,746 2,406,189
Wachovia Corp., Floating Rate Note, 6/15/17 0.5106 06/15/2017 1,999,000 1,996,615
PACCAR Financial Corp., Floating Rate Note, 6/6/17 0.4254 06/06/2017 1,290,000 1,289,513
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/21 1.071 09/25/2021 8,269,375 75,127
Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 (144A) 1.223 04/15/2032 4,920,000 4,891,935
Morgan Stanley ABS Capital I Inc Trust 2005-HE6, Floating Rate Note, 11/25/35 0.491 11/25/2035 160,000 54,157
Structured Asset Securities Corp Mortgage Loan Trust 2005-S7, Floating Rate Note, 12/25/35 (144A) 0.471 12/25/2035 11,868,000 1,513,076
Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16 1.0826 06/17/2016 1,130,000 1,135,227
PHARMEDIUM HEALTHCARE Corp., Initial Term Loan (First Lien), 1/23/21 4.25 01/23/2021 255,975 253,415
Tesoro Corp., Initial Term Loan, 5/30/16 2.422 05/30/2016 795,000 799,949
On Assignment, Inc., Initial Term B Loan, 5/15/20 3.5 05/15/2020 1,037,113 1,031,603
Georgia Power Co., Floating Rate Note, 3/15/16 0.5606 03/15/2016 1,090,000 1,090,574
Federal Farm Credit Banks, Floating Rate Note, 3/4/15 0.27 03/04/2015 1,360,000 1,360,838
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 1.0735 05/19/2033 36,301,000 1,763,347
KeyCorp, 3.75%, 8/13/15 3.75 08/13/2015 5,350,000 5,435,239
Chemtura Corp., New Term Loan, 8/29/16 3.5 08/29/2016 146,429 146,581
Trafigura Securitisation Finance Plc. 2014-1, Floating Rate Note, 4/16/18 (144A) 1.122 04/16/2018 1,400,000 1,401,082
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/41 0.522 12/15/2041 1,000,000 639,728
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 3/25/32 (144A) 1.296 03/25/2032 6,512,459 1,068,338
BAMLL Commercial Mortgage Securities Trust 2014-FL1, Floating Rate Note, 12/15/31 2.3663 12/17/2031 3,613,000 3,628,957
American Airlines, Inc., Class B Term Loan, 6/27/19 3.75 06/27/2019 2,511,750 2,512,272
Delta Funding Home Equity Loan Trust 1997-2, 7.04%, 6/25/27 7.04 06/25/2027 1,000,000 926
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/33 1.6709 05/15/2033 2,000,000 233,063
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/40 0.522 07/15/2040 2,570,000 538,124
Royal Bank of Canada, Floating Rate Note, 6/16/17 0.4829 06/16/2017 2,200,000 2,198,670
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1.4209 05/27/2016 1,800,000 1,813,011
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/23 0.622 06/15/2023 6,500,000 103,203
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 5.23 12/17/2040 9,446,500 6,370,713
Shell International Finance BV, Floating Rate Note, 11/15/16 0.4671 11/15/2016 1,500,000 1,503,196
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 1.922 06/15/2034 5,454,000 5,443,501
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 0.471 10/25/2035 6,475,000 624,072
USI, Inc. New York, Initial Term Loan 2013, 12/30/19 4.25 12/30/2019 1,087,904 1,080,425
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 1.172 03/15/2032 122,751,000 1,072,873
Honda Auto Receivables 2013-2 Owner Trust, 0.53%, 2/16/17 0.53 02/16/2017 959,000 812,223
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/29 0.522 02/15/2029 23,100,000 260,668
Citigroup, Inc., Floating Rate Note, 4/1/16 1.0452 04/01/2016 1,325,000 1,331,641
Bayview Financial Acquisition Trust, Floating Rate Note, 5/28/44 0.799 05/28/2044 32,920,000 284,941
MassMutual Global Funding II, Floating Rate Note, 12/11/15 (144A) 0.3589 12/11/2015 1,750,000 1,752,573
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 0.481 11/25/2035 21,900,000 3,966,281
JPMorgan Chase & Co., Floating Rate Note, 10/15/15 0.9133 10/15/2015 2,000,000 2,008,013
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14, 5.171%, 12/11/38 5.171 12/11/2038 2,735,000 786,564
Encore Credit Receivables Trust 2005-3, Floating Rate Note, 10/25/35 0.641 10/25/2035 3,705,000 745,635
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.871 01/25/2035 25,745,000 3,076,110
State Street Bank & Trust Co., Floating Rate Note, 12/8/15 0.4354 12/08/2015 4,940,000 4,940,798
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 2.0501 10/25/2033 12,490,305 1,435,467
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 0.652 06/15/2030 34,427,303 1,925,065
GLC Trust 2013-1, 3.0%, 7/15/21 (144A) 3.0 07/15/2021 3,200,000 2,397,814
Salomon Brothers Mortgage Securities VII, Inc., Floating Rate Note, 3/25/28 0.651 03/25/2028 49,537,000 65,487
Pelican Re, Ltd., Floating Rate Note, 4/13/15 (Cat Bond) (144A) 13.9854 04/13/2015 2,000,000 2,088,839
West Corp., Term B-10 Loan, 6/30/18 3.25 06/30/2018 1,004,821 1,003,722
Capital One NA, Floating Rate Note, 3/22/16 0.6971 03/22/2016 1,900,000 1,904,233
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 1.173 11/18/2032 105,671,000 1,915,741
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/36 0.411 12/25/2036 4,800,000 266,426
VOLT XXX LLC, 3.625%, 10/25/57 (Step) 3.625 10/25/2057 2,250,000 2,250,281
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/36 0.472 03/15/2036 5,000,000 1,074,360
Residential Asset Securitization Trust 2003-A15, Floating Rate Note, 2/25/34 0.621 02/25/2034 10,120,000 566,577
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 8.6325 04/08/2016 1,750,000 1,836,353
Berkshire Hathaway Finance Corp., Floating Rate Note, 8/14/17 0.3821 08/14/2017 2,500,000 2,497,479
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE2, Floating Rate Note, 2/25/35 0.846 02/25/2035 8,100,000 558,339
Capital One Multi-Asset Execution Trust, Floating Rate Note, 6/17/19 0.263 06/17/2019 4,470,000 4,459,288
Toyota Motor Credit Corp., Floating Rate Note, 9/18/15 0.3926 09/18/2015 2,300,000 2,303,404
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 0.519 02/28/2041 6,439,000 406,674
Motor 2013-1 Plc, Floating Rate Note, 2/25/21 (144A) 0.671 02/25/2021 2,946,000 565,144
Offshore Group Investment, Ltd., Second Term Loan, 3/28/19 5.75 03/28/2019 158,784 98,446
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 0.371 12/25/2036 3,000,000 327,249
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.391 04/25/2031 6,464,393 1,087,905
Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A) 0.471 01/25/2036 51,217,354 3,921,220
Chase Issuance Trust, Floating Rate Note, 4/15/19 0.423 04/15/2019 150,000 149,127
Cisco Systems, Inc., Floating Rate Note, 9/3/15 0.2846 09/03/2015 3,600,000 3,602,656
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/35 0.522 11/15/2035 850,000 182,227
Volkswagen Auto Lease Trust 2013-A, Floating Rate Note, 12/21/15 0.4235 12/21/2015 2,000,000 147,660
Hyundai Auto Receivables Trust 2012-A, 0.95%, 12/15/16 0.95 12/15/2016 3,878,000 2,424,505
CHS, 2021 Term D Loan, 1/27/21 4.25 01/27/2021 71,647 71,930
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 0.671 05/25/2040 8,500,000 1,190,320
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 0.621 06/25/2036 4,068,753 2,853,109
CNH Equipment Trust 2012-A, 2.09%, 8/15/18 2.09 08/15/2018 2,310,000 2,340,856
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36 0.721 08/25/2036 4,450,000 263,815
American Express Credit Account Master Trust, Floating Rate Note, 1/15/20 0.443 01/15/2020 350,000 349,983
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 3.25 12/19/2020 1,578,075 1,579,049
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 2.4 11/17/2025 1,400,000 402,723
CSMC Series 2014-ICE, Floating Rate Note, 4/15/27 (144A) 1.372 04/15/2027 6,470,000 6,444,784
SWAY Residential 2014-1 Trust, Floating Rate Note, 1/20/32 (144A) 1.472 01/20/2032 2,900,000 2,870,712
Westgate Resorts LLC, 9.5%, 2/20/25 (144A) 9.5 02/20/2025 5,000,000 1,686,637
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 4/20/18 0.5735 04/20/2018 1,190,000 1,190,290
General Electric Capital Corp., Floating Rate Note, 5/15/17 0.5371 05/15/2017 2,000,000 2,001,476
Credit Suisse Commercial Mortgage Trust Series 2006-C1, Floating Rate Note, 2/15/39 5.4683 02/15/2039 5,802,000 5,875,120
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 5.25 04/25/2032 2,691,322 765,828
Zebra Technologies Corporation 1st Lien Tl-B L + 4% 30sep21 4.75 09/30/2021 1,000,000 1,012,071
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 5/1/15 0.3036 05/01/2015 2,720,000 2,721,168
Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36 0.521 05/25/2036 6,501,000 2,076,688
TAL Advantage I LLC, Floating Rate Note, 4/20/21 (144A) 0.3635 04/20/2021 1,250,000 144,878
American Express Credit Corp., 1.75%, 6/12/15 1.75 06/12/2015 3,000,000 3,021,910
Discover Card Execution Note Trust, Floating Rate Note, 3/15/18 0.753 03/15/2018 6,550,000 6,563,131
The Bank of New York Mellon Corp., Floating Rate Note, 3/4/16 0.4646 03/04/2016 3,275,000 3,284,186
ACA CLO 2006-2, Ltd., Floating Rate Note, 1/20/21 (144A) 0.9766 01/20/2021 3,250,000 3,203,135
Government National Mortgage Association, Floating Rate Note, 8/20/35 0.5735 08/20/2035 3,497,364 279,371
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 7.2652 07/05/2016 2,250,000 2,355,931
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/26/46 (144A) 3.4426 11/26/2046 3,500,000 3,589,936
WaMu Mortgage Pass-Through Certificates Series 2002-AR19 Trust, Floating Rate Note, 2/25/33 2.3932 02/25/2033 18,180,000 643,178
The Bank of New York Mellon Corp., 2.95%, 6/18/15 2.95 06/18/2015 2,400,000 2,431,755
The Connecticut Light & Power Co., 5.0%, 4/1/15 5.0 04/01/2015 1,200,000 1,228,506
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP20, Floating Rate Note, 10/12/42 5.1404 10/12/2042 8,735,000 8,377,004
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 0.571 10/25/2036 71,456,000 2,619,243
Vz Flt% 06mar15 144a 0.4354 03/06/2015 1,715,000 1,715,000
Booz Allen Hamilton, Inc., Refinance Tranche B, 7/31/19 3.75 07/31/2019 1,358,138 1,362,664
Toyota Auto Receivables 2013-B Owner Trust, 0.48%, 2/15/16 0.48 02/15/2016 2,390,000 261,239
RALI Series 2003-QS5 Trust, Floating Rate Note, 3/25/18 0.621 03/25/2018 30,000,000 869,144
TMS International Corp., Term B Loan, 10/2/20 4.5 10/02/2020 148,500 141,075
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.621 06/25/2037 900,000 103,178
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/19 0.402 02/15/2019 4,675,000 293,208
MortgageIT Trust 2005-2, Floating Rate Note, 5/25/35 0.431 05/25/2035 8,495,000 1,575,783
Mpg Holdco I Inc 1st Lien Tl-B L + 3.5% 13oct21 4.25 10/13/2021 1,564,792 1,573,098
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 0.522 05/15/2041 340,000 104,496
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 0.5876 03/10/2017 1,500,000 1,503,454
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 0.4683 09/25/2036 5,483,897 697,065
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 0.6971 03/22/2016 4,300,000 4,304,363
Honda Auto Receivables 2014-1 Owner Trust, 0.41%, 9/21/16 0.41 09/21/2016 2,715,000 1,928,805
Royal Bank of Canada, 1.15%, 3/13/15 1.15 03/13/2015 2,532,000 2,545,877
Avis Budget Car Rental LLC, Tranche B Term Loan, 3/15/19 3.0 03/15/2019 1,279,592 1,282,257
Citigroup Mortgage Loan Trust, Inc., 6.5%, 6/25/16 6.5 06/25/2016 10,100,000 8,121
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 0.8535 05/19/2035 83,350,000 4,243,143
Volkswagen Auto Lease Trust 2013-A, 0.63%, 12/21/15 0.63 12/21/2015 1,530,000 112,975
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 10.7904 04/10/2015 1,945,000 1,982,617
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/18 0.472 11/15/2018 7,142,857 20,780
LB-UBS Commercial Mortgage Trust 2005-C2 REMICS, Floating Rate Note, 4/15/30 5.205 04/15/2030 4,785,000 1,543,557
US Bancorp, 2.45%, 7/27/15 2.45 07/27/2015 2,620,000 2,648,041
Tribune Media Co., Initial Term Loan, 11/20/20 4.0 11/20/2020 2,116,251 2,120,219
NCUA Guaranteed Notes Trust, Floating Rate Note, 12/8/20 0.731 12/08/2020 410,000 278,940
Volkswagen International Finance NV, Floating Rate Note, 11/18/16 (144A) 0.6962 11/18/2016 1,750,000 1,753,823
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/23 2.358 10/01/2023 1,890,000 8,460
Altisource Solutions Sarl, Term B Loan, 12/9/20 4.5 12/09/2020 987,565 790,052
SMART Trust/Australia, Floating Rate Note, 8/15/16 0.472 08/15/2016 1,500,000 953,742
Intelsat Jackson Holdings SA, Tranche B-2 Term Loan, 6/30/19 3.75 06/30/2019 521,732 518,602
Lehman XS Trust Series 2005-2, Floating Rate Note, 8/25/35 0.871 08/25/2035 42,014,000 2,686,704
Barclays Bank Plc, Floating Rate Note, 2/17/17 0.8371 02/17/2017 821,000 823,682
Government National Mortgage Association, Floating Rate Note, 8/20/38 0.6735 08/20/2038 4,585,000 429,826
Cent CLO 16 LP, Floating Rate Note, 8/1/24 (144A) 1.4824 08/01/2024 3,250,000 3,248,592
Surf Flt% 25jun36 05-Ab2-A1d 0.501 06/25/2036 18,964,000 786,454
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 0.6071 05/23/2016 3,150,000 3,161,485
Bayview Financial Acquisition Trust, 6.205%, 5/28/37 (Step) 6.205 05/28/2037 100,000 55,808
Structured Asset Securities Corp Mortgage Pass Through Ctfs Series 2003-35, Floating Rate Note, 12/2 0.671 12/25/2033 2,500,000 138,064
Dtaot 1.06% 17sep18 15-1a 1.06 09/17/2018 2,100,000 2,098,790
Government National Mortgage Association, Floating Rate Note, 8/16/39 1.172 08/16/2039 2,960,000 492,809
RALI Series 2004-QS1 Trust, 4.25%, 1/25/34 4.25 01/25/2034 4,500,000 1,197
State Street Corp., 2.875%, 3/7/16 2.875 03/07/2016 2,500,000 2,591,501
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 3.4576 01/15/2017 500,000 512,413
Ziggo Bv 1st Lien Tl-B1 L + 2.75% 15jan22 3.5 01/15/2022 1,072,383 1,064,628
Government National Mortgage Association, Floating Rate Note, 5/16/38 0.572 05/16/2038 8,761,000 584,079
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 4.75 04/25/2034 12,155,000 571,005
Cabela's Credit Card Master Note Trust, Floating Rate Note, 3/16/20 0.523 03/16/2020 1,100,000 1,100,105
Pricoa Global Funding I, Floating Rate Note, 5/16/16 (144A) 0.4071 05/16/2016 1,500,000 1,499,897
Duke Energy Progress, Inc., Floating Rate Note, 11/20/17 0.4606 11/20/2017 5,100,000 5,095,814
Bway Holding Co 1st Lien Tl-B L + 4.5% 08aug20 5.5 08/08/2020 0 0
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 0.5906 12/15/2016 2,850,000 2,842,460
Firstmac Mortgage Funding Trust Series 1A-2014, Floating Rate Note, 6/26/15 (144A) 0.5215 06/26/2015 2,500,000 2,500,863
DEALERTRACK TECHNOLOGIES INC, Term Loan, 2/27/21 3.25 02/27/2021 954,022 951,438
Federal National Mortgage Association REMICS, Floating Rate Note, 7/18/27 0.673 07/18/2027 10,000,000 38,048
EQTY 2014-INNS Mortgage Trust REMICS, Floating Rate Note, 5/8/31 (144A) 1.771 05/08/2031 1,850,000 1,833,178
Morgan Stanley, Floating Rate Note, 1/5/18 0.9749 01/05/2018 2,700,000 2,709,984
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 11/25/34 0.971 11/25/2034 30,931,007 731,644
Synchrony Credit Card Master Note Trust, 3.69%, 3/15/18 3.69 03/15/2018 1,600,000 1,604,658
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 1.011 01/25/2035 25,907,600 3,081,857
Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34 0.911 11/25/2034 34,014,000 2,138,016
Windstream Corp., Tranche B-5 Term Loan, 8/8/19 3.5 08/08/2019 708,778 707,623
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.421 03/25/2037 30,888,000 776,065
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 3.9669 08/25/2053 5,300,000 3,954,339
DELOS FINANCE SARL, Loan, 2/27/21 3.5 03/06/2021 1,295,000 1,297,833
The Bank of Nova Scotia, Floating Rate Note, 3/15/16 0.6406 03/15/2016 2,000,000 2,009,396
Toyota Auto Receivables 2014-C Owner Trust, 0.51%, 2/15/17 0.51 02/15/2017 1,770,000 1,769,916
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19, Floating Rate Note, 2/12/49 5.6939 02/12/2049 475,000 4,931
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 8.1252 01/07/2016 1,000,000 1,033,765
WaMu Mortgage Pass-Through Certificates Series 2005-AR7 Trust, Floating Rate Note, 8/25/35 2.3559 08/25/2035 28,565,000 916,319
HJ Heinz Co., Term B-2 Loan, 6/5/20 3.5 06/05/2020 1,048,202 1,051,477
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 0.5615 11/23/2016 1,800,000 1,801,861
Westpac Banking Corp., Floating Rate Note, 5/19/17 0.5867 05/19/2017 2,000,000 1,999,218
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 4.5152 12/06/2016 2,900,000 3,001,645
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 3.1033 07/15/2023 1,850,000 1,766,239
RFSC Series 2003-RP2 Trust, Floating Rate Note, 7/25/41 (144A) 1.671 07/25/2041 2,000,000 468,110
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/32 1.171 07/25/2032 15,000,000 195,775
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 3.0914 06/25/2030 2,875,810 441,939
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 1.21 08/15/2018 700,000 455,161
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 4.974 07/10/2045 1,700,000 1,710,864
Fannie Mae Trust 2003-W6, Floating Rate Note, 9/25/42 0.521 09/25/2042 11,350,000 924,817
Nissan Auto Receivables 2013-A Owner Trust, 0.5%, 5/15/17 0.5 05/15/2017 3,400,000 1,994,017
TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16 0.9366 06/30/2016 3,544,000 3,561,114
Cisco Systems, Inc., Floating Rate Note, 3/3/17 0.5146 03/03/2017 2,580,000 2,590,391
Capital One Multi-Asset Execution Trust, Floating Rate Note, 12/16/19 0.252 12/16/2019 3,400,000 3,387,035
Asset Backed Securities Corp Home Equity Loan Trust Series NC 2005-HE4, Floating Rate Note, 5/25/35 0.846 05/25/2035 3,657,000 336,056
Shbass 0.185% 19mar15 0.185 03/19/2015 2,640,000 2,641,217
Federal Farm Credit Banks, Floating Rate Note, 3/9/15 0.08 03/09/2015 2,200,000 2,200,405
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/33 0.571 08/25/2033 485,000 16,467
HLSS Servicer Advance Receivables Backed Notes Series 2013-T2, 1.1472%, 5/16/44 (144A) 1.1472 05/16/2044 4,240,000 4,209,956
Federal Farm Credit Banks, Floating Rate Note, 2/18/16 0.16 02/18/2016 2,610,000 2,611,130
Halyard Health Inc 1st Lien Tl-B L + 3.25% 03oct21 4.0 10/03/2021 1,000,000 1,008,905
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 1.0195 11/25/2034 62,595,000 3,021,442
Unbc Flt% 09feb18 0.8256 02/09/2018 2,425,000 2,429,462
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2.8581 03/25/2034 8,200,000 450,207
Federal Farm Credit Banks, 0.39%, 4/25/16 0.39 04/25/2016 2,133,000 2,134,038
Syncreon Group BV, Term Loan, 9/26/20 5.25 09/26/2020 198,000 195,525
GSAMP Trust 2006-SD1, Floating Rate Note, 7/25/45 0.631 07/25/2045 9,948,000 506,566
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 7.5051 04/09/2015 2,250,000 2,289,525
GRIFOLS WORLDWIDE OPERATIONS USA INC, U.S. Tranche B Term Loam, 4/1/21 3.172 04/01/2021 521,063 520,855
Royal Bank of Canada, Floating Rate Note, 9/9/16 0.6956 09/09/2016 2,000,000 2,010,668
Hewett's Island CDO, Ltd., Floating Rate Note, 6/9/19 (144A) 2.4856 06/09/2019 1,000,000 1,006,288
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 1.3574 07/25/2029 3,866,000 124,118
Post Holdings Inc 1st Lien Tl-B L + 3% 23may21 3.75 05/23/2021 995,000 996,990
Bayview Opportunity Master Fund IIa Trust 2012-4NPL, 3.9496%, 1/30/34 (Step) (144A) 3.9496 01/30/2034 2,125,000 1,041,446
Outfront Media Capital LLC, Term Loan, 1/15/21 3.0 01/15/2021 1,629,423 1,621,530
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 0.851 06/25/2033 8,955,000 162,441
CCG Receivables Truste 2013-1, 1.05%, 4/14/20 (144A) 1.05 04/14/2020 900,000 363,485
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 8.02 07/09/2015 2,500,000 2,578,528
Citibank Credit Card Issuance Trust, Floating Rate Note, 2/7/18 0.411 02/07/2018 9,931,000 9,932,201
RALI Series 2003-QS22 Trust, Floating Rate Note, 12/26/33 0.621 12/26/2033 8,400,000 843,696
JP Morgan Mortgage Trust 2004-A5, Floating Rate Note, 12/25/34 2.2017 12/25/2034 1,119,000 795,892
Tyco Electronics Group SA, Floating Rate Note, 1/29/16 0.4526 01/29/2016 2,400,000 2,400,483
TORONTO-DOMINION BANK, Floating Rate Note, 11/6/15 0.4551 11/06/2015 4,025,000 4,030,547
RPI Finance Trust, Term B-2 Term Loan, 5/9/18 3.25 05/09/2018 1,012,106 1,016,787
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 0.472 02/15/2036 5,087,000 883,223
Chase Issuance Trust, 0.59%, 8/15/17 0.59 08/15/2017 950,000 950,643
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A)