Pioneer Investments: Pioneer Multi-Asset Ultrashort Income Fund


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Pioneer Multi-Asset Ultrashort Income Fund

Monthly Portfolio Holdings as of 12/31/2015

Security Name Coupon Maturity Date Par / Shares Market Value($)
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 3.5 09/06/2019 325,732 324,836
American Express Credit Account Master Trust, Floating Rate Note, 1/15/20 0.6005 01/15/2020 350,000 349,544
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 0.9216 05/25/2040 8,500,000 892,068
KeyBank NA Cleveland Ohio, Floating Rate Note, 6/1/18 0.9342 06/01/2018 2,500,000 2,496,016
McKesson Corp., 3.25%, 3/1/16 3.25 03/01/2016 2,993,000 3,036,166
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/33 0.7305 01/15/2033 86,214,000 939,164
NRZ Advance Receivables Trust Advance Receivables Backed 2015-T1, 2.3147%, 8/15/46 (144A) 2.3147 08/15/2046 5,200,000 5,201,922
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 0.862 03/13/2017 2,000,000 1,998,500
LSTAR Securities Investment Trust 2014-2, Floating Rate Note, 11/1/19 (144A) 2.2438 11/01/2019 8,266,000 6,872,787
Harch CLO III, Ltd., Floating Rate Note, 4/17/20 (144A) 2.0739 04/17/2020 1,500,000 1,494,521
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 0.6405 06/15/2036 52,250,000 1,761,472
British Telecommunications Plc, 1.625%, 6/28/16 1.625 06/28/2016 4,081,000 4,086,638
Cratos CLO, Ltd., Floating Rate Note, 5/19/21 (144A) 2.7671 05/19/2021 4,500,000 4,489,331
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33 0.9216 09/25/2033 19,984,406 1,649,278
Pretium Mortgage Credit Partners I 2015-NPL2 LLC, 3.75%, 5/27/30 (Step) (144A) 3.75 05/27/2030 4,300,000 3,986,747
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/32 1.1216 01/25/2032 30,000,000 323,846
Mercedes-Benz Master Owner Trust, Floating Rate Note, 4/15/19 (144A) 0.6505 04/15/2019 2,500,000 2,494,179
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 1.6938 08/15/2031 2,500,000 2,478,556
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 1.5016 03/25/2035 1,457,000 201,639
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 0.6216 02/25/2037 5,150,000 392,820
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 1.0616 03/25/2034 108,757,000 5,119,543
US Bank NA Cincinnati Ohio, Floating Rate Note, 1/26/18 0.6199 01/26/2018 2,600,000 2,590,319
World Omni Auto Receivables Trust 2014-B, Floating Rate Note, 1/16/18 0.5605 01/16/2018 2,650,000 1,094,177
Impac CMB Trust Series 2003-8, Floating Rate Note, 10/25/33 1.3216 10/25/2033 14,250,000 723,163
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 7/25/34 0.7916 07/25/2034 20,600,000 2,079,866
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 0.6216 01/25/2036 6,155,063 844,456
Progreso Receivables Funding III LLC, 3.625%, 1/30/25 (144A) 3.625 01/30/2025 3,050,000 3,050,912
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 11/18/16 0.8741 11/18/2016 1,800,000 1,801,664
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.9716 09/25/2037 1,915,000 179,701
Credit Suisse Commercial Mortgage Trust Series 2007-C4 REMICS, Floating Rate Note, 9/15/39 6.147 09/15/2039 1,955,009 1,407,273
Alliant Holdings I LLC, Initial Term Loan, 7/28/22 4.5 07/28/2022 72,125 70,750
Dominion Resources, Inc. Virginia, 1.95%, 8/15/16 1.95 08/15/2016 2,376,000 2,399,488
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 1.3431 12/10/2027 500,000 500,481
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 1.0416 10/25/2028 38,289,000 1,480,394
Fannie Mae, Floating Rate Note, 2/1/34 2.295 02/01/2034 500,000 23,088
Ziggo Bv Us 1st Lien Tl-B1 L + 2.75% 15jan22 3.5 01/15/2022 1,072,383 1,043,479
Banc of America Funding 2005-A Trust, Floating Rate Note, 2/20/35 0.7121 02/20/2035 44,323,000 1,547,608
VOLT XXXIX LLC, 4.125%, 10/25/45 (Step) (144A) 4.125 10/25/2045 6,200,000 6,123,083
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 2.5432 11/25/2034 5,495,000 407,309
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25 0.7916 10/25/2035 800,000 286,854
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 1.0616 09/25/2034 49,152,075 1,771,018
TI Group Automotive Systems LLC, 7/1/21 4.25 07/01/2021 0 0
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 0.6716 02/25/2037 26,822,396 1,812,980
Pepper Residential Securities Trust, Floating Rate Note, 4/10/16 (144A) 0.6231 04/10/2016 2,000,000 2,000,335
Numericable Sfr Us 1st Lien Tl-B2 L + 3.75% 23apr20 4.5 04/23/2020 229,604 221,927
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38 1.6416 10/25/2038 6,344,000 513,482
NBCUniversal Enterprise, Inc., Floating Rate Note, 4/15/16 (144A) 0.8575 04/15/2016 3,744,000 3,749,017
B&G Foods, Inc., Tranche B Term Loan, 10/5/22 3.75 10/05/2022 625,000 625,781
GM Financial Automobile Leasing Trust 2015-3, Floating Rate Note, 6/20/18 0.9821 06/20/2018 1,000,000 1,000,725
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 1.0216 12/25/2032 14,000,000 316,008
Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36 0.8016 06/25/2036 18,000,000 2,002,814
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 3/18/16 1.0125 03/18/2016 3,975,000 3,976,009
San Diego Gas & Electric Co., Floating Rate Note, 3/9/17 0.677 03/09/2017 2,500,000 2,494,849
FREMF Mortgage Trust 2014-KF05 REMICS, Floating Rate Note, 9/25/21 (144A) 4.243 09/25/2021 5,276,000 5,012,752
Symphony CLO X, Ltd., Floating Rate Note, 7/23/23 (144A) 1.5864 07/23/2023 3,050,000 3,046,813
CNH Equipment Trust 2013-A, 0.69%, 6/15/18 0.69 06/15/2018 1,874,000 579,311
Government National Mortgage Association, Floating Rate Note, 1/16/35 0.5945 01/16/2035 11,437,000 1,012,154
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 0.9852 07/19/2016 1,500,000 1,504,532
Progreso Receivables Funding LLC, 3.0%, 7/8/20 (144A) 3.0 07/08/2020 1,700,000 1,683,765
Golden Credit Card Trust, Floating Rate Note, 3/15/21 (144A) 0.7805 03/15/2021 590,000 585,942
Citibank Credit Card Issuance Trust, Floating Rate Note, 5/26/20 0.6975 05/26/2020 1,595,000 1,590,291
CarMax Auto Owner Trust 2013-3, 0.97%, 4/16/18 0.97 04/16/2018 1,700,000 929,410
Raymond James Financial, Inc., 4.25%, 4/15/16 4.25 04/15/2016 7,834,000 7,963,835
Ew Scripps 1st Lien Termloan L + 2.9717% 26nov20 3.5 11/26/2020 521,038 518,758
Svensk Exportkredit AB, Floating Rate Note, 11/10/17 0.5136 11/10/2017 2,800,000 2,799,342
Morgan Stanley ABS Capital I Inc Trust 2005-NC2, Floating Rate Note, 3/25/35 1.0516 03/25/2035 2,854,027 1,154,363
GSAMP Trust 2004-SEA2, Floating Rate Note, 3/25/34 1.0716 03/25/2034 4,798,600 1,798,294
PNC Bank NA, Floating Rate Note, 6/1/18 0.8342 06/01/2018 2,500,000 2,489,888
Hudsons Bay Simon JV Trust 2015-HBS, Floating Rate Note, 8/7/34 (144A) 1.849 08/07/2034 3,500,000 3,506,841
Vodafone Group Plc, Floating Rate Note, 2/19/16 0.7521 02/19/2016 1,150,000 1,150,347
Sumitomo Mitsui Banking Corp. New York, Floating Rate Note, 5/2/17 0.6989 05/02/2017 1,715,000 1,716,075
Activision Blizzard, Inc., Term Loan, 7/26/20 3.25 07/26/2020 1,411,209 1,412,091
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 1.3498 03/25/2028 48,813,000 1,249,106
AT&T, Inc., 2.4%, 8/15/16 2.4 08/15/2016 3,925,000 3,986,527
Lehman ABS Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 6/15/33 0.7805 06/15/2033 3,950,000 123,601
VFC 2014-2 LLC, 2.75%, 7/20/30 (144A) 2.75 07/20/2030 3,510,000 409,514
Citigroup Commercial Mortgage Trust 2014-388G REMICS, Floating Rate Note, 6/16/33 (144A) 1.247 06/16/2033 3,840,000 3,767,651
CHS, Incremental 2019 Term G Loan, 12/31/19 3.3567 12/31/2019 25,038 24,448
Venture XII CLO, Ltd., Floating Rate Note, 2/28/24 (144A) 1.7117 02/28/2024 1,500,000 624,347
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 1.1216 01/25/2035 25,745,000 2,562,063
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 0.8216 07/25/2018 7,302,000 120,081
Kindred Healthcare, Inc., New Term Loan, 4/10/21 4.25 04/10/2021 1,097,222 1,058,819
First Investors Auto Owner Trust 2013-1, 2.53%, 1/15/20 (144A) 2.53 01/15/2020 1,775,000 1,768,243
CNH Equipment Trust 2013-B, 0.99%, 11/15/18 0.99 11/15/2018 750,000 744,513
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/37 1.0216 10/25/2037 2,400,000 568,865
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 0.6916 04/25/2032 49,625,000 3,136,447
Trade MAPS 1, Ltd., Floating Rate Note, 12/10/18 (144A) 1.5431 12/10/2018 3,079,000 3,037,840
AmeriCredit Automobile Receivables Trust 2013-2, 0.65%, 12/8/17 0.65 12/08/2017 485,000 36,476
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 4/28/17 0.6532 04/28/2017 2,740,000 2,740,097
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 1.7716 06/25/2033 1,826,298 921,870
PFP 2015-2, Ltd., Floating Rate Note, 7/14/34 (144A) 1.7805 07/14/2034 3,750,000 3,754,885
CommScope, Inc., Tranche 4 Term Loan, 1/14/18 3.3125 01/14/2018 119,741 119,442
Western Refining, Inc., Term Loan 2013, 11/12/20 4.25 11/12/2020 443,216 429,366
Language Line Llc 1st Lien Tl-B L + 5.5% 02jul21 6.5 07/02/2021 797,343 794,685
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 0.9816 01/25/2030 65,610,401 1,981,400
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/31 1.0216 11/25/2031 50,000,000 381,873
Evergreen Skills Lux Sarl, Initial Term Loan (First Lien), 4/23/21 5.75 04/23/2021 395,000 308,100
MGM Resorts International, Term B Loan, 12/20/19 3.5 12/20/2019 1,212,500 1,199,239
Bayer US Finance LLC, Floating Rate Note, 10/7/16 (144A) 0.5732 10/07/2016 5,300,000 5,304,364
Prestige Auto Receivables Trust 2013-1, 1.33%, 5/15/19 (144A) 1.33 05/15/2019 1,430,000 1,024,203
HSBC Home Equity Loan Trust USA 2007-2, Floating Rate Note, 7/20/36 0.5921 07/20/2036 3,073,874 445,882
California Republic Auto Receivables Trust 2013-1, 1.41%, 9/17/18 (144A) 1.41 09/17/2018 535,000 131,835
CG-CCRE Commercial Mortgage Trust 2014-FL1, Floating Rate Note, 6/16/31 (144A) 1.2805 06/16/2031 5,670,000 5,653,862
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3, Floating Rate Note, 8/25/35 (144 0.7216 08/25/2035 1,300,000 43,940
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR12, Floating Rate Note, 9/11/38 5.7058 09/11/2038 3,600,000 2,369,413
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 4.4651 04/18/2017 250,000 251,579
Cazenovia Creek Funding I LLC, 2.0%, 12/10/23 (144A) 2.0 12/10/2023 2,605,000 2,210,871
World Financial Network Credit Card Master Trust, Floating Rate Note, 2/15/22 0.8105 02/15/2022 1,550,000 1,541,156
Chase Issuance Trust, Floating Rate Note, 4/15/19 0.5805 04/15/2019 150,000 149,274
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/31 1.0216 07/25/2031 48,885,770 369,583
Volkswagen Group of America Finance LLC, Floating Rate Note, 11/22/16 (144A) 0.6576 11/22/2016 1,230,000 1,209,795
Prestige Auto Receivables Trust 2014-1, 0.97%, 3/15/18 (144A) 0.97 03/15/2018 2,395,000 534,480
Pricoa Global Funding I, Floating Rate Note, 6/24/16 (144A) 0.8044 06/24/2016 3,255,000 3,253,430
Federal Home Loan Banks, 2.9%, 4/20/17 2.9 04/20/2017 4,130,000 585,658
AWAS Finance Luxembourg 2012 SA, Term Loan, 7/16/18 3.5 07/16/2018 337,220 336,166
Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35 5.5 05/25/2035 19,264,330 41,229
American Credit Acceptance Receivables Trust 2013-1, 4.94%, 6/15/20 (144A) 4.94 06/15/2020 3,600,000 3,639,889
ML-CFC Commercial Mortgage Trust 2006-2, Floating Rate Note, 6/12/46 5.8887 06/12/2046 3,700,000 3,752,558
Integro Ltd/United States 1st Lien Tl-B1 L + 5.75% 09oct22 6.75 10/09/2022 651,389 636,733
Longpoint Re, Ltd. III, Floating Rate Note, 5/23/18 (Cat Bond) (144A) 3.75 05/23/2018 4,000,000 4,060,400
Enterprise Fleet Financing LLC, 1.59%, 2/22/21 (144A) 1.59 02/22/2021 2,600,000 2,584,191
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 1.01 01/18/2032 16,977,308 198,828
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 1.0421 11/20/2034 5,055,000 425,950
Freddie Mac Strips, Floating Rate Note, 12/15/36 0.6805 12/15/2036 10,968,000 469,508
Pretium Mortgage Credit Partners I 2015-NPL3 LLC, 4.125%, 10/27/30 (Step) (144A) 4.125 10/27/2030 4,350,000 4,215,706
Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A) 3.74 11/25/2019 2,350,000 2,350,666
Altice Financing SA, 7.875%, 12/15/19 (144A) 7.875 12/15/2019 1,250,000 1,304,375
Verizon Communications, Inc., Floating Rate Note, 9/15/16 2.042 09/15/2016 8,530,000 8,590,454
Structured Asset Mortgage Investments II Trust 2004-AR1, Floating Rate Note, 3/19/34 0.9025 03/19/2034 16,800,000 693,632
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 1.82 09/15/2020 731,000 228,132
American Honda Finance Corp., Floating Rate Note, 1/11/16 0.3406 01/11/2016 2,650,000 2,651,879
Silvre Zero% 18sep18 144a 0.0 09/18/2018 1,000,000 1,000,000
New York Life Global Funding, Floating Rate Note, 8/5/16 (144A) 0.3836 08/05/2016 2,675,000 2,675,643
Ford Motor Credit Co LLC, Floating Rate Note, 11/8/16 0.7939 11/08/2016 1,715,000 1,705,018
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 0.6305 09/15/2026 1,427,500 682,048
Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 (144A) 1.4005 04/15/2032 4,920,000 3,984,785
Home Equity Asset Trust 2005-6, Floating Rate Note, 12/25/35 0.8916 12/25/2035 4,004,000 2,011,988
Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35 0.8016 12/25/2035 3,990,000 560,849
JP Morgan Mortgage Acquisition Corp 2005-FLD1, Floating Rate Note, 7/25/35 1.2016 07/25/2035 2,575,000 2,550,116
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/20 (Cat Bond) (144A) 6.9924 04/07/2020 2,550,000 2,654,070
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/35 0.5805 01/15/2035 5,669,000 587,406
Invitation Homes 2014-SFR1 Trust REMICS, Floating Rate Note, 6/19/31 (144A) 2.431 06/19/2031 3,340,000 3,275,659
JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A) 1.581 04/15/2027 5,600,000 5,598,904
Federal National Mortgage Association, Floating Rate Note, 12/25/23 2.049 12/25/2023 5,000,000 278,032
Sequoia Mortgage Trust 2003-2, Floating Rate Note, 6/20/33 1.1984 06/20/2033 13,961,000 440,919
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 4.75 04/25/2034 16,155,000 469,338
Alamo Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 6.63 06/07/2017 1,000,000 1,022,374
Chase Issuance Trust, Floating Rate Note, 4/15/19 0.3805 04/15/2019 6,480,000 6,459,228
Honda Auto Receivables 2013-2 Owner Trust, 0.53%, 2/16/17 0.53 02/16/2017 959,000 200,529
Atlantic Power LP, Term Loan, 2/20/21 4.75 02/20/2021 2,537,415 2,527,899
Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 6.68 01/09/2017 2,000,000 1,953,973
Chevron Corp., Floating Rate Note, 11/9/16 0.4439 11/09/2016 2,640,000 2,639,444
Bank of The West Auto Trust 2014-1, 0.69%, 7/17/17 (144A) 0.69 07/17/2017 1,850,000 608,721
Georgia Power Co., Floating Rate Note, 3/15/16 0.832 03/15/2016 1,090,000 1,089,435
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/21 1.3216 09/25/2021 8,269,375 64,260
AmeriCredit Automobile Receivables 2015-4, Floating Rate Note, 4/8/19 1.0255 04/08/2019 3,000,000 3,002,350
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 0.6805 05/15/2041 340,000 82,766
Telesat Canada, U.S. Term B-2 Loan, 3/28/19 3.5 03/28/2019 653,702 645,531
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/16/27 (144A) 1.6305 02/16/2027 3,350,000 3,338,631
Navios Maritime Partners LP, Term Loan, 6/27/18 5.25 06/27/2018 1,405,726 1,377,611
American Credit Acceptance Receivables Trust 2014-3, 0.99%, 8/10/18 (144A) 0.99 08/10/2018 1,420,000 186,559
Tradewynd Re, Ltd., Floating Rate Note, 1/8/18 (Cat Bond) (144A) 4.99 01/08/2018 750,000 760,183
Bank of America Corp., 1.25%, 1/11/16 1.25 01/11/2016 1,000,000 1,005,979
Ownit Mortgage Loan Trust Series 2005-5, Floating Rate Note, 10/25/36 1.0016 10/25/2036 3,827,500 338,862
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 3.75 08/20/2025 8,405,000 2,689,751
Morgan Stanley ABS Capital I Inc Trust 2005-WMC1, Floating Rate Note, 1/25/35 1.1566 01/25/2035 4,500,000 2,234,106
Chase Issuance Trust, Floating Rate Note, 12/16/19 0.5905 12/16/2019 200,000 199,386
Bear Stearns Asset Backed Securities I Trust 2006-EC2, Floating Rate Note, 2/25/36 0.8216 02/25/2036 7,038,000 4,190,758
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/28 0.9305 04/15/2028 48,028,376 485,783
Alamo Re, Ltd., Floating Rate Note, 6/7/18 (Cat Bond) (144A) 6.1238 06/07/2018 2,500,000 2,567,215
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 1.21 08/15/2018 700,000 223,903
NPC International, Inc., Term Loan, 12/28/18 4.75 12/28/2018 154,400 152,920
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 1.1716 05/25/2035 4,525,000 3,403,921
Queest Flt% 07jun19 144a   06/07/2019 1,750,000 1,753,127
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 (144A) 0.5272 04/20/2021 7,786,000 1,274,894
RBSHD 2013-1 Trust, 4.6853%, 10/25/47 (Step) (144A) 4.6853 10/25/2047 3,600,000 1,440,709
Bright Horizons Family Solutions, Inc., Term B Loan, 1/30/20 4.0 01/30/2020 590,737 590,682
United States Treasury Floating Rate Note, Floating Rate Note, 10/31/17 0.4282 10/31/2017 13,780,000 13,775,918
Waste Industries Usa Inc 1st Lien Tl-B L + 3.25% 20feb20 4.25 02/20/2020 148,875 148,410
GSAMP Trust 2006-HE1, Floating Rate Note, 12/26/45 0.6316 12/26/2045 37,000,000 3,079,181
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/27/45 (144A) 0.6216 11/27/2045 21,220,000 1,531,548
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 8.765 04/08/2016 1,750,000 1,762,649
Callidus Debt Partners Clo Fund VI, Ltd., Floating Rate Note, 10/23/21 (144A) 0.5764 10/23/2021 3,500,000 2,449,973
Seb Cp Zero% 10mar16 Usd 0.0 03/10/2016 350,000 349,726
Bank of America NA, Floating Rate Note, 2/14/17 0.8316 02/14/2017 2,000,000 1,999,014
HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36 0.6421 03/20/2036 8,638,000 3,960,119
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/21 0.447 07/15/2021 17,312,039 126,579
Mizuho Bank, Ltd., Floating Rate Note, 3/26/18 (144A) 1.2431 03/26/2018 1,670,000 1,663,130
Granite Acquisition, Inc., Term C Loan (First Lien), 10/15/21 5.0 10/15/2021 126,437 113,635
TerraForm AP Acquisition Holdings LLC, Term Loan, 6/26/22 5.0 06/26/2022 961,056 913,003
New York Life Global Funding, Floating Rate Note, 12/15/17 (144A) 0.792 12/15/2017 6,650,000 6,663,227
NCUA Guaranteed Notes Trust, Floating Rate Note, 11/6/17 0.5622 11/06/2017 7,690,000 2,302,654
Nomura Resecuritization Trust 2014-1R, Floating Rate Note, 10/26/36 (144A) 0.347 10/26/2036 3,000,000 1,635,271
CDGJ Commercial Mortgage Trust 2014-BXCH, Floating Rate Note, 12/15/27 (144A) 2.8305 12/15/2027 6,045,000 5,981,044
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 10/25/24 1.621 10/25/2024 2,480,000 44,447
Avago Technologies Ltd 1st Lien Tl-B L + 3% 16apr21 3.75 04/16/2021 1,112,822 1,112,126
Pricoa Global Funding I, Floating Rate Note, 5/16/16 (144A) 0.5116 05/16/2016 1,500,000 1,500,140
321 Henderson Receivables I LLC, Floating Rate Note, 9/15/45 (144A) 0.6805 09/15/2045 3,120,000 609,450
Structured Asset Securities Corp Mortgage Pass Through Ctfs Series 2003-35, Floating Rate Note, 12/2 0.9216 12/25/2033 3,944,000 135,959
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 4.25 06/30/2019 1,101,751 827,078
CPS Auto Trust, 1.82%, 12/16/19 (144A) 1.82 12/16/2019 1,439,000 277,778
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 0.8621 02/20/2035 34,411,748 2,628,552
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 0.9505 10/15/2037 9,195,000 472,245
Impac CMB Trust Series 2004-5, Floating Rate Note, 8/25/34 1.2616 08/25/2034 9,850,000 463,047
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 0.6305 04/15/2036 3,463,000 511,164
RAMP Series 2004-RS11 Trust, Floating Rate Note, 11/25/34 1.3516 11/25/2034 3,805,000 669,580
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 0.7216 05/25/2036 25,142,877 987,946
GMAT 2015-1 Trust, 4.25%, 9/25/20 (Step) (144A) 4.25 09/25/2020 5,250,000 4,980,761
Mcdermott International Inc 1st Lien Tl-B L + 4.25% 11apr19 5.25 04/11/2019 492,500 480,188
JLL, Initial Dollar Term Loan, 1/23/21 4.25 01/23/2021 300,425 290,286
Government National Mortgage Association, Floating Rate Note, 4/16/32 0.8945 04/16/2032 13,425,000 210,526
Exeter Automobile Receivables Trust 2012-2, 3.06%, 7/16/18 (144A) 3.06 07/16/2018 1,000,000 1,002,728
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 1.0616 01/25/2029 14,411,000 676,981
LSTAR Securities Investment Trust 2015-9, Floating Rate Note, 10/1/20 (144A) 2.2438 10/01/2020 6,097,000 5,845,480
JP Morgan Mortgage Acquisition Corp 2005-FRE1, Floating Rate Note, 10/25/35 0.6416 10/25/2035 19,316,000 735,784
Wells Fargo Home Equity Asset-Backed Securities 2006-1 Trust REMICS, Floating Rate Note, 7/25/36 0.6716 07/25/2036 1,300,000 1,223,914
RAIT 2014-FL3 Trust, Floating Rate Note, 12/15/31 (144A) 1.4938 12/15/2031 3,774,000 2,745,835
Terex Corp., U.S. Term Loan, 8/13/21 3.5 08/13/2021 305,687 302,057
Valeant Pharmaceuticals International, Inc., Series C-2 Tranche B Term Loan, 12/11/19 3.75 12/11/2019 511,676 493,928
American Express Credit Account Master Trust, Floating Rate Note, 1/15/20 0.6205 01/15/2020 2,600,000 2,598,854
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 0.8716 02/25/2038 2,184,000 297,746
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-B, Floating Rate Note, 4/25/28 1.1016 04/25/2028 33,661,000 1,285,115
Trade MAPS 1, Ltd., Floating Rate Note, 12/10/18 (144A) 0.9931 12/10/2018 2,795,000 2,778,940
Avago Technologies Cayman Finance 1st Lien Tl-B L + 3.5% 13nov22 4.25 11/13/2022 2,375,000 2,349,602
Tricon American Homes 2015-SFR1 Trust REMICS, Floating Rate Note, 5/19/32 (144A) 1.981 05/19/2032 4,150,000 4,093,011
Numericable Us Llc 1st Lien Tl-B1 L + 3.75% 23apr20 4.5 04/23/2020 265,396 256,522
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/21/19 0.8521 10/21/2019 3,255,000 3,250,015
Ally Master Owner Trust, Floating Rate Note, 6/17/19 0.7305 06/17/2019 2,600,000 2,591,215
TMS International Corp., Term B Loan, 10/2/20 4.5 10/02/2020 145,074 109,531
CSC Holdings LLC, Term B Loan, 4/17/20 2.7315 04/17/2020 994,898 992,826
Merrill Lynch Mortgage Investors Trust Series 2005-A9, Floating Rate Note, 12/25/35 2.6491 12/25/2035 4,327,000 716,110
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 0.8216 07/25/2035 1,110,000 714,934
Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A) 1.3058 09/16/2016 1,500,000 1,499,645
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.6416 04/25/2031 6,464,393 677,330
Weight Watchers International, Inc., Initial Tranche B-2 Term Loan, 4/2/20 4.0 04/02/2020 382,826 281,856
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 0.7516 01/25/2036 810,000 399,774
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 0.7676 11/21/2016 2,465,000 2,463,113
World Omni Automobile Lease Securitization Trust 2014-A, Floating Rate Note, 3/15/17 0.5405 03/15/2017 2,500,000 1,569,487
VOLT XXXVIII LLC, 3.875%, 9/25/45 (Step) (144A) 3.875 09/25/2045 3,700,000 3,528,767
The Huntington National Bank, Floating Rate Note, 4/24/17 0.7449 04/24/2017 2,000,000 1,992,751
BBCMS Trust 2015-SLP, Floating Rate Note, 2/15/28 (144A) 2.3305 02/15/2028 3,150,000 3,109,811
Duke Energy Indiana, Inc., Floating Rate Note, 7/11/16 0.6696 07/11/2016 2,285,000 2,288,494
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 0.6816 12/25/2035 2,967,970 600,704
First Investors Auto Owner Trust 2014-2, 0.86%, 8/15/18 (144A) 0.86 08/15/2018 2,100,000 669,675
RENT-A-CENTER, INC, Term Loan (2014), 2/6/21 3.75 02/06/2021 1,719,375 1,616,213
ConvaTec, Inc., Dollar Term Loan, 12/22/16 4.25 12/22/2016 835,800 824,134
Federal Home Loan Mortgage Corp., Floating Rate Note, 2/15/18 0.6805 02/15/2018 26,045,000 347,506
Ford Credit Auto Lease Trust 2014-B, Floating Rate Note, 3/15/17 0.4905 03/15/2017 2,150,000 520,235
Citi Held For Asset Issuance 2015-PM1, 1.85%, 12/15/21 (144A) 1.85 12/15/2021 1,700,000 1,143,962
321 Henderson Receivables I LLC, Floating Rate Note, 6/15/41 (144A) 0.5305 06/15/2041 8,090,000 2,185,175
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 (144A) 4.838 07/15/2041 2,030,626 221,632
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1.75 01/07/2019 3,800,000 3,770,254
Lehman XS Trust Series 2005-2, Floating Rate Note, 8/25/35 1.1216 08/25/2035 42,014,000 1,888,995
EQTY 2014-INNS Mortgage Trust, Floating Rate Note, 5/8/31 (144A) 1.476 05/08/2031 3,530,000 3,469,235
DaVita HealthCare Partners, Inc., Tranche B Term Loan, 6/19/21 3.5 06/19/2021 469,097 467,688
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 7/22/19 0.7821 07/22/2019 2,670,000 2,666,877
CWABS Asset-Backed Certificates Trust 2004-7, Floating Rate Note, 12/25/34 1.4716 12/25/2034 13,486,000 5,035,011
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 0.6216 12/25/2036 3,000,000 171,347
Albertsons LLC, Term B-2 Loan, 3/21/19 5.5 03/21/2019 1,492,198 1,486,705
Aabst Flt% 25aug35 05-3-M1 0.8916 08/25/2035 670,000 352,319
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 0.7767 05/27/2016 2,530,000 2,532,938
The Toronto-Dominion Bank, Floating Rate Note, 7/8/16 0.5355 07/08/2016 1,320,000 1,321,026
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.7016 11/25/2035 23,257,000 2,478,178
American Express Credit Account Master Trust, Floating Rate Note, 5/15/20 0.6205 05/15/2020 3,300,000 3,294,444
Nn Inc 1st Lien Tl-B L + 4.75% 02oct22   10/02/2022 748,125 740,644
Garda World Security Corp., Term B Loan, 11/1/20 4.0038 11/01/2020 1,235,760 1,184,399
Jackson National Life Global Funding, Floating Rate Note, 10/13/17 (144A) 0.9005 10/13/2017 2,600,000 2,612,493
Nordea Bank AB, Floating Rate Note, 9/17/18 (144A) 1.3658 09/17/2018 2,600,000 2,611,045
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 0.8716 05/25/2018 34,469,500 711,530
SunTrust Bank, Floating Rate Note, 2/15/17 0.8016 02/15/2017 3,645,000 3,635,725
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.6916 11/25/2035 6,309,000 375,212
WireCo WorldGroup, Inc., Term Loan, 2/15/17 6.0 02/15/2017 823,309 792,435
Delta Funding Home Equity Loan Trust 1997-2, 7.04%, 6/25/27 7.04 06/25/2027 1,000,000 508
Government National Mortgage Association II, Floating Rate Note, 1/20/22 1.75 01/20/2022 1,000,000 10,328
East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (Cat Bond) (144A) 2.9941 03/14/2018 2,000,000 1,980,114
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.9916 09/25/2037 3,173,000 316,927
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 0.8216 05/25/2033 9,443,647 283,639
BAMLL Commercial Mortgage Securities Trust 2014-FL1, Floating Rate Note, 12/17/31 (144A) 2.5305 12/17/2031 3,613,000 3,600,482
Government National Mortgage Association, 4.0%, 7/20/34 4.0 07/20/2034 31,635,000 286,567
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 0.9781 03/30/2016 7,849,000 7,845,930
Ascentium Equipment Receivables 2014-1 LLC, 1.04%, 1/10/17 (144A) 1.04 01/10/2017 1,000,000 126,707
MRFC Mortgage Pass-Through Trust Series 2000-TBC3, Floating Rate Note, 12/15/30 0.7705 12/15/2030 24,150,000 998,198
Citigroup Mortgage Loan Trust 2010-4 REMICS, 5.0%, 10/25/35 (144A) 5.0 10/25/2035 9,095,000 1,446,055
Exxon Mobil Corp., Floating Rate Note, 3/15/17 0.552 03/15/2017 1,980,000 1,977,341
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 3.0 05/15/2018 2,777,000 449,715
Royal Bank of Canada, Floating Rate Note, 6/16/17 0.7578 06/16/2017 2,200,000 2,192,495
Granite Acquisition, Inc., Term B Loan (First Lien), 10/15/21 5.0 10/15/2021 2,844,828 2,556,789
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 10/27/36 (144A) 0.6916 10/27/2036 12,650,000 736,657
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5 REMICS, Floating Rate Note, 7/15/31 (1 2.4305 07/15/2031 2,500,000 2,480,444
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 3.5155 01/17/2019 1,500,000 1,540,480
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/38 0.7305 06/15/2038 4,056,000 367,964
Goldman Sachs Asset Management CLO Plc, Floating Rate Note, 8/1/22 (144A) 3.0789 08/01/2022 3,500,000 3,502,808
Lloyds Bank Plc, Floating Rate Note, 5/14/18 0.9116 05/14/2018 3,500,000 3,478,688
WideOpenWest Finance LLC, Replacement Term B Loan, 4/1/19 4.5 04/01/2019 218,649 211,215
PVH Corp., Tranche B Term Loan, 2/13/20 3.25 02/13/2020 779,512 784,109
United States Treasury Floating Rate Note, Floating Rate Note, 4/30/17 0.3342 04/30/2017 40,175,000 40,157,818
Wells Fargo Bank NA, Floating Rate Note, 5/16/16 0.5716 05/16/2016 975,000 975,082
ZIGGO BV, (USD) TLB3, 1/15/22 3.5 01/15/2022 1,136,553 1,105,920
Citibank Credit Card Issuance Trust, Floating Rate Note, 11/7/18 0.5739 11/07/2018 3,490,000 3,491,450
Nordea Bank AB, 0.875%, 5/13/16 (144A) 0.875 05/13/2016 4,050,000 4,054,292
The Bank of Nova Scotia, Floating Rate Note, 7/15/16 0.8405 07/15/2016 1,500,000 1,504,301
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 1.1716 02/25/2033 10,610,000 290,092
JPMorgan Chase & Co., Floating Rate Note, 1/25/18 1.2199 01/25/2018 2,800,000 2,812,117
Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19 4.0 04/23/2019 727,141 539,902
Dynegy, Inc., Tranche B-2 Term Loan, 4/23/20 4.0 04/23/2020 451,154 437,337
Royal Bank of Canada, 1.45%, 9/9/16 1.45 09/09/2016 1,000,000 1,006,610
Citibank Credit Card Issuance Trust, Floating Rate Note, 5/9/18 0.487 05/09/2018 5,495,000 5,496,200
Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/19/30 (144A) 2.1805 12/19/2030 1,800,000 1,740,199
CHS, Incremental 2021 Term H Loan, 1/27/21 4.0 01/27/2021 46,070 45,336
Capital One Multi-Asset Execution Trust, Floating Rate Note, 12/16/19 0.4105 12/16/2019 3,400,000 3,389,561
OAK Hill Advisors Residential Loan Trust 2014-NPL2, 3.475%, 4/25/54 (Step) (144A) 3.3517 04/25/2054 3,490,000 2,230,612
Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A) 1.4216 03/25/2037 4,870,000 769,705
American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A) 0.7817 05/26/2016 3,050,000 3,055,164
SWAY Residential 2014-1 Trust, Floating Rate Note, 1/20/32 (144A) 1.631 01/20/2032 4,600,000 4,475,832
ONEOK Partners LP, 6.15%, 10/1/16 6.15 10/01/2016 1,850,000 1,927,569
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 1.0355 03/22/2016 4,300,000 4,297,178
Carefree Portfolio Trust 2014-CARE, Floating Rate Note, 11/15/29 (144A) 2.181 11/15/2029 3,300,000 3,321,947
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1.5667 05/27/2016 1,800,000 1,773,544
US Bank NA Cincinnati Ohio, Floating Rate Note, 4/22/16 0.4404 04/22/2016 2,000,000 2,001,849
Univision Communications, Inc., Replacement First-Lien Term Loan, 3/1/20 4.0 03/01/2020 656,225 643,784
BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A) 2.973 09/26/2035 8,854,257 1,295,507
Flagship Credit Auto Trust 2015-2, 1.98%, 10/15/20 (144A) 1.98 10/15/2020 3,500,000 3,056,379
Toyota Motor Credit Corp., Floating Rate Note, 9/23/16 0.6 09/23/2016 650,000 649,636
Voya CLO 2012-3, Ltd., Floating Rate Note, 10/15/22 (144A) 1.6405 10/15/2022 3,000,000 2,988,454
PF Chang's China Bistro, Inc., Term Borrowing, 7/2/19 4.25 07/02/2019 828,361 791,085
RASC Series 2005-KS3 Trust, Floating Rate Note, 4/25/35 1.0666 04/25/2035 1,375,000 77,698
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 1.3416 06/25/2034 41,830,000 789,659
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 1.0216 04/25/2034 12,006,021 348,925
JP Morgan Chase Commercial Mortgage Securities Trust 2015-SGP, Floating Rate Note, 7/15/36 (144A) 3.081 07/15/2036 4,500,000 4,498,946
NSTAR Electric Co., Floating Rate Note, 5/17/16 0.6036 05/17/2016 1,013,000 1,012,415
CSMC Trust 2015-SAND, Floating Rate Note, 8/15/30 (144A) 3.1805 08/15/2030 3,750,000 3,711,532
Total Capital Canada, Ltd., Floating Rate Note, 1/15/16 0.7005 01/15/2016 3,355,000 3,360,048
Progressive Waste Solutions, Ltd., 10/24/19 4.5 10/24/2019 0 0
Morgan Stanley Capital I Trust 2006-HQ10, 5.328%, 11/12/41 5.328 11/12/2041 4,240,000 3,667,502
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 0.6816 11/25/2046 12,390,000 1,704,739
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 1.1869 11/25/2034 62,595,000 2,794,034
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 0.8116 11/25/2035 28,962,000 4,374,026
Royal Bank of Canada, Floating Rate Note, 9/9/16 0.937 09/09/2016 2,000,000 2,002,751
NRG Energy, Inc., 8.25%, 9/1/20 8.25 09/01/2020 1,250,000 1,246,875
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 8.249 06/06/2016 750,000 767,967
Pfg Flt% 01dec17 144a 0.977 12/01/2017 2,755,000 2,756,147
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 1.1016 06/25/2033 9,355,000 166,999
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 4/25/28 2.0216 04/25/2028 2,850,000 2,819,893
WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21 2.75 01/23/2021 287,108 285,314
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 4.985 09/11/2042 3,751,000 343,206
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 0.8916 03/25/2035 5,700,000 1,236,219
Bright Horizons Family Solutions I 1st Lien Tl-B1 L + 3.25% 30jan20 4.5005 01/30/2020 594,000 594,182
Fannie Mae, Floating Rate Note, 11/1/23 2.389 11/01/2023 970,000 6,789
Quikrete Holdings, Inc., Initial Loan (First Lien), 9/26/20 4.0 09/26/2020 852,173 844,983
DynCorp International, Inc., Term Loan, 7/7/16 6.25 07/07/2016 143,055 137,691
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 0.7505 06/15/2036 5,835,000 439,470
NBTY, Inc., Term B-2 Loan, 10/1/17 3.5 10/01/2017 384,485 376,435
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/29 0.6805 02/15/2029 23,100,000 215,481
Windstream Services LLC, Tranche B-5 Term Loan, 8/8/19 3.5 08/08/2019 701,619 681,155
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 0.6216 12/25/2036 3,800,000 673,734
SNAAC Auto Receivables Trust 2014-1, 1.03%, 9/17/18 (144A) 1.03 09/17/2018 839,000 91,847
Master Credit Card Trust II, 1.64%, 1/22/18 (144A) 1.64 01/22/2018 1,700,000 1,701,602
Kane Sac Zero% 15jun16 0.0 06/15/2016 500,000 499,800
DTZ US Borrower LLC, 2015-1 Additional Term Loan (First Lien), 11/4/21 4.25 11/04/2021 1,697,682 1,659,484
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 2.081 06/15/2034 5,454,000 5,442,204
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 2/25/35 1.2816 02/25/2035 17,437,000 3,279,504
Morgan Stanley, 1.75%, 2/25/16 1.75 02/25/2016 1,300,000 1,309,464
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 1.0267 02/26/2016 1,800,000 1,801,987
PFS Financing Corp., Floating Rate Note, 10/15/19 (144A) 1.1805 10/15/2019 1,700,000 1,681,025
CSMC 2015-TWNI Trust, Floating Rate Note, 3/15/28 (144A) 2.581 03/15/2028 2,300,000 2,282,306
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 0.6776 11/23/2016 1,800,000 1,803,051
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/25 0.7216 04/25/2025 2,280,000 247,224
Schaeffler (Aka Ina Beteiligungsge 1st Lien Tl-B L + 3.5% 15may20 4.25 05/15/2020 569,950 571,660
RAMP Series 2006-RZ3 Trust, Floating Rate Note, 10/25/35 0.5816 10/25/2035 10,534,000 1,181,470
Epiq Systems, Inc., Term Loan, 8/27/20 4.5 08/27/2020 463,550 451,961
Valeant Pharmaceuticals International, Inc., Series E1 Tranche B Term Loan, 8/5/20 3.75 08/05/2020 1,313,724 1,263,639
GE Capital International Funding Co., 0.964%, 4/15/16 (144A) 0.964 04/15/2016 2,916,000 2,922,391
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 0.7305 03/15/2041 13,046,000 2,039,197
MOTOR 2015-1 Plc, Floating Rate Note, 6/27/22 (144A) 1.0219 06/27/2022 2,600,000 2,602,900
Allied Security Holdings LLC, Closing Date Term Loan (First Lien), 2/12/21 4.25 02/12/2021 508,434 494,664
Chase Issuance Trust, Floating Rate Note, 11/15/18 0.5805 11/15/2018 2,500,000 2,499,830
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 0.9216 06/25/2035 10,850,460 2,617,050
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 0.9216 06/25/2033 44,273,266 1,619,129
NextGear Floorplan Master Owner Trust, Floating Rate Note, 7/15/19 (144A) 1.947 07/15/2019 2,600,000 2,603,272
Kilimanjaro Re, Ltd., Floating Rate Note, 12/6/19 (Cat Bond) (144A) 9.25 12/06/2019 2,000,000 2,007,800
JP Morgan Chase Commercial Mortgage Securities Trust 2014-CBM, Floating Rate Note, 10/15/29 (144A) 2.2805 10/15/2029 3,470,000 3,437,881
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 1.0216 05/25/2040 500,000 202,507
EquiVantage Home Equity Loan Trust 1997-1, 8.05%, 3/25/28 (Step) 8.05 03/25/2028 1,500,000 14,319
Aberdeen Loan Funding, Ltd., Floating Rate Note, 11/1/18 (144A) 1.9789 11/01/2018 1,750,000 1,750,880
American Airlines Inc 1st Lien Tl-B L + 3% 10oct21 3.5 10/10/2021 495,000 490,978
Total Capital SA, 2.3%, 3/15/16 2.3 03/15/2016 2,120,000 2,140,246
Calpine Corp 1st Lien Tl-B5 L + 2.75% 28may22 3.5 05/28/2022 288,550 274,934
NewStar Commercial Loan Trust 2007-1, Floating Rate Note, 9/30/22 (144A) 0.6517 09/30/2022 2,000,000 220,886
Staples Inc 1st Lien Tl-B L + 2.75% 24apr21 3.5 04/24/2021 1,000,000 990,688
Starwood Property Trust, Inc., Term Loan (First Lien), 4/17/20 3.5 04/17/2020 1,569,900 1,541,446
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 0.7016 09/25/2035 13,780,000 940,959
Branch Banking & Trust Co., Floating Rate Note, 5/23/17 0.6776 05/23/2017 500,000 497,969
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/23 2.519 10/01/2023 1,890,000 6,400
Wesco Aircraft Hardware Corp., Tranche B Term Loan, 2/24/21 3.25 02/24/2021 2,355,167 2,266,848
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/33 0.7305 06/15/2033 10,000,000 426,590
Kabbage Funding 2014-1 Resecuritization Trust, Floating Rate Note, 3/8/18 (144A) 3.0431 03/08/2018 5,702,000 5,614,674
Bayer US Finance LLC, Floating Rate Note, 10/6/17 (144A) 0.6071 10/06/2017 1,400,000 1,397,903
Resource Capital Corp 2015-CRE4, Ltd., Floating Rate Note, 8/17/32 (144A) 1.597 08/17/2032 2,000,000 1,981,736
Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/17/26 (144A) 2.081 08/17/2026 1,375,000 1,376,177
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 0.6216 10/27/2037 2,382,000 1,576,971
Sector Zero% 01dec20 144a 0.0 12/01/2020 500,000 502,350
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 3.1705 07/15/2023 3,250,000 2,660,654
HarborView Mortgage Loan Trust 2004-4, Floating Rate Note, 6/19/34 1.3688 06/19/2034 25,700,000 237,704
Queen Street X RE, Ltd., Floating Rate Note, 6/8/18 (Cat Bond) (144A) 5.9433 06/08/2018 1,500,000 1,492,346
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 4.0761 06/28/2016 2,500,000 2,532,667
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 1.1716 06/25/2035 1,393,325 220,747
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 0.6305 02/15/2036 5,087,000 720,981
City Center Trust 2011-CCHP, Floating Rate Note, 7/17/28 (144A) 4.65 07/17/2028 950,000 956,914
CarMax Auto Owner Trust 2015-2, Floating Rate Note, 6/15/18 0.6105 06/15/2018 2,500,000 2,327,210
17079z Zero% 31mar18 0.0 03/31/2018 750,000 836,100
KeyBank NA Cleveland Ohio, Floating Rate Note, 11/25/16 0.8832 11/25/2016 4,500,000 4,504,139
Delta Air Lines Inc 1st Lien Tl-B L + 2.5% 24aug22 3.25 08/24/2022 300,000 300,094
Carrington Mortgage Loan Trust Series 2005-NC4, Floating Rate Note, 9/25/35 0.8216 09/25/2035 375,000 3,620
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 1.7705 08/20/2034 8,500,000 301,037
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/32 1.0216 08/25/2032 5,000,000 73,178
Federal National Mortgage Association REMICS, Floating Rate Note, 7/18/27 0.86 07/18/2027 15,000,000 49,647
Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A) 3.7696 06/06/2018 750,000 752,871
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 3.75 12/12/2019 318,295 317,499
Crown Point CLO, Ltd., Floating Rate Note, 11/21/22 (144A) 1.8696 11/21/2022 4,300,000 3,282,219
Georgia Power Co., Floating Rate Note, 8/15/16 0.7616 08/15/2016 1,000,000 1,000,246
Level 3 Financing Inc 1st Lien Tl-B2 L + 2.75% 31may22   05/31/2022 1,000,000 985,208
Government National Mortgage Association, Floating Rate Note, 1/16/33 0.5445 01/16/2033 26,309,521 700,086
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 4/25/28 1.7716 04/25/2028 2,250,000 2,214,578
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 1.0305 12/15/2039 2,334,000 803,881
NBCUniversal Enterprise, Inc., Floating Rate Note, 4/15/18 (144A) 1.0055 04/15/2018 1,300,000 1,300,664
DELOS FINANCE SARL, Loan, 2/27/21 3.5 03/06/2021 1,295,000 1,291,924
Tramline Re II, Ltd., Floating Rate Note, 1/4/19 (Cat Bond) (144A) 9.75 01/04/2019 250,000 260,954
Sterigenics-Nordion Holdings Llc 1st Lien Tl-B L + 3.25% 27apr22 4.25 04/27/2022 997,500 972,563
Nissan Auto Receivables 2015-C Owner Trust, Floating Rate Note, 11/15/18 0.6805 11/15/2018 1,500,000 1,500,742
Westlake Automobile Receivables Trust 2014-1, 0.7%, 5/15/17 (144A) 0.7 05/15/2017 8,000,000 60,525
Fifth Third Bank Cincinnati Ohio, 1.15%, 11/18/16 1.15 11/18/2016 1,900,000 1,900,469
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 9.5196 06/06/2017 850,000 899,405
Owens-Brockway Glass Container Inc 1st Lien Tl-B L + 2.75% 14aug22 3.5 08/14/2022 997,500 996,253
Envision Healthcare Corp., Initial Term Loan, 5/25/18 4.25 05/25/2018 1,236,146 1,232,283
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 3.1776 12/22/2054 5,635,000 3,489,961
DT Auto Owner Trust 2015-3, 1.66%, 3/15/19 (144A) 1.66 03/15/2019 3,000,000 2,581,520
Mizuho Bank, Ltd., Floating Rate Note, 10/20/18 (144A) 1.5072 10/20/2018 2,800,000 2,834,205
Sinclair Television Group, Inc., Incremental Tranche B-1 Term Loan, 7/22/21 3.5 07/22/2021 995,000 988,366
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A) 2.181 05/19/2031 2,300,000 2,234,408
Federal National Mortgage Association, Floating Rate Note, 2/25/38 0.8716 02/25/2038 50,000,000 12,601,667
United Airlines, Inc., Class B Term Loan, 4/1/19 3.25 04/01/2019 243,125 241,909
RAAC Series 2005-RP3 Trust, Floating Rate Note, 5/25/39 (144A) 1.2216 05/25/2039 2,000,000 1,058,254
Morgan Stanley ABS Capital I Inc Trust 2005-WMC3, Floating Rate Note, 3/25/35 1.1266 03/25/2035 131,174 49,003
Conseco Finance Corp., Floating Rate Note, 11/17/31 1.6805 11/17/2031 1,750,000 195,182
Velocity Commercial Capital Loan Trust 2014-1, Floating Rate Note, 9/25/44 (144A) 2.4216 09/25/2044 3,200,000 1,868,938
Citigroup, Inc., Floating Rate Note, 7/25/16 1.2799 07/25/2016 3,700,000 3,714,027
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 1.0716 01/25/2033 5,000,000 136,725
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 4/20/18 0.8021 04/20/2018 1,190,000 1,190,297
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/42 0.9216 04/25/2042 642,857 397,168
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/33 0.8216 08/25/2033 485,000 10,934
GSAA Trust, Floating Rate Note, 6/25/35 1.2166 06/25/2035 6,300,000 569,246
United Auto Credit Securitization Trust 2015-1, 1.68%, 9/15/17 (144A) 1.68 09/15/2017 2,500,000 2,494,535
Vencore 1st Lien Tl L + 4.75% 19nov19 5.75 11/19/2019 1,250,000 1,247,656
Alternative Loan Trust 2004-6CB, Floating Rate Note, 4/25/34 1.0016 04/25/2034 32,705,000 1,888,547
Key Safety Systems Inc 1st Lien Tl-B L + 3.75% 28jul21 4.75 07/28/2021 746,222 727,100
Gardner Denver, Inc., Initial Dollar Term Loan, 7/30/20 4.25 07/30/2020 232,752 210,350
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR11, Floating Rate Note, 3/11/39 5.5101 03/11/2039 5,900,000 1,365,975
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 0.8805 02/15/2033 15,000,000 320,575
GLC Trust 2013-1, 3.0%, 7/15/21 (144A) 3.0 07/15/2021 3,200,000 1,334,200
ARI Fleet Lease Trust 2012-B, Floating Rate Note, 1/15/21 (144A) 0.6305 01/15/2021 7,205,000 950,237
Nordea Bank AB, Floating Rate Note, 4/4/17 (144A) 0.684 04/04/2017 2,175,000 2,176,675
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2.26 04/07/2017 2,000,000 2,005,933
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 0.6664 05/23/2016 3,650,000 3,658,281
Hanesbrands Inc Us 1st Lien Tl-B L + 2.5% 15apr22 3.25 04/15/2022 496,250 498,731
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 1.8275 07/25/2029 3,866,000 104,446
PepsiCo, Inc., Floating Rate Note, 2/26/16 0.6167 02/26/2016 3,460,000 3,461,151
VOLT XIX LLC, 3.875%, 4/26/55 (Step) 3.875 04/26/2055 1,500,000 602,091
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/36 0.6305 03/15/2036 5,000,000 840,250
CPS Auto Trust, 1.48%, 3/16/20 (144A) 1.48 03/16/2020 1,060,000 229,435
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/31 0.9305 11/15/2031 20,187,077 95,997
HSBC Home Equity Loan Trust USA 2007-2, Floating Rate Note, 7/20/36 0.7021 07/20/2036 600,000 443,956
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 0.9305 02/15/2019 4,145,000 4,120,387
Toyota Motor Credit Corp., Floating Rate Note, 7/13/18 0.7806 07/13/2018 2,250,000 2,247,065
Crusade Global Trust No.2 of 2006, Floating Rate Note, 11/15/37 0.4216 11/15/2037 17,300,000 1,972,781
IASIS Healthcare LLC, Term B-2 Loan, 5/3/18 4.5 05/03/2018 482,544 474,582
American Credit Acceptance Receivables Trust 2013-1, 1.45%, 4/16/18 (144A) 1.45 04/16/2018 1,859,000 5,378
Anheuser-Busch InBev Finance, Inc., 0.8%, 1/15/16 0.8 01/15/2016 3,700,000 3,713,653
Fannie Mae, 3.5%, 10/25/23 3.5 10/25/2023 10,418,500 926,219
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-E, Floating Rate Note, 11/25/29 1.2468 11/25/2029 58,549,000 2,200,190
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/34 0.5705 07/15/2034 5,000,000 489,849
Charter Communications Operating LLC, Term F Loan, 12/31/20 3.0 12/31/2020 1,291,875 1,269,536
Ally Master Owner Trust, Floating Rate Note, 1/16/18 0.7005 01/16/2018 300,000 300,099
Freddie Mac Strips, Floating Rate Note, 8/15/36 0.6305 08/15/2036 43,230,336 1,557,919
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 1,147,083 1,249,977
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/30 0.9716 12/25/2030 20,000,000 80,894
SMART ABS Series 2015-3US Trust, Floating Rate Note, 4/16/18 1.067 04/16/2018 3,600,000 3,601,989
T-Mobile Usa Inc 1st Lien Tl-B L + 2.75% 03nov22 3.5 11/03/2022 350,000 350,388
Government National Mortgage Association, Floating Rate Note, 8/16/39 1.3445 08/16/2039 2,960,000 398,792
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 2.75 01/23/2021 797,813 792,826
JP Morgan Seasoned Mortgage Trust 2014-1, Floating Rate Note, 5/25/33 (144A) 0.9216 05/25/2033 6,400,000 5,522,359
EQTY 2014-INNS Mortgage Trust REMICS, Floating Rate Note, 5/8/31 (144A) 1.876 05/08/2031 1,850,000 1,817,484
Credit Suisse Commercial Mortgage Trust Series 2007-C3, Floating Rate Note, 6/15/39 5.8889 06/15/2039 7,500,000 5,675,326
Post Holdings Inc 1st Lien Tl-B L + 3% 23may21 3.75 05/23/2021 235,423 235,324
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/37 0.6705 05/15/2037 5,000,000 228,605
Prestige Brands, Inc., Term B-3 Loan, 9/3/21 3.5 09/03/2021 735,633 732,567
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 0.862 12/15/2016 2,850,000 2,841,972
Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Floating Rate Note, 5/15/43 5.9035 05/15/2043 6,200,000 6,258,151
Crusade Global Trust No 1 of 2007, Floating Rate Note, 4/19/38 0.3752 04/19/2038 15,883,244 2,043,708
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 1.3716 07/25/2037 2,130,580 613,872
Virgin Media 1st Lien Tl-F L + 2.75% 30jun23 3.5 06/30/2023 1,484,673 1,455,599
Kizuna Re II, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A) 2.25 04/06/2018 1,800,000 1,812,330
Dell Equipment Finance Trust 2014-1, 0.64%, 7/22/16 (144A) 0.64 07/22/2016 2,800,000 277,286
Becton Dickinson and Co., Floating Rate Note, 6/15/16 0.962 06/15/2016 4,020,000 4,019,949
Morgan Stanley Capital I Trust 2015-XLF1, Floating Rate Note, 8/14/31 (144A) 2.0805 08/14/2031 3,860,000 3,848,805
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 1.1616 11/25/2034 11,771,000 480,930
Quincy Newspapers Inc 1st Lien Tl-B L + 4.5% 19oct22   10/19/2022 750,000 740,625
Tower Automotive Holdings USA LLC, Initial Term Loan (2014), 4/23/20 4.0 04/23/2020 1,184,750 1,137,360
Confie Seguros Holding II Co., Term B Loan (First Lien), 11/9/18 5.75 11/09/2018 488,598 482,491
Duke Energy Progress LLC, Floating Rate Note, 3/6/17 0.652 03/06/2017 1,275,000 1,271,857
Oscar US Funding Trust II, Floating Rate Note, 2/15/18 (144A) 1.0305 02/15/2018 2,500,000 2,185,424
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 0.8431 12/10/2027 1,000,000 500,870
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-AR3, Floating Rate Note, 4.1716 06/25/2033 729,633 209,695
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 2.75 01/09/2017 1,000,000 1,012,351
Morgan Stanley ABS Capital I Inc Trust 2005-HE3, Floating Rate Note, 7/25/35 1.2166 07/25/2035 2,500,000 2,423,288
Michaels Stores, Inc., Term B Loan, 1/28/20 3.75 01/28/2020 975,000 965,981
Structured Asset Securities Corp Trust 2005-14, Floating Rate Note, 7/25/35 0.7216 07/25/2035 3,899,641 287,273
Pfizer, Inc., Floating Rate Note, 5/15/17 0.5116 05/15/2017 2,100,000 2,096,801
Exeter Automobile Receivables Trust 2015-2, 1.54%, 11/15/19 (144A) 1.54 11/15/2019 3,400,000 2,334,527
Ocwen Master Advance Receivables Trust, 2.532%, 11/15/46 (144A) 2.532 11/15/2046 4,573,000 4,572,430
Canadian National Railway Co., Floating Rate Note, 11/14/17 0.5316 11/14/2017 1,670,000 1,657,824
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 12/25/35 0.6016 12/25/2035 21,878,000 3,363,729
Berkshire Hathaway Finance Corp., Floating Rate Note, 8/14/17 0.4866 08/14/2017 2,500,000 2,494,417
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 0.6716 07/25/2035 23,056,000 1,967,424
Structured Asset Securities Corp Mortgage Loan Trust 2007-TC1, Floating Rate Note, 4/25/31 (144A) 0.7216 04/25/2031 12,921,000 3,613,793
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 2.8634 01/15/2017 1,500,000 1,519,056
Ace Zero% 12jul16 0.0 07/12/2016 250,000 241,375
Wilshire Mortgage Loan Trust, Floating Rate Note, 5/25/28 0.7016 05/25/2028 10,000,000 26,670
Chesapeake Funding LLC, Floating Rate Note, 2/7/27 (144A) 2.0186 02/07/2027 1,750,000 1,755,481
GSAA Home Equity Trust 2004-11, Floating Rate Note, 12/25/34 1.0816 12/25/2034 14,390,000 646,840
RPI Finance Trust, Term B-3 Term Loan, 11/9/18 3.25 11/09/2018 616,049 615,048
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.6805 11/15/2036 2,850,000 377,140
Seminole Hard Rock Entertainment, Inc., New Term Loan B, 5/14/20 3.5 05/14/2020 585,000 574,763
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C REMICS, Floating Rate Note, 6/25/28 1.0816 06/25/2028 42,262,000 1,596,122
Cabela's Credit Card Master Note Trust, Floating Rate Note, 6/15/20 (144A) 0.8105 06/15/2020 2,895,000 2,889,904
Residential Asset Securitization Trust 2003-A15, Floating Rate Note, 2/25/34 0.8716 02/25/2034 10,120,000 450,083
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 0.7186 05/07/2024 2,550,000 471,825
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 1.6805 06/19/2031 1,500,000 1,462,348
American Express Credit Corp., Floating Rate Note, 7/29/16 0.8339 07/29/2016 7,142,000 7,153,788
The Walt Disney Co., 1.35%, 8/16/16 1.35 08/16/2016 2,835,000 2,857,032
TECO Finance, Inc., Floating Rate Note, 4/10/18 0.9206 04/10/2018 1,665,000 1,646,621
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 0.4855 05/15/2047 200,000 69,130
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 0.0 01/15/2017 8,750,000 8,887,556
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 0.7716 08/25/2036 4,987,000 750,978
Syncreon Group BV, Term Loan, 9/26/20 5.25 09/26/2020 196,000 160,393
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 0.8716 06/25/2036 8,454,822 653,130
Avis Budget Car Rental LLC, Tranche B Term Loan, 3/15/19 3.0 03/15/2019 1,266,568 1,264,977
Citigroup Commercial Mortgage Trust 2006-C4, Floating Rate Note, 3/17/49 5.811 03/17/2049 4,900,000 4,948,273
Monitronics International, Inc., Term B Loan (2013), 3/23/18 4.25 03/23/2018 90,966 88,464
Green Tree Agency Advance Funding Trust I Series 2015-T1, 2.3019%, 10/15/46 (144A) 2.3019 10/15/2046 7,000,000 6,994,855
Merck & Co, Inc., Floating Rate Note, 5/18/16 0.5541 05/18/2016 500,000 500,106
Novelis Inc 1st Lien Tl-B L + 3.25% 28may22 4.0 05/28/2022 1,408,664 1,348,356
Resi Flt% 12dec45 A1 1.202 12/12/2045 3,000,000 2,047,002
RASC Series 2005-AHL3 Trust, Floating Rate Note, 9/25/35 0.6616 09/25/2035 57,630,000 2,639,751
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 0.5916 08/25/2036 1,325,000 207,172
BioScrip, Inc., Initial Term B Loan, 7/31/20 6.5 07/31/2020 548,191 502,280
LCM X LP, Floating Rate Note, 4/15/22 (144A) 1.5805 04/15/2022 4,000,000 3,533,075
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 1.18 08/15/2017 1,138,000 27,313
Home Equity Asset Trust 2005-2, Floating Rate Note, 7/25/35 1.1866 07/25/2035 860,000 377,501
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/26/35 1.1566 02/26/2035 19,369,028 295,423
MetroCat Re, Ltd., Floating Rate Note, 8/5/16 (Cat Bond) (144A) 4.4949 08/05/2016 1,500,000 1,535,025
Tribune Company Tl-B L + 3.4684% 27dec20 3.9804 12/27/2020 1,439,919 1,427,320
Xylem, Inc. New York, 3.55%, 9/20/16 3.55 09/20/2016 2,650,000 2,712,558
ARI Fleet Lease Trust 2013-A, 0.92%, 7/15/21 (144A) 0.92 07/15/2021 600,000 475,412
Oscar US Funding Trust III, 0.6%, 10/17/16 (144A) 0.6 10/17/2016 2,600,000 1,777,850
IXIS Real Estate Capital Trust 2005-HE1, Floating Rate Note, 6/25/35 1.2016 06/25/2035 1,500,000 445,221
Global Mortgage Securitization, Ltd., Floating Rate Note, 11/25/32 (144A) 0.7416 11/25/2032 8,780,000 333,387
Svenska Handelsbanken AB, Floating Rate Note, 9/23/16 1.0631 09/23/2016 3,650,000 3,651,934
Outfront Media Capital LLC, Term Loan, 1/15/21 3.0 01/15/2021 1,527,584 1,510,399
Altisource Solutions Sarl, Term B Loan, 12/9/20 4.5 12/09/2020 979,933 857,442
Milacron Llc 1st Lien Tl-B L + 3.5% 28sep20 4.5 09/28/2020 452,994 449,314
AmeriCredit Automobile Receivables Trust 2015-2, Floating Rate Note, 9/10/18 0.6755 09/10/2018 2,125,000 1,694,569
Caisse Centrale Desjardins, Floating Rate Note, 1/29/18 (144A) 0.9889 01/29/2018 2,590,000 2,589,490
The Bank of New York Mellon Corp., 0.7%, 3/4/16 0.7 03/04/2016 2,850,000 2,855,979
321 Henderson Receivables II LLC, Floating Rate Note, 9/15/41 (144A) 0.5305 09/15/2041 11,542,000 2,891,210
Engs Commercial Finance Trust 2015-1, 0.7%, 8/22/16 (144A) 0.7 08/22/2016 5,400,000 2,458,489
Tyco Electronics Group SA, Floating Rate Note, 1/29/16 0.5239 01/29/2016 6,330,000 6,333,946
John Deere Capital Corp., Floating Rate Note, 2/25/16 0.4932 02/25/2016 2,883,000 2,882,883
RALI Series 2005-QA1 Trust, Floating Rate Note, 1/25/35 0.7216 01/25/2035 32,767,000 2,744,993
JP Morgan Chase Commercial Mortgage Securities Trust 2014-PHH, Floating Rate Note, 8/16/27 (144A) 1.931 08/16/2027 3,770,000 3,771,747
TAL Advantage I LLC, Floating Rate Note, 4/20/21 (144A) 0.5921 04/20/2021 1,250,000 41,592
Banc of America Mortgage 2004-D Trust, Floating Rate Note, 5/25/34 2.7209 05/25/2034 17,088,000 1,340,848
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 1.9216 06/25/2028 7,545,000 1,193,913
First National Master Note Trust 2015-1, Floating Rate Note, 9/15/20 1.1005 09/15/2020 4,400,000 4,410,972
Wheels SPV 2 LLC, 0.84%, 3/20/23 (144A) 0.84 03/20/2023 1,000,000 576,370
Barclays Bank Plc, Floating Rate Note, 2/17/17 0.9436 02/17/2017 821,000 821,461
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 1.3216 04/25/2032 35,072,000 1,728,502
Option One Mortgage Loan Trust 2007-FXD2, 5.9%, 3/25/37 (Step) 5.9 03/25/2037 810,000 35,438
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP6, Floating Rate Note, 4/15/43 5.565 04/15/2043 6,612,000 6,666,839
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 1.1216 06/25/2034 11,977,997 697,305
Six Flags Theme Parks, Inc., Tranche B Term Loan, 6/30/22 3.5 06/30/2022 1,144,250 1,142,343
COMM 2006-C7 Mortgage Trust, Floating Rate Note, 6/10/46 5.7683 06/10/2046 4,547,944 2,786,397
Invitation Homes 2015-SFR3 Trust, Floating Rate Note, 8/19/32 (144A) 2.081 08/19/2032 3,500,000 3,434,154
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 0.7216 04/28/2036 4,911,055 599,567
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 2/25/32 1.0716 02/25/2032 1,400,000 1,269,798
CRANBERRY RE, Ltd., Floating Rate Note, 7/6/18 (Cat Bond) (144A) 3.8 07/06/2018 1,000,000 1,022,233
American Credit Acceptance Receivables Trust 2014-4, 1.33%, 7/10/18 (144A) 1.33 07/10/2018 2,040,000 649,133
Credit Suisse Mortgage Capital Certificates REMICS, Floating Rate Note, 7/27/36 (144A) 2.8571 07/27/2036 7,712,000 715,897
Nissan Motor Acceptance Corp., 1.0%, 3/15/16 (144A) 1.0 03/15/2016 1,300,000 1,303,971
PNC Bank NA, Floating Rate Note, 1/28/16 0.6332 01/28/2016 2,250,000 2,252,377
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 0.6916 04/28/2036 13,680,000 468,739
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 0.8365 03/10/2017 1,500,000 1,492,752
Comm 2014-BBG Mortgage Trust REMICS, Floating Rate Note, 3/15/29 (144A) 1.1305 03/15/2029 6,000,000 5,938,732
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 0.9316 09/25/2035 4,351,000 1,167,844
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 1.0116 11/25/2035 7,825,000 185,198
WVUE 2015-1, 4.5%, 9/25/20 (Step) (144A) 4.5 09/25/2020 5,000,000 4,337,521
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/32 1.4216 07/25/2032 15,000,000 164,203
First Franklin Mortgage Loan Trust Series 2005-FF12, Floating Rate Note, 11/25/36 0.6816 11/25/2036 12,150,000 1,343,362
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 2.9281 07/25/2034 10,718,797 292,283
COMM 2014-PAT Mortgage Trust, Floating Rate Note, 8/13/27 (144A) 1.9235 08/13/2027 2,722,000 2,670,253
Cent CLO, Floating Rate Note, 8/1/24 (144A) 1.5789 08/01/2024 5,220,000 5,215,602
WaMu Mortgage Pass-Through Certificates Series 2003-S10, 5.0%, 10/25/18 5.0 10/25/2018 40,040,000 825,449
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 1.2416 08/25/2034 14,550,000 1,531,293
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A REMICS, Floating Rate Note, 4/25/29 0.8816 04/25/2029 36,167,206 1,578,313
GRIFOLS WORLDWIDE OPERATIONS USA INC, U.S. Tranche B Term Loam, 4/1/21 3.4239 04/01/2021 515,813 511,686
Structured Asset Sec Corp Mort Pass Thr Certs Series 1998-8, Floating Rate Note, 8/25/28 1.3616 08/25/2028 37,025,000 967,015
Citigroup Mortgage Loan Trust Series 2004-OPT1 Asset Backed Pass-Through Certifi, Floating Rate Note 1.2466 10/25/2034 2,940,000 1,504,020
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 2.0305 06/15/2029 3,500,000 3,465,634
Bayview Opportunity Master Fund IIa Trust 2014-20NPL, 3.721%, 8/28/44 (Step) (144A) 3.721 08/28/2044 1,480,000 765,039
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 0.8216 03/25/2035 5,790,000 533,101
Federal National Mortgage Association, Floating Rate Note, 12/25/33 0.7216 12/25/2033 25,758,805 5,908,295
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/33 1.3305 11/15/2033 2,550,000 251,295
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 2.4294 07/25/2033 8,050,000 777,573
Rovi Solutions Corp., Term B Loan, 7/2/21 3.75 07/02/2021 1,010,639 960,107
Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A) 0.5399 04/25/2022 2,000,000 934,943
Four Seasons Holdings, Inc., Term Loan (First Lien) 2013, 6/27/20 3.5 06/27/2020 487,842 481,744
Exeter Automobile Receivables Trust 2015-1, 1.6%, 6/17/19 (144A) 1.6 06/17/2019 1,700,000 934,391
CCG Receivables Trust 2014-1, 1.06%, 11/14/21 (144A) 1.06 11/14/2021 1,900,000 1,071,383
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 4.2851 04/24/2017 1,350,000 1,362,198
Penn Products Terminals Llc 1st Lien Tl-B L + 3.75% 01apr22 4.75 04/01/2022 994,987 940,263
Unifrax I LLC, New Term Dollar Loan, 11/28/18 4.25 11/28/2018 793,988 766,199
CGBAM Commercial Mortgage Trust 2014-HD, Floating Rate Note, 2/18/31 (144A) 1.531 02/18/2031 1,050,000 1,045,372
LSTAR Securities Investment Trust 2015-7, Floating Rate Note, 7/1/20 (144A) 2.2438 07/01/2020 4,250,000 3,947,393
Trafigura Securitisation Finance Plc. 2014-1, Floating Rate Note, 4/16/18 (144A) 1.2805 04/16/2018 1,400,000 1,395,095
DigitalGlobe, Inc., Term Loan, 1/31/20 4.75 01/31/2020 1,861,019 1,830,476
PFS Financing Corp., Floating Rate Note, 4/15/20 (144A) 0.817 04/15/2020 950,000 934,076
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 5.46 11/15/2035 1,240,000 832,742
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 1.0219 10/25/2028 42,221,000 1,231,570
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 2.6087 05/25/2033 42,906,215 1,089,315
Soundview Home Loan Trust 2005-DO1, Floating Rate Note, 5/25/35 1.1416 05/25/2035 2,000,000 1,279,263
Sinclair Television Group, Inc., New Tranche B Term Loan, 4/19/20 3.0 04/19/2020 1,321,391 1,305,425
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 3.0466 08/25/2034 2,122,000 222,434
1011778 BC ULC, Term B-2 Loan, 12/12/21 3.75 12/12/2021 468,197 466,002
PNC Bank NA, 0.8%, 1/28/16 0.8 01/28/2016 650,000 652,199
Citigroup Mortgage Loan Trust, Inc., 6.5%, 6/25/16 6.5 06/25/2016 10,100,000 1,008
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/36 0.7116 07/25/2036 2,000,000 228,868
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 1.3021 05/19/2033 36,301,000 1,570,885
Cedar Fair LP, U.S. Term Facility, 3/6/20 3.25 03/06/2020 96,885 97,218
PNC Funding Corp., 2.7%, 9/19/16 2.7 09/19/2016 1,045,000 1,063,258
Statoil ASA, Floating Rate Note, 5/15/18 0.6516 05/15/2018 2,555,000 2,541,961
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 0.5422 01/20/2021 3,500,000 742,805
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/33 1.7438 05/15/2033 3,790,000 350,912
Entercom Radio LLC, Term B-2 Loan, 11/23/18 4.0 11/23/2018 319,328 317,731
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2.4521 03/25/2034 3,865,000 483,171
NCUA Guaranteed Notes Trust, Floating Rate Note, 10/7/20 0.6438 10/07/2020 2,040,000 820,428
PennUnion Re, Ltd., Floating Rate Note, 12/7/18 (Cat Bond) (144A) 4.7696 12/07/2018 3,500,000 3,496,238
Manufacturers & Traders Trust Co., Floating Rate Note, 7/25/17 0.6199 07/25/2017 2,400,000 2,395,232
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5.46 09/10/2045 3,590,000 3,602,638
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 0.8531 09/30/2016 1,795,000 1,789,646
COMM 2014-FL4 Mortgage Trust REMICS, Floating Rate Note, 7/15/31 (144A) 2.7805 07/15/2031 5,600,000 5,469,839
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 0.8816 11/25/2035 4,385,000 2,868,551
NorthStar 2013-1, Floating Rate Note, 8/27/29 (144A) 2.2716 08/27/2029 2,784,000 839,198
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/41 0.6805 12/15/2041 1,000,000 536,371
MASTR Adjustable Rate Mortgages Trust 2003-3, Floating Rate Note, 9/25/33 2.2421 09/25/2033 2,650,000 619,610
RAIT 2014-FL2 Trust, Floating Rate Note, 5/15/31 (144A) 2.3938 05/15/2031 5,200,000 5,093,825
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 0.6716 02/25/2037 20,692,000 589,687
Blue Danube II, Ltd., Floating Rate Note, 5/23/18 (Cat Bond) (144A) 4.5618 05/23/2018 3,325,000 3,332,454
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 0.5689 05/02/2017 2,000,000 1,997,314
Ford Motor Credit Co LLC, Floating Rate Note, 9/8/17 0.982 09/08/2017 2,600,000 2,565,458
Merck & Co, Inc., 0.7%, 5/18/16 0.7 05/18/2016 3,650,000 3,653,402
Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Floating Rate Note, 5/15/43 5.9035 05/15/2043 4,240,000 427,332
SNAAC Auto Receivables Trust 2013-1, 4.56%, 4/15/20 (144A) 4.56 04/15/2020 2,400,000 2,429,854
Wachovia Corp., Floating Rate Note, 6/15/17 0.782 06/15/2017 1,999,000 1,993,613
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/34 0.7216 11/25/2034 9,662,000 498,996
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 1.6021 11/20/2036 14,250,000 2,290,769
BSN medical International Holding GmbH & Co KG, Facility B1b, 8/28/19 4.0 08/28/2019 593,611 584,707
Fannie Mae, 7.0%, 10/1/17 7.0 10/01/2017 2,241,352 4,178
Alterna Funding I LLC, 1.639%, 2/15/21 (144A) 1.639 02/15/2021 1,400,000 739,179
Fifth Third Auto Trust 2014-3, Floating Rate Note, 5/15/17 0.5605 05/15/2017 1,700,000 542,623
Aberdeen Loan Funding, Ltd., Floating Rate Note, 11/1/18 (144A) 0.9789 11/01/2018 11,500,000 4,390,198
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 0.7305 05/15/2036 7,791,000 401,762
GMF Floorplan Owner Revolving Trust, Floating Rate Note, 5/15/20 (144A) 0.8305 05/15/2020 1,300,000 1,295,447
CGWF Commercial Mortgage Trust 2013-RKWH REMICS, Floating Rate Note, 11/15/30 (144A) 2.2305 11/15/2030 9,130,000 9,124,553
General Motors Financial Co, Inc., Floating Rate Note, 1/15/19 2.3806 01/15/2019 6,975,000 7,047,967
Oracle Corp., 5.25%, 1/15/16 5.25 01/15/2016 3,215,000 3,297,546
Morgan Stanley ABS Capital I Inc Trust 2005-HE3, Floating Rate Note, 7/25/35 1.2016 07/25/2035 95,000 11,512
AmeriCredit Automobile Receivables Trust 2014-2, Floating Rate Note, 10/10/17 0.5555 10/10/2017 1,320,000 196,004
Capital One Multi-Asset Execution Trust, Floating Rate Note, 11/15/19 0.3805 11/15/2019 2,635,000 2,627,872
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2.9295 03/25/2034 8,200,000 361,707
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 0.7216 03/25/2036 700,000 97,962
Wells Fargo Commercial Mortgage Trust 2014-TISH REMICS, Floating Rate Note, 2/16/27 (144A) 2.1805 02/16/2027 2,500,000 2,452,381
John Deere Capital Corp., Floating Rate Note, 10/11/16 0.6106 10/11/2016 1,500,000 1,503,672
Merck & Co, Inc., Floating Rate Note, 2/10/17 0.4664 02/10/2017 2,500,000 2,499,867
Ziggo Bv Us 1st Lien Tl-B2 L + 2.75% 15jan22 3.5 01/15/2022 691,064 672,438
General Motors Financial Co, Inc., Floating Rate Note, 4/10/18 1.6806 04/10/2018 2,500,000 2,490,567
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 1.0416 09/25/2034 42,840,193 1,544,070
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 3.5 08/17/2020 760,495 759,862
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 1.5216 09/25/2034 3,465,620 390,951
Kinetic Concepts, Inc., Dollar Term E-1 Loan, 5/4/18 4.5 05/04/2018 1,476,292 1,423,392
BXHTL 2015-JWRZ Mortgage Trust, Floating Rate Note, 5/15/29 (144A) 3.1805 05/15/2029 3,823,000 3,771,221
Volvo Financial Equipment LLC Series 2013-1, 0.74%, 3/15/17 (144A) 0.74 03/15/2017 1,410,000 274,755
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 0.7216 03/25/2035 7,593,737 846,338
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/33 2.875 11/01/2033 850,000 14,542
Nxp Bv 1st Lien Tl-B L + 3% 30oct20 3.75 10/30/2020 325,000 323,984
Glenn Pool Oil & Gas Trust, Term Loan, 5/2/16 4.5 05/02/2016 6,993 6,976
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 1.3305 03/15/2032 122,751,000 832,833
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 1.2216 10/25/2034 9,979,000 440,110
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/28/36 (144A) 2.6833 05/28/2036 1,084,000 661,610
RMAT 2015-1 LLC, 4.09%, 7/27/20 (Step) (144A) 4.09 07/27/2020 2,000,000 1,865,610
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 1.3305 03/15/2032 64,920,000 578,718
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 1.6305 03/16/2026 1,460,000 1,460,075
Golden Credit Card Trust, Floating Rate Note, 2/15/18 (144A) 0.5805 02/15/2018 4,300,000 4,300,114
U.S. Treasury Notes, 0.625%, 7/15/16 0.625 07/15/2016 6,085,000 6,103,043
Fannie Mae Trust 2003-W6, Floating Rate Note, 9/25/42 0.7716 09/25/2042 24,560,079 1,834,213
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R5, Floating Rate Note, 7 0.8516 07/25/2035 84,000 37,992
RAMP Series 2004-RZ1 Trust, Floating Rate Note, 3/25/34 0.9016 03/25/2034 20,100,000 945,531
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 1.2616 01/25/2035 47,414,000 4,222,660
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 3 1.0966 03/25/2035 2,757,237 811,781
LEAF Receivables Funding 9 LLC, 1.98%, 9/15/21 (144A) 1.98 09/15/2021 800,000 801,264
Banc of America Mortgage 2004-I Trust, Floating Rate Note, 10/25/34 2.7455 10/25/2034 6,000,000 369,454
Symphony CLO VIII LP, Floating Rate Note, 1/9/23 (144A) 2.0333 01/09/2023 4,500,000 4,487,432
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/32 0.9305 09/15/2032 10,000,000 146,779
Expert Global Solutions, Inc., Term B Advance (First Lien), 4/3/18 8.5 04/03/2018 10,555 10,502
ABFC 2005-WF1 Trust, Floating Rate Note, 12/25/34 1.0416 12/25/2034 2,300,000 570,539
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 0.8716 07/25/2034 2,860,000 129,950
Toyota Motor Credit Corp., 2.0%, 9/15/16 2.0 09/15/2016 2,600,000 2,636,296
Toyota Motor Credit Corp., 0.75%, 3/3/17 (Step) 0.75 03/03/2017 2,250,000 2,248,778
Wells Fargo Credit Risk Transfer Securities Trust 2015, Floating Rate Note, 11/25/25 (144A) 2.9469 11/25/2025 3,000,000 2,966,828
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 0.8216 05/25/2037 32,172,000 817,355
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 4.0536 06/07/2017 3,000,000 3,002,120
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.6805 12/15/2032 15,400,000 151,867
GS Mortgage Securities Trust 2007-GG10 REMICS, Floating Rate Note, 8/10/45 5.9884 08/10/2045 8,500,000 7,861,608
Bosphorus Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 2.765 05/03/2016 1,050,000 1,043,881
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 0.9216 03/25/2024 14,460,650 458,934
JMC Steel Group, Inc., Term Loan, 4/1/17 4.75 04/01/2017 317,934 308,794
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 3/25/32 (144A) 1.5466 03/25/2032 6,512,459 580,214
Structured Asset Securities Corp Mortgage Loan Trust 2006-GEL4, Floating Rate Note, 10/25/36 (144A) 0.6416 10/25/2036 5,557,000 1,143,082
Bear Stearns Asset Backed Securities I Trust 2005-TC1, Floating Rate Note, 5/25/35 0.8616 05/25/2035 3,200,000 2,478,835
Nations Equipment Finance Funding II LLC, 1.558%, 7/20/18 (144A) 1.558 07/20/2018 2,100,000 754,493
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 1.0305 03/15/2032 22,000,000 170,507
CCO Safari III LLC, Term I Loan, 1/23/23 3.5 01/23/2023 1,000,000 999,250
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.49 04/30/2018 1,000,000 998,300
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 4.5558 06/28/2016 1,000,000 1,016,300
Progress Residential 2015-SFR1 Trust, Floating Rate Note, 2/20/32 (144A) 2.7305 02/20/2032 3,000,000 2,947,490
Tramline Re II, Ltd., Floating Rate Note, 7/7/17 (Cat Bond) (144A) 3.24 07/07/2017 1,750,000 1,744,235
MassMutual Global Funding II, 3.125%, 4/14/16 (144A) 3.125 04/14/2016 7,060,000 7,148,031
Truven Health Analytics, Inc., New Tranche B Term Loan, 6/6/19 4.5 06/06/2019 337,822 324,309
General Mills, Inc., Floating Rate Note, 1/29/16 0.6239 01/29/2016 1,765,000 1,766,728
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 0.6805 02/15/2036 5,000,000 291,240
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 10.2696 06/06/2016 900,000 930,550
PSEG Power LLC, 2.75%, 9/15/16 2.75 09/15/2016 2,500,000 2,540,498
Invitation Homes 2015-SFR2 Trust, Floating Rate Note, 6/17/32 (144A) 2.331 06/17/2032 2,550,000 2,471,799
Mirror BidCo Corp., New Incremental Term Loan, 12/18/19 4.25 12/18/2019 996,288 987,986
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 0.5805 08/15/2036 17,556,000 653,179
Morgan Stanley Structured Trust, Floating Rate Note, 6/25/37 0.5016 06/25/2037 2,400,000 130,311
Shell International Finance BV, Floating Rate Note, 11/15/16 0.5716 11/15/2016 3,020,000 3,019,911
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 0.5805 08/15/2035 5,000,000 649,873
United States Treasury Floating Rate Note, Floating Rate Note, 1/31/17 0.3442 01/31/2017 9,900,000 9,904,015
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 0.7316 11/25/2035 25,178,000 3,869,486
NRG Energy, Inc., Term Loan (2013), 7/1/18 2.75 07/01/2018 1,655,996 1,617,184
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 4.0 05/05/2017 1,250,000 1,259,153
KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A) 1.8116 05/15/2021 1,250,000 1,248,383
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 12/8/20 0.7522 12/08/2020 1,330,000 796,219
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 3.25 03/31/2021 591,000 579,642
Credit Suisse Commercial Mortgage Trust Series 2006-C2, Floating Rate Note, 3/15/39 5.8502 03/15/2039 3,730,000 1,437,809
Accredited Mortgage Loan Trust 2005-1, Floating Rate Note, 4/25/35 0.9816 04/25/2035 7,490,000 439,082
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 1.7152 04/19/2021 4,450,000 4,192,818
Bank of America Corp., 3.75%, 7/12/16 3.75 07/12/2016 1,325,000 1,364,940
SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35 0.9816 04/25/2035 28,476,673 147,246
Macquarie Group, Ltd., Floating Rate Note, 1/31/17 (144A) 1.3219 01/31/2017 1,210,000 1,214,372
Sector Re V, Ltd., 0.0%, 3/1/20 (Cat Bond) (144A) 0.0 03/01/2020 1,250,000 1,401,125
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU REMICS, Floating Rate Note, 12/15/28 1.8305 12/15/2028 3,510,000 3,512,722
Calpine Construction Finance Co LP, Term B-1 Loan, 5/3/20 3.0 05/03/2020 1,170,000 1,110,525
Bellemeade Re, Ltd., Floating Rate Note, 7/25/25 (144A) 2.721 07/25/2025 3,650,000 2,585,652
Ford Motor Credit Co LLC, Floating Rate Note, 3/27/17 1.2331 03/27/2017 3,500,000 3,453,848
NSG Holdings LLC, New Term Loan, 12/11/19 3.75 12/11/2019 1,452,400 1,430,614
AXIS Equipment Finance Receivables II LLC, 1.75%, 6/20/16 1.75 06/20/2016 1,000,000 139,154
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 1.9762 01/25/2029 16,556,000 188,384
GS Mortgage Securities Trust 2014-GSFL, Floating Rate Note, 7/15/31 (144A) 2.0805 07/15/2031 2,000,000 1,993,228
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/40 0.6805 07/15/2040 2,570,000 416,773
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 3.7136 01/06/2019 1,750,000 1,734,109
GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34 1.2016 06/25/2034 52,357,062 1,095,653
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-D, Floating Rate Note, 9/25/29 2.1038 09/25/2029 11,000,000 677,338
Morgan Stanley Capital I Trust 2015-XLF1, Floating Rate Note, 8/14/31 (144A) 2.5305 08/14/2031 2,870,000 2,857,950
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 1.2505 06/15/2029 3,750,000 3,732,370
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 1.5275 06/25/2028 44,308,430 1,266,238
Kilimanjaro Re, Ltd., Floating Rate Note, 12/6/19 (Cat Bond) (144A) 6.75 12/06/2019 2,500,000 2,503,750
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Series 2004-4, Floating Rate Note, 10 1.5216 10/25/2034 6,077,618 961,300
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/36 0.7305 09/15/2036 3,470,000 236,543
Baxalta, Inc., Floating Rate Note, 6/22/18 (144A) 1.3655 06/22/2018 2,500,000 2,493,148
AmeriCredit Automobile Receivables Trust 2012-1, 2.67%, 1/8/18 2.67 01/08/2018 1,740,000 495,778
UBS AG, Floating Rate Note, 3/26/18 1.3031 03/26/2018 800,000 798,675
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/35 0.6805 11/15/2035 850,000 150,909
Bear Stearns ARM Trust 2005-5, Floating Rate Note, 8/25/35 2.32 08/25/2035 5,635,000 457,008
GCAT 2015-1 LLC, 3.625%, 5/26/20 (Step) (144A) 3.625 05/26/2020 2,500,000 1,922,049
Conseco Finance Home Equity Loan Trust 2002-C, Floating Rate Note, 4/15/32 1.8305 04/15/2032 800,000 192,081
Structured Asset Securities Corp Mortgage Loan Trust 2006-EQ1, Floating Rate Note, 7/25/36 (144A) 0.5716 07/25/2036 5,000,000 2,129,112
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/23 0.7805 06/15/2023 6,500,000 61,681
Eden Re II, Ltd., 0.0%, 4/19/18 (Cat Bond) (144A) 0.0 04/19/2018 1,300,000 1,397,500
American Credit Acceptance Receivables Trust 2015-3, 1.95%, 9/12/19 (144A) 1.95 09/12/2019 4,500,000 4,033,900
Homestar Mortgage Acceptance Corp. REMICS, Floating Rate Note, 9/25/34 1.5216 09/25/2034 6,832,000 1,428,492
Nissan Motor Acceptance Corp., F