Pioneer Investments: Pioneer Multi-Asset Ultrashort Income Fund


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Pioneer Multi-Asset Ultrashort Income Fund

Monthly Portfolio Holdings as of 12/31/2014

Security Name Coupon Maturity Date Par / Shares Market Value($)
Charter Communications 1st Lien Tl-B L + 3.5% 12aug21   08/12/2021 1,250,000 1,257,899
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.4495 11/25/2035 14,045,000 2,161,050
Dtz Us Borrower Llc 1st Lien Tl L + 4.5% 28oct21 5.5 10/28/2021 1,074,600 1,075,271
Wilshire Mortgage Loan Trust, Floating Rate Note, 5/25/28 0.4495 05/25/2028 10,000,000 31,048
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 0.6295 11/25/2035 1,945,000 1,857,314
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 10/27/36 (144A) 0.4395 10/27/2036 2,010,000 164,484
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/23 0.6108 06/15/2023 6,500,000 113,313
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/35 0.5008 05/15/2035 3,925,000 870,006
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 0.5066 09/30/2016 1,795,000 1,794,410
EquiVantage Home Equity Loan Trust 1997-1, 8.05%, 3/25/28 (Step) 8.05 03/25/2028 1,500,000 26,662
United Airlines Inc 1st Lien Tl-B L + 3% 07aug21 3.75 08/07/2021 1,000,000 991,563
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.6108 12/15/2032 2,500,000 4,693
General Electric Capital Corp., Floating Rate Note, 7/2/15 1.2651 07/02/2015 2,793,000 2,816,062
Freddie Mac Strips, Floating Rate Note, 8/15/36 0.4108 08/15/2036 10,000,000 508,230
Devon Energy Corp., Floating Rate Note, 12/15/15 0.6906 12/15/2015 4,800,000 4,803,488
FCA US LLC, Tranche B Term Loan, 12/29/18 3.25 12/29/2018 2,885,500 2,866,565
Duke Energy Corp., 3.35%, 4/1/15 3.35 04/01/2015 2,600,000 2,638,493
HarborView Mortgage Loan Trust 2004-4, Floating Rate Note, 6/19/34 1.2808 06/19/2034 25,700,000 248,281
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 0.4795 05/25/2036 13,100,000 1,438,628
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 0.4695 05/25/2036 25,142,877 1,921,178
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 0.4853 01/25/2036 810,000 524,978
Invitation Homes 2014-SFR2 Trust, Floating Rate Note, 9/18/31 (144A) 1.7608 09/18/2031 2,100,000 2,086,610
Rialto Capital Management LLC, 2.85%, 5/15/24 (144A) 2.85 05/15/2024 2,000,000 574,246
Fifth Third Auto 2013-1, 0.59%, 3/15/16 0.59 03/15/2016 100,000 15,034
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 3.9669 08/25/2053 5,300,000 4,256,338
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 0.5195 05/25/2036 23,900,354 817,740
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 0.8441 05/19/2035 83,350,000 4,349,977
American Credit Acceptance Receivables Trust 2013-1, 1.45%, 4/16/18 (144A) 1.45 04/16/2018 1,859,000 481,812
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 5.7652 12/06/2016 1,500,000 1,564,850
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-1, Floating Rate Note, 1/25/35 (144 0.4995 01/25/2035 3,700,000 106,613
Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A) 0.4536 04/25/2022 2,000,000 1,547,663
CIT Equipment Collateral 2014-VT1, 1.03%, 5/22/17 (144A) 1.03 05/22/2017 2,500,000 2,500,499
Tribune Media Co., Initial Term Loan, 11/20/20 4.0 11/20/2020 2,116,251 2,088,475
Aegis Asset Backed Securities Trust 2004-6, Floating Rate Note, 3/25/35 0.7095 03/25/2035 5,700,000 216,252
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 4.0203 06/28/2016 2,250,000 2,300,750
Ally Auto Receivables Trust 2011-2, 1.98%, 4/15/16 1.98 04/15/2016 355,000 51,227
Banc of America Mortgage 2004-D Trust, Floating Rate Note, 5/25/34 2.6743 05/25/2034 17,088,000 1,798,990
The Toronto-Dominion Bank, Floating Rate Note, 5/1/15 0.4119 05/01/2015 5,695,000 5,702,012
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 0.4608 04/20/2021 1,800,000 1,445,110
RBSSP Resecuritization Trust 2009-5, Floating Rate Note, 8/25/37 (144A) 0.6695 08/25/2037 7,810,000 2,509,509
Carefree Portfolio Trust 2014-CARE, Floating Rate Note, 11/15/29 (144A) 2.0143 11/15/2029 3,300,000 3,290,914
Volvo Financial Equipment LLC Series 2014-1, 0.54%, 11/15/16 (144A) 0.54 11/15/2016 1,700,000 1,677,602
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 0.6056 05/27/2016 2,530,000 2,538,187
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.6195 09/25/2037 9,159,000 392,847
GLC Trust 2013-1, 3.0%, 7/15/21 (144A) 3.0 07/15/2021 3,200,000 2,620,234
Barclays Dryrock Issuance Trust, Floating Rate Note, 12/16/19 0.5208 12/16/2019 1,050,000 1,048,934
ACA CLO 2006-2, Ltd., Floating Rate Note, 1/20/21 (144A) 0.9508 01/20/2021 3,250,000 3,199,956
NBTY, Inc., Term B-2 Loan, 10/1/17 3.5 10/01/2017 400,000 389,500
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 3.5 09/06/2019 325,732 323,615
Covanta Energy Corp., Term Loan, 3/28/19 3.25 03/28/2019 132,000 131,794
MGM Resorts International, Term B Loan, 12/20/19 3.5 12/20/2019 1,225,000 1,198,203
KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A) 1.6821 05/15/2021 650,000 644,067
GSAA Trust, Floating Rate Note, 6/25/35 0.9645 06/25/2035 6,300,000 1,636,273
Structured Asset Mortgage Investments II Trust 2004-AR5, Floating Rate Note, 10/19/34 0.8241 10/19/2034 23,000,000 1,048,546
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 1.0095 01/25/2035 11,245,000 1,231,662
Calpine Corp., Term Loan (10/12), 10/9/19 4.0 10/09/2019 758,236 750,180
Confie seguros Holding II Co., Term B Loan (First Lien), 11/9/18 5.75 11/09/2018 493,657 492,628
Canadian National Railway Co., Floating Rate Note, 11/14/17 0.4032 11/14/2017 1,670,000 1,671,182
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 1.6695 06/25/2028 7,545,000 1,814,213
Telesat Canada, U.S. Term B-2 Loan, 3/28/19 3.5 03/28/2019 660,424 650,518
NCF Dealer Floorplan Master Trust, Floating Rate Note, 10/20/20 (144A) 1.6655 10/20/2020 3,000,000 2,999,177
Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A) 0.4906 06/15/2020 2,000,000 774,623
Ship Midco, Ltd., Facility B2A-II, 11/29/19 5.25 11/29/2019 98,939 99,125
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 1.257 12/05/2031 800,000 798,744
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 0.4608 01/15/2036 1,837,000 375,676
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 1.6374 03/25/2044 11,746,000 1,638,896
Federal National Mortgage Association REMICS, 4.0%, 6/25/37 4.0 06/25/2037 3,650,000 121,352
Booz Allen Hamilton, Inc., Refinance Tranche B, 7/31/19 3.75 07/31/2019 1,358,138 1,354,319
Successor X, Ltd., Floating Rate Note, 1/27/15 (Cat Bond) (144A) 16.51 01/27/2015 1,500,000 1,538,350
Crusade Global Trust, Floating Rate Note, 11/15/37 0.2921 11/15/2037 17,300,000 2,566,556
State Street Bank & Trust Co., Floating Rate Note, 12/8/15 0.4354 12/08/2015 2,440,000 2,438,429
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.7195 09/25/2037 1,915,000 238,931
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 2.05 10/25/2033 12,490,305 1,448,247
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.3995 06/25/2037 632,250 78,681
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 2.4 11/17/2025 1,400,000 693,076
WaMu Mortgage Pass-Through Certificates Series 2005-AR7 Trust, Floating Rate Note, 8/25/35 2.3626 08/25/2035 28,565,000 2,203,434
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 0.5608 03/15/2041 13,046,000 2,953,093
Svenska Handelsbanken New York NY, Floating Rate Note, 1/16/15 0.5191 01/16/2015 700,000 700,849
Conseco Financial Corp., 7.05%, 1/15/19 7.05 01/15/2019 600,362 6,398
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 0.7695 05/25/2040 500,000 275,426
Harch CLO III, Ltd., Floating Rate Note, 4/17/20 (144A) 1.9826 04/17/2020 500,000 487,158
Gci Holdings Inc 1st Lien Tl-B L + 3.75% 22dec21   12/22/2021 660,000 659,449
321 Henderson Receivables I LLC, Floating Rate Note, 12/15/41 (144A) 0.3608 12/15/2041 10,869,000 3,845,772
Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 (144A) 1.203 04/15/2032 4,920,000 4,917,426
Axalta Coating Systems US Holdings, Inc., Refinanced Term B Loan, 2/1/20 4.0 02/01/2020 1,024,205 1,000,520
Serta Simmons Holdings LLC, Term Loan, 10/1/19 4.25 10/01/2019 330,711 327,146
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 0.4236 01/27/2017 1,900,000 1,895,601
Credit Suisse Commercial Mortgage Trust Series 2006-C1, Floating Rate Note, 2/15/39 5.609 02/15/2039 5,802,000 5,995,647
Epiq Systems, Inc., Term Loan, 8/27/20 4.25 08/27/2020 469,063 467,304
Manufacturers & Traders Trust Co., Floating Rate Note, 7/25/17 0.5336 07/25/2017 2,400,000 2,394,487
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 0.9053 12/25/2034 5,414,212 398,872
Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/19/30 (144A) 2.1 12/19/2030 1,800,000 1,764,367
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/38 0.5608 06/15/2038 4,056,000 893,702
Government National Mortgage Association, Floating Rate Note, 5/16/38 0.561 05/16/2038 8,761,000 627,388
Chase Issuance Trust, Floating Rate Note, 4/15/19 0.4108 04/15/2019 150,000 149,078
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.3995 04/25/2031 17,333,137 2,783,977
Vodafone Group Plc, Floating Rate Note, 2/19/16 0.6169 02/19/2016 1,150,000 1,150,562
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 5.46 11/15/2035 1,240,000 1,025,988
Asset Backed Securities Corp Home Equity Loan Trust Series OOMC 2005-HE6, Floating Rate Note, 7/25/3 0.6795 07/25/2035 1,879,167 1,375,801
Igloo Holdings Corp., 8.25%, 12/15/17 (144A) (PIK) 8.25 12/15/2017 1,250,000 1,267,083
Chase Issuance Trust, Floating Rate Note, 5/15/17 0.2608 05/15/2017 5,102,000 5,100,259
BSN medical International Holding GmbH & Co KG, Facility B1b, 8/28/19 4.0 08/28/2019 593,611 593,611
Tradewynd Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 6.25 01/08/2015 250,000 253,843
Chesapeake Funding LLC, Floating Rate Note, 11/7/23 (144A) 2.1572 11/07/2023 250,000 251,520
America Movil SAB de CV, Floating Rate Note, 9/12/16 1.2399 09/12/2016 1,500,000 1,511,608
National City Corp., 4.9%, 1/15/15 4.9 01/15/2015 2,750,000 2,816,260
First Investors Auto Owner Trust 2014-3, 1.06%, 11/15/18 (144A) 1.06 11/15/2018 2,000,000 1,997,258
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 2/21/17 0.7355 02/21/2017 350,000 350,131
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 0.7595 11/25/2035 7,825,000 277,422
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 1.0331 10/28/2016 1,725,000 1,740,532
Enterprise Fleet Financing LLC, 0.93%, 4/20/18 (144A) 0.93 04/20/2018 1,800,000 1,801,890
Avis Budget Car Rental LLC, Tranche B Term Loan, 3/15/19 3.0 03/15/2019 1,279,592 1,270,795
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 2.3108 06/15/2016 3,000,000 3,016,740
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3, Floating Rate Note, 8/25/35 (144 0.4695 08/25/2035 1,300,000 52,094
CNH Equipment Trust 2013-A, 0.69%, 6/15/18 0.69 06/15/2018 1,874,000 1,779,002
Pinnacle Entertainment, Inc., Tranche B-2 Term Loan, 8/13/20 3.75 08/13/2020 195,562 193,546
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 0.5195 06/25/2034 11,977,997 999,221
TORONTO-DOMINION BANK, Floating Rate Note, 11/6/15 0.4319 11/06/2015 4,025,000 4,030,662
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 0.7855 09/20/2033 52,500,000 2,362,599
Nordea Bank AB, 2.25%, 3/20/15 (144A) 2.25 03/20/2015 3,100,000 3,131,839
American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A) 0.6094 05/26/2016 3,050,000 3,057,635
Steward Health Care System LLC, Term Loan, 4/10/20 6.75 04/10/2020 985,000 976,677
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 4.838 07/15/2041 2,030,626 224,071
RAMP Series 2005-EFC4 Trust, Floating Rate Note, 9/25/35 0.5795 09/25/2035 1,060,000 371,548
Georgia Power Co., Floating Rate Note, 3/15/16 0.5606 03/15/2016 1,090,000 1,089,141
Motel 6 Trust, 1.5%, 10/7/25 (144A) 1.5 10/07/2025 1,000,000 772,877
Fresenius US Finance I, Inc., Tranche B Term Loan, 8/7/19 2.1695 08/07/2019 1,481,250 1,474,461
Bbb Industries Llc 1st Lien Tl L + 5% 20oct21 6.0 10/20/2021 1,000,000 995,000
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC17, 5.45%, 12/12/43 5.45 12/12/2043 48,000 2,821
BlackRock, Inc., 1.375%, 6/1/15 1.375 06/01/2015 1,310,000 1,317,559
United Technologies Corp., Floating Rate Note, 6/1/15 0.7336 06/01/2015 1,965,000 1,969,682
Citibank Credit Card Issuance Trust, Floating Rate Note, 5/22/17 1.3655 05/22/2017 6,500,000 6,527,718
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/24 1.2108 03/15/2024 6,200,000 1,507,006
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 0.5806 05/23/2016 3,150,000 3,164,427
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/33 0.5608 01/15/2033 42,500,000 580,927
Nn Inc 1st Lien Tl-B L + 5% 18jul21 6.0 07/18/2021 1,232,143 1,231,373
Cabela's Credit Card Master Note Trust, Floating Rate Note, 1/16/18 (144A) 1.6108 01/16/2018 3,392,000 3,396,191
New York Life Global Funding, 1.3%, 1/12/15 (144A) 1.3 01/12/2015 1,260,000 1,267,802
Adjustable Rate Mortgage Trust 2005-2, Floating Rate Note, 6/25/35 0.9495 06/25/2035 2,260,122 1,682,231
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 3.5 10/18/2018 735,000 724,664
CLI Funding LLC, Floating Rate Note, 8/18/21 (144A) 0.342 08/18/2021 7,250,000 1,091,688
WaMu Mortgage Pass-Through Certificates Series 2004-AR14 Trust, Floating Rate Note, 1/25/35 2.3945 01/25/2035 2,390,499 495,437
CNH Equipment Trust 2013-C, 0.63%, 1/17/17 0.63 01/17/2017 1,903,426 583,215
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.4395 11/25/2035 6,309,000 717,933
ARI Fleet Lease Trust 2013-A, 0.92%, 7/15/21 (144A) 0.92 07/15/2021 600,000 600,877
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/31 0.7695 07/25/2031 48,885,770 444,651
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.6695 09/25/2037 7,400,000 750,727
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 0.5695 05/25/2035 1,150,000 3,549
Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A) 0.4695 01/25/2036 51,217,354 4,084,253
Micro Focus Us Inc 1st Lien Tl-B L + 4.25% 07oct21 5.25 10/07/2021 1,650,000 1,590,876
Alkermes, Inc., 2019 Term Loan, 9/25/19 3.5 09/25/2019 1,128,481 1,122,839
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1.2495 03/25/2035 1,150,000 418,354
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE2, Floating Rate Note, 2/25/35 0.8445 02/25/2035 8,100,000 654,327
Gracechurch Mortgage Financing Plc, Floating Rate Note, 11/20/56 (144A) 1.7819 11/20/2056 2,500,000 1,650,848
CGBAM Commercial Mortgage Trust 2014-HD, Floating Rate Note, 2/18/31 (144A) 1.3608 02/18/2031 1,050,000 1,047,116
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/28 0.6108 12/15/2028 56,250,000 484,966
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 0.5195 02/25/2033 16,918,890 812,317
Morgan Stanley Re-REMIC Trust 2010-R4, Floating Rate Note, 7/26/36 (144A) 0.4936 07/26/2036 3,700,000 190,460
PQ Corp., 2014 Term Loan, 8/7/17 4.0 08/07/2017 931,000 914,242
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 2.125 09/15/2015 551,000 559,952
Outfront Media Capital LLC, Term Loan, 1/15/21 3.0 01/15/2021 1,629,423 1,594,390
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 0.4758 07/20/2019 1,250,000 278,538
Westpac Banking Corp., 4.2%, 2/27/15 4.2 02/27/2015 2,000,000 2,039,013
National Australia Bank, Ltd., Floating Rate Note, 3/17/17 (144A) 0.6126 03/17/2017 1,950,000 1,955,090
Wheelabrator 1st Lien Tl-C L + 4% 15oct21 5.0 10/15/2021 126,437 127,701
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.7601 04/30/2018 2,300,000 2,372,769
LifePoint Hospitals, Inc., Incremental Term Loan B, 7/24/17 2.67 07/24/2017 342,404 342,689
Ursa Re, Ltd., Floating Rate Note, 12/7/17 (Cat Bond) (144A)   12/07/2017 2,000,000 1,998,000
RAAC Series 2006-RP1 Trust, Floating Rate Note, 10/25/45 (144A) 0.4695 10/25/2045 15,300,000 447,709
The Bank of New York Mellon Corp., Floating Rate Note, 10/23/15 0.4606 10/23/2015 3,533,000 3,539,941
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 0.7195 12/25/2034 1,590,000 1,082,462
US Bancorp, 2.45%, 7/27/15 2.45 07/27/2015 2,620,000 2,677,623
KeyCorp, 3.75%, 8/13/15 3.75 08/13/2015 4,050,000 4,179,511
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 1.0695 12/25/2031 30,500,000 1,139,341
HSBC USA, Inc., 2.375%, 2/13/15 2.375 02/13/2015 8,014,000 8,103,061
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 5.25 04/25/2032 2,691,322 793,403
Emdeon, Inc., Term B-2 Loan, 11/2/18 3.75 11/02/2018 1,603,938 1,579,210
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/36 0.4608 03/15/2036 5,000,000 1,129,909
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 1.9108 06/15/2034 3,954,000 3,945,054
Rovi Solutions Corp 1st Lien Tl-B L + 3% 02jul21 3.75 07/02/2021 1,020,899 1,003,884
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 0.6195 07/25/2034 19,310,000 1,675,054
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 1/15/24 4.0 01/15/2024 1,801,000 51,231
Quest Trust REMICS, Floating Rate Note, 3/25/34 (144A) 0.8295 03/25/2034 55,089,092 2,157,830
CG-CCRE Commercial Mortgage Trust 2014-FL1, Floating Rate Note, 6/16/31 (144A) 1.1108 06/16/2031 5,670,000 5,663,743
Bank of America NA, Floating Rate Note, 2/14/17 0.7032 02/14/2017 2,000,000 1,995,999
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 1.657 11/05/2030 2,475,000 2,442,184
The Coca-Cola Co., Floating Rate Note, 3/5/15 0.2149 03/05/2015 850,000 850,144
Fannie Mae, Floating Rate Note, 1/1/48 2.215 01/01/2048 175,000 23,772
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 1.2695 09/25/2034 3,465,620 597,048
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 0.4895 11/25/2036 1,625,000 347,092
SMHL Global Fund 2007-1, Floating Rate Note, 6/12/40 0.3599 06/12/2040 1,100,000 87,114
Citadel Plastics Holdings Inc 1st Lien Tlb L + 4.25% 05nov20 5.25 11/05/2020 1,181,000 1,183,953
Enterprise Fleet Financing LLC, 0.87%, 9/20/19 0.87 09/20/2019 2,000,000 1,992,196
B/E Aerospace Inc 1st Lien Tl-B L + 3.25% 21nov21   11/21/2021 1,500,000 1,500,000
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2 REMICS, 4.738%, 7/15/42 4.738 07/15/2042 3,175,000 3,193,026
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 0.3608 08/15/2026 1,330,000 485,486
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/34 5.0 06/15/2034 2,168,000 31,334
Chase Issuance Trust, Floating Rate Note, 2/15/17 0.2608 02/15/2017 6,345,000 6,345,356
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 2.212 09/18/2031 3,378,000 3,314,776
United States Treasury Floating Rate Note, Floating Rate Note, 4/30/16 0.109 04/30/2016 21,260,000 21,262,573
Gray Television Inc. 1st Lien Tl L + 3% 10jun21 3.75 06/10/2021 1,002,368 989,087
RASC Series 2005-EMX2 Trust, Floating Rate Note, 7/25/35 0.6495 07/25/2035 157,752 19,863
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-D, Floating Rate Note, 9/25/29 2.0989 09/25/2029 11,000,000 747,869
Centex Home Equity Loan Trust 2003-A, Floating Rate Note, 3/25/33 3.654 03/25/2033 2,230,000 372,589
RALI Series 2004-QR1 Trust, 5.25%, 10/25/34 5.25 10/25/2034 66,901,390 1,127,014
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 0.4708 04/19/2021 1,200,000 736,335
Terraform 1st Lien Tl-B L + 3.75% 02jul19   07/02/2019 472,625 472,773
Sirius International Group, Ltd., Floating Rate Note (Perpetual) (144A) 7.506 12/31/2049 1,150,000 1,240,549
Altice Financing SA, 7.875%, 12/15/19 (144A) 7.875 12/15/2019 1,250,000 1,284,245
OAK Hill Advisors Residential Loan Trust 2014-NPL2, 3.475%, 4/25/54 (Step) (144A) 3.475 04/25/2054 3,490,000 3,476,530
ARI Fleet Lease Trust 2012-A, Floating Rate Note, 3/15/20 (144A) 0.7108 03/15/2020 2,070,000 365,570
Ascentium Equipment Receivables 2012-1 LLC, 1.83%, 9/15/19 (144A) 1.83 09/15/2019 1,528,000 133,778
GMAC Commercial Mortgage Securities Inc Series 2005-C1 Trust, 4.697%, 5/10/43 4.697 05/10/2043 3,547,000 2,829,874
CGWF Commercial Mortgage Trust 2013-RKWH REMICS, Floating Rate Note, 11/15/30 (144A) 2.0608 11/15/2030 6,770,000 6,789,899
Windstream Corp., Tranche B-4 Term Loan, 1/23/20 3.5 01/23/2020 1,033,106 1,023,098
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 0.7408 10/15/2037 18,287,000 1,339,573
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 1.6 06/19/2031 1,500,000 1,472,487
Terex Corp., U.S. Term Loan, 8/13/21 2.9832 08/13/2021 308,783 305,695
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 0.5329 11/23/2016 1,800,000 1,802,971
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 0.9195 02/25/2033 10,610,000 378,388
Pilot Travel Centers Llc 1st Lien Tl-B L + 3.25% 01oct21 4.25 10/01/2021 74,916 75,150
Mercedes Benz Auto Lease Trust 2014-A, Floating Rate Note, 6/15/16 0.3408 06/15/2016 1,900,000 1,780,079
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 9.2652 06/06/2017 850,000 909,302
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/33 0.6695 11/25/2033 10,000,000 780,321
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 3.9752 05/18/2016 2,610,000 2,661,548
Queen Street VIII Re, Ltd., Floating Rate Note, 6/8/16 (Cat Bond) (144A) 6.5051 06/08/2016 500,000 507,703
HLSS Servicer Advance Receivables Trust, 1.2437%, 1/17/45 1.2437 01/17/2045 3,750,000 3,752,073
GE Business Loan Trust 2004-1, Floating Rate Note, 5/15/32 (144A) 0.4508 05/15/2032 7,667,511 707,836
Mystic Re, Ltd., Floating Rate Note, 3/12/15 (Cat Bond) (144A) 12.0101 03/12/2015 1,500,000 1,568,800
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 0.7695 06/25/2034 33,443,000 2,675,194
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 6/25/34 0.5395 06/25/2034 20,600,000 2,348,361
First Investors Auto Owner Trust 2013-3, 0.89%, 9/15/17 (144A) 0.89 09/15/2017 220,000 93,974
Royal Bank of Canada, Floating Rate Note, 9/9/16 0.6956 09/09/2016 2,000,000 2,008,253
Government National Mortgage Association, Floating Rate Note, 10/16/39 0.841 10/16/2039 2,500,000 380,939
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/15/35 0.8608 08/15/2035 50,000,000 5,094,859
U.S. Treasury Floating Rate Note, 0.110004%, 7/31/16 0.11 07/31/2016 19,740,000 19,742,936
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 6/25/34 0.9095 06/25/2034 26,125,000 344,470
Cisco Systems, Inc., Floating Rate Note, 3/3/17 0.5146 03/03/2017 2,580,000 2,581,518
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 6/20/17 0.6555 06/20/2017 2,000,000 2,001,228
NSG Holdings LLC, New Term Loan, 12/11/19 3.75 12/11/2019 1,549,348 1,533,854
LB-UBS Commercial Mortgage Trust 2005-C7 REMICS, Floating Rate Note, 11/15/30 (144A) 5.197 11/15/2030 8,161,979 7,528,757
RAMP Series 2006-RZ3 Trust, Floating Rate Note, 10/25/35 0.3295 10/25/2035 10,534,000 2,345,934
GS Mortgage Securities Trust 2006-GG6 REMICS, Floating Rate Note, 4/10/38 5.553 04/10/2038 3,550,000 3,659,303
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/25/23 1.6195 11/25/2023 2,250,000 1,777,679
Citibank Credit Card Issuance Trust, Floating Rate Note, 4/24/17 0.267 04/24/2017 17,520,000 17,509,406
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 0.5108 05/15/2041 340,000 109,234
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 0.5808 06/15/2036 5,835,000 614,193
JOHN DEERE CAPITAL Corp., Floating Rate Note, 2/25/16 0.3329 02/25/2016 2,883,000 2,884,798
Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37 0.3195 03/25/2037 1,000,000 589,803
Stanwich Mortgage Loan Trust, 2.9814%, 2/16/43 (144A) 2.9814 02/16/2043 3,025,000 619,291
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 0.7295 07/25/2029 41,778,000 1,968,103
Honda Auto Receivables 2012-4 Owner Trust, 0.52%, 8/18/16 0.52 08/18/2016 5,000,000 2,708,326
NRG Energy, Inc., 8.25%, 9/1/20 8.25 09/01/2020 1,250,000 1,368,750
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 0.4695 09/25/2036 5,483,897 750,386
Wachovia Bank Commercial Mortgage Trust Series 2005-C22 REMICS, Floating Rate Note, 12/15/44 5.4443 12/15/2044 5,713,000 5,291,027
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 0.3158 05/15/2047 200,000 76,033
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 11/10/16 (Cat Bond) (144A) 11.7874 11/10/2016 500,000 542,872
AmeriCredit Automobile Receivables Trust 2014-2, Floating Rate Note, 10/10/17 0.4372 10/10/2017 1,320,000 1,319,983
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 11/15/23 4.0 11/15/2023 95,000 66,935
Bombardier Recreational Products, Inc., Term B Loan, 1/30/19 4.0 01/30/2019 188,571 185,271
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 0.4695 03/25/2035 7,593,737 1,066,368
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 0.9195 02/25/2035 21,336,125 593,204
Queen Street V Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 8.5051 04/09/2015 1,750,000 1,772,682
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 0.6932 05/13/2016 2,500,000 2,508,164
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.5108 11/15/2036 5,342,000 982,843
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 4.985 09/11/2042 3,751,000 3,855,110
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 8/15/38 5.1 08/15/2038 8,955,043 6,227,108
Foresight Energy LLC, Term Loan, 8/21/20 5.5 08/21/2020 221,862 219,089
Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16 1.0826 06/17/2016 1,130,000 1,134,610
Royal Bank of Canada, Floating Rate Note, 6/16/17 0.4829 06/16/2017 2,200,000 2,197,691
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 0.5695 07/25/2018 7,302,000 205,999
Federal National Mortgage Association, Floating Rate Note, 4/25/35 2.6741 04/25/2035 750,000 137,125
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 3/25/32 (144A) 1.2945 03/25/2032 6,512,459 1,162,657
Morgan Stanley Capital I Trust 2005-TOP19, 4.89%, 6/12/47 4.89 06/12/2047 6,690,000 5,965,937
Wachovia Corp., Floating Rate Note, 6/15/17 0.5106 06/15/2017 1,999,000 1,995,216
ConvaTec, Inc., Dollar Term Loan, 12/22/16 4.0 12/22/2016 796,876 789,903
Morgan Stanley, 1.75%, 2/25/16 1.75 02/25/2016 1,300,000 1,315,014
RALI Series 2004-QS1 Trust, Floating Rate Note, 1/25/34 0.7195 01/25/2034 4,000,000 21,989
Activision Blizzard, Inc., Term Loan, 7/26/20 3.25 07/26/2020 1,600,000 1,599,197
AdvancePierre Foods, Inc., Term Loan (First Lien), 7/10/17 5.75 07/10/2017 185,456 184,528
Morgan Stanley ABS Capital I Inc Trust 2005-HE6, Floating Rate Note, 11/25/35 0.4895 11/25/2035 160,000 57,228
Ziggo Bv 1st Lien Tl-B1 L + 2.75% 15jan22 3.5 01/15/2022 1,072,383 1,045,573
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 2.5 03/20/2025 350,000 138,725
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.7395 09/25/2037 3,173,000 410,908
JMC Steel Group, Inc., Term Loan, 4/1/17 4.75 04/01/2017 357,546 350,842
Capital One Financial Corp., 1.0%, 11/6/15 1.0 11/06/2015 1,300,000 1,300,749
Merrill Lynch Mortgage Trust 2005-MCP1, Floating Rate Note, 6/12/43 4.747 06/12/2043 5,841,000 3,766,975
Merrill Lynch Mortgage Trust 2005-CKI1, Floating Rate Note, 11/12/37 5.2879 11/12/2037 7,925,000 6,441,467
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 4/20/18 0.5655 04/20/2018 1,190,000 1,188,621
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 0.6695 01/25/2033 13,036,000 459,489
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3 REMICS, Floating Rate Note, 8/15/42 4.936 08/15/2042 8,585,000 7,501,567
Covidien International Finance SA, 1.35%, 5/29/15 1.35 05/29/2015 6,575,000 6,602,622
Bayview Opportunity Master Fund IIa Trust 2014-20NPL, Floating Rate Note, 8/28/44 (144A) 3.721 08/28/2044 1,480,000 1,300,428
Navios Maritime Partners LP, Term Loan, 6/27/18 5.25 06/27/2018 1,481,250 1,459,031
Carlyle High Yield Partners VII, Ltd., Floating Rate Note, 9/30/19 1.9566 09/30/2019 5,000,000 4,479,200
Wells Fargo Mortgage Backed Securities Trust, Floating Rate Note, 8/25/34 2.6154 08/25/2034 14,679,000 798,022
Crown Americas Llc 1st Lien Tl-B L + 3.25% 20oct21   10/20/2021 1,250,000 1,253,438
Xerium Technologies, Inc., New Term Loan, 5/17/19 6.25 05/17/2019 78,800 78,997
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR8, 4.75%, 6/11/41 4.75 06/11/2041 1,330,000 1,352,122
Credit Acceptance Auto Loan Trust 2012-2, 1.52%, 3/16/20 (144A) 1.52 03/16/2020 3,241,000 2,202,783
PVH Corp., Tranche B Term Loan, 2/13/20 3.25 02/13/2020 1,186,868 1,189,585
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/36 0.4595 07/25/2036 2,000,000 283,285
RAMP Series 2004-RS11 Trust, Floating Rate Note, 11/25/34 1.0995 11/25/2034 3,805,000 1,072,032
American Express Credit Corp., Floating Rate Note, 7/29/16 0.7426 07/29/2016 2,850,000 2,864,436
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP11, Floating Rate Note, 6/15/49 5.7721 06/15/2049 120,000 1,751
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 10/10/45 5.115 10/10/2045 8,970,000 7,960,257
SMART Trust/Australia, Floating Rate Note, 8/15/16 0.4608 08/15/2016 1,500,000 1,224,176
First Investors Auto Owner Trust 2014-2, 0.86%, 8/15/18 (144A) 0.86 08/15/2018 2,100,000 2,097,512
Fifth Third Bank Cincinnati Ohio, 4.75%, 2/1/15 4.75 02/01/2015 3,500,000 3,580,495
Ally Auto Receivables Trust 2013-2, Floating Rate Note, 7/15/16 0.3908 07/15/2016 1,500,000 597,705
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 6/20/17 1.0655 06/20/2017 500,000 500,220
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A REMICS, Floating Rate Note, 4/25/29 0.6295 04/25/2029 35,467,206 1,894,992
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 0.4495 09/25/2035 13,780,000 1,179,688
Capital One NA, Floating Rate Note, 3/22/16 0.6971 03/22/2016 1,900,000 1,902,692
Enterprise Fleet Financing LLC, 0.72%, 4/20/18 (144A) 0.72 04/20/2018 4,500,000 1,280,600
Bear Stearns ALT-A Trust 2003-3, Floating Rate Note, 10/25/33 2.6805 10/25/2033 350,000 58,789
Invitation Homes Trust, Floating Rate Note, 12/17/31 (144A) 1.362 12/17/2031 2,000,000 1,989,888
Syncreon Group BV, Term Loan, 9/26/20 5.25 09/26/2020 198,000 193,050
Crowne Group Llc 1st Lien Tl-B L + 5% 29sep20 6.0 09/29/2020 500,000 492,500
On Assignment, Inc., Initial Term B Loan, 5/15/20 3.5 05/15/2020 1,037,113 1,025,445
Dynegy, Inc., Tranche B-2 Term Loan, 4/23/20 4.0 04/23/2020 454,615 450,069
RALI Series 2003-QS22 Trust, Floating Rate Note, 12/26/33 0.6195 12/26/2033 8,400,000 867,673
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/33 0.5608 06/15/2033 10,000,000 552,587
Chase Issuance Trust, 0.59%, 8/15/17 0.59 08/15/2017 950,000 950,548
Flagstar Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/18 (144A) 0.6295 06/25/2018 15,500,000 1,091,609
Duke Energy Indiana, Inc., Floating Rate Note, 7/11/16 0.58 07/11/2016 1,375,000 1,379,102
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 4.0 11/08/2020 319,350 312,564
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 0.8095 03/25/2034 76,711,000 4,333,801
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/18 0.4608 11/15/2018 7,142,857 57,941
Soundview Home Loan Trust 2005-DO1, Floating Rate Note, 5/25/35 0.8895 05/25/2035 2,000,000 1,985,730
Hercules Capital Funding Trust 2012-1, 3.32%, 12/16/17 (144A) 3.32 12/16/2017 400,000 49,904
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/31 0.7695 07/25/2031 50,000,000 312,872
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/37 0.7195 10/25/2037 1,030,000 131,288
Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 6.03 06/12/2015 3,550,000 3,621,473
World Financial Network Credit Card Master Trust, Floating Rate Note, 12/16/19 0.5408 12/16/2019 10,375,000 10,381,717
Government National Mortgage Association, Floating Rate Note, 8/16/39 1.161 08/16/2039 2,960,000 508,778
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.6608 12/15/2032 1,700,000 32,495
Harley-Davidson Financial Services, Inc., 1.15%, 9/15/15 (144A) 1.15 09/15/2015 1,300,000 1,307,950
Crusade Global Trust, Floating Rate Note, 7/20/38 (144A) 0.2908 07/20/2038 700,000 83,796
CarMax Auto Owner Trust 2011-1, 2.16%, 9/15/16 2.16 09/15/2016 200,000 73,532
Impac CMB Trust Series 2004-5, Floating Rate Note, 8/25/34 1.0095 08/25/2034 9,850,000 568,177
The Goldman Sachs Group, Inc., Floating Rate Note, 7/22/15 0.6321 07/22/2015 1,300,000 1,301,419
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/17 0.6195 02/25/2017 14,970,453 8,032
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.5608 12/15/2032 11,201,000 887,956
Bayview Financial Mortgage Pass-Through Trust 2004-A, Floating Rate Note, 2/28/44 0.8445 02/28/2044 48,047,000 1,537,542
Commonwealth Bank of Australia, Floating Rate Note, 9/18/15 (144A) 1.0426 09/18/2015 1,575,000 1,584,391
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25 0.5395 10/25/2035 800,000 408,491
Cequel Communications LLC, Term Loan, 2/14/19 3.5 02/14/2019 1,115,014 1,100,845
Kane Ilw Zero% 02feb16 0.0 02/02/2016 750,000 685,275
SNAAC Auto Receivables Trust, 4.38%, 6/15/17 (144A) 4.38 06/15/2017 1,800,000 1,336,867
Federal National Mortgage Association, Floating Rate Note, 3/25/18 0.4695 03/25/2018 30,543,000 891,670
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 10.265 01/08/2015 1,000,000 1,026,194
Volkswagen International Finance NV, Floating Rate Note, 11/18/16 (144A) 0.6721 11/18/2016 1,750,000 1,755,632
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/37 0.5008 05/15/2037 5,000,000 351,153
Livingston International, Inc., Initial Term B-1 Loan (First Lien), 4/18/19 5.0 04/18/2019 492,500 477,725
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 0.6211 11/21/2016 2,465,000 2,460,724
Soundview Home Loan Trust 2005-DO1, Floating Rate Note, 5/25/35 0.8445 05/25/2035 2,000,000 21,965
Selene Non-Performing Loans LLC, 2.9814%, 5/25/54 (Step) (144A) 2.9814 05/25/2054 3,530,000 3,462,600
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 1.605 08/15/2031 2,500,000 2,496,680
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/40 0.7195 01/25/2040 5,000,000 395,276
Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Floating Rate Note, 5/15/43 5.8959 05/15/2043 4,240,000 3,684,727
Xom Cp Zero% 04feb15 Usd 0.0 02/04/2015 6,100,000 6,099,247
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 2.6402 06/25/2030 2,875,810 461,800
Westgate Resorts 2012-2 LLC, 9.0%, 1/21/25 (144A) 9.0 01/21/2025 1,500,000 509,216
LB-UBS Commercial Mortgage Trust 2005-C2 REMICS, Floating Rate Note, 4/15/30 5.205 04/15/2030 4,785,000 4,833,834
McKesson Corp., Floating Rate Note, 9/10/15 0.6376 09/10/2015 3,130,000 3,132,196
Structured Asset Securities Corp Trust 2005-14, Floating Rate Note, 7/25/35 0.4695 07/25/2035 3,899,641 383,673
SunTrust Bank, Floating Rate Note, 2/15/17 0.6721 02/15/2017 3,645,000 3,648,931
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 0.9095 11/25/2034 9,625,000 493,764
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/42 0.6695 04/25/2042 642,857 463,950
Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35 5.5 05/25/2035 19,264,330 359,868
Oak Hill Advisors Residential Loan Trust 2014-NPL1, 2.8828%, 5/25/54 (Step) (144A) 2.8828 05/25/2054 1,810,000 1,289,740
321 Henderson Receivables I LLC, Floating Rate Note, 6/15/41 (144A) 0.3608 06/15/2041 8,090,000 2,757,650
Nordea Bank Finland Plc New York, Floating Rate Note, 6/13/16 0.4206 06/13/2016 2,225,000 2,225,967
Verizon Communications, Inc., 0.7%, 11/2/15 0.7 11/02/2015 2,600,000 2,601,821
Ally Master Owner Trust, Floating Rate Note, 6/17/19 0.5608 06/17/2019 2,600,000 2,588,053
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 0.3708 04/15/2022 1,982,362 1,972,611
RBS Greenwich Capital Mortgage Loan Trust, 3.686%, 4/15/24 (144A) 3.686 04/15/2024 8,160,000 379,992
COMM 2014-FL5 Mortgage Trust, Floating Rate Note, 10/15/31 (144A) 2.303 10/15/2031 4,970,000 4,958,428
Synchrony Credit Card Master Note Trust, 1.51%, 6/15/18 1.51 06/15/2018 849,000 853,305
Structured Asset Mortgage Investments II Trust 2004-AR1, Floating Rate Note, 3/19/34 0.8641 03/19/2034 16,800,000 861,437
United Airlines, Inc., Class B Term Loan, 4/1/19 3.5 04/01/2019 246,250 243,233
Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34 0.9095 11/25/2034 34,014,000 2,176,443
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 8.5574 01/05/2017 2,250,000 2,436,810
Fremont Home Loan Trust 2005-B, Floating Rate Note, 4/25/35 0.8145 04/25/2035 2,750,000 631,136
Bear Stearns Asset Backed Securities Trust 2004-SD3, Floating Rate Note, 9/25/34 0.7395 09/25/2034 410,000 157,138
American Honda Finance Corp., Floating Rate Note, 10/7/16 0.7316 10/07/2016 950,000 955,807
Chase Funding Trust Series 2002-4, Floating Rate Note, 10/25/32 0.9095 10/25/2032 1,000,000 18,158
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1.8195 03/25/2035 2,443,000 2,402,286
Toyota Motor Credit Corp., 0.75%, 3/3/17 (Step) 0.75 03/03/2017 2,250,000 2,242,291
GSAA Home Equity Trust 2004-8, Floating Rate Note, 9/25/34 0.9095 09/25/2034 7,860,000 259,478
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/40 0.5108 07/15/2040 2,570,000 559,986
AmeriCredit Automobile Receivables Trust 2013-4, 0.74%, 11/8/16 0.74 11/08/2016 1,500,000 404,092
Volkswagen Group of America Finance LLC, Floating Rate Note, 5/23/16 (144A) 0.4529 05/23/2016 1,900,000 1,898,964
Louisiana Public Facilities Authority, Floating Rate Note, 4/26/27 1.1341 04/26/2027 1,250,000 1,003,481
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 0.5695 07/25/2034 7,443,000 507,257
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 0.6695 06/25/2035 1,393,325 736,988
Calpine Construction Finance Co LP, Term B-1 Loan, 5/3/20 3.0 05/03/2020 1,182,000 1,145,801
MortgageIT Trust 2005-2, Floating Rate Note, 5/25/35 0.4295 05/25/2035 8,495,000 1,627,812
Chase Issuance Trust, Floating Rate Note, 10/16/17 0.3108 10/16/2017 2,700,000 2,698,716
Bway Holding Co 1st Lien Tl-B L + 4.5% 08aug20 5.5545 08/08/2020 399,000 397,379
Alternative Loan Trust 2004-6CB, Floating Rate Note, 4/25/34 0.7495 04/25/2034 31,600,000 2,214,838
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 1.82 09/15/2020 731,000 375,637
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 7.5051 04/09/2015 2,250,000 2,274,037
Colony American Homes 2014-2, Floating Rate Note, 7/19/31 (144A) 2.0608 07/19/2031 2,100,000 2,047,832
Six Flags Theme Parks, Inc., Tranche B Term Loan, 12/20/18 3.5037 12/20/2018 731,627 731,017
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 12/15/22 4.0 12/15/2022 4,041,000 5,934
General Electric Capital Corp., Floating Rate Note, 7/10/15 0.6091 07/10/2015 690,000 692,175
Castle Garden Funding, Floating Rate Note, 10/27/20 (144A) 0.4936 10/27/2020 7,000,000 1,153,073
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 0.4695 03/25/2036 700,000 114,329
The Bank of New York Mellon Corp., Floating Rate Note, 3/4/16 0.4646 03/04/2016 3,275,000 3,276,452
Tempur Sealy International, Inc., New Term B Loan, 3/18/20 3.5038 03/18/2020 425,614 420,294
Golden Credit Card Trust, Floating Rate Note, 9/15/18 (144A) 0.5908 09/15/2018 715,000 715,625
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 12/8/20 0.7155 12/08/2020 1,330,000 921,622
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/21 0.4047 07/15/2021 17,312,039 252,701
Gracechurch Card Funding Plc, Floating Rate Note, 6/15/17 (144A) 0.8608 06/15/2017 2,200,000 2,204,546
Honda Auto Receivables 2014-1 Owner Trust, 0.41%, 9/21/16 0.41 09/21/2016 2,715,000 2,393,129
Az Chem Us Inc 1st Lien Tl-B L + 3.5% 09jun21 4.5 06/09/2021 1,930,413 1,907,489
TAL Advantage I LLC, Floating Rate Note, 4/20/21 (144A) 0.3555 04/20/2021 1,250,000 165,440
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 12/25/35 0.3495 12/25/2035 9,778,000 1,956,688
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/2/21 0.0 03/02/2021 2,700,000 1,246,985
IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36 0.8495 02/25/2036 3,493,986 564,612
CHL Mortgage Pass-Through Trust 2003-15 REMICS, Floating Rate Note, 6/25/18 0.6695 06/25/2018 25,913,062 565,567
Motor 2013-1 Plc, Floating Rate Note, 2/25/21 (144A) 0.6688 02/25/2021 2,196,000 677,828
Texas Competitive Electric Holdings Co LLC, DIP Delayed Draw Term Loan (2014), 5/5/16 3.75 05/05/2016 1,595,935 1,604,912
Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35 0.5495 12/25/2035 2,690,000 809,430
Wyle 1st Lien Tl-B L + 4% 22may21 5.0 05/22/2021 196,496 196,126
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/35 0.4608 05/15/2035 10,200,000 675,421
Pelican Re, Ltd., Floating Rate Note, 4/13/15 (Cat Bond) (144A) 13.9854 04/13/2015 2,000,000 2,082,733
Citigroup Mortgage Loan Trust, Inc., 6.5%, 6/25/16 6.5 06/25/2016 10,100,000 9,623
Ally Master Owner Trust, Floating Rate Note, 8/15/17 1.2308 08/15/2017 3,000,000 3,014,884
MASTR Adjustable Rate Mortgages Trust 2003-3, Floating Rate Note, 9/25/33 2.0411 09/25/2033 2,650,000 760,870
Kane Zero% 07jan16 0.0 01/07/2016 2,375,100 2,375,100
Discover Card Execution Note Trust, Floating Rate Note, 10/15/18 0.3408 10/15/2018 3,915,000 3,913,003
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 1.0695 05/26/2037 2,400,000 2,139,172
Pangaea Zero% 01jul18 0.0 07/01/2018 2,300,000 2,447,890
Immucor, Inc., Term B-2 Loan, 8/19/18 5.0 08/19/2018 217,752 215,847
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 4.0101 05/05/2017 1,250,000 1,259,778
Sinclair Television Group, Inc., New Tranche B Term Loan, 4/19/20 3.0 04/19/2020 1,334,952 1,301,578
Structured Asset Securities Corp Mortgage Pass Through Ctfs Series 2003-35, Floating Rate Note, 12/2 0.6695 12/25/2033 2,500,000 139,398
Southwire Co., Initial Term Loan, 1/31/21 3.2538 01/31/2021 1,067,311 1,030,844
Government National Mortgage Association, Floating Rate Note, 9/16/31 0.411 09/16/2031 34,344,532 686,914
American Credit Acceptance Receivables Trust 2014-3, 0.99%, 8/10/18 (144A) 0.99 08/10/2018 1,420,000 1,101,567
Unifrax I LLC, New Term B Dollar Loan, 11/28/18 4.25 11/28/2018 976,649 968,917
California Republic Auto Receivables Trust 2013-1, 1.41%, 9/17/18 (144A) 1.41 09/17/2018 500,000 278,021
Offshore Group Investment, Ltd., Second Term Loan, 3/28/19 5.75 03/28/2019 301,476 226,735
Wheels SPV 2 LLC, 0.84%, 3/20/23 (144A) 0.84 03/20/2023 1,000,000 1,000,349
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A) 9.0375 03/16/2016 250,000 266,425
NYCTL 2014-A Trust, 1.03%, 11/10/27 (144A) 1.03 11/10/2027 1,800,000 1,098,675
Par Pharmaceutical Companies, Inc., Term B-2 Loan, 9/28/19 4.0 09/28/2019 1,469,836 1,437,377
GE Business Loan Trust 2003-1, Floating Rate Note, 4/15/31 (144A) 0.5908 04/15/2031 20,374,890 918,051
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 4.2703 04/18/2017 250,000 251,593
First Franklin Mortgage Loan Trust Series 2005-FF12, Floating Rate Note, 11/25/36 0.4295 11/25/2036 2,150,000 331,796
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 0.8544 02/26/2016 1,800,000 1,805,102
Santander Drive Auto Receivables Trust 2011-2, 3.28%, 6/15/16 3.28 06/15/2016 2,265,000 771,242
MASTR Adjustable Rate Mortgages Trust 2004-11, Floating Rate Note, 11/25/34 0.8095 11/25/2034 5,400,000 1,661,780
CWGS Group LLC, Term Loan, 2/20/20 5.75 02/20/2020 397,452 395,962
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 2.4455 07/25/2033 8,050,000 958,756
Freddie Mac Strips, Floating Rate Note, 12/15/36 0.5108 12/15/2036 10,968,000 677,884
Morgan Stanley Capital I Trust 2006-TOP21, Floating Rate Note, 10/12/52 5.162 10/12/2052 1,960,000 2,018,078
Sensata Technologies BV, Term Loan, 5/12/18 3.25 05/12/2018 527,437 527,520
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/25 0.4608 02/15/2025 2,142,856 450,446
Wells Fargo Commercial Mortgage Trust 2014-TISH, Floating Rate Note, 2/16/27 (144A) 1.1908 02/16/2027 2,220,000 2,220,885
Cabela's Credit Card Master Note Trust, Floating Rate Note, 9/17/18 (144A) 0.8608 09/17/2018 2,475,000 2,483,750
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 1.1695 12/25/2023 5,000,000 351,670
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.6195 06/25/2037 900,000 105,752
HLSS Servicer Advance Receivables Trust, 1.4953%, 1/16/46 (144A) 1.4953 01/16/2046 5,600,000 5,599,242
Eco Services Operations Llc 1st Lien Tl-B L + 3.75% 10oct21   10/10/2021 1,400,000 1,386,000
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU REMICS, Floating Rate Note, 12/15/28 1.6608 12/15/2028 3,510,000 3,514,641
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 (144A) 2.1608 12/15/2028 2,910,000 2,915,923
Seminole Tribe of Florida, Inc., Initial Term Loan, 4/29/20 3.0 04/29/2020 1,342,500 1,337,466
Chemtura Corp., New Term Loan, 8/29/16 3.5 08/29/2016 146,429 146,490
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 1.0095 11/25/2034 21,976,800 1,155,625
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 0.4608 02/15/2030 2,056,750 940,481
Expert Global Solutions, Inc., Term B Advance (First Lien), 4/3/18 8.5 04/03/2018 10,555 10,507
Kindred Healthcare 1st Lien Tl-B L + 3% 10apr21 4.0 04/10/2021 715,969 696,280
Ziggo Bv 1st Lien Tl-B2 L + 2.75% 15jan22 3.5 01/15/2022 691,064 673,787
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 0.7846 03/03/2017 2,000,000 2,007,626
NCUA Guaranteed Notes Trust, Floating Rate Note, 12/8/20 0.7155 12/08/2020 410,000 283,448
Citigroup, Inc., Floating Rate Note, 11/24/17 0.9329 11/24/2017 2,630,000 2,633,176
Tradewynd Re, Ltd., Floating Rate Note, 1/8/18 (Cat Bond) (144A) 5.025 01/08/2018 750,000 750,975
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MCW, Floating Rate Note 1.107 10/25/2034 1,150,000 468,216
Vantiv LLC, Term B Loan, 6/12/21 3.75 06/12/2021 1,119,375 1,111,847
Volkswagen Auto Lease Trust 2014-A, 0.52%, 10/20/16 0.52 10/20/2016 5,790,000 4,327,536
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-R11, Floating Rate Note, 0.7745 12/26/2034 8,900,000 320,994
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 0.8055 11/20/2034 5,055,000 518,565
GE Equipment Transportation LLC Series 2013-2, 0.61%, 6/24/16 0.61 06/24/2016 1,520,000 827,071
MortgageIT Trust 2004-2, Floating Rate Note, 12/25/34 0.9095 12/25/2034 35,960,000 5,634,157
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 3.5 04/30/2020 1,457,636 1,440,630
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 0.8195 01/25/2033 5,000,000 162,549
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP4, Floating Rate Note, 10/15/42 5.04 10/15/2042 3,950,000 4,012,758
Ascentium Equipment Receivables 2014-1 LLC, 1.04%, 1/10/17 (144A) 1.04 01/10/2017 1,000,000 996,146
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/39 0.6108 03/15/2039 1,000,000 275,139
321 Henderson Receivables I LLC, Floating Rate Note, 11/15/40 (144A) 0.3908 11/15/2040 1,560,000 487,468
Nelnet Student Loan Trust 2005-1, Floating Rate Note, 10/26/20 0.3036 10/26/2020 1,795,000 485,844
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 1.0808 06/15/2029 3,750,000 3,748,382
Santander Drive Auto Receivables Trust 2012-5, 0.83%, 12/15/16 0.83 12/15/2016 1,600,000 26,511
Daimler Finance North America LLC, Floating Rate Note, 8/1/17 (144A) 0.5724 08/01/2017 2,061,000 2,057,121
Capital One Multi-Asset Execution Trust, Floating Rate Note, 8/15/18 0.2508 08/15/2018 6,945,000 6,942,496
Citigroup, Inc., Floating Rate Note, 11/15/16 0.9121 11/15/2016 1,700,000 1,702,429
British Telecommunications Plc, 2.0%, 6/22/15 2.0 06/22/2015 3,125,000 3,145,488
Riverfront Re, Ltd., Floating Rate Note, 1/6/17 (Cat Bond) (144A) 4.0152 01/06/2017 1,000,000 1,012,933
Volkswagen Auto Lease Trust 2014-A, Floating Rate Note, 10/20/16 0.3755 10/20/2016 1,500,000 1,120,160
Fifth Third Auto Trust 2014-3, Floating Rate Note, 5/15/17 0.3908 05/15/2017 1,700,000 1,700,280
PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29 1.44 05/15/2029 1,300,000 1,012,526
Sequoia Mortgage Trust 10, Floating Rate Note, 10/20/27 0.9255 10/20/2027 6,100,000 116,383
Volkswagen Auto Lease Trust 2013-A, Floating Rate Note, 12/21/15 0.4155 12/21/2015 2,000,000 460,165
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C REMICS, Floating Rate Note, 6/25/28 0.8295 06/25/2028 42,262,000 1,923,429
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 2.5811 10/25/2033 1,991,000 209,712
Federal National Mortgage Association, Floating Rate Note, 8/26/16 0.1895 08/26/2016 6,085,000 6,088,849
Hyundai Capital Services, Inc., Floating Rate Note, 3/18/17 (144A) 1.0426 03/18/2017 1,950,000 1,946,879
Ford Credit Auto Owner Trust 2013-C, 0.55%, 4/15/16 0.55 04/15/2016 1,480,000 96,709
MetLife Institutional Funding II, Floating Rate Note, 1/6/15 (144A) 0.6012 01/06/2015 3,205,000 3,209,588
Samson Investment Co., Tranche 1 Term Loan (Second Lien), 9/25/18 5.0 09/25/2018 345,205 273,000
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 4.0 07/09/2018 1,800,000 1,815,850
Asset-Backed Pass-Through Certificates Series 2004-R2, Floating Rate Note, 4/25/34 0.7895 04/25/2034 24,000,000 1,261,616
KeyCorp Student Loan Trust 2004-A, Floating Rate Note, 10/28/41 0.5336 10/28/2041 500,000 101,335
HJ Heinz Co., Term B-2 Loan, 6/5/20 3.5 06/05/2020 1,368,153 1,362,528
Alliant Holdings I, Inc., Initial Term Loan, 12/20/19 4.25 12/20/2019 242,448 239,341
The Huntington National Bank, Floating Rate Note, 4/24/17 0.6578 04/24/2017 2,000,000 2,000,446
BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A) 2.7795 09/26/2035 8,854,257 2,133,778
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 5/25/24 1.1195 05/25/2024 3,560,000 3,148,361
CWABS Asset-Backed Certificates Trust 2004-7, Floating Rate Note, 12/25/34 1.2195 12/25/2034 2,140,000 1,171,374
LB-UBS Commercial Mortgage Trust 2006-C1 REMICS, 5.156%, 2/15/31 5.156 02/15/2031 5,465,000 5,482,091
Sequoia Mortgage Trust 2004-12 REMICS, Floating Rate Note, 1/20/35 0.6336 01/20/2035 2,000,000 137,802
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 0.6695 06/25/2035 5,850,460 2,055,901
Bank of America Corp., Floating Rate Note, 3/22/16 1.0671 03/22/2016 6,000,000 6,026,001
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 2.3146 08/25/2033 1,500,000 100,375
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 0.3695 12/25/2036 3,000,000 382,580
Federal Farm Credit Banks, Floating Rate Note, 10/26/15 0.15 10/26/2015 2,560,000 2,561,091
American Express Credit Account Master Trust, Floating Rate Note, 1/15/20 0.4308 01/15/2020 350,000 349,859
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 3.75 08/20/2025 2,805,000 1,517,109
Hewett's Island CDO, Ltd., Floating Rate Note, 6/9/19 (144A) 2.4856 06/09/2019 1,000,000 998,956
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 0.7895 09/25/2034 42,840,193 1,775,419
Ellington Loan Acquisition Trust 2007-2, Floating Rate Note, 5/26/37 (144A) 1.0695 05/26/2037 5,000,000 491,468
Morgan Stanley, Floating Rate Note, 1/5/18 0.9749 01/05/2018 2,700,000 2,700,686
The Goldman Sachs Group, Inc., 3.7%, 8/1/15 3.7 08/01/2015 2,400,000 2,475,734
Exxon Mobil Corp., Floating Rate Note, 3/15/17 0.2806 03/15/2017 1,980,000 1,978,876
BCAP LLC 2013-RR7 Trust, Floating Rate Note, 12/27/34 3.0 12/27/2034 1,410,000 1,188,620
RALI Series 2003-QS10 Trust, Floating Rate Note, 5/25/33 0.5695 05/25/2033 38,865,000 757,838
Ryder System, Inc., 3.15%, 3/2/15 3.15 03/02/2015 2,000,000 2,028,598
Commonwealth Bank of Australia, Floating Rate Note, 12/4/15 (144A) 0.4446 12/04/2015 1,800,000 1,801,098
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 0.4608 02/15/2039 1,251,000 649,773
American Express Credit Account Master Trust, Floating Rate Note, 3/15/18 0.3108 03/15/2018 8,890,000 8,886,635
Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36 0.5195 05/25/2036 6,501,000 2,100,973
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 3.0 01/23/2021 805,933 802,911
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 0.6653 09/25/2035 4,351,000 2,079,599
Delta Air Lines, Inc., Term Loan, 4/20/17 3.25 04/20/2017 295,420 293,173
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 0.7108 02/15/2033 15,000,000 429,003
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 0.3395 08/25/2036 1,250,000 320,897
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 0.3995 11/25/2037 31,986,000 1,384,728
Fifth Third Bancorp, Floating Rate Note, 12/20/16 0.6671 12/20/2016 1,727,000 1,713,525
The Goldman Sachs Group, Inc., 1.6%, 11/23/15 1.6 11/23/2015 822,000 827,839
Banc of America Mortgage 2004-I Trust, Floating Rate Note, 10/25/34 2.4955 10/25/2034 6,000,000 415,611
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 8.0152 06/06/2016 750,000 806,383
Citibank Credit Card Issuance Trust, Floating Rate Note, 11/7/18 0.4619 11/07/2018 3,490,000 3,488,700
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/37 1.4108 05/15/2037 3,000,000 251,015
Anheuser-Busch Companies LLC, 5.0%, 1/15/15 5.0 01/15/2015 1,891,000 1,937,955
American Express Centurion Bank, Floating Rate Note, 11/13/15 0.6832 11/13/2015 5,090,000 5,103,712
Wachovia Bank Commercial Mortgage Trust Series 2006-C23 REMICS, Floating Rate Note, 1/15/45 5.418 01/15/2045 5,550,000 4,477,899
RBS Greenwich Capital Mortgage Loan Trust, Floating Rate Note, 4/15/24 (144A) 5.0096 04/15/2024 1,150,000 1,162,272
DELOS FINANCE SARL, Loan, 2/27/21 3.5 03/06/2021 1,295,000 1,287,446
MRFC Mortgage Pass-Through Trust Series 2000-TBC3, Floating Rate Note, 12/15/30 0.6008 12/15/2030 24,150,000 1,202,855
Nissan Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 0.4308 01/15/2016 760,000 465,912
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 9.015 01/08/2015 250,000 255,725
Commercial Mortgage Trust 2005-GG5, Floating Rate Note, 4/10/37 5.277 04/10/2037 6,995,000 7,178,266
Fieldwood Energy LLC, Closing Date Loan, 9/25/18 3.875 09/25/2018 2,668,616 2,536,853
RAMP Series 2004-RZ1 Trust, Floating Rate Note, 3/25/34 0.6495 03/25/2034 4,080,000 362,646
RAMP Series 2006-NC1 Trust, Floating Rate Note, 1/25/36 0.3595 01/25/2036 6,100,000 322,757
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 2.35 10/25/2035 2,600,000 646,405
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 0.4708 06/15/2036 52,250,000 2,199,088
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 8.5355 05/09/2016 1,500,000 1,589,642
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 0.5617 04/10/2028 1,100,000 1,099,299
Government National Mortgage Association, Floating Rate Note, 6/16/31 0.661 06/16/2031 14,000,000 242,071
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 6.5 08/15/2030 1,250,000 136,425
MALLINCKRODT INTERNATIONAL FINANCE SA, Initial Term B Loan, 3/6/21 3.25 03/06/2021 967,688 949,745
Drillships Financing Holding, Inc., Tranche B-1 Term Loan, 3/31/21 6.0 03/31/2021 987,500 787,531
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/33 1.6558 05/15/2033 2,000,000 245,191
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 8.7652 12/06/2016 1,450,000 1,492,098
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 8.6325 04/08/2016 1,750,000 1,822,431
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 0.8895 07/25/2035 2,600,000 2,307,936
Skandinaviska Enskilda Banken AB New York NY, Floating Rate Note, 9/21/15 0.5871 09/21/2015 2,500,000 2,501,166
General Electric Capital Corp., Floating Rate Note, 1/8/16 0.8326 01/08/2016 3,300,000 3,318,777
Credit Acceptance Auto Loan Trust 2013-1, 1.21%, 10/15/20 (144A) 1.21 10/15/2020 1,000,000 1,000,832
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 0.6695 05/25/2033 15,932,000 412,025
Hyundai Capital Auto Funding VIII, Ltd., Floating Rate Note, 9/20/16 (144A) 1.162 09/20/2016 5,954,000 292,402
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1.7601 01/07/2019 1,800,000 1,769,170
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 0.5695 07/25/2035 1,110,000 1,089,471
Wells Fargo Mortgage Backed Securities 2005-AR6 Trust, Floating Rate Note, 4/25/35 4.6207 04/25/2035 611,000 42,950
NEP, Amendment No. 3 Incremental Term Loan (First Lien), 1/22/20 4.25 01/22/2020 614,117 605,929
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 7/25/35 0.4395 07/25/2035 15,315,000 1,712,666
Bright Horizons Family Solutions, Inc., Term B Loan, 1/30/20 3.75 01/30/2020 596,827 588,621
Exeter Automobile Receivables Trust 2012-2, 1.3%, 6/15/17 (144A) 1.3 06/15/2017 1,000,000 95,715
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 1.0574 06/25/2028 44,308,430 1,652,940
Mufg 0.12% 05jan15 Usd 0.12 01/05/2015 12,640,000 12,640,021
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34 1.1753 11/25/2034 3,500,000 221,700
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 9.0152 06/06/2015 1,750,000 1,807,575
Structured Asset Securities Corp Mortgage Loan Trust 2006-EQ1, Floating Rate Note, 7/25/36 0.3195 07/25/2036 5,000,000 2,763,308
United States Treasury Floating Rate Note, Floating Rate Note, 1/31/16 0.085 01/31/2016 20,500,000 20,497,000
AmeriCredit Automobile Receivables Trust 2010-4, 6.4%, 4/9/18 (144A) 6.4 04/09/2018 470,000 474,090
Seadrill Operating LP, Initial Term Loan, 2/14/21 4.0 02/14/2021 2,722,500 2,126,273
Nissan Auto Receivables 2012-A Owner Trust, 0.73%, 5/16/16 0.73 05/16/2016 55,000 12,700
American Airlines, Inc., Class B Term Loan, 6/27/19 3.75 06/27/2019 2,511,750 2,488,516
American Credit Acceptance Receivables Trust 2013-2, 1.32%, 2/15/17 (144A) 1.32 02/15/2017 805,000 171,251
Charter Communications Operating LLC, Term F Loan, 12/31/20 3.0 12/31/2020 1,305,125 1,281,353
Morgan Stanley ABS Capital I Inc Trust 2005-NC2, Floating Rate Note, 3/25/35 0.7995 03/25/2035 2,854,027 1,754,481
Ally Master Owner Trust, 4.59%, 4/15/17 (144A) 4.59 04/15/2017 3,000,000 3,037,968
SMART Trust/Australia, 1.59%, 10/14/16 (144A) 1.59 10/14/2016 1,550,000 851,221
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 1.3574 07/25/2029 3,866,000 130,624
Hyundai Auto Receivables Trust 2012-A, 0.95%, 12/15/16 0.95 12/15/2016 3,878,000 3,165,786
Trafigura Securitisation Finance Plc. 2014-1, Floating Rate Note, 4/16/18 (144A) 1.1108 04/16/2018 1,400,000 1,401,201
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/35 0.5108 11/15/2035 850,000 189,556
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 1.88 10/15/2054 1,676,000 986,224
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 0.812 01/18/2032 16,977,308 253,013
JP Morgan Chase Commercial Mortgage Securities Trust 2013-ALC, Floating Rate Note, 7/17/26 (144A) 3.012 07/17/2026 1,466,000 1,477,933
NSTAR Electric Co., Floating Rate Note, 5/17/16 0.4721 05/17/2016 1,013,000 1,012,788
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 1.23 03/15/2019 4,251,000 2,145,288
Bright Horizons Family Solutions I 1st Lien Tl-B1 L + 3.25% 30jan20   01/30/2020 600,000 597,750
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 0.8495 06/25/2033 8,955,000 182,063
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 0.9895 05/25/2035 5,000,000 271,378
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 0.6295 06/25/2034 41,830,000 1,588,831
Davita Healthcare Partners Inc 1st Lien Tl-B L + 2.75% 19jun21 3.5 06/19/2021 473,860 470,052
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 0.6295 01/25/2035 11,300,000 1,185,600
Federal Home Loan Banks, Floating Rate Note, 10/7/15 0.22 10/07/2015 2,640,000 2,643,249
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP20, Floating Rate Note, 10/12/42 5.1291 10/12/2042 6,505,000 6,326,930
Capital One Financial Corp., 2.15%, 3/23/15 2.15 03/23/2015 5,059,000 5,103,665
Federal National Mortgage Association REMICS, 4.5%, 1/25/39 4.5 01/25/2039 820,000 51,445
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/31 1.1108 10/15/2031 1,750,000 109,477
Nissan Auto Receivables 2013-A Owner Trust, 0.5%, 5/15/17 0.5 05/15/2017 3,400,000 2,444,097
Valeant Pharmaceuticals International, Inc., Series E1 Tranche B Term Loan, 8/5/20 3.5 08/05/2020 1,313,724 1,304,145
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 0.5906 12/15/2016 2,850,000 2,838,380
Federal Home Loan Banks, 2.9%, 4/20/17 2.9 04/20/2017 4,130,000 771,272
Federal Home Loan Mortgage Corp., Floating Rate Note, 6/26/15 0.1595 06/26/2015 2,000,000 2,000,619
MassMutual Global Funding II, Floating Rate Note, 12/11/15 (144A) 0.3589 12/11/2015 1,750,000 1,751,780
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/29 0.5108 05/15/2029 15,000,000 130,893
PFS Financing Corp., Floating Rate Note, 10/15/19 (144A) 1.0108 10/15/2019 1,700,000 1,700,719
Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19 4.0 04/23/2019 727,141 706,539
Fannie Mae, 7.0%, 10/1/17 7.0 10/01/2017 2,241,352 6,607
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 0.7895 10/25/2028 38,289,000 1,859,617
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 9/8/17 (144A) 0.5454 09/08/2017 2,525,000 2,500,491
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/19 0.3908 02/15/2019 4,675,000 322,953
Bayview Opportunity Master Fund Trust IIIa 2014-12RPL, 3.6225%, 7/28/19 (Step) (144A) 3.6225 07/28/2019 2,450,000 1,515,822
SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35 0.7295 04/25/2035 28,476,673 463,766
Ally Master Owner Trust, Floating Rate Note, 1/16/18 0.5308 01/16/2018 300,000 299,823
Chesapeake Funding LLC, Floating Rate Note, 4/7/24 (144A) 1.4072 04/07/2024 2,050,000 1,129,934
Triton Container Finance LLC, Floating Rate Note, 2/26/19 (144A) 0.3095 02/26/2019 1,287,000 26,787
RPI Finance Trust, Term B-3 Term Loan, 11/9/18 3.25 11/09/2018 622,351 621,768
Nissan Motor Acceptance Corp., Floating Rate Note, 9/26/16 (144A) 0.9546 09/26/2016 1,500,000 1,512,324
RENT-A-CENTER, INC, Term Loan (2014), 2/6/21 3.75 02/06/2021 1,736,875 1,699,966
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 5.23 12/17/2040 9,446,500 6,545,344
Envision Healthcare Corp., Initial Term Loan, 5/25/18 4.0 05/25/2018 1,249,098 1,237,778
Apidos Quattro CDO, Floating Rate Note, 1/20/19 (144A) 1.6808 01/20/2019 1,000,000 988,881
Ncl Corp Ltd 1st Lien Tl-B L + 3.25% 06nov21 4.0 11/06/2021 1,000,000 1,002,500
Sumitomo Mitsui Banking Corp. New York, Floating Rate Note, 4/1/15 0.6351 04/01/2015 1,000,000 1,002,143
Bear Stearns Asset Backed Securities Trust 2006-1, Floating Rate Note, 2/25/36 0.4495 02/25/2036 32,600,000 931,956
General Electric Capital Corp., Floating Rate Note, 1/14/16 0.46 01/14/2016 1,865,000 1,866,875
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/26/35 0.9045 02/26/2035 19,369,028 3,672,130
Glenn Pool Oil & Gas Trust, Term Loan, 5/2/16 4.5 05/02/2016 24,276 24,154
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 1.8865 01/25/2029 16,556,000 238,103
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2004-2, Floating Rate Note, 6/25/ 1.1295 06/25/2034 21,291,000 1,825,896
Mizuho Bank, Ltd., Floating Rate Note, 4/16/17 (144A) 0.6591 04/16/2017 1,000,000 1,001,855
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 7/22/19 0.5455 07/22/2019 2,670,000 2,667,825
First Horizon Mortgage Pass-Through Trust 2003-AR3, Floating Rate Note, 9/25/33 2.5904 09/25/2033 13,000,000 902,344
AXIS Equipment Finance Receivables II LLC, 1.75%, 6/20/16 1.75 06/20/2016 1,000,000 529,464
Cabela's Credit Card Master Note Trust, Floating Rate Note, 3/16/20 0.5108 03/16/2020 900,000 899,967
Federal National Mortgage Association, 0.75%, 8/16/17 (Step) 0.75 08/16/2017 1,415,000 1,417,178
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 0.4608 04/15/2022 1,105,112 1,096,850
Morgan Stanley, Floating Rate Note, 10/15/15 0.7106 10/15/2015 318,000 319,010
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 0.6006 03/13/2017 2,000,000 2,001,777
DEALERTRACK TECHNOLOGIES INC, Term Loan, 2/27/21 3.5 02/27/2021 954,022 937,613
Dtz Us Borrower Llc 1st Lien Dd L + 4.5% 28oct21 5.5 10/28/2021 640,187 640,587
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/37 0.5695 07/25/2037 1,942,360 295,603
CPS Auto Trust, 1.82%, 12/16/19 (144A) 1.82 12/16/2019 1,179,000 408,402
Truven Health Analytics, Inc., New Tranche B Term Loan, 6/6/19 4.5 06/06/2019 341,296 332,337
Government National Mortgage Association, Floating Rate Note, 1/20/33 0.4155 01/20/2033 10,000,000 21,665
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 10.0152 06/06/2016 900,000 984,030
Province of Ontario Canada, Floating Rate Note, 4/1/15 0.3851 04/01/2015 1,800,000 1,802,292
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45 2.2037 06/25/2045 1,500,000 225,258
Starwood Property Trust, Inc., Term Loan (First Lien), 4/17/20 3.5 04/17/2020 1,586,043 1,556,966
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/34 0.4695 11/25/2034 9,662,000 709,380
Bayview Financial Acquisition Trust, Floating Rate Note, 5/28/44 0.7995 05/28/2044 32,920,000 335,505
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2, 4.78%, 7/15/42 4.78 07/15/2042 3,770,000 3,814,401
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL6, Floating Rate Note, 11/15/31 (144A) 1.558 11/15/2031 4,240,000 4,239,395
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 1/15/18 0.5408 01/15/2018 350,000 350,218
Eden Re II, Ltd., 0.0%, 4/19/18 (Cat Bond) (144A) 0.0 04/19/2018 1,300,000 1,300,000
SNAAC Auto Receivables Trust 2014-1, 1.03%, 9/17/18 (144A) 1.03 09/17/2018 839,000 497,965
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.5608 12/15/2032 9,063,000 707,742
RASC Series 2005-KS3 Trust, Floating Rate Note, 4/25/35 0.8145 04/25/2035 829,000 217,813
Impac CMB Trust Series 2003-8, Floating Rate Note, 10/25/33 1.0695 10/25/2033 8,000,000 487,734
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.4095 06/25/2037 7,474,000 947,776
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 1.1695 02/25/2024 1,555,000 1,436,666
Duke Energy Ohio, Inc., Floating Rate Note, 3/6/15 0.3754 03/06/2015 725,000 725,110
NPC International, Inc., Term Loan, 12/28/18 4.0 12/28/2018 155,600 151,710
The Connecticut Light & Power Co., 5.0%, 4/1/15 5.0 04/01/2015 1,200,000 1,227,590
Citibank Credit Card Issuance Trust, Floating Rate Note, 2/7/18 0.3972 02/07/2018 9,931,000 9,932,517
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 4.894 08/10/2042 3,300,000 2,919,041
Noranda Aluminum Acquisition Corp., Term B Loan, 2/28/19 5.75 02/28/2019 116,700 112,032
Morgan Stanley, Floating Rate Note, 2/25/16 1.4829 02/25/2016 4,350,000 4,391,817
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/35 0.4108 01/15/2035 5,669,000 786,831
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 8.005 07/09/2015 2,500,000 2,627,167
Volvo Financial Equipment LLC Series 2013-1, 0.74%, 3/15/17 (144A) 0.74 03/15/2017 1,410,000 1,411,661
Fannie Mae, Floating Rate Note, 10/1/32 2.534 10/01/2032 500,000 27,724
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 0.7329 12/22/2054 1,250,000 1,171,980
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 3.75 06/30/2019 1,470,119 1,343,015
Federal Farm Credit Banks, Floating Rate Note, 1/20/15 0.3 01/20/2015 1,490,000 1,490,932
CSMC Series 2014-ICE, Floating Rate Note, 4/15/27 (144A) 1.3608 04/15/2027 6,470,000 6,471,895
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 10.2312 01/07/2015 2,000,000 2,048,133
Banc of America Mortgage 2003-A Trust, Floating Rate Note, 2/25/33 3.0296 02/25/2033 10,560,000 102,311
Golden Credit Card Trust, Floating Rate Note, 2/15/18 (144A) 0.4108 02/15/2018 4,300,000 4,299,364
Citibank Credit Card Issuance Trust, 5.1%, 11/20/17 5.1 11/20/2017 1,650,000 1,723,747
CD 2005-CD1 Commercial Mortgage Trust, Floating Rate Note, 7/15/44 5.3999 07/15/2044 3,277,000 3,129,911
Westpac Banking Corp., Floating Rate Note, 7/17/15 (144A) 1.0281 07/17/2015 500,000 503,080
Chesapeake Funding LLC, Floating Rate Note, 3/7/26 0.5772 03/07/2026 1,900,000 1,899,912
Cisco Systems, Inc., Floating Rate Note, 9/3/15 0.2846 09/03/2015 3,600,000 3,600,919
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 8/25/35 0.5095 08/25/2035 26,776,000 1,576,183
Spectrum Brands, Inc., Tranche C Term Loan, 8/13/19 3.5038 08/13/2019 296,250 293,510
Credit Suisse Commercial Mortgage Trust Series 2006-C2, Floating Rate Note, 3/15/39 5.858 03/15/2039 8,230,000 5,864,947
Numericable Sfr 1st Lien Tl-B2 L + 3.75% 23apr20 4.5 04/23/2020 231,923 231,923
Nissan Auto Receivables 2013-C Owner Trust, 0.4%, 6/15/16 0.4 06/15/2016 2,075,000 1,006,944
HSBC Bank Middle East, Ltd., 3.0%, 10/21/15 3.0 10/21/2015 1,000,000 1,019,616
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 0.4558 01/20/2021 3,500,000 1,040,785
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 0.5695 03/25/2035 2,190,000 278,488
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 0.6195 06/25/2036 8,454,822 862,823
Alternative Loan Trust 2003-3T1, Floating Rate Note, 5/25/33 0.7995 05/25/2033 15,000,000 605,393
Jackson National Life Global Funding, Floating Rate Note, 9/30/15 (144A) 0.6066 09/30/2015 2,000,000 2,002,935
Discover Card Execution Note Trust, 0.86%, 11/15/17 0.86 11/15/2017 1,700,000 1,703,198
Ocwen Loan Servicing LLC, Initial Term Loan, 2/15/18 5.0 02/15/2018 1,380,856 1,300,306
Discover Card Execution Note Trust, Floating Rate Note, 1/16/18 0.3608 01/16/2018 1,345,000 1,345,010
New Albertsons Inc 1st Lien Tl L + 3.75% 24jun21 4.75 06/24/2021 498,750 492,360
Verizon Communications, Inc., Floating Rate Note, 9/15/16 1.7706 09/15/2016 3,805,000 3,877,166
Bank of Montreal, Floating Rate Note, 9/11/15 0.7089 09/11/2015 2,600,000 2,608,329
CHL Mortgage Pass-Through Trust 2003-J7, Floating Rate Note, 8/25/18 0.5695 08/25/2018 2,400,000 51,469
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-B, Floating Rate Note, 4/25/28 0.8495 04/25/2028 32,661,000 1,468,576
Tower Automotive Holdings USA LLC, Refinancing Term Loan, 4/23/20 3.2521 04/23/2020 200,696 197,560
Schaeffler (Aka Ina Beteiligungsge 1st Lien Tl-B L + 3.5% 15may20 4.25 05/15/2020 1,683,943 1,686,750
The Bank of Nova Scotia, Floating Rate Note, 3/15/16 0.6406 03/15/2016 2,000,000 2,006,108
General Electric Capital Corp., 1.625%, 7/2/15 1.625 07/02/2015 1,000,000 1,014,364
Oracle Corp., Floating Rate Note, 7/7/17 0.4316 07/07/2017 1,937,000 1,937,064
Nissan Master Owner Trust Receivables, Floating Rate Note, 5/15/17 0.6308 05/15/2017 3,395,000 3,398,809
Merrill Lynch Mortgage Trust 2005-CIP1, Floating Rate Note, 7/12/38 5.047 07/12/2038 2,170,000 2,197,556
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 0.4695 10/25/2035 625,000 27,798
JP Morgan Chase Commercial Mortgage Securities Trust 2014-CBM, Floating Rate Note, 10/15/29 (144A) 1.5608 10/15/2029 4,280,000 4,253,350
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 0.6195 07/25/2034 2,860,000 162,611
Philip Morris International, Inc., Floating Rate Note, 2/26/15 0.2844 02/26/2015 1,500,000 1,500,476
Georgia Power Co., Floating Rate Note, 8/15/16 0.6321 08/15/2016 1,000,000 1,000,281
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5.372 09/10/2045 5,040,000 5,189,832
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.3895 04/25/2031 6,464,393 1,138,258
Univision Communications, Inc., Replacement First-Lien Term Loan, 3/1/20 4.0 03/01/2020 663,175 649,912
NRG Energy, Inc., Term Loan (2013), 7/1/18 2.75 07/01/2018 1,170,467 1,149,984
United States Treasury Floating Rate Note, Floating Rate Note, 10/31/16 0.093 10/31/2016 20,100,000 20,090,388
Countrywide Asset-Backed Certificates, Floating Rate Note, 1/25/36 0.5253 01/25/2036 125,000 4,116
BAMLL Commercial Mortgage Securities Trust 2014-ICTS, Floating Rate Note, 6/15/28 (144A) 1.2608 06/15/2028 1,920,000 1,919,264
City Center Trust 2011-CCHP, Floating Rate Note, 7/17/28 (144A) 4.65 07/17/2028 950,000 951,233
Big Heart Pet Brands, Initial Term Loan, 2/24/20 3.5 02/24/2020 478,257 460,322
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 0.4195 10/25/2035 4,339,000 500,204
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 3.75 12/12/2019 318,295 317,300
FCA US LLC, Term Loan B, 5/24/17 3.5 05/24/2017 375,000 374,531
Synchrony Credit Card Master Note Trust, 1.03%, 1/15/18 1.03 01/15/2018 900,000 900,588
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 0.3195 05/25/2036 3,004,334 788,124
Ameriquest Mort Sec Inc Asset Backed Pass Thr Cert 03 AR3, Floating Rate Note, 6/25/33 3.9195 06/25/2033 729,633 374,493
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 0.6695 06/28/2044 4,088,000 4,025,220
Royal Bank of Canada, Floating Rate Note, 1/6/15 0.4612 01/06/2015 2,200,000 2,202,470
Oscar US Funding Trust 2014-1, 1.0%, 8/15/17 (144A) 1.0 08/15/2017 2,500,000 2,496,789
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.5108 11/15/2036 2,850,000 484,041
Franklin Resources, Inc., 3.125%, 5/20/15 3.125 05/20/2015 2,150,000 2,172,586
Shell International Finance BV, Floating Rate Note, 11/15/16 0.4421 11/15/2016 1,500,000 1,501,360
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 6/25/35 0.5695 06/25/2035 3,880,000 52,745
Trade MAPS 1, Ltd., Floating Rate Note, 12/10/18 (144A) 1.4117 12/10/2018 3,079,000 3,080,459
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R5, Floating Rate Note, 7 0.5853 07/25/2035 84,000 76,929
US Bank NA Cincinnati Ohio, Floating Rate Note, 4/22/16 0.3521 04/22/2016 2,000,000 2,001,315
Bear Stearns Asset Backed Securities Trust 2003-AC5, Floating Rate Note, 10/25/33 1.2695 10/25/2033 2,875,000 272,981
General Electric Capital Corp., Floating Rate Note, 8/1/17 1.375 08/01/2017 500,000 500,137
Las Vegas Sands LLC, Term B Loan, 12/19/20 3.25 12/19/2020 0 0
West Corp., Term B-10 Loan, 6/30/18 3.25 06/30/2018 1,004,821 987,236
The Geo Group, Inc., Term Loan, 4/3/20 3.25 04/03/2020 987,475 978,834
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/33 1.1608 11/15/2033 2,550,000 330,105
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 5.2652 03/07/2016 2,250,000 2,312,633
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 1.3155 11/20/2036 100,000 43,352
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/32 0.8695 01/25/2032 30,000,000 412,707
Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A) 3.721 11/16/2044 3,070,000 3,027,470
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP5, Floating Rate Note, 12/15/44 5.2364 12/15/2044 6,310,000 5,905,822
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 0.5195 08/25/2036 4,987,000 1,111,896
DynCorp International, Inc., Term Loan, 7/7/16 6.25 07/07/2016 143,055 142,579
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 3.25 12/19/2020 1,578,075 1,572,157
American Airlines Inc 1st Lien Tl-B L + 3.5% 08oct21 4.25 10/08/2021 500,000 501,250
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 0.8195 06/25/2035 4,005,000 622,244
Caterpillar Financial Services Corp., Floating Rate Note, 2/26/16 0.4744 02/26/2016 1,500,000 1,502,329
Government National Mortgage Association, Floating Rate Note, 1/16/35 0.411 01/16/2035 11,437,000 1,226,934
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 3.5 08/17/2020 768,275 759,632
BMW Vehicle Lease Trust 2013-1, 0.54%, 9/21/15 0.54 09/21/2015 3,062,000 1,509,046
Encore Credit Receivables Trust 2005-3, Floating Rate Note, 10/25/35 0.6395 10/25/2035 3,705,000 953,746
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 0.3955 02/20/2035 31,769,748 3,141,265
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 0.7695 12/25/2023 13,749,086 110,029
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 0.7608 02/15/2019 3,490,000 3,498,834
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 2.6989 04/19/2034 16,013,000 713,497
Exeter Automobile Receivables Trust 2012-2, 3.06%, 7/16/18 (144A) 3.06 07/16/2018 1,000,000 1,008,743
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 0.6295 03/25/2030 39,366,746 2,484,252
GE Business Loan Trust 2003-2 REMICS, Floating Rate Note, 11/15/31 (144A) 0.5308 11/15/2031 10,000,000 1,028,242
Trimaran CLO V, Ltd., Floating Rate Note, 3/15/18 (144A) 0.6206 03/15/2018 1,500,000 185,706
Svenska Handelsbanken AB, Floating Rate Note, 3/21/16 0.6971 03/21/2016 3,625,000 3,637,269
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 3.25 03/31/2021 597,000 585,806
HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36 0.4055 03/20/2036 8,638,000 7,126,249
Hyperion Insurance Group, Ltd., Term Loan, 10/4/19 5.75 10/04/2019 967,688 964,663
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/33 0.6695 04/25/2033