Pioneer Investments: Pioneer Multi-Asset Ultrashort Income Fund


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Pioneer Multi-Asset Ultrashort Income Fund

Monthly Portfolio Holdings as of 6/30/2014

Security Name Coupon Maturity Date Par / Shares Market Value($)
IASIS Healthcare LLC, Term B-2 Loan, 5/3/18 4.5 05/03/2018 490,006 492,530
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 1.502 06/25/2033 1,826,298 1,171,124
Cabela's Master Credit Card Trust, Floating Rate Note, 2/18/20 (144A) 0.6818 02/18/2020 150,000 151,180
State Street Bank & Trust Co., Floating Rate Note, 12/8/15 0.4306 12/08/2015 2,320,000 2,319,265
Countrywide Asset-Backed Certificates, Floating Rate Note, 1/25/36 0.522 01/25/2036 125,000 21,117
Merna Reinsurance V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2.0355 04/07/2017 2,000,000 2,003,800
PNC Bank NA, Floating Rate Note, 1/28/16 0.5379 01/28/2016 2,250,000 2,255,034
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 1.352 08/25/2034 1,523,000 287,198
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 11/10/16 (Cat Bond) (144A) 0.0062 11/10/2016 500,000 539,964
BioScrip, Inc., Initial Term B Loan, 7/31/20 6.5 07/22/2020 548,191 551,618
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1.7804 01/07/2019 1,800,000 1,804,003
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 0.552 03/25/2035 1,000,000 142,211
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 2.299 08/25/2033 1,500,000 101,110
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 0.792 01/25/2029 24,460,400 1,492,607
MortgageIT Trust 2005-2, Floating Rate Note, 5/25/35 0.412 05/25/2035 8,495,000 1,748,632
Wachovia Bank Commercial Mortgage Trust Series 2007-WHALE 8, Floating Rate Note, 6/15/20 (144A) 0.2318 06/15/2020 5,000,000 772,418
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/31 0.652 08/25/2031 17,600,000 233,900
Citigroup, Inc., Floating Rate Note, 11/15/16 0.9039 11/15/2016 1,700,000 1,710,599
Prudential Financial, Inc., 3.875%, 1/14/15 3.875 01/14/2015 290,000 300,587
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 0.7018 02/15/2033 15,000,000 506,713
United Auto Credit Securitization Trust 2012-1, 2.52%, 3/15/16 2.52 03/15/2016 1,645,000 1,655,056
Nomura Resecuritization Trust 2011-3R, Floating Rate Note, 7/26/37 (144A) 0.34 07/26/2037 3,900,000 3,254,323
Banc of America Mortgage 2004-I Trust, Floating Rate Note, 10/25/34 2.6205 10/25/2034 6,000,000 455,335
Acosta, Inc., Term B Loan (2013), 3/2/18 4.25 03/02/2018 842,387 846,994
Cabela's Master Credit Card Trust, Floating Rate Note, 6/17/19 (144A) 0.7518 06/17/2019 1,500,000 1,509,974
American Honda Finance Corp., 1.0%, 8/11/15 (144A) 1.0 08/11/2015 1,000,000 1,008,583
FNA 2013-1 Trust, 1.98%, 1/10/18 1.98 01/10/2018 2,199,000 978,123
GE Business Loan Trust 2003-1, Floating Rate Note, 4/15/31 (144A) 0.5818 04/15/2031 20,374,890 1,079,814
General Electric Capital Corp., Floating Rate Note, 1/8/16 0.8296 01/08/2016 3,300,000 3,328,330
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 0.3218 04/15/2022 1,430,707 758,104
The Manitowoc Co, Inc., Term B Loan, 12/18/20 3.25 12/18/2020 84,788 84,944
City Center Trust 2011-CCHP, Floating Rate Note, 7/15/28 (144A) 4.65 07/15/2028 950,000 952,011
JPMorgan Chase & Co., Floating Rate Note, 10/15/15 0.8865 10/15/2015 2,000,000 2,014,860
MetLife Institutional Funding II, Floating Rate Note, 1/6/15 (144A) 0.6004 01/06/2015 3,205,000 3,215,560
Union Bank NA, Floating Rate Note, 9/26/16 0.9836 09/26/2016 3,500,000 3,535,411
Progressive Waste Solutions, Ltd., Term B Loan, 10/24/19 3.0 10/31/2019 1,176,060 1,178,756
Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A) 0.452 01/25/2036 21,217,354 1,843,983
HSBC Home Equity Loan Trust USA 2006-2, Floating Rate Note, 3/20/36 0.303 03/20/2036 245,000 42,925
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A)   04/18/2017 250,000 244,925
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 1.301 05/07/2024 200,000 201,687
Navios Maritime Partners LP, Term Loan, 6/27/18 5.25 06/27/2018 1,492,500 1,512,089
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/25 0.4518 02/15/2025 2,142,856 549,872
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 1.102 07/25/2037 2,130,580 1,354,668
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 3.9669 08/25/2053 1,900,000 1,884,870
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 0.422 09/25/2035 38,687,000 3,742,405
Landry's, Inc., B Term Loan, 4/24/18 4.0 03/22/2018 412,608 414,155
Banc of America Funding 2004-B Trust, Floating Rate Note, 12/20/34 0.513 12/20/2034 20,499,000 1,687,342
JP Morgan Chase Commercial Mortgage Securities Trust 2013-JWRZ, Floating Rate Note, 4/15/30 (144A) 0.9318 04/15/2030 4,975,000 4,979,319
Wells Fargo & Co., 5.0%, 11/15/14 5.0 11/15/2014 1,000,000 1,023,652
Structured Asset Securities Corp Mortgage Loan Trust 2005-S7, Floating Rate Note, 12/25/35 (144A) 0.452 12/25/2035 11,868,000 2,038,292
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/25/35 0.887 02/25/2035 9,679,028 2,711,533
Fieldwood Energy LLC, Closing Date Loan, 9/25/18 3.875 09/25/2018 2,682,121 2,694,064
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/31 0.7518 11/15/2031 20,187,077 158,463
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 0.712 01/25/2030 47,698,025 2,506,299
Toyota Motor Credit Corp., 0.75%, 3/5/17 (Step) 0.75 03/05/2017 2,250,000 2,241,697
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 1.2035 12/10/2027 500,000 501,774
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 7/25/34 0.522 07/25/2034 20,600,000 2,737,427
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.702 09/25/2037 1,915,000 270,548
SNAAC Auto Receivables Trust 2014-1, 1.03%, 9/17/18 (144A) 1.03 09/17/2018 734,000 640,777
American Credit Acceptance Receivables Trust 2014-2, 0.99%, 10/10/17 (144A) 0.99 10/10/2017 3,300,000 3,010,629
Daimler Finance North America LLC, Floating Rate Note, 8/1/16 (144A) 0.9054 08/01/2016 1,500,000 1,515,981
Telesat Canada, U.S. Term B-2 Loan, 3/28/19 3.5 03/28/2019 663,785 663,702
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 0.432 09/25/2035 13,780,000 1,280,362
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 10.2304 01/07/2015 2,000,000 2,117,778
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.652 09/25/2037 7,400,000 963,438
RegionalCare Hospital Partners, Inc., Term Loan (First Lien), 4/21/19 6.0 04/21/2019 493,763 494,997
Royal Bank of Canada, Floating Rate Note, 1/23/17 0.5559 01/23/2017 1,875,000 1,882,240
Express Scripts Holding Co., 2.1%, 2/12/15 2.1 02/12/2015 2,763,000 2,813,288
CHL Mortgage Pass-Through Trust 2003-J7, Floating Rate Note, 8/25/18 0.552 08/25/2018 2,400,000 67,611
Sequoia Mortgage Trust 4, Floating Rate Note, 11/22/24 0.8733 11/22/2024 6,940,000 191,795
WideOpenWest Finance LLC, Term B Loan, 4/1/19 4.75 03/27/2019 239,904 241,197
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 4.5304 12/06/2016 2,900,000 2,969,673
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/40 0.702 01/25/2040 5,000,000 497,839
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 0.522 09/25/2035 8,206,169 2,941,329
Fremont Home Loan Trust 2005-B, Floating Rate Note, 4/25/35 0.797 04/25/2035 2,750,000 813,373
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 12/15/22 4.0 12/15/2022 4,041,000 132,047
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 0.593 10/20/2017 888,000 890,138
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 0.752 04/25/2034 9,566,021 580,426
Boit Flt% 15apr19 07-B1-2007- 0.4018 04/15/2019 150,000 149,092
Federal National Mortgage Association, Floating Rate Note, 8/25/14 0.37 08/25/2014 1,800,000 1,801,346
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 1.055 05/19/2033 36,301,000 1,950,431
Toyota Motor Credit Corp., Floating Rate Note, 1/23/15 0.3959 01/23/2015 2,290,000 2,294,236
Citibank Credit Card Issuance Trust, Floating Rate Note, 2/7/18 0.391 02/07/2018 9,931,000 9,941,139
Alternative Loan Trust 2004-18CB, Floating Rate Note, 9/25/34 0.602 09/25/2034 41,975,000 166,102
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 0.752 05/25/2040 500,000 319,117
Wells Fargo & Co., 3.75%, 10/1/14 3.75 10/01/2014 224,000 228,029
Entercom Radio LLC, Term B-2 Loan, 11/23/18 4.0322 11/23/2018 357,805 359,415
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/37 0.702 10/25/2037 1,030,000 153,919
Interactive Data 1st Lien Tl-B L + 3.75% 24apr21 4.75 04/24/2021 214,038 216,145
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 8.2229 05/07/2015 2,000,000 2,097,652
Wachovia Corp., Floating Rate Note, 10/28/15 0.5649 10/28/2015 1,983,000 1,988,641
The Goldman Sachs Group, Inc., 5.0%, 10/1/14 5.0 10/01/2014 1,862,000 1,906,653
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 0.452 03/25/2036 700,000 123,439
The Bear Stearns Companies LLC, Floating Rate Note, 10/28/14 0.9479 10/28/2014 400,000 401,428
Ally Auto Receivables Trust 2013-2, Floating Rate Note, 7/15/16 0.41 07/15/2016 1,500,000 1,414,828
Golden State Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 3.785 01/08/2015 750,000 758,619
Ruby Western Pipeline Holdings LLC, Loan, 3/27/20 3.5 03/27/2020 801,336 802,338
Castle Garden Funding, Floating Rate Note, 10/27/20 (144A) 0.4874 10/27/2020 7,000,000 1,713,838
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 6/20/17 1.053 06/20/2017 500,000 499,176
Livingston International, Inc., Initial Term B-1 Loan (First Lien), 4/18/19 5.0 04/18/2019 495,000 496,856
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 4.568 01/15/2031 1,000,000 126,282
Multi Packaging Solutions, Inc., Initial Dollar Tranche B Term, 9/30/20 4.25 09/30/2020 174,563 174,999
Xerium Technologies, Inc., New Term Loan, 5/17/19 5.75 05/02/2019 79,200 79,893
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 1.7481 08/20/2034 5,750,000 309,685
Nationstar Agency Advance Funding Trust 2013-T1A, 0.997%, 2/15/45 (144A) 0.997 02/15/2045 2,250,000 2,247,442
Mercedes Benz Auto Lease Trust 2014-A, Floating Rate Note, 6/15/16 0.3318 06/15/2016 1,900,000 1,900,687
Alternative Loan Trust 2004-2CB, 5.125%, 3/25/34 5.125 03/25/2034 1,500,000 91,591
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 0.6906 09/09/2016 1,000,000 1,005,899
GE Capital Commercial Mortgage Corp., Floating Rate Note, 6/10/48 4.772 06/10/2048 4,205,000 4,288,005
GTP Towers Issuer LLC, 8.112%, 2/15/15 (144A) 8.112 02/15/2015 1,250,000 1,280,264
BCC Funding VIII LLC, 1.794%, 6/20/20 1.794 06/20/2020 2,000,000 1,740,722
General Electric Capital Corp., Floating Rate Note, 1/14/16 0.4571 01/14/2016 1,865,000 1,868,841
Campbell Soup Co., Floating Rate Note, 8/1/14 0.5254 08/01/2014 3,225,000 3,228,722
GSAMP Trust 2004-HE2, Floating Rate Note, 9/25/34 0.872 09/25/2034 163,261,786 1,445,145
JMC Steel Group, Inc., Term Loan, 4/1/17 4.75 02/15/2017 359,400 362,095
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/29 0.5018 05/15/2029 15,000,000 150,731
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 0.852 02/25/2038 4,400,000 349,801
Volkswagen Credit Auto Master Owner Trust, Floating Rate Note, 9/20/16 (144A) 0.833 09/20/2016 400,000 400,503
RALI Series 2004-QS16 Trust, 5.5%, 12/25/34 5.5 12/25/2034 4,200,000 297,510
Branch Banking & Trust Co., Floating Rate Note, 5/23/17 0.5274 05/23/2017 500,000 496,545
Triton Container Finance LLC, Floating Rate Note, 2/26/19 (144A) 0.2915 02/26/2019 1,287,000 107,012
Syncreon Group BV, Term Loan, 9/26/20 5.25 09/26/2020 199,000 200,990
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 7.2804 07/05/2016 2,250,000 2,347,709
Fnma Flt% 16aug17 0.75 08/16/2017 1,415,000 1,420,093
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 2/20/17 0.723 02/20/2017 350,000 350,319
Las Vegas Sands LLC, Term B Loan, 12/19/20 3.25 12/19/2020 437,800 438,053
Arlington Flt% 01aug15   08/01/2015 100,000 100,810
Government National Mortgage Association, 4.5%, 11/20/34 4.5 11/20/2034 1,100,000 58,504
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/15/27 1.4518 02/15/2027 3,350,000 3,355,770
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 0.4518 02/15/2030 2,056,750 1,037,013
Federal National Mortgage Association, Floating Rate Note, 11/21/14 0.48 11/21/2014 1,650,000 1,653,244
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 4.0304 05/05/2017 1,500,000 1,501,067
National Rural Utilities Cooperative Finance Corp., 1.0%, 2/2/15 1.0 02/02/2015 3,300,000 3,327,073
RASC Series 2005-EMX2 Trust, Floating Rate Note, 7/25/35 0.632 07/25/2035 157,752 55,922
Gracechurch Card Funding Plc, Floating Rate Note, 5/15/19 (144A) 1.0018 05/15/2019 1,300,000 1,319,068
Seminole Hard Rock Entertainment, Inc., New Term Loan B, 5/14/20 3.5 04/29/2020 594,000 593,134
VOLT XVI LLC, 4.25%, 8/25/58 (Step) (144A) 4.25 08/25/2058 2,102,951 1,794,463
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 0.832 06/25/2033 8,175,000 178,792
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/36 0.5518 09/15/2036 3,470,000 356,731
Freddie Mac Strips, Floating Rate Note, 12/15/36 0.5018 12/15/2036 10,968,000 819,784
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 0.602 05/25/2018 34,469,500 1,630,175
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WCW2, Floating Rate Note, 10/25/34 1.082 10/25/2034 4,874,309 555,111
NBCUniversal Enterprise, Inc., Floating Rate Note, 4/15/16 (144A) 0.7635 04/15/2016 2,694,000 2,712,904
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/23 2.35 10/01/2023 1,890,000 10,175
Ardagh Holdings USA, Inc., New Term Loan, 12/17/19 4.0 12/17/2019 684,000 684,713
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 0.4618 06/15/2036 52,250,000 2,378,038
Adjustable Rate Mortgage Trust 2005-2, Floating Rate Note, 6/25/35 0.932 06/25/2035 2,260,122 1,809,290
Enbridge, Inc., Floating Rate Note, 10/1/16 0.8834 10/01/2016 1,650,000 1,662,829
East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (144A) 2.783 03/14/2018 2,000,000 1,976,801
Bank of Nova Scotia, Floating Rate Note, 7/15/16 0.7465 07/15/2016 1,500,000 1,510,606
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 0.5018 02/15/2036 5,000,000 468,464
Nelnet Student Loan Trust 2005-1, Floating Rate Note, 10/26/20 0.2988 10/26/2020 1,795,000 652,772
Mystic Re, Ltd., Floating Rate Note, 3/12/15 (Cat Bond) (144A) 9.0304 03/12/2015 1,000,000 1,042,750
First Horizon Mortgage Pass-Through Trust 2003-AR3, Floating Rate Note, 9/25/33 2.5925 09/25/2033 13,000,000 967,148
John Deere Capital Corp., Floating Rate Note, 10/11/16 0.5176 10/11/2016 1,500,000 1,506,798
Toyota Motor Credit Corp., 1.25%, 11/17/14 1.25 11/17/2014 554,000 557,049
American Express Credit Account Master Trust, Floating Rate Note, 2/15/18 1.3518 02/15/2018 1,945,000 1,968,027
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/28 0.6018 12/15/2028 56,250,000 537,138
JP Morgan Chase Commercial Mortgage Securities Trust 2002-CIBC4, Floating Rate Note, 5/12/34 6.45 05/12/2034 257,000 157,566
Schaeffler 1st Lien Tl-E L + 3% 15may20   05/15/2020 683,943 687,790
BAMLL Commercial Mortgage Securities Trust 2012-CLRN, Floating Rate Note, 8/15/29 (144A) 1.3018 08/15/2029 2,275,000 2,277,838
Devon Energy Corp., Floating Rate Note, 12/15/15 0.6806 12/15/2015 4,800,000 4,820,058
ARI Fleet Lease Trust 2012-A, Floating Rate Note, 3/15/20 (144A) 0.7018 03/15/2020 2,070,000 544,513
Structured Asset Sec Corp Mor Pass Thr Cer Ser 2003-35, Floating Rate Note, 12/25/33 0.652 12/25/2033 2,500,000 176,322
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 2.6051 06/25/2030 2,875,810 545,255
Rialto Capital Management LLC, 2.85%, 5/15/24 2.85 05/15/2024 2,000,000 1,761,929
Geet 0.5% 24nov15 13-1-A2 0.5 11/24/2015 570,000 264,939
World Financial Network Credit Card Master Trust, Floating Rate Note, 2/15/19 0.5318 02/15/2019 2,850,000 2,854,391
Federal Home Loan Mortgage Corp., Floating Rate Note, 6/26/15 0.1415 06/26/2015 2,000,000 2,000,645
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/40 0.5518 11/15/2040 1,265,000 700,304
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 2.152 10/25/2023 1,705,000 1,599,249
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 0.502 02/25/2033 16,918,890 957,061
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 0.622 03/25/2035 5,000,000 1,677,092
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 0.802 06/25/2035 4,005,000 1,134,966
Milacron LLC, Term Loan, 3/28/20 4.0 03/12/2020 691,268 691,124
TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16 0.9141 06/30/2016 1,204,000 1,216,588
ABFC 2005-WF1 Trust, Floating Rate Note, 12/25/34 0.462 12/25/2034 1,610,000 780,625
Credit Acceptance Auto Loan Trust 2012-2, 2.21%, 9/15/20 (144A) 2.21 09/15/2020 2,000,000 2,028,434
NPC International, Inc., Term Loan, 12/28/18 4.0 12/28/2018 156,400 156,693
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 0.5806 12/15/2016 2,850,000 2,844,117
American Express Credit Corp., 1.75%, 6/12/15 1.75 06/12/2015 2,000,000 2,027,213
Chase Issuance Trust, Floating Rate Note, 2/15/17 0.2518 02/15/2017 4,600,000 4,599,627
Federal Home Loan Mortgage Corp., 3.0%, 7/28/14 3.0 07/28/2014 7,790,000 7,906,468
Fifth Third Bancorp, Floating Rate Note, 12/20/16 0.651 12/20/2016 1,727,000 1,715,141
Ascentium Equipment Receivables 2012-1 LLC, 1.83%, 9/15/19 (144A) 1.83 09/15/2019 1,528,000 383,772
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/36 0.4318 12/15/2036 17,426,100 1,577,747
Bear Stearns ALT-A Trust 2004-8, Floating Rate Note, 9/25/34 0.852 09/25/2034 12,800,000 1,059,693
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MHQ, Floating Rate Note 1.202 12/25/2034 1,560,000 69,265
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 0.402 07/25/2035 23,056,000 3,096,281
Royal Bank of Canada, Floating Rate Note, 10/30/14 0.9249 10/30/2014 2,700,000 2,710,421
Commonwealth Bank of Australia, Floating Rate Note, 9/18/15 (144A) 1.0306 09/18/2015 1,575,000 1,589,038
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2.8587 03/25/2034 8,200,000 592,591
ARI Fleet Lease Trust 2014-A, 0.81%, 11/15/22 (144A) 0.81 11/15/2022 2,000,000 2,002,650
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/25/33 1.502 12/25/2033 300,000 16,586
American Honda Finance Corp., Floating Rate Note, 10/7/16 0.7304 10/07/2016 950,000 958,907
Sdart Flt% 15aug17 14-3-A2b 0.4313 08/15/2017 1,110,000 1,110,208
BioScrip, Inc., Delayed Draw Term Loan, 7/31/20 6.5 07/22/2020 328,915 330,971
America Movil SAB de CV, Floating Rate Note, 9/12/16 1.2303 09/12/2016 1,500,000 1,518,899
Sequoia Mortgage Trust 2003-8, Floating Rate Note, 1/20/34 0.793 01/20/2034 5,750,000 291,049
CarMax Auto Owner Trust 2011-3, 1.07%, 6/15/16 1.07 06/15/2016 518,000 173,156
Chase Issuance Trust, Floating Rate Note, 8/15/17 0.2818 08/15/2017 8,130,000 8,130,954
Tribune Co., Initial Term Loan, 11/20/20 4.0 11/20/2020 2,283,525 2,289,222
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/33 1.651 05/15/2033 2,000,000 277,385
John Deere Capital Corp., Floating Rate Note, 12/10/15 0.3496 12/10/2015 1,800,000 1,800,903
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/31 0.752 07/25/2031 50,000,000 345,722
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.5018 12/15/2032 15,400,000 290,226
Alliant Techsystems, Inc., Term B Loan, 10/22/20 3.5 10/22/2020 497,500 498,682
Alternative Loan Trust 2004-6CB, Floating Rate Note, 5/25/34 0.732 05/25/2034 16,100,000 1,275,967
Mas Flt% 01nov25 Massachusetts St 0.701 11/01/2025 2,250,000 2,212,946
GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34 0.932 06/25/2034 52,357,062 1,503,733
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 5.25 04/25/2032 2,438,820 792,706
Envision Healthcare Corp., Initial Term Loan, 5/25/18 4.0 04/05/2018 1,255,573 1,259,236
77 Energy 1st Lien Tl-B L + 3% 17jun21   06/17/2021 1,000,000 1,005,938
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 3.5 08/16/2020 772,165 773,291
Citigroup, Inc., 5.5%, 10/15/14 5.5 10/15/2014 1,473,000 1,511,367
Bank of America NA, Floating Rate Note, 2/14/17 0.6951 02/14/2017 2,000,000 2,003,938
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 3/18/16 0.7106 03/18/2016 1,575,000 1,584,309
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.392 06/25/2037 7,474,000 1,079,514
Federal National Mortgage Association, Floating Rate Note, 2/25/38 0.602 02/25/2038 50,000,000 16,369,027
Nissan Auto Receivables 2013-A Owner Trust, 0.37%, 9/15/15 0.37 09/15/2015 1,500,000 236,032
Nordea Bank AB, 2.25%, 3/20/15 (144A) 2.25 03/20/2015 800,000 816,067
Nissan Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 0.4218 01/15/2016 760,000 743,248
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP18, Floating Rate Note, 2/13/42 4.933 02/13/2042 3,975,000 3,528,880
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 0.402 09/25/2030 10,120,098 1,780,168
World Financial Network Credit Card Master Trust, 3.96%, 4/15/19 3.96 04/15/2019 200,000 206,460
Salix Pharmaceuticals, Ltd., Term Loan, 12/17/19 4.25 12/17/2019 438,750 442,785
Structured Asset Securities Corp Trust 2005-14, Floating Rate Note, 7/25/35 0.452 07/25/2035 3,899,641 477,301
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 6/15/28 3.5 06/15/2028 5,381,000 892,836
Dnbno Cp Zero% 25aug14 Usd 0.0 08/25/2014 5,745,000 5,743,683
JP Morgan Chase Commercial Mortgage Securities Corp., Floating Rate Note, 10/15/25 (144A) 2.0168 10/15/2025 2,350,000 2,355,044
Morgan Stanley, 4.2%, 11/20/14 4.2 11/20/2014 2,200,000 2,243,581
Federal Farm Credit Banks, Floating Rate Note, 12/15/14 0.1718 12/15/2014 3,000,000 3,001,303
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/17 0.602 02/25/2017 14,970,453 17,952
Bank of Nova Scotia, Floating Rate Note, 12/13/16 0.6498 12/13/2016 1,800,000 1,807,160
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 0.3518 08/15/2026 1,330,000 547,994
Citigroup Mortgage Loan Trust 2006-HE1, Floating Rate Note, 1/25/36 0.422 01/25/2036 300,000 13,252
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.602 06/25/2037 900,000 119,309
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.5518 12/15/2032 9,063,000 863,270
Alternative Loan Trust 2004-2CB, Floating Rate Note, 3/25/34 0.552 03/25/2034 4,210,000 19,148
Mirror BidCo Corp., New Incremental Term Loan, 12/18/19 4.25 12/18/2019 1,011,537 1,013,223
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 1.8865 01/25/2029 16,556,000 246,713
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 1.052 05/25/2035 5,600,000 1,640,096
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 11/18/16 0.7359 11/18/2016 1,800,000 1,809,017
Fly Funding II Sarl, Loan, 8/8/18 4.5 08/09/2018 1,608,159 1,626,921
Structured Asset Investment Loan Trust 2006-1, Floating Rate Note, 1/25/36 0.352 01/25/2036 4,650,000 1,233,998
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/36 0.5718 09/15/2036 3,320,000 456,563
Hyundai Auto Receivables Trust 2013-A, 0.4%, 12/15/15 0.4 12/15/2015 1,780,000 443,655
Starwood Property Trust, Inc., Term Loan (First Lien), 4/17/20 3.5 04/19/2020 1,594,115 1,587,639
Barclays Bank Plc, Floating Rate Note, 2/17/17 0.8059 02/17/2017 821,000 824,354
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 0.773 09/20/2033 5,000,000 241,759
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-AR4, Floating Rate Note, 12/25/34 2.3494 12/25/2034 1,170,000 173,434
First Franklin Mortgage Loan Trust 2004-FF10, Floating Rate Note, 9/25/34 1.232 09/25/2034 1,861,072 71,573
Mastr Asset Backed Securities Trust 2005-FRE1, Floating Rate Note, 10/25/35 0.402 10/25/2035 1,400,000 99,185
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 2.3018 06/15/2016 3,000,000 3,029,625
Bayview Opportunity Master Fund Trust IIB LP, Floating Rate Note, 1/28/33 (144A) 2.9814 01/28/2033 1,000,000 469,050
Nissan Auto Receivables 2012-A Owner Trust, 0.73%, 5/16/16 0.73 05/16/2016 55,000 29,189
Impac CMB Trust Series 2004-9, Floating Rate Note, 1/25/35 0.912 01/25/2035 14,700,000 1,042,233
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 8.0253 07/09/2015 1,500,000 1,554,367
Kizuna II Re, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A) 2.2508 04/06/2018 1,800,000 1,804,500
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 9/15/16 0.5018 09/15/2016 4,027,000 4,029,529
Ally Auto Receivables Trust 2011-2, 1.98%, 4/15/16 1.98 04/15/2016 355,000 179,438
ASG Resecuritization Trust 2010-3, Floating Rate Note, 12/28/45 (144A) 0.4547 12/28/2045 5,216,443 2,564,076
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 3.4384 01/15/2017 500,000 516,177
Federal Farm Credit Banks, Floating Rate Note, 3/9/15 0.08 03/09/2015 2,200,000 2,199,637
KeyCorp Student Loan Trust 2004-A, Floating Rate Note, 10/28/41 0.5279 10/28/2041 500,000 130,846
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 8.9304 12/06/2015 500,000 521,240
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 0.652 01/25/2033 13,036,000 520,496
Hyundai Auto Lease Securitization Trust 2012-A, 0.92%, 8/17/15 (144A) 0.92 08/17/2015 1,000,000 569,686
RREF 2013 LT2 LLC, 2.8331%, 5/22/28 (144A) 2.8331 05/22/2028 3,000,000 1,031,090
Maryland Health & Higher Educational Facilities Authority, Floating Rate Note, 7/1/36 0.04 07/01/2036 8,890,000 8,890,358
JPMorgan Chase & Co., 1.1%, 10/15/15 1.1 10/15/2015 1,528,000 1,537,899
Province of Ontario Canada, Floating Rate Note, 4/1/15 0.3834 04/01/2015 1,800,000 1,803,579
AmeriCredit Automobile Receivables Trust 2011-5, 2.45%, 12/8/16 2.45 12/08/2016 1,700,000 1,715,651
Helt Flt% 20mar36 06-4-A4 0.383 03/20/2036 1,000,000 992,071
Kane Flt% 30jul16   07/30/2016 1,006,000 1,019,581
HLSS Servicer Advance Receivables Trust, 1.4953%, 1/16/46 (144A) 1.4953 01/16/2046 3,360,000 3,363,913
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.422 11/25/2035 6,309,000 843,286
Westpac Banking Corp., Floating Rate Note, 5/19/17 0.557 05/19/2017 2,000,000 2,001,257
Oxford Finance Funding Trust 2012-1, 3.9%, 3/15/17 (144A) 3.9 03/15/2017 2,710,000 377,691
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/33 0.552 08/25/2033 485,000 21,870
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 0.502 05/25/2036 23,900,354 941,796
Federal Home Loan Banks, 5.739%, 7/18/14 5.739 07/18/2014 2,050,000 375,838
Advantage Sales & Marketing, Inc., 2013 Term Loan (First Lien), 12/18/17 4.25 12/17/2017 987,490 989,856
Svenska Handelsbanken AB, Floating Rate Note, 3/21/16 0.6796 03/21/2016 2,275,000 2,286,853
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1.802 03/25/2035 2,443,000 2,396,127
TMS International Corp., Term B Loan, 10/2/20 4.5 10/04/2020 149,250 149,810
Chase Issuance Trust, Floating Rate Note, 5/15/17 0.2518 05/15/2017 2,000,000 1,999,666
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 8.0304 06/06/2016 750,000 818,817
Sequoia Mortgage Trust 2004-12, Floating Rate Note, 1/20/35 0.423 01/20/2035 39,171,595 4,510,183
AmeriCredit Automobile Receivables Trust 2013-1, 0.49%, 6/8/16 0.49 06/08/2016 2,000,000 452,304
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 1.252 09/25/2034 3,465,620 678,923
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 4.75 04/25/2034 12,155,000 749,867
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 12/8/20 0.712 12/08/2020 1,330,000 966,971
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/35 0.4018 01/15/2035 5,669,000 888,971
TD Ameritrade Holding Corp., 4.15%, 12/1/14 4.15 12/01/2014 2,805,000 2,858,358
Select Medical Corp., Series E Tranche B Term Loan, 6/1/18 3.7502 06/01/2018 236,016 235,869
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 7/10/43 4.857 07/10/2043 1,985,000 1,932,885
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 0.5898 03/13/2017 2,000,000 2,003,248
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/15/30 (144A) 1.9018 12/15/2030 1,500,000 1,504,606
Toyota Motor Credit Corp., Floating Rate Note, 5/17/16 0.5159 05/17/2016 2,800,000 2,810,702
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.852 01/25/2035 17,745,000 2,214,280
Home Equity Asset Trust 2005-6, Floating Rate Note, 12/25/35 0.622 12/25/2035 3,404,000 3,394,743
MCC Georgia LLC, Tranche G Term Loan, 1/20/20 4.0 02/08/2020 736,875 737,943
Citigroup, Inc., Floating Rate Note, 4/1/16 1.0234 04/01/2016 1,325,000 1,336,836
SBI Home Equity Loan Trust 2006-1, Floating Rate Note, 8/25/36 (144A) 0.502 08/25/2036 2,950,000 1,009,899
Carmx 2.16% 15sep16 11-1-A4 2.16 09/15/2016 200,000 152,899
Federal National Mortgage Association REMICS, 4.0%, 6/25/37 4.0 06/25/2037 3,650,000 267,852
GE Equipment Small Ticket LLC Series 2014-1, 0.59%, 8/24/16 0.59 08/24/2016 1,900,000 1,902,426
MRFC Mortgage Pass-Through Trust Series 2000-TBC3, Floating Rate Note, 12/15/30 0.5918 12/15/2030 13,080,000 714,240
Morgan Stanley, Floating Rate Note, 10/15/15 0.7065 10/15/2015 318,000 319,136
American Credit Acceptance Receivables Trust 2014-1, 1.14%, 3/12/18 (144A) 1.14 03/12/2018 645,000 475,660
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 0.4729 07/20/2019 1,250,000 445,271
Weight Watchers International, Inc., Initial Tranche B-2 Term Loan, 4/2/20 4.0 04/02/2020 1,975,000 1,567,656
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A) 0.6396 03/10/2017 1,000,000 1,000,118
Samson Investment Co., Tranche 1 Term Loan (Second Lien), 9/25/18 5.0 09/25/2018 400,000 400,822
Navitas Equipment Receivables LLC 2013-1, 1.95%, 11/15/16 1.95 11/15/2016 1,750,000 1,211,407
Fremont Home Loan Trust 2005-2, Floating Rate Note, 6/25/35 0.612 06/25/2035 9,000,000 35,605
WR Grace & Co., Delayed Draw Term Loan, 1/23/21 1.2341 01/23/2021 290,008 289,790
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/7/14 0.4 10/07/2014 4,200,000 4,206,997
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 0.8472 02/26/2016 1,800,000 1,811,704
MASTR Adjustable Rate Mortgages Trust 2004-11, Floating Rate Note, 11/25/34 0.792 11/25/2034 5,400,000 1,888,544
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 0.3218 04/16/2035 4,787,273 2,183,500
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/37 0.402 04/25/2037 3,381,809 723,154
Wesco Aircraft Hardware Corp., Tranche B Term Loan, 2/24/21 3.25 02/24/2021 2,574,000 2,567,243
Microsemi Corp., Term Loan (2014), 3/14/21 3.25 03/14/2021 131,461 131,010
Ameriquest Mort Sec Inc Asset Backed Pass Thr Cert 03 AR3, Floating Rate Note, 6/25/33 3.902 06/25/2033 729,633 484,329
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 0.8518 12/15/2039 2,334,000 1,034,567
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 9/10/47 5.1768 09/10/2047 6,175,000 6,482,348
Fannie Mae, Floating Rate Note, 11/1/23 2.266 11/01/2023 970,000 11,573
Delta Air Lines, Inc., Term Loan, 4/20/17 3.5 03/29/2017 296,947 297,291
KeyBank NA Cleveland Ohio, Floating Rate Note, 11/25/16 0.7172 11/25/2016 1,800,000 1,809,830
SunTrust Bank, Floating Rate Note, 4/1/15 0.5334 04/01/2015 1,390,000 1,391,564
Santander Drive Auto Receivables Trust 2014-2, Floating Rate Note, 8/15/17 0.4718 08/15/2017 1,550,000 1,550,774
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Series 2004-4, Floating Rate Note, 10 0.702 10/25/2034 3,977,618 966,003
Kane Flt% 12jun15   06/12/2015 2,000,000 1,769,800
MASTR Adjustable Rate Mortgages Trust 2003-3, Floating Rate Note, 9/25/33 2.1259 09/25/2033 2,650,000 833,933
Exxon Mobil Corp., Floating Rate Note, 3/15/17 0.2706 03/15/2017 1,980,000 1,980,220
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/39 0.6018 03/15/2039 1,000,000 327,740
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 0.602 06/25/2036 8,454,822 987,370
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 2.5518 10/15/2015 1,556,000 1,573,905
Eqty14-Inns Flt% 08may19 B   05/08/2019 3,530,000 3,532,054
Anheuser-Busch InBev Worldwide, Inc., 4.125%, 1/15/15 4.125 01/15/2015 2,120,000 2,202,773
HSBC USA, Inc., 2.375%, 2/13/15 2.375 02/13/2015 5,264,000 5,377,424
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R6, Floating Rate Note, 8 0.352 08/25/2035 2,850,000 38,136
Option One Mortgage Loan Trust 2005-1, Floating Rate Note, 2/25/35 0.952 02/25/2035 600,000 197,332
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A)   04/24/2017 1,350,000 1,315,305
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 (144A) 4.838 07/15/2041 2,030,626 549,373
Kane Flt% 01dec20 0.2274 12/01/2020 2,008,000 2,014,426
Structured Asset Securities Corp Mortgage Loan Trust 2006-BC4, Floating Rate Note, 12/25/36 0.262 12/25/2036 2,089,415 4,663
General Mills, Inc., Floating Rate Note, 1/29/16 0.5266 01/29/2016 1,765,000 1,771,141
CPS Auto Trust, 1.82%, 12/16/19 (144A) 1.82 12/16/2019 1,179,000 526,637
PNC Bank NA, Floating Rate Note, 4/29/16 0.5466 04/29/2016 3,268,000 3,272,417
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 2.125 09/15/2015 551,000 564,538
Waste Industries USA, Inc., Term B Loan, 3/17/17 4.25 02/23/2017 149,609 149,920
The Bank of New York Mellon Corp., Floating Rate Note, 7/28/14 0.4979 07/28/2014 2,340,000 2,342,567
The Toronto-Dominion Bank, 1.375%, 7/14/14 1.375 07/14/2014 1,100,000 1,107,456
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 1.0109 11/25/2034 62,595,000 3,304,969
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.102 10/25/2037 4,080,200 1,220,649
Emdeon, Inc., Term B-2 Loan, 11/2/18 3.75 11/02/2018 1,610,542 1,613,360
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 3.0 03/27/2024 2,250,000 2,141,779
Truven Health Analytics, Inc., New Tranche B Term Loan, 6/6/19 4.5 05/23/2019 343,033 340,246
The Bank of New York Mellon Corp., Floating Rate Note, 3/4/16 0.4572 03/04/2016 3,275,000 3,279,368
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 0.402 10/25/2035 4,339,000 843,992
Royal Bank of Canada, Floating Rate Note, 12/16/15 0.4506 12/16/2015 1,800,000 1,803,726
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 2.3691 04/19/2034 16,013,000 721,013
Pilot Travel Centers LLC, Refinancing Tranche B Term Loan, 3/30/18 3.75 03/30/2018 98,250 98,556
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/31 0.752 07/25/2031 48,885,770 493,338
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 1.652 06/25/2028 3,247,000 967,700
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 0.652 06/25/2033 44,273,266 2,240,676
RALI Series 2003-QS22 Trust, Floating Rate Note, 12/26/33 0.602 12/26/2033 8,400,000 934,979
JP Morgan Mortgage Trust 2004-A5, Floating Rate Note, 12/25/34 2.2768 12/25/2034 1,119,000 911,252
Allegion US Holding Co, Inc., Tranche B Term Loan, 12/26/20 3.0 12/26/2020 2,288,500 2,288,958
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 1.052 12/25/2031 30,500,000 1,327,482
DBRR 2012- EZ1 Trust, 0.946%, 9/25/45 (144A) 0.946 09/25/2045 1,537,145 34,310
Conseco Financial Corp., 7.05%, 1/15/19 7.05 01/15/2019 600,362 7,445
The Goldman Sachs Group, Inc., Floating Rate Note, 9/29/14 0.8341 09/29/2014 3,333,000 3,344,313
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 0.452 09/25/2036 5,483,897 876,446
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 0.452 12/25/2036 3,640,376 3,453,156
Davita Healthcare Partners Inc 1st Lien Tl-B L + 2.75% 19jun21   06/19/2021 476,241 479,090
Ah4r Flt% 17jun31 14-Sfr1-B 1.6 06/17/2031 1,500,000 1,501,221
Citibank Credit Card Issuance Trust, Floating Rate Note, 11/25/16 0.304 11/25/2016 4,050,000 4,050,900
Avis Budget Car Rental LLC, Tranche B Term Loan, 3/15/19 3.0 03/15/2019 1,286,104 1,287,551
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 3.5 09/06/2019 325,732 326,139
South Carolina State Public Service Authority, Floating Rate Note, 6/1/15 1.026 06/01/2015 670,000 672,584
JP Morgan Chase Commercial Mortgage Securities Trust 2013-ALC, Floating Rate Note, 7/17/26 (144A) 3.005 07/17/2026 1,466,000 1,489,350
Sumitomo Mitsui Banking Corp. New York, Floating Rate Note, 4/1/15 0.6334 04/01/2015 1,000,000 1,003,700
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 0.352 12/25/2036 3,800,000 940,098
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 0.7318 10/15/2037 18,287,000 1,524,692
Activision Blizzard, Inc., Term Loan, 7/26/20 3.25 07/26/2020 1,350,000 1,355,424
Discover Card Execution Note Trust, 0.86%, 11/15/17 0.86 11/15/2017 1,700,000 1,707,766
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 2.6914 07/25/2033 5,472,215 287,851
Vita Capital IV, Ltd., Floating Rate Note, 1/15/16 (Cat Bond) (144A) 2.922 01/15/2016 400,000 407,154
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 12/15/32 5.0 12/15/2032 410,000 19,470
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/15/35 0.8518 08/15/2035 50,000,000 5,778,633
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 0.383 02/20/2035 31,769,748 3,537,363
Ally Auto Receivables Trust 2011-3, 1.61%, 5/16/16 1.61 05/16/2016 602,000 430,782
Chase Issuance Trust, 0.47%, 5/15/17 0.47 05/15/2017 200,000 200,180
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 0.4518 02/15/2039 1,251,000 729,230
Ellington Loan Acquisition Trust 2007-2, Floating Rate Note, 5/25/37 (144A) 1.052 05/25/2037 5,000,000 557,371
Deutsche Telekom International Finance BV, 4.875%, 7/8/14 4.875 07/08/2014 2,456,000 2,515,057
WireCo WorldGroup, Inc., Term Loan, 2/15/17 6.0 04/13/2017 875,878 884,090
Adjustable Rate Mortgage Trust 2004-1, Floating Rate Note, 1/25/35 2.4451 01/25/2035 5,000,000 482,931
CHS, 2021 Term D Loan, 1/27/21 4.25 01/27/2021 72,008 72,543
National Australia Bank, Ltd., Floating Rate Note, 7/25/14 (144A) 1.1779 07/25/2014 3,125,000 3,133,615
Morgan Stanley Capital I Trust 2005-HQ6, Floating Rate Note, 8/13/42 5.073 08/13/2042 2,900,000 3,010,555
COMM 2007-FL14 Mortgage Trust, Floating Rate Note, 6/15/22 (144A) 0.4518 06/15/2022 9,355,000 1,959,848
Valeant Pharmaceuticals International, Inc., Series C-2 Tranche B Term Loan, 12/11/19 3.75 12/11/2019 589,500 589,942
Tesoro Corp., Initial Term Loan, 5/30/16 2.401 01/11/2016 795,000 798,727
MALLINCKRODT INTERNATIONAL FINANCE SA, Initial Term B Loan, 3/6/21 3.5 03/06/2021 972,563 973,508
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 0.4634 05/02/2017 2,000,000 2,000,415
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 2.7804 01/09/2017 1,000,000 1,029,275
US Bank NA Cincinnati Ohio, Floating Rate Note, 4/22/16 0.3486 04/22/2016 2,000,000 2,001,545
Bear Stearns Asset Backed Securities Trust 2003-AC5, Floating Rate Note, 10/25/33 1.252 10/25/2033 2,875,000 296,894
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/23 0.652 03/25/2023 17,080,403 192,793
SMART Trust/Australia, Floating Rate Note, 7/14/16 0.4518 07/14/2016 1,500,000 1,500,972
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/35 0.662 06/25/2035 1,575,000 668,437
BAMLL Commercial Mortgage Securities Trust 2012-CLRN, Floating Rate Note, 8/15/29 (144A) 2.2518 08/15/2029 3,035,000 3,041,081
PACCAR Financial Corp., Floating Rate Note, 5/5/15 0.3609 05/05/2015 2,000,000 2,002,697
Wells Fargo Mortgage Backed Securities 2005-AR6 Trust, Floating Rate Note, 4/25/35 4.9783 04/25/2035 611,000 49,154
Carrington Mortgage Loan Trust Series 2005-NC4, Floating Rate Note, 9/25/35 0.552 09/25/2035 375,000 59,398
Csfb Flt% 25jul35 05-6-1a2 0.422 07/25/2035 9,490,000 1,095,305
Toronto-Dominion Bank New York, Floating Rate Note, 11/14/14 0.214 11/14/2014 1,700,000 1,700,266
Santander Holdings USA, Inc. Pennsylvania, 3.0%, 9/24/15 3.0 09/24/2015 4,502,000 4,660,557
Government National Mortgage Association, Floating Rate Note, 8/16/39 1.1518 08/16/2039 2,960,000 588,505
Steward Health Care System LLC, Term Loan, 4/10/20 6.75 04/12/2020 992,500 981,334
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 0.4995 02/28/2041 6,439,000 798,806
Penske Truck Leasing Co Lp, 2.5%, 7/11/14 (144A) 2.5 07/11/2014 2,400,000 2,429,399
United Auto Credit Securitization Trust 2013-1, 1.74%, 4/15/16 (144A) 1.74 04/15/2016 1,900,000 1,908,997
Citigroup, Inc., Floating Rate Note, 11/5/14 0.5029 11/05/2014 2,692,000 2,695,252
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.992 01/25/2035 25,907,600 3,529,182
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.75 04/30/2018 2,300,000 2,289,488
Chase Funding Trust Series 2002-4, Floating Rate Note, 10/25/32 0.892 10/25/2032 1,000,000 19,234
Morgan Stanley, Floating Rate Note, 2/25/16 1.4772 02/25/2016 4,350,000 4,417,393
Direct Capital Funding V LLC, 1.673%, 12/20/17 (144A) 1.673 12/20/2017 725,000 234,904
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/30 0.702 12/25/2030 20,000,000 104,727
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/35 2.2049 06/25/2035 1,500,000 249,158
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 0.652 03/25/2024 14,460,650 622,648
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 0.7035 12/10/2027 1,000,000 1,002,560
Royal Bank of Canada, Floating Rate Note, 1/6/15 0.4604 01/06/2015 2,200,000 2,205,023
Csmc Flt% 15dec29 14-Ice-B   12/15/2029 3,420,000 3,424,098
Embarcadero Reinsurance, Ltd., Floating Rate Note, 8/7/15 (Cat Bond) (144A) 5.2254 08/07/2015 525,000 539,956
Comm Flt% 11jun27 14-Kyo-C   06/11/2027 5,740,000 5,740,000
Seminole Tribe of Florida, Inc., Initial Term Loan, 4/29/20 3.0 04/11/2020 1,368,750 1,367,681
Kane Flt% 14jul15   07/14/2015 1,528,080 1,443,577
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.6018 12/15/2032 2,500,000 12,526
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2004-2, Floating Rate Note, 6/25/ 1.112 06/25/2034 21,291,000 1,921,631
Queen Street III Capital, Ltd., Floating Rate Note, 7/28/14 (144A) 4.7675 07/28/2014 1,750,000 1,775,008
PF Chang's China Bistro, Inc., Term Borrowing, 6/22/19 4.25 05/15/2019 841,501 830,456
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 3.5 04/23/2020 1,465,054 1,467,032
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38 1.372 10/25/2038 6,344,000 796,407
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 0.7281 12/22/2054 1,250,000 1,245,151
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 0.4018 08/15/2036 17,556,000 1,096,504
AT&T, Inc., 0.875%, 2/13/15 0.875 02/13/2015 1,850,000 1,862,072
Nordea Bank AB, Floating Rate Note, 4/4/17 (144A) 0.5901 04/04/2017 890,000 892,499
Government National Mortgage Association, Floating Rate Note, 10/16/39 0.8318 10/16/2039 2,500,000 443,235
Windstream Corp., Tranche B-4 Term Loan, 1/23/20 3.5 01/08/2020 1,038,364 1,037,221
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 1.7513 02/13/2032 6,150,000 6,190,652
Sealed Air Corp., Replacement Term Loan, 10/3/18 3.0 10/03/2018 577,379 580,131
Wendy's International LLC, Term B Loan, 5/15/19 3.25 05/15/2019 724,757 726,868
Duke Energy Corp., 3.95%, 9/15/14 3.95 09/15/2014 1,705,000 1,737,142
GreenPoint Mortgage Funding Trust 2005-HE4, Floating Rate Note, 7/25/30 0.872 07/25/2030 2,051,321 114,287
Shell International Finance BV, Floating Rate Note, 11/15/16 0.4339 11/15/2016 1,500,000 1,502,237
Citigroup, Inc., Floating Rate Note, 7/25/16 1.1888 07/25/2016 3,700,000 3,748,353
Westpac Banking Corp., 4.2%, 2/27/15 4.2 02/27/2015 2,000,000 2,079,977
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 0.482 01/25/2036 810,000 599,990
Permanent Master Issuer Plc, Floating Rate Note, 7/15/42 (144A) 1.8265 07/15/2042 887,000 900,473
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 0.7774 03/03/2017 2,000,000 2,007,037
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE2, Floating Rate Note, 2/25/35 0.827 02/25/2035 8,100,000 983,535
Amcar Flt% 10oct17 14-2-A2b   10/10/2017 1,320,000 1,320,418
Valeant Pharmaceuticals International, Inc., Series E1 Tranche B Term Loan, 8/5/20 3.75 05/20/2020 1,513,488 1,514,056
Santander Drive Auto Receivables Trust 2012-5, 0.83%, 12/15/16 0.83 12/15/2016 1,600,000 1,020,938
Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19 4.0 04/23/2019 727,141 728,163
Swift Transportation Co Llc 1st Lien Tl-B L + 3% 09jun21 3.75 06/09/2021 342,430 343,607
Citigroup Mortgage Loan Trust 2010-7, Floating Rate Note, 9/25/37 (144A) 1.151 09/25/2037 6,105,345 1,579,093
Federal Farm Credit Banks, Floating Rate Note, 9/24/14 0.201 09/24/2014 2,440,000 2,440,560
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 1.3253 07/25/2029 3,866,000 165,392
Calpine Corp., Term Loan, 10/9/19 4.0 09/27/2019 762,115 765,343
New York Life Global Funding, Floating Rate Note, 10/5/15 (144A) 0.2601 10/05/2015 2,350,000 2,350,904
Federal National Mortgage Association REMICS, 6.0%, 3/25/35 6.0 03/25/2035 1,000,000 59,525
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 0.652 05/25/2040 8,500,000 1,632,893
The Bank of New York Mellon Corp., 3.1%, 1/15/15 3.1 01/15/2015 670,000 689,628
Soundview Home Loan Trust 2005-DO1, Floating Rate Note, 5/25/35 0.602 05/25/2035 2,000,000 454,172
CCG Receivables Trust 2014-1, 1.44%, 11/14/21 (144A) 1.06 11/14/2021 1,900,000 1,902,422
Direct Capital Funding V LLC, 0.7%, 9/20/14 (144A) 0.7 09/20/2014 1,309,000 203,652
RPI Finance Trust, Term B-2 Term Loan, 5/9/18 3.25 05/09/2018 1,017,230 1,019,895
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 0.422 04/25/2032 28,795,000 3,016,046
Cah Flt% 17jul31 C   07/17/2031 2,100,000 2,102,675
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/33 0.5518 06/15/2033 10,000,000 634,088
Duke Energy Indiana, Inc., Floating Rate Note, 7/11/16 0.5776 07/11/2016 1,375,000 1,381,779
AmeriCredit Automobile Receivables Trust 2013-2, 0.65%, 12/8/17 0.65 12/08/2017 485,000 485,556
Philip Morris International, Inc., Floating Rate Note, 2/26/15 0.2772 02/26/2015 1,500,000 1,500,535
Federal National Mortgage Association, 2.674%, 4/25/45 2.6612 04/25/2045 750,000 147,994
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-22A, Floating Rate Note, 6/25/3 2.4856 06/25/2033 4,000,000 390,195
John Deere Owner Trust 2013-B, 0.55%, 1/15/16 0.55 01/15/2016 100,000 71,212
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 10/10/45 5.115 10/10/2045 4,730,000 4,754,770
RFSC Series 2003-RP2 Trust, Floating Rate Note, 7/25/41 (144A) 1.652 07/25/2041 2,000,000 1,213,539
Fannie Mae, Floating Rate Note, 4/1/15 2.825 04/01/2015 4,200,043 1,530
Sinclair Television Group, Inc., New Tranche B Term Loan, 4/19/20 3.0 10/29/2016 1,341,733 1,329,713
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 0.4518 09/15/2026 1,427,500 912,394
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/34 0.932 11/25/2034 21,906,000 690,997
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 0.502 06/25/2034 11,977,997 1,157,490
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 1.651 11/05/2030 2,475,000 2,484,176
Volkswagen Auto Lease Trust 2012-A, 0.87%, 7/20/15 0.87 07/20/2015 1,412,000 634,138
Sebny 0.25% 02sep14 Usd 0.25 09/02/2014 8,555,000 8,563,013
Wachovia Bank Commercial Mortgage Trust Series 2005-C20, Floating Rate Note, 7/15/42 5.118 07/15/2042 1,825,000 1,729,996
Mcdermott International Inc 1st Lien Tl-B L + 4.25% 11apr19 5.25 04/11/2019 500,000 505,000
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 0.5498 09/13/2016 1,814,000 1,807,268
Wells Fargo Home Equity Asset-Backed Securities 2005-2 Trust, Floating Rate Note, 11/25/35 0.562 11/25/2035 189,000 114,727
Loudoun County Economic Development Authority, Floating Rate Note, 2/15/38 0.04 02/15/2038 15,140,000 15,140,510
Government National Mortgage Association, Floating Rate Note, 6/16/31 0.6518 06/16/2031 14,000,000 266,503
New Albertsons Inc 1st Lien Tl L + 3.75% 24jun21 4.75 06/24/2021 500,000 502,300
Ford Credit Auto Lease Trust 2013-A, 0.46%, 5/15/15 0.46 05/15/2015 2,015,000 552,864
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-D, Floating Rate Note, 9/25/29 2.1217 09/25/2029 11,000,000 800,271
Foundation Re III, Ltd., Floating Rate Note, 2/25/15 (Cat Bond) (144A) 5.0203 02/25/2015 1,550,000 1,566,154
GSAA Home Equity Trust 2004-8, Floating Rate Note, 9/25/34 0.892 09/25/2034 7,860,000 305,295
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 0.452 05/25/2036 25,142,877 2,475,732
Flagstar Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/18 (144A) 0.382 06/25/2018 15,500,000 1,353,233
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 10/15/21 (144A) 0.3218 10/15/2021 10,150,000 2,550,585
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 0.652 06/25/2035 1,393,325 969,376
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/42 0.652 04/25/2042 642,857 490,744
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 0.552 05/25/2035 1,150,000 17,214
Drillships Financing Holding, Inc., Tranche B-1 Term Loan, 3/31/21 6.0 03/02/2021 992,500 1,007,388
Harley-Davidson Motorcycle Trust 2011-2, 1.11%, 9/15/16 1.11 09/15/2016 300,000 81,317
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 0.812 06/25/2028 42,262,000 2,058,500
Santander Drive Auto Receivables Trust 2011-S2, 2.06%, 6/15/17 (144A) 2.06 06/15/2017 400,000 19,266
CNO Financial Group, Inc., Tranche B-2 Term Loan, 9/28/18 3.75 09/04/2018 462,349 463,216
Energy Transfer Partners LP, 5.95%, 2/1/15 5.95 02/01/2015 2,830,000 2,976,633
LB-UBS Commercial Mortgage Trust 2005-C2, Floating Rate Note, 4/15/30 5.205 04/15/2030 4,785,000 4,936,903
Nissan Master Owner Trust Receivables, Floating Rate Note, 5/15/17 0.6218 05/15/2017 570,000 571,560
Bayview Opportunity Master Fund IIa Trust 2012-4NPL, 3.9496%, 1/28/34 (Step) 3.9496 01/28/2034 2,125,000 1,777,001
West Corp., Term B-10 Loan, 6/30/18 3.25 06/30/2018 1,143,359 1,138,675
Federal Farm Credit Banks, Floating Rate Note, 7/16/14 0.195 07/16/2014 5,529,000 5,531,468
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 0.4679 04/19/2021 1,200,000 842,400
JPMorgan Chase & Co., Floating Rate Note, 3/31/16 0.9395 03/31/2016 1,000,000 999,080
American Credit Acceptance Receivables Trust 2012-2, 1.89%, 7/15/16 (144A) 1.89 07/15/2016 800,000 84,967
Garda World Security Corp., Term B Loan, 11/1/20 4.0 11/01/2020 1,254,675 1,254,283
RPI Finance Trust, Term B-3 Term Loan, 11/9/18 3.25 11/09/2018 625,502 627,262
Genpact International, Inc., Term Loan, 8/30/19 3.5 08/17/2019 987,538 990,619
Option One Mortgage Loan Trust 2007-FXD2, 5.9%, 3/25/37 (Step) 5.9 03/25/2037 810,000 43,218
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/35 0.452 12/25/2035 3,750,000 435,906
Arc Automotive Group, Inc., Term Loan, 11/15/18 6.0 11/01/2018 479,219 481,615
Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37 0.302 03/25/2037 1,000,000 667,467
Riverfront Re, Ltd., Floating Rate Note, 1/6/17 (Cat Bond) (144A) 4.0355 01/06/2017 1,000,000 976,400
Sequa Corp., Initial Term Loan, 6/19/17 5.25 05/29/2017 419,688 416,540
Fannie Mae, 7.0%, 10/1/17 7.0 10/01/2017 2,241,352 7,794
Morgan Stanley ABS Capital I Inc Trust 2005-WMC3, Floating Rate Note, 3/25/35 0.857 03/25/2035 131,174 84,742
Volkswagen International Finance NV, Floating Rate Note, 11/18/16 (144A) 0.6659 11/18/2016 1,750,000 1,758,010
Citibank Credit Card Issuance Trust, 4.9%, 12/12/16 4.9 12/12/2016 200,000 204,658
Prestige Brands, Inc., Term B-1 Loan, 1/31/19 3.75 01/31/2019 550,259 552,666
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 1.6281 12/22/2054 2,000,000 1,742,259
American Express Centurion Bank, Floating Rate Note, 11/13/15 0.6741 11/13/2015 2,950,000 2,965,766
RAMP Series 2006-EFC1 Trust, Floating Rate Note, 2/25/36 0.352 02/25/2036 1,500,000 20,597
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 4.894 08/10/2042 3,300,000 3,365,054
BMW Floorplan Master Owner Trust, Floating Rate Note, 9/15/17 (144A) 0.5518 09/15/2017 3,000,000 3,009,954
Embarcadero Reinsurance, Ltd., Floating Rate Note, 2/4/16 (Cat Bond) (144A) 6.6492 08/04/2014 1,020,000 1,032,611
LB-UBS Commercial Mortgage Trust 2008-C1, Floating Rate Note, 4/15/41 6.3198 04/15/2041 414,000 216,749
inVentiv Health, Inc., Term B-3 Loan, 5/15/18 7.75 06/24/2018 66,656 66,822
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 0.662 09/25/2035 3,451,000 1,920,324
Harris County Health Facilities Development Corp., Floating Rate Note, 12/1/41 0.03 12/01/2041 10,345,000 10,345,383
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/33 0.652 04/25/2033 36,000,000 1,139,262
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 0.5796 03/10/2017 1,500,000 1,502,094
Morgan Stanley Capital I Trust 2004-IQ8, Floating Rate Note, 6/15/40 5.3 06/15/2040 3,830,000 3,863,507
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/25/29 (144A) 1.35 08/25/2029 2,926,938 2,070,406
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 8.5262 01/05/2017 2,750,000 2,964,629
RAMP Series 2005-RZ4 Trust, Floating Rate Note, 11/25/35 0.412 11/25/2035 21,876,980 21,961
Fannie Mae, Floating Rate Note, 9/1/32 2.238 09/01/2032 375,000 23,769
CHL Mortgage Pass-Through Trust 2003-11, Floating Rate Note, 5/25/33 0.702 05/25/2033 30,308,000 366,847
Stanwich Mortgage Loan Trust, 2.9814%, 2/16/43 (144A) 2.9814 02/16/2043 3,025,000 1,099,385
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 0.552 03/25/2034 20,624,640 1,361,017
Bayview Financial Acquisition Trust, 6.205%, 5/28/37 (Step) 6.205 05/28/2037 100,000 61,814
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/21 1.052 09/25/2021 8,269,375 85,375
JOHN DEERE CAPITAL Corp., Floating Rate Note, 2/25/16 0.3272 02/25/2016 2,883,000 2,882,951
East Lane Re, Ltd., Floating Rate Note, 3/13/15 (Cat Bond) (144A) 6.6804 03/13/2015 1,000,000 1,017,586
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 0.352 12/25/2036 3,000,000 496,146
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37 0.772 12/25/2037 21,428,000 831,165
GreenPoint Mortgage Funding Trust 2005-HE4, Floating Rate Note, 7/25/30 0.592 07/25/2030 95,421,717 418,670
GE Business Loan Trust 2004-1, Floating Rate Note, 5/15/32 (144A) 0.4418 05/15/2032 7,667,511 841,952
Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A) 1.152 03/25/2037 4,870,000 1,072,711
Sequoia Mortgage Trust 2004-12, Floating Rate Note, 1/20/35 0.6154 01/20/2035 2,000,000 141,962
New Century Home Equity Loan Trust Series 2003-4, Floating Rate Note, 10/25/33 1.277 10/25/2033 2,500,000 1,456,551
RAIT 2014-FL2 Trust, Floating Rate Note, 5/13/31 2.3018 05/13/2031 3,000,000 2,958,069
Numericable Sfr 1st Lien Tl-B2 L + 3.75% 23apr20 4.5 04/23/2020 231,923 233,572
World Omni Auto Receivables Trust 2013-B, 0.48%, 11/15/16 0.48 11/15/2016 50,000 45,219
Capital One Multi-Asset Execution Trust, Floating Rate Note, 8/15/18 0.2418 08/15/2018 6,145,000 6,139,394
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 6.5 08/15/2030 1,250,000 214,638
DT Auto Owner Trust 2012-2, 1.85%, 4/17/17 (144A) 1.85 04/17/2017 900,000 223,080
ARI Fleet Lease Trust 2013-A, 0.7%, 12/15/15 (144A) 0.7 12/15/2015 1,515,000 1,098,945
Atlantic Power LP, Term Loan, 2/20/21 4.75 02/20/2021 2,953,023 2,989,936
Bac Flt% 15jan15 0.6865 01/15/2015 1,000,000 1,002,867
Michaels Stores, Inc., Term B Loan, 1/28/20 3.75 01/16/2020 990,000 989,647
Impac CMB Trust Series 2004-5, Floating Rate Note, 10/25/34 0.872 10/25/2034 27,915,000 1,691,864
Westpac Banking Corp., Floating Rate Note, 7/17/15 (144A) 1.0264 07/17/2015 500,000 504,386
The Goodyear Tire & Rubber Co., Loan (Second Lien), 4/30/19 4.75 03/27/2019 600,000 604,495
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 1.152 08/25/2034 158,000 6,624
Ford Credit Auto Owner Trust 2014-A, 0.48%, 11/15/16 0.48 11/15/2016 950,000 937,274
Countrywide Asset-Backed Certificates, Floating Rate Note, 12/25/34 1.202 12/25/2034 2,000,000 1,380,721
Anheuser-Busch Companies LLC, 5.0%, 1/15/15 5.0 01/15/2015 1,691,000 1,772,272
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 11.0765 04/10/2015 1,945,000 2,068,898
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 0.3618 04/15/2022 1,982,362 1,965,991
Ziggo Bv 1st Lien Tl-B1 L + 2.75% 15jan22   01/15/2022 1,072,383 1,060,606
AmeriCredit Automobile Receivables Trust 2012-5, 0.51%, 1/8/16 0.51 01/08/2016 2,600,000 204,845
Armor Re, Ltd., Floating Rate Note, 12/15/16 (Cat Bond) (144A) 4.0304 12/15/2016 1,000,000 986,822
Fosse Master Issuer Plc, Floating Rate Note, 10/18/54 (144A) 1.6279 10/18/2054 1,380,000 874,458
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 8.5152 05/09/2016 1,500,000 1,556,546
Anheuser-Busch InBev Worldwide, Inc., 1.5%, 7/14/14 1.5 07/14/2014 2,300,000 2,317,053
AXIS Equipment Finance Receivables II LLC, 1.75%, 6/20/16 1.75 06/20/2016 1,000,000 757,081
Gracechurch Card Funding Plc, Floating Rate Note, 2/15/17 (144A) 0.8518 02/15/2017 1,205,000 1,210,212
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 0.4579 04/20/2021 1,800,000 1,773,380
Acmar 6.4% 09apr18 10-4-E 6.4 04/09/2018 470,000 480,056
RASC Series 2005-KS3 Trust, Floating Rate Note, 4/25/35 0.797 04/25/2035 500,000 193,441
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 0.6841 05/13/2016 2,500,000 2,514,968
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 0.4179 01/27/2017 1,900,000 1,903,843
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP1, Floating Rate Note, 3/15/46 5.038 03/15/2046 3,110,000 2,573,018
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 2.1518 12/15/2028 2,910,000 2,929,859
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 0.352 02/25/2037 5,150,000 606,575
Boams Flt% 25may34 04-D-2a1 2.6339 05/25/2034 17,088,000 2,092,283
Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20 3.5 09/23/2020 1,095,395 1,094,738
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 0.612 01/25/2035 11,300,000 1,736,032
NSG Holdings LLC, New Term Loan, 12/11/19 3.75 11/15/2019 1,578,342 1,580,314
LB-UBS Commercial Mortgage Trust 2004-C6, Floating Rate Note, 8/15/29 5.02 08/15/2029 4,182,549 506,006
Enterprise Fleet Financing LLC, 0.87%, 9/20/19 0.87 09/20/2019 2,000,000 2,000,522
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 0.702 10/25/2017 5,500,000 117,119
NRG Energy, Inc., Term Loan (2013), 7/1/18 2.75 07/01/2018 1,176,423 1,175,280
Capital One Financial Corp., 2.125%, 7/15/14 2.125 07/15/2014 4,440,000 4,486,534
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 10.0304 06/06/2016 1,150,000 1,269,766
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 0.772 09/25/2034 42,840,193 1,879,449
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33 0.652 09/25/2033 19,984,406 2,500,936
Government National Mortgage Association, Floating Rate Note, 7/20/41 0.403 07/20/2041 2,647,831 1,701,037
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1.232 03/25/2035 1,150,000 620,932
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 0.5274 11/23/2016 1,800,000 1,806,149
Bank of America Corp., 5.45%, 7/15/14 5.45 07/15/2014 4,980,000 5,115,912
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 0.4518 04/15/2036 3,463,000 802,686
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 0.7439 02/15/2017 2,000,000 2,009,218
Mufg 0.15% 18jul14 Usd 0.15 07/18/2014 16,060,000 16,060,709
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/25/29 (144A) 4.395 08/25/2029 1,000,000 1,015,396
Federal National Mortgage Association REMICS, 4.5%, 1/25/39 4.5 01/25/2039 820,000 77,298
Commonwealth Bank of Australia, Floating Rate Note, 12/4/15 (144A) 0.4372 12/04/2015 1,800,000 1,801,407
Citibank Credit Card Issuance Trust, Floating Rate Note, 4/24/17 0.254 04/24/2017 10,870,000 10,866,939
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19, Floating Rate Note, 2/12/49 5.8917 02/12/2049 475,000 127,551
GSAMP Trust 2004-SEA2, Floating Rate Note, 3/25/34 0.802 03/25/2034 3,898,600 3,598,079
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37 0.4518 02/15/2037 23,400,000 1,627,079
Electricite de France SA, Floating Rate Note, 1/20/17 (144A) 0.6879 01/20/2017 1,865,000 1,875,126
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/38 0.552 12/25/2038 400,000 284,333
Tempur Sealy International, Inc., New Term B Loan, 3/18/20 3.5 03/18/2020 517,807 516,782
New York Life Global Funding, 0.75%, 7/24/15 (144A) 0.75 07/24/2015 1,000,000 1,004,808
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R10, Floating Rate Note, 0.372 01/25/2036 15,705,000 1,012,105
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-11, Floating Rate Note, 1 0.892 12/25/2033 6,950,000 316,255
CGWF Commercial Mortgage Trust 2013-RKWH, Floating Rate Note, 11/15/30 (144A) 2.0518 11/15/2030 3,780,000 3,798,976
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/31 0.752 11/25/2031 44,000,000 448,574
Morgan Stanley Capital I Trust 2004-HQ4, 4.97%, 4/14/40 4.97 04/14/2040 3,900,007 845,379
Government National Mortgage Association, Floating Rate Note, 8/20/38 0.653 08/20/2038 4,585,000 518,945
The Bear Stearns Companies LLC, 5.7%, 11/15/14 5.7 11/15/2014 2,150,000 2,207,008
Crown Castle 1st Lien Term-B2 L + 2.5% 31jan21 3.25 01/31/2021 1,186,168 1,187,280
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 1.7765 10/15/2054 2,500,000 1,680,551
HSBC Bank Middle East, Ltd., 3.0%, 10/21/15 3.0 10/21/2015 1,000,000 1,028,333
Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A) 1.0121 09/16/2016 1,500,000 1,511,123
Pfizer, Inc., Floating Rate Note, 5/15/17 0.3739 05/15/2017 2,100,000 2,100,991
Structured Asset Mortgage Investments II Trust 2004-AR1, Floating Rate Note, 3/19/34 0.855 03/19/2034 16,800,000 991,667
Ry Flt% 16jun17 0.4706 06/16/2017 2,200,000 2,200,414
Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A)   01/09/2017 2,000,000 1,978,800
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/35 0.4918 05/15/2035 3,925,000 936,669
Chrysler Group LLC, Tranche B Term Loan, 12/29/18 3.25 12/29/2018 2,892,750 2,889,122
Volvo Financial Equipment LLC Series 2013-1, 0.53%, 11/16/15 (144A) 0.53 11/16/2015 1,820,000 981,936
PFS Financing Corp., Floating Rate Note, 2/15/18 (144A) 0.7018 02/15/2018 2,340,000 2,342,651
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 4.0 11/08/2020 320,963 320,863
CNH Equipment Trust 2013-C, 0.63%, 1/17/17 0.63 01/17/2017 1,903,426 1,523,713
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 11/15/22 3.5 11/15/2022 1,100,000 1,891
Federal National Mortgage Association, Floating Rate Note, 12/25/33 0.452 12/25/2033 25,758,805 8,125,185
General Electric Capital Corp., 3.75%, 11/14/14 3.75 11/14/2014 510,000 519,121
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.202 10/25/2037 2,211,066 1,936,088
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 0.772 10/25/2028 38,289,000 2,271,571
Pinnacle Foods Finance LLC, New Term Loan G, 4/29/20 3.25 04/16/2020 1,323,250 1,318,702
Morgan Stanley Structured Trust, Floating Rate Note, 6/25/37 0.232 06/25/2037 1,500,000 224,446
Spirit AeroSystems, Inc., Term Loan B, 9/30/20 3.25 09/30/2020 1,339,193 1,337,310
Taminco Global Chemical Corp., Initial Tranche B-3 Dollar Term Loan, 2/15/19 3.25 02/15/2019 688,768 686,013
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/33 0.5518 01/15/2033 40,500,000 619,363
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 11/25/34 0.952 11/25/2034 30,931,007 861,176
DigitalGlobe, Inc., Term Loan, 1/31/20 3.75 01/25/2020 879,494 882,649
BA Credit Card Trust, Floating Rate Note, 9/16/19 0.4218 09/16/2019 2,800,000 2,802,864
Cincinnati Bell, Inc., Tranche B Term Loan, 9/10/20 4.0 08/20/2020 1,240,625 1,242,305
Bombardier Recreational Products, Inc., Term B Loan, 1/30/19 4.0 07/17/2019 188,571 188,942
Asset Backed Securities Corp Home Equity Loan Trust Series OOMC 2005-HE6, Floating Rate Note, 7/25/3 0.662 07/25/2035 1,879,167 1,564,218
RBS Greenwich Capital Mortgage Loan Trust, 3.686%, 4/15/24 (144A) 3.686 04/15/2024 8,160,000 5,859,339
GE Equipment Small Ticket LLC Series 2013-1, 0.73%, 1/25/16 (144A) 0.73 01/25/2016 800,000 718,029
Sequoia Mortgage Trust 10, Floating Rate Note, 10/20/27 0.913 10/20/2027 6,100,000 132,702
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/32 0.7518 09/15/2032 10,000,000 231,584
Federal Farm Credit Banks, Floating Rate Note, 10/23/14 0.18 10/23/2014 3,500,000 3,501,823
Seadrill Operating LP, Initial Term Loan, 2/14/21 4.0 02/14/2021 2,736,250 2,721,808
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 0.5518 07/15/2036 1,200,000 60,469
General Electric Capital Corp., Floating Rate Note, 7/2/15 1.2606 07/02/2015 2,793,000 2,829,048
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 3.9355 06/07/2017 2,000,000 1,987,400
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 1.18 08/15/2017 1,138,000 426,520
Nissan Motor Acceptance Corp., Floating Rate Note, 9/26/16 (144A) 0.9336 09/26/2016 1,500,000 1,513,724
Cequel Communications LLC, Term Loan, 2/14/19 3.5 01/31/2019 1,147,333 1,149,556
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 0.652 05/25/2033 15,932,000 448,911
Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35 5.5 05/25/2035 19,264,330 494,677
The University of Texas System, Floating Rate Note, 8/1/34 0.03 08/01/2034 11,970,000 11,970,364
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/32 0.602 09/25/2032 19,400,000 276,083
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 0.6518 07/15/2036 15,317,285 1,362,888
Ford Credit Auto Owner Trust 2013-C, 0.55%, 4/15/16 0.55 04/15/2016 1,480,000 760,425
National Australia Bank, Ltd., Floating Rate Note, 3/17/17 0.6021 03/17/2017 1,950,000 1,950,964
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 0.552 07/25/2035 1,110,000 1,068,483
Hyundai Capital Services, Inc., Floating Rate Note, 3/18/17 (144A) 1.0306 03/18/2017 1,950,000 1,956,439
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R5, Floating Rate Note, 7 0.582 07/25/2035 84,000 83,917
Fannie Mae, Floating Rate Note, 2/1/34 2.295 02/01/2034 500,000 31,834
Caterpillar Financial Services Corp., Floating Rate Note, 2/26/16 0.4672 02/26/2016 1,500,000 1,503,538
DineEquity, Inc., Term B-2 Loan, 10/19/17 3.75 10/19/2017 126,321 127,006
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 0.602 07/25/2034 2,500,000 159,428
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 0.342 12/25/2035 1,369,377 484,163
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 2.4505 07/25/2033 8,050,000 1,059,262
Capital One Financial Corp., Floating Rate Note, 7/15/14 1.3765 07/15/2014 6,265,000 6,285,669
Fresenius US Finance I, Inc., Tranche B Term Loan, 8/7/19 2.2341 08/06/2019 1,488,750 1,492,782
TAL Advantage LLC, Floating Rate Note, 4/20/21 (144A) 0.343 04/20/2021 1,250,000 226,846
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 4.0203 06/28/2016 2,250,000 2,275,375
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.382 06/25/2037 632,250 88,083
Chesapeake Funding LLC, Floating Rate Note, 11/7/23 (144A) 2.151 11/07/2023 250,000 253,110
Federal Farm Credit Banks, Floating Rate Note, 1/20/15 0.27 01/20/2015 1,490,000 1,491,943
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/32 0.852 01/25/2032 30,000,000 457,247
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP11, Floating Rate Note, 6/15/49 5.9759 06/15/2049 120,000 13,831
Structured Asset Sec Corp Mort Pass Thr Certs Series 1998-8, Floating Rate Note, 8/25/28 1.092 08/25/2028 8,825,000 477,236
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-1, Floating Rate Note, 2 0.452 02/25/2035 13,907,953 119,395
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 10/25/34 0.872 10/25/2034 4,100,000 46,113
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 0.7718 10/15/2037 9,195,000 824,458
McKesson Corp., Floating Rate Note, 9/10/15 0.6296 09/10/2015 625,000 626,418
Merrill Lynch Mortgage Trust 2005-CIP1, Floating Rate Note, 7/12/38 5.047 07/12/2038 2,170,000 2,253,864
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 0.4841 09/30/2016 1,795,000 1,798,888
Express Scripts Holding Co., 2.75%, 11/21/14 2.75 11/21/2014 5,005,000 5,067,285
Ford Credit Auto Owner Trust 2011-A, 1.65%, 5/15/16 1.65 05/15/2016 1,870,000 742,379
Barclays Dryrock Issuance Trust, Floating Rate Note, 7/16/18 0.4918 07/16/2018 200,000 200,261
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 0.5595 06/28/2044 8,536,000 233,188
Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44 1.9513 12/25/2044 4,235,000 888,287
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/17/26 (144A) 2.0911 11/17/2026 2,250,000 2,062,703
Government National Mortgage Association, Floating Rate Note, 1/16/35 0.4018 01/16/2035 11,437,000 1,330,372
Barclays Dryrock Issuance Trust, Floating Rate Note, 12/16/19 0.5118 12/16/2019 1,050,000 1,051,353
Colony American Homes 2014-1, Floating Rate Note, 5/17/31 2.1 05/17/2031 2,300,000 2,303,235
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/34 5.0 06/15/2034 2,168,000 288,100
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3, Floating Rate Note, 8/25/35 (144 0.452 08/25/2035 1,300,000 60,201
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 0.382 11/25/2037 31,986,000 1,844,254
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 0.8518 03/15/2032 22,000,000 209,109
HJ Heinz Co., Term B-2 Loan, 6/5/20 3.5 03/27/2020 1,584,000 1,597,559
Chesapeake Funding LLC, Floating Rate Note, 4/7/24 (144A) 1.401 04/07/2024 2,050,000 1,494,941
Citigroup, Inc., 5.0%, 9/15/14 5.0 09/15/2014 1,300,000 1,330,649
Mastr Asset Backed Securities Trust 2006-AB1, Floating Rate Note, 2/25/36 0.382 02/25/2036 12,307,204 2,501,886
Discover Card Execution Note Trust, Floating Rate Note, 1/16/18 0.3518 01/16/2018 690,000 690,471
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 2/26/16 0.6372 02/26/2016 3,330,000 3,339,277
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 5.46 11/15/2035 1,240,000 1,123,712
ACA CLO 2006-2, Ltd., Floating Rate Note, 1/20/21 (144A) 0.9479 01/20/2021 1,250,000 1,225,338
Progreso 3.5% 08jul19 2014-A_ 3.5 07/08/2019 4,750,000 4,750,462
CHL Mortgage Pass-Through Trust 2003-15, Floating Rate Note, 6/25/18 0.652 06/25/2018 25,913,062 741,363
United Technologies Corp., Floating Rate Note, 6/1/15 0.7274 06/01/2015 1,965,000 1,974,583
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 0.6091 03/30/2016 2,399,000 2,407,930
Gsamp Flt% 25dec35 06-Sd1-A2 0.612 12/25/2035 18,098,000 2,561,341
Permanent University Fund, Floating Rate Note, 7/1/37 0.03 07/01/2037 11,495,000 11,495,355
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 0.412 11/25/2046 6,020,000 1,176,449
Anheuser-Busch InBev Worldwide, Inc., Floating Rate Note, 7/14/14 0.5871 07/14/2014 2,472,000 2,475,466
Language Line LLC, Tranche B Term Loan, 6/20/16 6.25 05/30/2016 901,751 904,907
Volkswagen Auto Lease Trust 2014-A, Floating Rate Note, 10/20/16 0.363 10/20/2016 1,500,000 1,500,726
HLSS Servicer Advance Receivables Trust, 1.2437%, 1/17/45 1.2437 01/17/2045 3,750,000 3,755,073
Revlon Consumer Products Corp., Acquisition Term Loan, 8/19/19 4.0 08/19/2019 373,125 374,408
CSMC Trust 2014-SURF, Floating Rate Note, 2/15/29 (144A)   02/15/2029 2,400,000 2,406,079
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/37 0.4518 01/15/2037 63,238,000 4,749,601
The Bank of New York Mellon Corp., Floating Rate Note, 10/23/15 0.4559 10/23/2015 3,533,000 3,542,694
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/20 0.952 09/25/2020 13,700,000 42,423
Residential Asset Securitization Trust 2003-A15, Floating Rate Note, 2/25/34 0.602 02/25/2034 10,120,000 646,786
First Investors Auto Owner Trust 2013-3, 0.89%, 9/15/17 (144A) 0.89 09/15/2017 220,000 187,930
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 0.5999 01/30/2017 1,900,000 1,903,677
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 1.21 08/15/2018 700,000 635,353
Wells Fargo Commercial Mortgage Trust 2014-TISH, Floating Rate Note, 2/15/27 (144A) 1.1818 02/15/2027 2,220,000 2,226,048
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 0.472 11/25/2036 1,625,000 386,922
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/36 0.972 05/25/2036 5,000,000 447,147
American Honda Finance Corp., 1.85%, 9/19/14 (144A) 1.85 09/19/2014 600,000 604,841
Ohart 2.8828% 25may54 2014-Npl1- 2.8828 05/25/2054 1,810,000 1,812,772
Univision Communications, Inc., Replacement First-Lien Term Loan, 3/1/20 4.0 03/01/2020 666,588 666,900
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 0.4518 01/15/2036 1,837,000 430,990
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 0.552 09/25/2035 369,713 162,410
BMW Vehicle Owner Trust 2011-A, 0.76%, 8/25/15 0.76 08/25/2015 2,630,000 186,757
GE Capital Credit Card Master Note Trust, 1.03%, 1/15/18 1.03 01/15/2018 900,000 903,092
BWAY Holding Co., Initial Term Loan, 8/6/17 4.5 08/06/2017 791,489 795,446
NBTY, Inc., Term B-2 Loan, 10/1/17 3.5 10/01/2017 400,000 401,188
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/28 0.46 03/25/2028 24,210,000 346,587
Pepper Residential Securities Trust, Floating Rate Note, 10/18/14 (144A) 0.454 10/18/2014 1,500,000 1,500,441
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 8.6152 04/08/2016 1,750,000 1,818,299
MGM Resorts International, Term B Loan, 12/20/19 3.5 12/13/2019 1,231,250 1,229,249
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 0.552 10/25/2036 71,456,000 3,032,270
Ndass Flt% 13jun16 0.4098 06/13/2016 2,225,000 2,224,577
GS Mortgage Securities Corp II, Floating Rate Note, 11/8/29 (144A) 1.001 11/08/2029 2,300,000 2,312,999
Alternative Loan Trust 2004-18CB, 5.7%, 9/25/34 5.7 09/25/2034 1,760,000 97,466
Structured Asset Investment Loan Trust 2005-4, Floating Rate Note, 5/25/35 0.752 05/25/2035 1,266,289 153,978
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/33 1.1518 11/15/2033 2,550,000 357,686
Sequoia Mortgage Trust 2005-2, Floating Rate Note, 3/20/35 0.373 03/20/2035 3,900,000 396,460
RASC Series 2006-KS1 Trust, Floating Rate Note, 2/25/36 0.372 02/25/2036 8,211,000 285,533
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 6.2273 04/10/2015 600,000 618,169
Wells Fargo Bank NA, 4.75%, 2/9/15 4.75 02/09/2015 564,000 589,676
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35 5.0 10/25/2035 17,468,000 1,760,045
BNC Mortgage Loan Trust 2007-4, Floating Rate Note, 11/25/37 0.402 11/25/2037 9,500,000 377,837
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 2.5 03/20/2025 350,000 184,148
Crusade Global Trust, Floating Rate Note, 4/19/38 0.2879 04/19/2038 9,883,244 1,886,237
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 1.1505 03/25/2028 48,813,000 1,951,401
Gardner Denver, Inc., Initial Dollar Term Loan, 7/30/20 4.25 07/23/2020 397,000 397,316
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 0.612 06/25/2034 41,830,000 2,032,889
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.5 04/30/2018 1,000,000 982,200
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/34 0.3918 07/15/2034 5,000,000 709,690
Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A) 0.4488