Pioneer Investments: Pioneer Multi-Asset Ultrashort Income Fund


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Pioneer Multi-Asset Ultrashort Income Fund

Monthly Portfolio Holdings as of 6/30/2015

Security Name Coupon Maturity Date Par / Shares Market Value($)
Bayview Commercial Asset Trust 2004-1, Floating Rate Note, 4/25/34 (144A) 1.987 04/25/2034 4,890,000 392,118
BMW Floorplan Master Owner Trust, Floating Rate Note, 9/15/17 (144A) 0.5855 09/15/2017 3,000,000 3,002,350
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-D, Floating Rate Note, 9/25/29 2.0983 09/25/2029 11,000,000 701,006
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2.858 03/25/2034 8,200,000 405,659
F Cp Zero% 27jul15 Usd 0.0 07/27/2015 660,000 659,771
VOLT XXXI LLC, 3.375%, 2/25/55 (Step) (144A) 3.375 02/25/2055 3,000,000 2,831,620
Structured Asset Securities Corp Trust 2005-14, Floating Rate Note, 7/25/35 0.487 07/25/2035 3,899,641 335,540
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 0.5855 07/15/2023 2,924,000 553,053
Amazon.com, Inc., 0.65%, 11/27/15 0.65 11/27/2015 5,450,000 5,453,520
T Flt% 12feb16 0.6649 02/12/2016 1,735,000 1,733,300
Government National Mortgage Association, Floating Rate Note, 8/20/38 0.6868 08/20/2038 4,585,000 399,854
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 0.8325 03/03/2017 2,000,000 2,008,571
CCG Receivables Trust 2014-1, 1.06%, 11/14/21 (144A) 1.06 11/14/2021 1,900,000 1,525,073
Duke Energy Corp., Floating Rate Note, 4/3/17 0.6508 04/03/2017 1,740,000 1,744,310
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 0.3355 10/15/2020 1,400,000 104,127
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.237 10/25/2037 2,211,066 1,368,234
Quebecor Media, Inc., Facility B-1 Tranche, 8/17/20 3.25 08/17/2020 494,962 488,311
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 2.187 10/25/2023 4,205,000 3,016,208
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 4.5051 12/06/2016 2,900,000 2,936,758
Ubsn 0.22% 31jul15 Usd 0.22 07/31/2015 9,000,000 9,001,764
Direct Capital Funding V LLC, 1.673%, 12/20/17 (144A) 1.673 12/20/2017 725,000 12,080
RAMP Series 2004-RS11 Trust, Floating Rate Note, 11/25/34 1.117 11/25/2034 3,805,000 870,634
National Australia Bank, Ltd., Floating Rate Note, 3/17/17 (144A) 0.6533 03/17/2017 1,950,000 1,954,253
Tribune Media Co., Initial Term Loan, 11/20/20 4.0 11/20/2020 1,447,155 1,448,663
Pepper Residential Securities Trust, Floating Rate Note, 4/10/16 (144A) 0.5115 04/10/2016 2,000,000 2,000,597
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.437 06/25/2037 3,590,000 305,158
MUFG Union Bank NA, Floating Rate Note, 9/26/16 1.0308 09/26/2016 6,200,000 6,226,451
Specialty Underwriting & Residential Finance Trust Series 2005-AB2, Floating Rate Note, 6/25/36 0.577 06/25/2036 1,500,000 392,344
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 2.4245 07/25/2033 8,050,000 936,693
Morgan Stanley Capital I Trust 2005-IQ10, Floating Rate Note, 9/15/42 5.23 09/15/2042 2,910,000 66,771
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 0.497 02/25/2035 2,497,000 744,191
BioScrip, Inc., Initial Term B Loan, 7/31/20 6.5 07/31/2020 548,191 544,537
Terex Corp., U.S. Term Loan, 8/13/21 3.5 08/13/2021 307,235 307,734
Six Flags Theme Parks, Inc., Tranche B Term Loan, 12/20/18 3.5007 12/20/2018 727,904 729,610
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 2.812 08/25/2034 2,122,000 225,622
PFS Financing Corp., Floating Rate Note, 2/15/18 (144A) 0.7355 02/15/2018 3,240,000 3,237,981
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 0.587 05/25/2037 32,172,000 1,018,020
Chesapeake Funding LLC, Floating Rate Note, 11/7/23 (144A) 2.1841 11/07/2023 250,000 250,522
Waste Industries Usa Inc 1st Lien Tl-B L + 3.25% 20feb20 4.25 02/20/2020 149,625 150,326
Caisse Centrale Desjardins, 2.65%, 9/16/15 (144A) 2.65 09/16/2015 2,500,000 2,530,098
West Corp., Term B-10 Loan, 6/30/18 3.25 06/30/2018 1,004,821 1,003,356
Global Mortgage Securitization, Ltd., Floating Rate Note, 11/25/32 (144A) 0.507 11/25/2032 8,780,000 403,762
PSEG Power LLC, 2.75%, 9/15/16 2.75 09/15/2016 2,500,000 2,570,393
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 0.5855 05/15/2036 7,791,000 475,290
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 0.7939 02/15/2017 2,000,000 2,004,855
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 3.25 10/18/2018 731,250 730,279
Tempur Sealy International, Inc., New Term B Loan, 3/18/20 3.5 03/18/2020 415,796 416,835
Mcdermott International Inc 1st Lien Tl-B L + 4.25% 11apr19 5.25 04/11/2019 495,000 470,250
Wachovia Bank Commercial Mortgage Trust Series 2005-C22 REMICS, Floating Rate Note, 12/15/44 5.267 12/15/2044 5,713,000 3,551,979
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 0.5855 07/15/2036 1,200,000 41,474
GCAT 2015-1 LLC, 3.625%, 5/26/20 (Step) (144A) 3.625 05/26/2020 2,500,000 2,416,585
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 0.687 06/25/2035 1,393,325 494,602
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/29 0.5355 02/15/2029 23,100,000 238,341
Bank of America Corp., Floating Rate Note, 3/22/16 1.1008 03/22/2016 6,000,000 6,014,941
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 0.467 09/25/2035 13,780,000 1,052,494
Centex Home Equity Loan Trust 2003-A, Floating Rate Note, 3/25/33 3.654 03/25/2033 2,230,000 372,566
Soundview Home Loan Trust 2005-DO1, Floating Rate Note, 5/25/35 0.907 05/25/2035 2,000,000 1,604,519
Navitas Equipment Receivables LLC 2013-1, 1.95%, 11/15/16 1.95 11/15/2016 1,750,000 498,678
Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A) 0.487 01/25/2036 51,217,354 3,679,223
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 0.5855 02/15/2033 49,250,000 631,228
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/19 0.6368 10/20/2019 2,700,000 2,695,654
Devon Energy Corp., Floating Rate Note, 12/15/15 0.7359 12/15/2015 4,815,000 4,812,674
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-B, Floating Rate Note, 4/25/28 0.867 04/25/2028 32,661,000 1,370,002
Delta Funding Home Equity Loan Trust 1997-2, 7.04%, 6/25/27 7.04 06/25/2027 1,000,000 694
Wal-Mart Stores, Inc., 0.6%, 4/11/16 0.6 04/11/2016 955,000 955,659
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 2.563 10/25/2033 1,991,000 160,731
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/20 0.987 09/25/2020 13,700,000 19,144
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 0.487 07/25/2035 9,145,238 1,822,865
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 2/25/35 1.047 02/25/2035 17,437,000 4,275,708
Nordea Bank Finland Plc New York, Floating Rate Note, 6/13/16 0.4659 06/13/2016 2,225,000 2,225,634
US Bank NA Cincinnati Ohio, Floating Rate Note, 4/22/16 0.396 04/22/2016 2,000,000 2,002,834
KeyBank NA Cleveland Ohio, Floating Rate Note, 11/25/16 0.772 11/25/2016 4,500,000 4,505,058
Calpine Construction Finance Co LP, Term B-1 Loan, 5/3/20 3.0 05/03/2020 1,176,000 1,157,380
Alliant Holdings I LLC, Initial Term Loan, 12/20/19 5.0 12/20/2019 241,207 241,659
Canadian National Railway Co., Floating Rate Note, 11/14/17 0.445 11/14/2017 1,670,000 1,668,776
Royal Bank of Canada, 0.8%, 10/30/15 0.8 10/30/2015 1,300,000 1,303,385
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 0.447 11/25/2046 12,390,000 1,899,108
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/31 0.787 11/25/2031 44,000,000 365,730
NewStar Commercial Loan Trust 2007-1, Floating Rate Note, 9/30/22 (144A) 0.5228 09/30/2022 2,000,000 574,449
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 3/15/28 (144A) 2.436 03/15/2028 2,300,000 2,292,494
CHL Mortgage Pass-Through Trust 2003-15 REMICS, Floating Rate Note, 6/25/18 0.687 06/25/2018 28,013,062 475,213
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 0.887 03/25/2035 5,042,000 796,662
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 8.5075 05/09/2016 1,500,000 1,529,138
Barclays Dryrock Issuance Trust, Floating Rate Note, 7/16/18 0.5255 07/16/2018 200,000 200,082
ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A) 3.081 09/25/2025 1,558,000 434,003
Dtaot 1.24% 17sep18 15-2a 1.24 09/17/2018 2,600,000 2,600,994
Manufacturers & Traders Trust Co., Floating Rate Note, 7/25/17 0.577 07/25/2017 2,400,000 2,387,733
Volkswagen Group of America Finance LLC, Floating Rate Note, 11/22/16 (144A) 0.5635 11/22/2016 1,230,000 1,230,578
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 1.886 06/15/2029 3,500,000 3,486,242
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/34 0.487 11/25/2034 9,662,000 598,981
Caterpillar Financial Services Corp., Floating Rate Note, 2/26/16 0.522 02/26/2016 1,500,000 1,502,738
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 0.687 06/25/2035 5,850,460 1,694,887
American Credit Acceptance Receivables Trust 2014-4, 1.23%, 7/10/18 (144A) 1.23 07/10/2018 1,150,000 768,936
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.6855 12/15/2032 1,700,000 28,438
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 0.297 03/25/2037 6,984,978 1,475,392
VFC 2015-3 LLC, 2.75%, 12/20/31 (144A) 2.75 12/20/2031 2,000,000 1,770,298
Citigroup, Inc., Floating Rate Note, 11/15/16 0.9539 11/15/2016 1,900,000 1,905,284
Citigroup Mortgage Loan Trust, Inc., 6.5%, 6/25/16 6.5 06/25/2016 10,100,000 3,042
GMAC Commercial Mortgage Securities Inc Series 2006-C1 Trust, Floating Rate Note, 11/10/45 5.233 11/10/2045 8,250,000 5,062,112
Nordea Bank AB, 0.875%, 5/13/16 (144A) 0.875 05/13/2016 2,650,000 2,659,020
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 10/25/24 1.587 10/25/2024 2,480,000 1,181,431
Manulife Financial Corp., 3.4%, 9/17/15 3.4 09/17/2015 4,740,000 4,785,288
Chase Funding Trust Series 2002-4, Floating Rate Note, 10/25/32 0.927 10/25/2032 1,000,000 16,963
CSMC Trust 2014-SURF, Floating Rate Note, 2/15/29 (144A)   02/15/2029 2,400,000 2,396,346
Discover Card Execution Note Trust, Floating Rate Note, 10/15/18 0.3655 10/15/2018 3,915,000 3,916,403
Toyota Auto Receivables 2014-C Owner Trust, 0.51%, 2/15/17 0.51 02/15/2017 1,770,000 1,632,231
Wachovia Corp., Floating Rate Note, 10/28/15 0.6182 10/28/2015 1,983,000 1,984,026
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 0.537 06/25/2034 11,977,997 861,357
Aon Corp., 3.5%, 9/30/15 3.5 09/30/2015 3,648,000 3,701,878
Verizon Communications, Inc., Floating Rate Note, 9/15/16 1.8159 09/15/2016 6,355,000 6,438,333
Csmc Flt% 16apr29 15-Deal-B 2.036 04/16/2029 3,500,000 3,479,168
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 0.387 10/27/2037 2,382,000 2,084,977
AXIS Equipment Finance Receivables II LLC, 1.75%, 6/20/16 1.75 06/20/2016 1,000,000 314,773
WMG Acquisition Corp., Tranche B Refinancing Term Loan, 7/1/20 3.75 07/01/2020 1,080,750 1,067,128
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 0.4355 08/15/2035 5,000,000 768,093
General Motors Financial Co, Inc., Floating Rate Note, 4/10/18 1.6312 04/10/2018 2,500,000 2,528,274
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 0.587 07/25/2018 7,302,000 163,584
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC18, 5.44%, 6/12/47 5.44 06/12/2047 3,550,000 3,528,207
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2.0051 04/07/2017 2,000,000 2,000,822
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5.372 09/10/2045 5,040,000 4,834,190
321 Henderson Receivables I LLC, Floating Rate Note, 11/15/40 (144A) 0.4155 11/15/2040 4,630,000 1,321,152
Vodafone Group Plc, Floating Rate Note, 2/19/16 0.6615 02/19/2016 1,150,000 1,150,293
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 0.987 10/25/2034 9,979,000 470,377
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 0.657 03/25/2035 5,700,000 1,468,415
MALLINCKRODT INTERNATIONAL FINANCE SA, Initial Term B Loan, 3/6/21 3.25 03/06/2021 962,813 960,029
Bxlt Flt% 22jun18 144a 1.0613 06/22/2018 2,500,000 2,499,842
ACIS CLO 2014-4, Ltd., Floating Rate Note, 5/1/26 (144A) 1.2782 05/01/2026 3,000,000 751,247
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 6/15/28 3.5 06/15/2028 5,381,000 342,693
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/35 0.4855 05/15/2035 10,200,000 514,629
14112z Zero% 01feb19 0.0 02/01/2019 2,500,000 2,645,250
Symphony CLO, Ltd., Floating Rate Note, 7/23/23 (144A)   07/23/2023 3,050,000 3,055,801
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 1,147,083 1,153,622
Toyota Motor Credit Corp., 0.75%, 3/3/17 (Step) 0.75 03/03/2017 2,250,000 2,247,934
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.757 09/25/2037 3,173,000 361,434
Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/19/30 (144A) 2.1 12/19/2030 1,800,000 1,792,555
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/25/23 1.637 11/25/2023 2,250,000 1,522,624
Chase Issuance Trust, 0.54%, 10/16/17 0.54 10/16/2017 1,001,000 1,001,364
Structured Asset Investment Loan Trust 2006-1, Floating Rate Note, 1/25/36 0.387 01/25/2036 4,650,000 906,591
VOLT XIX LLC, 3.875%, 4/26/55 (Step) 3.875 04/26/2055 1,500,000 936,990
Georgia Power Co., 0.625%, 11/15/15 0.625 11/15/2015 1,040,000 1,040,938
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 1.7956 08/20/2034 8,500,000 339,763
PQ Corp., 2014 Term Loan, 8/7/17 4.0 08/07/2017 926,250 926,482
Morgan Stanley Capital I Trust 2006-HQ9, Floating Rate Note, 7/12/44 5.793 07/12/2044 3,200,000 3,334,878
AT&T, Inc., 2.95%, 5/15/16 2.95 05/15/2016 2,500,000 2,551,164
Berkshire Hathaway Finance Corp., Floating Rate Note, 8/14/17 0.4 08/14/2017 2,500,000 2,501,488
American Express Credit Account Master Trust, Floating Rate Note, 1/15/20 0.4555 01/15/2020 350,000 350,136
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 0.6655 06/15/2030 66,327,303 3,489,521
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 5.167 06/10/2044 6,607,413 6,633,465
SNAAC Auto Receivables Trust 2014-1, 1.03%, 9/17/18 (144A) 1.03 09/17/2018 839,000 267,174
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 3.5102 01/06/2019 1,750,000 1,704,189
Xerium Technologies, Inc., New Term Loan, 5/17/19 5.75 05/17/2019 78,401 78,940
Morgan Stanley Structured Trust, Floating Rate Note, 6/25/37 0.267 06/25/2037 2,400,000 211,387
Terra-Gen Power Llc 1st Lien Tl-B L + 4.25% 31dec21 5.25 12/31/2021 1,329,429 1,337,738
Wheelabrator 1st Lien Tl-B L + 4% 15oct21 5.0 10/15/2021 2,859,195 2,894,912
Alamo Re, Ltd., Floating Rate Note, 6/7/18 (Cat Bond) (144A) 5.9051 06/07/2018 1,250,000 1,245,938
San Diego Gas & Electric Co., 5.3%, 11/15/15 5.3 11/15/2015 2,500,000 2,557,516
The Goodyear Tire & Rubber Co., Loan (Second Lien), 4/30/19 3.75 04/30/2019 666,667 668,750
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 7/25/36 0.487 07/25/2036 4,500,000 4,445,758
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 0.377 01/25/2036 23,055,603 1,879,893
Westlake Automobile Receivables Trust 2013-1, 1.12%, 1/15/18 (144A) 1.12 01/15/2018 375,000 49,341
Staples Inc 1st Lien Tl-B L + 2.75% 24apr21 3.5 04/24/2021 1,000,000 1,000,069
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 0.787 12/25/2023 13,749,086 99,074
Wells Fargo & Co., Floating Rate Note, 4/23/18 0.9073 04/23/2018 2,500,000 2,511,270
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.407 04/25/2031 6,464,393 956,614
Altria Group, Inc., 4.125%, 9/11/15 4.125 09/11/2015 1,075,000 1,094,611
Cabela's Credit Card Master Note Trust, Floating Rate Note, 3/16/20 0.5355 03/16/2020 1,100,000 1,100,647
Hflf Flt% 10jul29 15-1   07/10/2029 3,200,000 3,203,090
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 0.447 11/25/2035 20,500,508 1,310,422
Toyota Flt% 23sep16 0.37 09/23/2016 650,000 649,659
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 1.137 07/25/2037 2,130,580 893,924
BioScrip, Inc., Delayed Draw Term Loan, 7/31/20 6.5 07/31/2020 328,915 326,722
Truven Health Analytics, Inc., New Tranche B Term Loan, 6/6/19 4.5 06/06/2019 339,559 339,241
HSBC Home Equity Loan Trust USA 2006-4, Floating Rate Note, 3/20/36 0.4168 03/20/2036 1,061,000 624,633
ABFC 2003-WMC1 Trust, Floating Rate Note, 3/25/33 2.962 03/25/2033 3,691,000 10,008
United States Treasury Floating Rate Note, Floating Rate Note, 1/31/17 0.099 01/31/2017 12,735,000 12,743,869
Citibank Credit Card Issuance Trust, Floating Rate Note, 2/7/18 0.4241 02/07/2018 9,931,000 9,935,617
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 0.7366 05/13/2016 2,700,000 2,711,979
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 10/23/15 0.4073 10/23/2015 2,500,000 2,502,489
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/28 0.58 03/25/2028 24,210,000 278,340
GE Business Loan Trust 2006-2, Floating Rate Note, 11/15/34 (144A) 0.3655 11/15/2034 8,767,382 2,901,634
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 0.447 09/25/2035 6,230,000 245,295
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 0.637 07/25/2034 22,310,000 1,726,271
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 0.737 10/25/2017 5,500,000 67,098
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 0.5285 02/22/2021 2,250,000 783,561
The GEO Group, Inc., Term Loan, 4/3/20 3.25 04/03/2020 982,462 984,918
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 0.437 07/25/2035 23,056,000 2,323,571
GMF Floorplan Owner Revolving Trust, Floating Rate Note, 5/15/20 (144A) 0.6855 05/15/2020 1,300,000 1,301,208
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/36 0.6055 09/15/2036 3,320,000 344,109
321 Henderson Receivables I LLC, Floating Rate Note, 6/15/41 (144A) 0.3855 06/15/2041 8,090,000 2,507,117
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 4.568 01/15/2031 1,000,000 105,620
Metropolitan Life Global Funding I, 3.125%, 1/11/16 (144A) 3.125 01/11/2016 690,000 709,392
FCA US LLC, Tranche B Term Loan, 12/29/18 3.25 12/29/2018 2,863,750 2,861,244
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/40 0.737 01/25/2040 5,000,000 362,407
Pinnacle Foods Finance LLC, New Term Loan G, 4/29/20 3.0 04/29/2020 1,158,833 1,155,302
Gracechurch Card Funding Plc, Floating Rate Note, 5/15/19 (144A) 1.0355 05/15/2019 1,300,000 1,307,228
Residential Asset Securitization Trust 2003-A15, Floating Rate Note, 2/25/34 0.637 02/25/2034 10,120,000 510,014
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B, Floating Rate Note, 5/25/29 0.9582 05/25/2029 12,160,000 397,109
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34 1.207 11/25/2034 3,500,000 214,535
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 8.6464 01/05/2017 2,250,000 2,309,111
DigitalGlobe, Inc., Term Loan, 1/31/20 3.75 01/31/2020 870,587 872,492
Mlcc Flt% 25jan29 03-G 0.827 01/25/2029 14,411,000 757,355
17079z Zero% 31mar18 0.0 03/31/2018 750,000 762,525
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/33 0.5855 06/15/2033 10,000,000 487,560
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 0.637 06/25/2036 4,868,753 2,948,020
GLC Trust 2013-1, 3.0%, 7/15/21 (144A) 3.0 07/15/2021 3,200,000 1,956,819
Allied Security Holdings LLC, Closing Date Term Loan (First Lien), 2/12/21 4.25 02/12/2021 512,124 512,605
NBCUniversal Enterprise, Inc., Floating Rate Note, 4/15/16 (144A) 0.8123 04/15/2016 3,744,000 3,761,243
Deltek, Inc., Term Loan (First Lien), 10/10/18 4.5 10/10/2018 293,220 294,457
Bank of Montreal, Floating Rate Note, 9/24/15 0.5323 09/24/2015 2,600,000 2,601,421
IASIS Healthcare LLC, Term B-2 Loan, 5/3/18 4.5 05/03/2018 485,032 486,320
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 0.7412 09/09/2016 2,800,000 2,811,057
MortgageIT Trust 2005-2, Floating Rate Note, 5/25/35 0.707 05/25/2035 8,495,000 1,466,781
Impac CMB Trust Series 2004-5, Floating Rate Note, 8/25/34 1.027 08/25/2034 9,850,000 467,524
Federal Farm Credit Banks, Floating Rate Note, 10/26/15 0.15 10/26/2015 2,560,000 2,560,599
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/24 1.2355 03/15/2024 6,200,000 1,349,613
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/33 2.61 11/01/2033 850,000 14,843
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP20, Floating Rate Note, 10/12/42 5.2559 10/12/2042 8,735,000 4,646,766
The Bank of Nova Scotia, Floating Rate Note, 7/15/16 0.7953 07/15/2016 1,500,000 1,508,264
Valeant Pharmaceuticals International, Inc., Series D2 Term Loan B, 2/13/19 3.5 02/13/2019 213,198 213,012
FNA 2014-1 Trust, 1.296%, 12/10/22 (144A) 1.296 12/10/2022 2,500,000 1,764,307
Discover Card Execution Note Trust, 0.69%, 8/15/18 0.69 08/15/2018 3,125,000 3,126,824
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 1.287 09/25/2034 3,465,620 473,556
Dt Cp Zero% 06jul15 Usd 0.0 07/06/2015 12,945,000 12,944,482
Honda Auto Receivables 2014-1 Owner Trust, 0.41%, 9/21/16 0.41 09/21/2016 2,715,000 1,041,524
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 1.1855 03/15/2032 64,920,000 660,446
United States Treasury Floating Rate Note, Floating Rate Note, 10/31/16 0.068 10/31/2016 7,000,000 7,000,735
American Credit Acceptance Receivables Trust 2014-3, 0.99%, 8/10/18 (144A) 0.99 08/10/2018 1,420,000 606,125
Syncreon Group BV, Term Loan, 9/26/20 5.25 09/26/2020 197,000 167,778
Toyota Motor Credit Corp., Floating Rate Note, 9/18/15 0.4363 09/18/2015 2,300,000 2,300,682
Harley-Davidson Motorcycle Trust 2012-1, 0.68%, 4/17/17 0.68 04/17/2017 2,700,000 123,805
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 2.3355 06/15/2016 3,000,000 3,004,737
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 0.4848 09/25/2036 5,483,897 659,712
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 0.587 10/25/2036 71,456,000 2,426,848
RAMP Series 2006-NC1 Trust, Floating Rate Note, 12/25/35 0.377 12/25/2035 6,100,000 224,603
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 2.7085 07/25/2033 8,661,215 339,913
Offshore Group Investment, Ltd., Second Term Loan, 3/28/19 5.75 03/28/2019 62,848 38,848
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 4.894 08/10/2042 3,300,000 312,881
Fannie Mae, Floating Rate Note, 11/1/23 2.262 11/01/2023 970,000 8,341
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/38 0.587 12/25/2038 400,000 212,682
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.887 01/25/2035 17,745,000 1,857,271
Fremont Home Loan Trust 2005-B, Floating Rate Note, 4/25/35 0.832 04/25/2035 2,750,000 457,216
Government National Mortgage Association, Floating Rate Note, 9/16/31 0.4348 09/16/2031 34,344,532 619,215
Hanesbrands Inc Us 1st Lien Tl-B L + 2.5% 15apr22 3.25 04/15/2022 500,000 503,438
Duk Cp Zero% 02jul15 Usd 0.0 07/02/2015 2,500,000 2,499,967
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.457 11/25/2035 6,309,000 544,129
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 1.087 12/25/2031 30,500,000 848,382
TAL Advantage I LLC, Floating Rate Note, 4/20/21 (144A) 0.3768 04/20/2021 1,250,000 103,680
Capital One Multi-Asset Execution Trust, Floating Rate Note, 2/15/19 0.3655 02/15/2019 1,950,000 1,949,127
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 0.827 03/25/2034 76,711,000 4,136,621
ARI Fleet Lease Trust 2013-A, 0.7%, 12/15/15 (144A) 0.7 12/15/2015 4,000,000 373,572
Apidos Quattro CDO, Floating Rate Note, 1/20/19 (144A) 1.7251 01/20/2019 1,000,000 993,479
RAMP Series 2006-RZ3 Trust, Floating Rate Note, 10/25/35 0.347 10/25/2035 10,534,000 1,766,678
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 0.787 06/25/2034 33,443,000 2,453,970
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 0.892 04/25/2035 724,529 439,083
City Center Trust 2011-CCHP, Floating Rate Note, 7/17/28 (144A) 4.65 07/17/2028 950,000 952,528
Bank of America NA, Floating Rate Note, 2/14/17 0.745 02/14/2017 2,000,000 2,002,529
Allison Transmission, Inc., Term B-3 Loan, 8/23/19 3.5 08/23/2019 769,326 771,851
New Albertsons Inc 1st Lien Tl L + 3.75% 24jun21 4.75 06/24/2021 496,250 497,553
Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A) 1.0633 09/16/2016 1,500,000 1,503,925
BBCMS Trust 2015-SLP, Floating Rate Note, 2/15/28 (144A) 2.186 02/15/2028 3,150,000 3,140,177
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 6/25/34 0.927 06/25/2034 26,125,000 342,190
Bscms Flt% 11sep38 06-Pw12-A1 5.7088 09/11/2038 3,600,000 2,868,781
ASG Resecuritization Trust 2010-3, Floating Rate Note, 12/29/45 (144A) 0.4713 12/29/2045 5,216,443 2,049,073
GSAMP Trust 2006-HE1, Floating Rate Note, 12/26/45 0.397 12/26/2045 7,000,000 960,577
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 0.4855 02/15/2036 5,087,000 817,699
TI Group Automotive Systems LLC, Term Loan Facility, 7/1/21 4.25 07/01/2021 633,502 632,710
Invitation Homes 2014-SFR3 Trust, Floating Rate Note, 12/17/31 (144A) 1.385 12/17/2031 2,000,000 1,982,531
HJ Heinz Co., Term B-2 Loan, 6/5/20 3.25 06/05/2020 1,048,202 1,049,641
Bsabs Flt% 25jun36 06-Sd2-A1 0.567 06/25/2036 18,000,000 2,523,164
American Honda Finance Corp., 1.0%, 8/11/15 (144A) 1.0 08/11/2015 1,000,000 1,004,543
RAMP Series 2005-RZ4 Trust, Floating Rate Note, 11/25/35 0.587 11/25/2035 5,095,050 3,412,322
Bxhtl Flt% 15may28 15-Jwrz-Gl   05/15/2028 3,823,000 3,823,324
Becton Dickinson and Co., Floating Rate Note, 6/15/16 0.7359 06/15/2016 2,700,000 2,702,130
Morgan Stanley, Floating Rate Note, 1/5/18 1.0108 01/05/2018 2,700,000 2,709,017
Chase Issuance Trust, Floating Rate Note, 4/15/19 0.4355 04/15/2019 150,000 149,103
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 0.787 12/25/2032 14,000,000 361,881
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-R11, Floating Rate Note, 0.792 11/25/2034 90,900,000 2,726,048
Volt Flt% 26jun45 15-Npl8 3.5 06/26/2045 2,500,000 2,498,708
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 1.537 06/25/2033 1,826,298 960,218
Callidus Debt Partners Clo Fund VI, Ltd., Floating Rate Note, 10/23/21 (144A) 0.5373 10/23/2021 3,500,000 3,059,463
ARI Fleet Lease Trust 2012-A, Floating Rate Note, 3/15/20 (144A) 0.7355 03/15/2020 2,070,000 196,310
Ardagh Holdings USA, Inc., New Term Loan, 12/17/19 4.0 12/17/2019 675,450 675,957
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 0.747 07/25/2029 41,778,000 1,782,844
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/37 0.737 10/25/2037 1,030,000 114,638
Enterprise Fleet Financing LLC, 0.87%, 9/20/19 0.87 09/20/2019 2,000,000 1,511,385
PACCAR Financial Corp., Floating Rate Note, 6/6/17 0.4689 06/06/2017 1,290,000 1,291,008
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 4.985 09/11/2042 3,751,000 3,778,522
PFS Financing Corp., Floating Rate Note, 10/15/19 (144A) 1.0355 10/15/2019 1,700,000 1,695,391
Citibank Credit Card Issuance Trust, Floating Rate Note, 5/9/18 0.383 05/09/2018 3,500,000 3,499,097
CWGS Group LLC, Term Loan, 2/20/20 5.25 02/20/2020 387,261 389,924
Ellington Loan Acquisition Trust 2007-2, Floating Rate Note, 5/26/37 (144A) 1.087 05/26/2037 5,000,000 183,293
Small Business Administration Participation Certificates, 0.58%, 10/17/16 (144A) 0.58 10/17/2016 900,000 504,399
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 0.937 05/25/2035 4,525,000 4,100,368
Sequoia Mortgage Trust 4, Floating Rate Note, 11/22/24 0.9068 11/22/2024 47,340,000 1,075,242
Castle Garden Funding, Floating Rate Note, 10/27/20 (144A) 0.5428 10/27/2020 7,000,000 588,896
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 3.9102 06/07/2017 3,000,000 2,976,425
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 0.3855 08/15/2026 1,330,000 425,396
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 1.187 03/25/2037 2,300,000 212,944
BA Credit Card Trust, Floating Rate Note, 9/16/19 0.4555 09/16/2019 6,400,000 6,394,168
Starwood Property Trust, Inc., Term Loan (First Lien), 4/17/20 3.5 04/17/2020 1,577,972 1,572,712
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 0.687 03/25/2024 14,460,650 505,360
Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A) 0.5359 06/15/2020 2,000,000 361,331
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 0.8855 03/15/2032 22,000,000 199,032
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 0.697 09/25/2035 4,351,000 1,607,508
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 1.007 05/25/2035 5,000,000 121,554
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 4.0203 05/05/2017 1,250,000 1,233,514
COMM 2014-KYO Mortgage Trust, Floating Rate Note, 6/11/27 (144A) 1.838 06/11/2027 5,740,000 5,737,842
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/32 0.7855 09/15/2032 10,000,000 203,928
RAMP Series 2005-EFC4 Trust, Floating Rate Note, 9/25/35 0.597 09/25/2035 12,260,000 1,875,706
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 0.587 03/25/2035 5,790,000 632,635
CCG Receivables Truste 2013-1, 1.05%, 4/14/20 (144A) 1.05 04/14/2020 900,000 223,965
Federal National Mortgage Association REMICS, Floating Rate Note, 7/18/27 0.685 07/18/2027 10,000,000 35,766
Duke Energy Progress, Inc., Floating Rate Note, 11/20/17 0.476 11/20/2017 5,100,000 5,088,027
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 2.4598 11/25/2034 5,495,000 471,251
Arbor Realty Collateralized Loan Obligation 2015-FL1, Ltd., Floating Rate Note, 3/15/25 (144A) 1.9315 03/15/2025 3,800,000 3,803,269
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/21 1.087 09/25/2021 8,269,375 70,479
Opmac Flt% 25nov35 05-4-1a2 0.577 11/25/2035 28,962,000 4,909,812
Exeter Automobile Receivables Trust 2015-1, 1.6%, 6/17/19 (144A) 1.6 06/17/2019 1,700,000 1,450,274
Fifth Third Auto Trust 2014-3, Floating Rate Note, 5/15/17 0.4155 05/15/2017 1,700,000 1,447,520
CHS, Incremental 2021 Term H Loan, 1/27/21 4.0 01/27/2021 46,301 46,420
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 9/10/47 5.328 09/10/2047 6,175,000 4,549,903
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 0.647 01/25/2035 11,300,000 727,304
Wilshire Mortgage Loan Trust, Floating Rate Note, 5/25/28 0.467 05/25/2028 10,000,000 28,484
Cisco Systems, Inc., Floating Rate Note, 9/3/15 0.3325 09/03/2015 3,600,000 3,600,553
Wells Fargo & Co., Floating Rate Note, 10/28/15 0.479 10/28/2015 2,503,000 2,505,887
New York Life Global Funding, Floating Rate Note, 12/15/17 (144A) 0.5659 12/15/2017 6,650,000 6,672,316
GSAMP Trust 2005-HE6, Floating Rate Note, 11/25/35 0.547 11/25/2035 220,000 108,624
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 1.9355 06/15/2034 5,454,000 5,450,070
Sensata Technologies 1st Lien L + 2.25% 14oct21 2.5318 10/14/2021 1,934,313 1,943,121
AmeriCredit Automobile Receivables Trust 2014-2, Floating Rate Note, 10/10/17 0.4641 10/10/2017 1,320,000 715,402
Prestige Auto Receivables Trust 2013-1, 1.33%, 5/15/19 (144A) 1.33 05/15/2019 350,000 351,113
American Express Credit Corp., Floating Rate Note, 7/29/16 0.789 07/29/2016 5,642,000 5,658,129
Altisource Solutions Sarl, Term B Loan, 12/9/20 4.5 12/09/2020 985,084 879,188
Fannie Mae, Floating Rate Note, 1/1/48 2.215 01/01/2048 175,000 23,371
Paragon Offshore Finance Co Tl-B L + 2.75% 11jul21 3.75 07/11/2021 868,438 670,145
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 1.079 10/28/2016 1,725,000 1,735,951
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/39 0.6355 03/15/2039 1,000,000 214,640
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 2,375,100 2,396,238
Banc of America Merrill Lynch Commercial Mortgage, Inc., 4.933%, 7/10/45 4.933 07/10/2045 6,180,000 1,200,511
Discover Card Execution Note Trust, Floating Rate Note, 3/15/18 0.7655 03/15/2018 6,550,000 6,556,709
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 12/8/20 0.7405 12/08/2020 1,330,000 860,824
Federal Home Loan Banks, Floating Rate Note, 10/1/15 0.21 10/01/2015 10,000,000 10,006,178
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 0.8053 07/15/2016 2,500,000 2,515,634
Caisse Centrale Desjardins, Floating Rate Note, 1/29/18 (144A) 0.944 01/29/2018 2,590,000 2,605,097
Master Credit Card Trust II, Floating Rate Note, 1/22/18 (144A) 0.6168 01/22/2018 1,825,000 1,826,397
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 3.5 04/30/2020 1,450,218 1,450,029
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 0.902 02/26/2016 1,800,000 1,804,081
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/45 0.407 03/25/2045 12,700,000 1,781,694
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 2.9734 07/25/2034 10,718,797 338,666
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 0.687 06/25/2033 44,273,266 1,811,371
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 0.377 12/25/2035 1,719,377 451,612
Citigroup Mortgage Loan Trust Series 2004-OPT1 Asset Backed Pass-Through Certifi, Floating Rate Note 1.012 10/25/2034 2,140,000 1,499,366
Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44 1.8653 12/25/2044 4,235,000 591,782
BAMLL Commercial Mortgage Securities Trust 2014-INLD REMICS, Floating Rate Note, 12/17/29 (144A) 2.7855 12/17/2029 3,490,000 3,505,354
On Assignment Inc 1st Lien Tl-B L + 3% 05jun22 3.75 06/05/2022 775,204 777,303
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 0.387 01/25/2036 6,155,063 975,971
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 8/15/38 5.1 08/15/2038 8,955,043 223,685
Royal Bank of Canada, Floating Rate Note, 6/16/17 0.5261 06/16/2017 2,200,000 2,196,832
Capital One Financial Corp., 1.0%, 11/6/15 1.0 11/06/2015 2,600,000 2,600,049
Kubota Credit Owner Trust 2014-1, 0.58%, 2/15/17 0.58 02/15/2017 800,000 485,902
AmeriCredit Automobile Receivables Trust 2012-1, 2.67%, 1/8/18 2.67 01/08/2018 1,740,000 1,503,877
TORONTO-DOMINION BANK, Floating Rate Note, 11/6/15 0.4798 11/06/2015 4,025,000 4,030,721
Charter Communications Operating LLC, Term F Loan, 12/31/20 3.0 12/31/2020 1,298,500 1,284,298
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 0.6532 01/30/2017 2,710,000 2,706,826
Westgate Resorts 2012-2 LLC, 9.0%, 1/21/25 (144A) 9.0 01/21/2025 1,500,000 299,969
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 0.671 11/21/2016 2,465,000 2,464,705
Government National Mortgage Association, Floating Rate Note, 2/20/35 0.4368 02/20/2035 8,941,000 1,076,204
Statoil ASA, Floating Rate Note, 11/9/17 0.4789 11/09/2017 2,140,000 2,132,361
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 0.4855 02/15/2039 1,251,000 568,115
NCF Dealer Floorplan Master Trust, Floating Rate Note, 10/20/20 (144A) 1.684 10/20/2020 3,000,000 3,001,546
Weight Watchers International, Inc., Initial Tranche B-2 Term Loan, 4/2/20 4.0 04/02/2020 871,867 424,381
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-1, Floating Rate Note, 1/25/35 (144 0.517 01/25/2035 3,700,000 104,544
Daimler Finance North America LLC, Floating Rate Note, 8/1/17 (144A) 0.6182 08/01/2017 2,061,000 2,060,454
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 0.7354 12/10/2027 1,000,000 717,831
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/31 0.787 07/25/2031 48,885,770 402,227
Zero% 30nov19 0.0 11/30/2019 2,800,000 2,813,720
Oracle Corp., 5.25%, 1/15/16 5.25 01/15/2016 2,900,000 3,045,477
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 3.0 03/27/2024 2,250,000 1,083,227
RAIT 2014-FL2 Trust, Floating Rate Note, 5/15/31 (144A) 2.333 05/15/2031 5,200,000 5,155,200
Merrill Lynch Mortgage Trust 2005-CKI1, Floating Rate Note, 11/12/37 5.4601 11/12/2037 7,925,000 756,141
Crown Castle 1st Lien Term-B2 L + 2.5% 31jan21 3.0 01/31/2021 1,174,246 1,169,403
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.5355 11/15/2036 5,342,000 861,853
MortgageIT Trust 2004-2, Floating Rate Note, 12/25/34 0.927 12/25/2034 41,395,000 5,666,881
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 2.5928 05/25/2033 42,906,215 1,146,639
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 0.387 02/25/2037 5,150,000 440,992
Lcm Flt% 15apr22 10ar-Ar 1.5353 04/15/2022 500,000 500,806
CRANBERRY RE, Ltd., Floating Rate Note, 7/6/18 (Cat Bond) (144A)   07/06/2018 1,000,000 1,000,200
Exxon Mobil Corp., Floating Rate Note, 3/15/17 0.3259 03/15/2017 1,980,000 1,979,072
Dynegy, Inc., Tranche B-2 Term Loan, 4/23/20 4.0 04/23/2020 452,308 453,674
Principal Life Global Funding II, 1.0%, 12/11/15 (144A) 1.0 12/11/2015 3,770,000 3,777,220
Structured Asset Securities Corp Mortgage Loan Trust 2005-S7, Floating Rate Note, 12/25/35 (144A) 0.787 12/25/2035 11,868,000 1,200,775
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 0.777 11/25/2035 7,825,000 243,584
GE Equipment Small Ticket LLC Series 2014-1, 0.59%, 8/24/16 0.59 08/24/2016 1,900,000 1,157,662
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 0.417 11/25/2037 31,986,000 1,134,201
United Auto Credit Securitization Trust 2015-1, 1.68%, 9/15/17 (144A) 1.68 09/15/2017 2,500,000 2,509,419
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 0.807 09/25/2034 42,840,193 1,676,498
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MCW, Floating Rate Note 1.1245 10/25/2034 1,150,000 314,130
MASTR Adjustable Rate Mortgages Trust 2003-3, Floating Rate Note, 9/25/33 2.109 09/25/2033 2,650,000 711,810
Citigroup Mortgage Loan Trust 2010-4 REMICS, 5.0%, 10/25/35 (144A) 5.0 10/25/2035 9,095,000 2,111,099
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/41 0.5355 12/15/2041 1,000,000 597,127
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 12/25/35 0.367 12/25/2035 9,778,000 1,759,913
Credit Suisse Mortgage Capital Certificates REMICS, Floating Rate Note, 7/27/36 (144A) 2.8209 07/27/2036 7,712,000 1,061,870
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C REMICS, Floating Rate Note, 6/25/28 0.847 06/25/2028 42,262,000 1,833,876
Crusade Global Trust No 1 of 2007, Floating Rate Note, 4/19/38 0.3351 04/19/2038 15,883,244 2,357,139
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.4655 11/15/2018 8,570,000 1,585,869
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 0.5855 03/15/2041 13,046,000 2,457,252
Exeter Automobile Receivables Trust 2012-2, 3.06%, 7/16/18 (144A) 3.06 07/16/2018 1,000,000 1,004,668
Windstream Services LLC, Tranche B-5 Term Loan, 8/8/19 3.5 08/08/2019 705,198 702,481
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 0.8068 09/20/2033 52,500,000 2,169,052
Structured Asset Securities Corp Mortgage Pass Through Ctfs Series 2003-35, Floating Rate Note, 12/2 0.687 12/25/2033 3,944,000 186,996
KeyCorp Student Loan Trust 2004-A, Floating Rate Note, 10/28/41 0.577 10/28/2041 500,000 79,368
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25 0.557 10/25/2035 800,000 356,339
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 5.7551 12/06/2016 1,500,000 1,530,710
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/17 0.637 02/25/2017 14,970,453 1,559
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 9/8/17 (144A) 0.5889 09/08/2017 2,525,000 2,518,067
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 0.7251 07/20/2019 1,750,000 1,732,400
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 0.5001 01/20/2021 3,500,000 840,212
Invitation Homes 2014-SFR2 Trust, Floating Rate Note, 9/18/31 (144A) 1.786 09/18/2031 2,100,000 2,088,783
Bear Stearns ARM Trust 2005-5, Floating Rate Note, 8/25/35 2.16 08/25/2035 5,635,000 525,981
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A) 2.1 05/19/2031 2,300,000 2,280,730
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.417 06/25/2037 632,250 70,747
NBCUniversal Enterprise, Inc., Floating Rate Note, 4/15/18 (144A) 0.9603 04/15/2018 1,300,000 1,308,573
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 1,111,667 1,120,560
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.737 09/25/2037 1,915,000 206,442
NCUA Guaranteed Notes Trust, Floating Rate Note, 3/11/20 0.5854 03/11/2020 2,035,000 944,302
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.5203 04/30/2018 1,000,000 969,775
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 1.087 05/26/2037 2,825,000 2,041,779
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5.46 09/10/2045 3,590,000 3,664,410
Federal Home Loan Banks, Floating Rate Note, 10/7/15 0.22 10/07/2015 6,000,000 6,004,041
Chase Issuance Trust, Floating Rate Note, 4/16/18 0.4053 04/16/2018 3,000,000 3,002,160
Mercedes Benz Auto Lease Trust 2014-A, Floating Rate Note, 6/15/16 0.3655 06/15/2016 1,900,000 643,637
Riverfront Re, Ltd., Floating Rate Note, 1/6/17 (Cat Bond) (144A) 4.0051 01/06/2017 1,000,000 986,122
US Bank NA Cincinnati Ohio, Floating Rate Note, 1/30/17 0.5082 01/30/2017 2,025,000 2,026,391
Royal Bank of Canada, Floating Rate Note, 1/23/17 0.6073 01/23/2017 1,875,000 1,878,298
Zebra Technologies Corporation 1st Lien Tl-B L + 4% 30sep21 4.75 09/30/2021 963,636 976,150
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 4.0 11/08/2020 317,738 317,208
HSBC Bank Middle East, Ltd., 3.0%, 10/21/15 3.0 10/21/2015 1,000,000 1,007,612
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 0.952 05/25/2035 1,575,000 167,157
MMCA Auto Owner Trust 2012-A, 3.27%, 7/16/18 (144A) 3.27 07/16/2018 1,150,000 1,160,324
Government National Mortgage Association, Floating Rate Note, 8/20/35 0.5868 08/20/2035 3,497,364 111,808
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/26/46 (144A) 3.5486 11/26/2046 3,500,000 3,577,834
Carrington Mortgage Loan Trust Series 2005-NC4, Floating Rate Note, 9/25/35 0.587 09/25/2035 375,000 30,865
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 1.106 06/15/2029 3,750,000 3,741,767
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A REMICS, Floating Rate Note, 4/25/29 0.647 04/25/2029 36,167,206 1,744,252
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/31 1.1355 10/15/2031 1,750,000 87,726
Bayview Financial Mortgage Pass-Through Trust 2004-A, Floating Rate Note, 2/28/44 0.861 02/28/2044 48,047,000 1,053,336
Trafigura Securitisation Finance Plc. 2014-1, Floating Rate Note, 4/16/18 (144A) 1.1355 04/16/2018 1,400,000 1,401,229
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 0.357 08/25/2036 1,250,000 266,049
General Electric Capital Corp., Floating Rate Note, 1/8/16 0.8738 01/08/2016 4,124,000 4,144,701
Fosse Master Issuer Plc, Floating Rate Note, 10/19/54 (144A) 1.6751 10/19/2054 1,000,000 588,546
Morgan Stanley Capital I Trust 2006-TOP21, Floating Rate Note, 10/12/52 5.162 10/12/2052 1,960,000 1,943,369
Pepau Flt% 12jun16 14   06/12/2016 3,500,000 3,500,105
USI, Inc. New York, Initial Term Loan 2013, 12/30/19 4.25 12/30/2019 1,082,396 1,084,425
Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16 1.1233 06/17/2016 1,130,000 1,133,363
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 0.6545 05/27/2016 2,530,000 2,536,779
Tradewynd Re, Ltd., Floating Rate Note, 1/8/18 (Cat Bond) (144A) 5.0375 01/08/2018 750,000 740,879
BSN medical International Holding GmbH & Co KG, Facility B1b, 8/28/19 4.0 08/28/2019 593,611 594,353
Voya CLO, Ltd., Floating Rate Note, 10/15/22 (144A) 1.5953 10/15/2022 3,000,000 3,010,480
RFSC Series 2003-RP2 Trust, Floating Rate Note, 7/25/41 (144A) 1.687 07/25/2041 2,000,000 22,002
Nordea Bank AB, Floating Rate Note, 4/4/17 (144A) 0.6308 04/04/2017 2,175,000 2,179,751
Audio Visual Services Corp., Initial Term Loan (First Lien), 1/24/21 4.5 01/24/2021 227,125 227,125
American Credit Acceptance Receivables Trust 2013-1, 1.45%, 4/16/18 (144A) 1.45 04/16/2018 1,859,000 222,772
Chemours Company Llc 1st Lien Tl-B L + 3% 12may22 3.75 05/12/2022 500,000 498,959
Wlake Flt% 16jul18 15-2a   07/16/2018 2,600,000 2,600,422
NRG Energy, Inc., 8.25%, 9/1/20 8.25 09/01/2020 1,250,000 1,343,750
COMM 2014-FL5 Mortgage Trust, Floating Rate Note, 10/17/31 (144A) 2.3355 10/17/2031 4,970,000 4,968,933
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 0.5355 02/15/2036 5,000,000 341,438
Springleaf Mortgage Loan Trust 2012-3, Floating Rate Note, 12/26/59 (144A) 1.57 12/26/2059 1,000,000 360,746
Morgan Stanley ABS Capital I Inc Trust 2005-HE6, Floating Rate Note, 11/25/35 0.507 11/25/2035 960,000 283,984
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.427 06/25/2037 7,474,000 836,058
Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37 0.337 03/25/2037 1,000,000 463,521
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 0.517 01/25/2036 810,000 465,077
Fieldstone Mortgage Investment Trust Series 2004-5, Floating Rate Note, 2/25/35 1.912 02/25/2035 3,600,000 478,206
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 3.25 12/19/2020 1,570,125 1,579,448
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 6.4924 08/15/2030 1,250,000 72,815
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 3.1253 07/15/2023 1,850,000 1,710,974
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 0.687 05/25/2040 8,500,000 1,027,957
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 0.467 01/27/2017 1,900,000 1,897,969
Nn Inc 1st Lien Tl-B L + 5% 18jul21 6.0 07/18/2021 1,200,893 1,206,883
Federal National Mortgage Association, Floating Rate Note, 12/25/33 0.487 12/25/2033 25,758,805 6,749,563
Lockwood Grove CLO, Ltd., Floating Rate Note, 1/25/24 (144A)   01/25/2024 2,500,000 2,516,521
NYCTL 2014-A Trust, 1.03%, 11/10/27 (144A) 1.03 11/10/2027 6,400,000 2,295,803
Blue Danube II, Ltd., Floating Rate Note, 5/23/18 (Cat Bond) (144A) 4.3682 05/23/2018 2,575,000 2,571,570
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 7/25/34 0.557 07/25/2034 20,600,000 2,190,047
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 0.6359 12/15/2016 2,850,000 2,844,305
BCC Funding VIII LLC, 1.794%, 6/22/20 (144A) 1.794 06/22/2020 2,000,000 912,646
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 0.486 02/28/2041 5,200,000 15,415
American Express Credit Account Master Trust, Floating Rate Note, 5/15/20 0.4755 05/15/2020 3,300,000 3,303,222
Resi Flt% 12dec45 A1 0.9879 12/12/2045 3,000,000 2,376,329
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/2/21 0.7381 03/02/2021 2,700,000 1,119,179
Csco Flt% 15jun18 0.5933 06/15/2018 2,550,000 2,554,460
Velocity Commercial Capital Loan Trust 2014-1, Floating Rate Note, 9/25/44 (144A) 2.187 09/25/2044 3,200,000 2,432,660
Queen Street X RE, Ltd., Floating Rate Note, 6/8/18 (Cat Bond) (144A) 5.75 06/08/2018 1,000,000 978,738
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 0.5151 04/19/2021 1,200,000 641,361
Prudential Financial, Inc., 3.0%, 5/12/16 3.0 05/12/2016 2,500,000 2,552,423
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 0.6568 03/30/2016 7,849,000 7,847,802
Home Equity Asset Trust 2005-7, Floating Rate Note, 1/25/36 0.567 01/25/2036 7,770,000 3,589,739
Government National Mortgage Association, Floating Rate Note, 6/16/31 0.6848 06/16/2031 14,000,000 222,309
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 0.837 06/25/2035 4,005,000 181,265
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 2.1251 11/19/2026 2,250,000 742,487
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 0.437 02/25/2037 26,822,396 2,125,831
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-WF1, 4.786%, 3/25/35 4.786 03/25/2035 735,000 32,732
Sumfg 0.28% 02jul15 Usd 0.28 07/02/2015 3,000,000 3,002,840
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38 1.407 10/25/2038 6,344,000 600,868
Mpg Holdco I Inc Us 1st Lien Tl-B L + 3.5% 13oct21 3.75 10/13/2021 1,275,564 1,276,091
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35 5.0 10/25/2035 17,468,000 1,162,214
Federal National Mortgage Association, Floating Rate Note, 3/25/18 0.487 03/25/2018 30,543,000 665,301
Noranda Aluminum Acquisition Corp., Term B Loan, 2/28/19 5.75 02/28/2019 116,100 97,524
Enterprise Products Operating LLC, 3.2%, 2/1/16 3.2 02/01/2016 3,355,000 3,440,617
Steward Health Care System LLC, Term Loan, 4/10/20 6.75 04/10/2020 982,500 975,745
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 7/22/19 0.5668 07/22/2019 2,670,000 2,656,024
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 1.786 02/13/2032 6,150,000 6,158,326
MCC Iowa LLC, Tranche G Term Loan, 1/20/20 4.0 01/20/2020 729,375 730,591
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 3.9669 08/25/2053 5,300,000 3,225,025
Bayngr Flt% 07oct16 144a 0.5208 10/07/2016 2,500,000 2,505,569
RegionalCare Hospital Partners, Inc., Term Loan (First Lien), 4/21/19 5.25 04/21/2019 490,059 490,366
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 0.457 09/25/2035 38,687,000 2,561,425
Bank of The West Auto Trust 2014-1, 0.69%, 7/17/17 (144A) 0.69 07/17/2017 1,850,000 1,725,528
VOLT XXXIII LLC, 3.5%, 3/25/55 (Step) (144A) 3.5 03/25/2055 2,500,000 2,412,424
The Goldman Sachs Group, Inc., Floating Rate Note, 5/22/17 0.9535 05/22/2017 2,465,000 2,467,567
Volkswagen Auto Lease Trust 2014-A, Floating Rate Note, 10/20/16 0.3968 10/20/2016 1,500,000 553,243
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 0.3855 07/15/2036 5,000,000 764,938
Communications Sales & Leasing Inc 1st Lien Tl-B L + 4% 16oct22 5.0 10/16/2022 400,000 392,583
Vers 2015-A Zero% 31dec17 0.0 12/31/2017 2,500,000 2,619,500
Scientific Games International Inc 1st Lien Tl-B2 L + 5% 17sep21 6.0 09/17/2021 1,990,000 1,991,017
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 11/10/16 (Cat Bond) (144A) 11.8764 11/10/2016 500,000 511,513
Merna Reinsurance, Ltd., Floating Rate Note, 4/9/18 (Cat Bond) (144A) 2.0051 04/09/2018 1,000,000 1,001,724
Volkswagen International Finance NV, Floating Rate Note, 11/18/16 (144A) 0.716 11/18/2016 1,750,000 1,754,307
Evergreen Skills Lux Sarl, Initial Term Loan (First Lien), 4/23/21 5.75 04/23/2021 397,000 388,954
77 Energy 1st Lien Tl-B L + 3% 17jun21 3.75 06/17/2021 1,435,500 1,331,426
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 8/25/24 1.537 08/25/2024 5,000,000 1,863,563
Georgia Power Co., Floating Rate Note, 3/15/16 0.6059 03/15/2016 1,090,000 1,089,185
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 4.25 04/25/2034 16,913,000 294,143
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 0.8855 12/15/2039 2,334,000 848,552
General Mills, Inc., Floating Rate Note, 1/28/16 0.479 01/28/2016 1,895,000 1,894,190
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 8.1442 01/07/2016 1,000,000 1,020,660
Crusade Global Trust No. 1 of 2006, Floating Rate Note, 7/20/38 (144A) 0.3351 07/20/2038 1,200,000 125,798
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/16/27 (144A) 1.4855 02/16/2027 3,350,000 3,352,594
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 1.027 11/25/2034 21,976,800 1,029,311
Structured Asset Sec Corp Mort Pass Thr Certs Series 1998-8, Floating Rate Note, 8/25/28 1.127 08/25/2028 37,025,000 1,281,845
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 1/15/24 4.0 01/15/2024 1,801,000 2,232
TransDigm, Inc., Tranche C Term Loan, 2/28/20 3.75 02/28/2020 283,930 282,293
McKesson Corp., 3.25%, 3/1/16 3.25 03/01/2016 2,993,000 3,065,239
American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A) 0.657 05/26/2016 3,050,000 3,059,174
Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20 3.5 09/23/2020 922,697 923,723
Citigroup, Inc., Floating Rate Note, 4/1/16 1.0642 04/01/2016 1,325,000 1,331,208
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/35 0.4855 04/15/2035 1,775,000 342,160
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 0.907 07/25/2035 2,600,000 1,972,629
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/23 0.6355 06/15/2023 6,500,000 84,904
Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 (144A) 1.2353 04/15/2032 4,920,000 4,897,333
National Mentor Holdings, Inc., Tranche B Term Loan, 1/31/21 4.25 01/31/2021 500,000 500,000
CNH Equipment Trust 2012-A, 2.09%, 8/15/18 2.09 08/15/2018 2,310,000 2,328,886
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 0.937 02/25/2035 21,336,125 6,927
Eco Services Operations Llc 1st Lien Tl-B L + 3.75% 10oct21 4.75 10/10/2021 968,763 966,341
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 0.497 11/25/2035 25,178,000 4,348,237
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 1.187 02/25/2024 1,555,000 1,376,495
McKesson Corp., Floating Rate Note, 9/10/15 0.6822 09/10/2015 6,580,000 6,582,092
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 3.25 03/31/2021 594,000 589,628
SMART ABS Series 2014-1US Trust, Floating Rate Note, 7/14/16 0.4855 07/14/2016 2,500,000 638,785
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 2.449 08/25/2033 1,500,000 76,292
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.5855 12/15/2032 11,201,000 739,779
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 10/10/45 5.115 10/10/2045 8,970,000 3,970,697
Rovi Solutions Corp 1st Lien Tl-B L + 3% 02jul21 3.75 07/02/2021 1,015,769 1,009,897
Capital Auto Receivables Asset Trust 2013-1, 1.74%, 10/22/18 1.74 10/22/2018 3,200,000 3,210,399
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (144A) 4.5101 06/28/2016 1,000,000 998,525
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 0.786 10/25/2028 42,221,000 1,281,496
JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A) 1.436 04/15/2027 5,600,000 5,596,007
JOHN DEERE CAPITAL Corp., Floating Rate Note, 2/25/16 0.382 02/25/2016 2,883,000 2,883,811
Sequoia Mortgage Trust 2003-2, Floating Rate Note, 6/20/33 1.0827 06/20/2033 13,961,000 455,177
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.437 03/25/2037 39,983,000 745,751
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 0.827 01/25/2029 25,646,400 1,278,539
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 8.6075 04/08/2016 1,750,000 1,764,263
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 0.537 05/25/2036 23,900,354 633,170
Delta Air Lines, Inc., Term Loan, 4/20/17 3.25 04/20/2017 293,893 293,820
The Charles Schwab Corp., 0.85%, 12/4/15 0.85 12/04/2015 8,285,000 8,302,817
Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A) 1.184 09/25/2037 6,105,345 532,602
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 1.0875 05/19/2033 36,301,000 1,670,843
Fieldwood Energy LLC, Closing Date Loan, 9/25/18 3.875 09/25/2018 2,655,112 2,533,640
Jackson National Life Global Funding, Floating Rate Note, 9/30/15 (144A) 0.6318 09/30/2015 3,300,000 3,307,200
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42 5.1285 08/15/2042 2,670,000 2,680,200
Embarcadero Reinsurance, Ltd., Floating Rate Note, 2/7/17 (Cat Bond) (144A) 5.0101 02/07/2017 1,025,000 1,033,212
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/19 0.4155 02/15/2019 4,675,000 237,905
Shell International Finance BV, Floating Rate Note, 11/15/16 0.4839 11/15/2016 1,500,000 1,503,694
Rial 3% 25dec32 15-Lt7 3.0 12/25/2032 3,200,000 3,199,628
PNC Bank NA, Floating Rate Note, 6/1/18 0.7028 06/01/2018 2,500,000 2,496,419
NEP, Amendment No. 4 Incremental Term Loan (First Lien), 1/22/20 4.25 01/22/2020 611,031 604,310
Honda Auto Receivables 2013-1 Owner Trust, 0.48%, 11/21/16 0.48 11/21/2016 390,000 126,807
Federal National Mortgage Association, Floating Rate Note, 8/26/16 0.2065 08/26/2016 6,085,000 6,089,513
TMS International Corp., Term B Loan, 10/2/20 4.5 10/02/2020 146,199 145,651
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 1.387 08/25/2034 7,523,000 926,959
Toyota Motor Credit Corp., 0.875%, 7/17/15 0.875 07/17/2015 1,200,000 1,205,013
Federal Farm Credit Banks, Floating Rate Note, 2/18/16 0.155 02/18/2016 2,610,000 2,610,436
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 420,500 425,588
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP5, Floating Rate Note, 12/15/44 5.2364 12/15/2044 8,709,924 4,595,884
General Mills, Inc., Floating Rate Note, 1/29/16 0.579 01/29/2016 1,765,000 1,766,711
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/35 0.5255 05/15/2035 3,925,000 814,846
RALI Series 2004-QR1 Trust, 5.25%, 10/25/34 5.25 10/25/2034 66,901,390 59,136
Conseco Finance Home Equity Loan Trust 2002-C, Floating Rate Note, 4/15/32 1.686 04/15/2032 800,000 205,126
Sequoia Mortgage Trust 2003-8, Floating Rate Note, 1/20/34 0.8268 01/20/2034 5,750,000 248,751
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 0.487 05/25/2036 25,142,877 1,439,809
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 0.447 12/25/2035 2,967,970 689,231
Lehman ABS Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 6/15/33 0.6355 06/15/2033 3,950,000 148,726
Federal National Mortgage Association, Floating Rate Note, 4/25/35 2.6875 04/25/2035 750,000 128,564
Kane Zero% 29apr16 0.0 04/29/2016 2,600,000 2,732,080
Progreso Receivables Funding III LLC, 3.625%, 1/30/25 (144A) 3.625 01/30/2025 3,050,000 3,057,064
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/28 0.6355 12/15/2028 56,250,000 438,184
GSAA Home Equity Trust 2004-8, Floating Rate Note, 9/25/34 0.927 09/25/2034 7,860,000 247,533
COMM 2013-FL3 Mortgage Trust, Floating Rate Note, 10/13/28 (144A) 1.703 10/13/2028 1,597,000 1,266,000
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/29 0.5355 05/15/2029 15,000,000 114,174
PFS Financing Corp., Floating Rate Note, 4/15/20 (144A) 0.8056 04/15/2020 950,000 950,162
Cequel Communications LLC, Term Loan, 2/14/19 3.5 02/14/2019 1,112,078 1,108,946
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 11/18/16 0.786 11/18/2016 1,800,000 1,804,291
Global Container Assets 2013-1, Ltd., 2.2%, 11/6/28 (144A) 2.2 11/06/2028 1,750,000 848,083
British Telecommunications Plc, 1.625%, 6/28/16 1.625 06/28/2016 2,881,000 2,896,159
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 9.2675 06/06/2017 850,000 880,438
Total Capital Canada, Ltd., Floating Rate Note, 1/15/16 0.6553 01/15/2016 3,355,000 3,365,802
Vwalt 1.07% 20nov17 13-A-A4 1.07 11/20/2017 1,320,000 1,322,380
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 0.7855 08/15/2019 1,550,000 1,551,795
Bafc Flt% 20feb35 05-A 0.4968 02/20/2035 44,323,000 2,164,552
EQTY 2014-INNS Mortgage Trust, Floating Rate Note, 5/8/31 (144A) 1.381 05/08/2031 3,530,000 3,480,820
Nissan Motor Acceptance Corp., 1.0%, 3/15/16 (144A) 1.0 03/15/2016 1,300,000 1,301,235
Confie seguros Holding II Co., Term B Loan (First Lien), 11/9/18 5.75 11/09/2018 491,123 492,351
321 Henderson Receivables II LLC, Floating Rate Note, 9/15/41 (144A) 0.3855 09/15/2041 11,542,000 3,471,153
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 1.0438 01/25/2030 16,401,000 911,246
The Bank of Nova Scotia, Floating Rate Note, 12/13/16 0.7059 12/13/2016 1,800,000 1,803,518
The Toronto-Dominion Bank, Floating Rate Note, 7/8/16 0.4441 07/08/2016 1,320,000 1,321,410
Gci Holdings Inc 1st Lien Tl-B L + 3.75% 22dec21 4.75 12/22/2021 660,000 664,125
TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16 0.9618 06/30/2016 3,544,000 3,555,429
Citigroup, Inc., Floating Rate Note, 7/25/16 1.237 07/25/2016 3,700,000 3,718,742
John Deere Capital Corp., Floating Rate Note, 12/10/15 0.4022 12/10/2015 1,800,000 1,800,743
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 0.587 03/25/2034 20,624,640 1,230,200
Sequoia Mortgage Trust 10, Floating Rate Note, 10/20/27 0.9468 10/20/2027 9,100,000 156,249
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 0.497 05/25/2036 13,100,000 1,203,148
Oscar US Funding Trust 2014-1, 1.0%, 8/15/17 (144A) 1.0 08/15/2017 2,500,000 2,295,861
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 (144A) 2.186 12/15/2028 2,910,000 2,913,581
GreenPoint Mortgage Funding Trust 2005-HE1, Floating Rate Note, 9/25/34 0.862 09/25/2034 1,357,437 31,496
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 5.46 11/15/2035 1,240,000 938,228
Bank of Montreal, Floating Rate Note, 7/14/17 0.527 07/14/2017 2,300,000 2,300,269
Envision Healthcare Corp., Initial Term Loan, 5/25/18 4.0 05/25/2018 1,242,622 1,244,693
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 0.5854 04/10/2028 1,100,000 999,642
Credit Acceptance Auto Loan Trust 2012-2, 1.52%, 3/16/20 (144A) 1.52 03/16/2020 3,241,000 260,891
TECO Finance, Inc., Floating Rate Note, 4/10/18 0.8712 04/10/2018 1,665,000 1,672,856
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 0.487 03/25/2036 700,000 107,064
Bear Stearns Asset Backed Securities I Trust 2005-HE9, Floating Rate Note, 10/25/35 0.952 10/25/2035 5,000,000 929,923
GE Business Loan Trust 2004-2, Floating Rate Note, 12/15/32 (144A) 0.4055 12/15/2032 9,937,438 1,180,238
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP4, Floating Rate Note, 10/15/42 5.04 10/15/2042 3,950,000 3,974,620
Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19 4.0 04/23/2019 727,141 688,966
Altice Financing SA, 7.875%, 12/15/19 (144A) 7.875 12/15/2019 1,250,000 1,320,000
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 0.835 01/18/2032 16,977,308 226,769
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45 2.2596 06/25/2045 1,500,000 215,982
Morgan Stanley Capital I Trust 2007-TOP25, Floating Rate Note, 11/12/49 5.514 11/12/2049 1,650,000 1,676,436
Government National Mortgage Association, Floating Rate Note, 10/16/39 0.8648 10/16/2039 2,500,000 329,685
JPMorgan Chase & Co., Floating Rate Note, 3/1/18 0.7928 03/01/2018 3,800,000 3,791,202
Longpoint Re, Ltd. III, Floating Rate Note, 5/24/21 (Cat Bond) (144A)   05/24/2021 750,000 743,850
NSTAR Electric Co., Floating Rate Note, 5/17/16 0.516 05/17/2016 1,013,000 1,011,437
Wachovia Corp., Floating Rate Note, 6/15/17 0.5559 06/15/2017 1,999,000 1,992,521
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 0.582 11/23/2016 1,800,000 1,803,148
VOLT XXX LLC, 3.625%, 10/25/57 (Step) 3.625 10/25/2057 2,250,000 2,161,764
IXIS Real Estate Capital Trust 2005-HE1, Floating Rate Note, 6/25/35 0.967 06/25/2035 1,500,000 659,809
Capital One NA, Floating Rate Note, 3/22/16 0.7308 03/22/2016 2,910,000 2,908,935
Cent CLO 16 LP, Floating Rate Note, 8/1/24 (144A) 1.5046 08/01/2024 4,235,000 4,234,471
Sanders Re, Ltd., Floating Rate Note, 5/25/18 (Cat Bond) (144A) 3.0203 05/25/2018 1,000,000 971,283
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 0.4855 01/15/2036 1,837,000 318,179
CPS Auto Receivables Trust 2014-C, 1.31%, 2/15/19 (144A) 1.31 02/15/2019 2,200,000 1,602,089
Fresenius US Finance I, Inc., Tranche B Term Loan, 8/7/19 2.282 08/07/2019 1,473,750 1,472,522
American Credit Acceptance Receivables Trust 2014-2, 0.99%, 10/10/17 (144A) 0.99 10/10/2017 3,300,000 808,765
CIFC Funding 2007-I, Ltd., Floating Rate Note, 5/10/21 (144A) 0.5389 05/10/2021 500,000 223,025
Carlyle High Yield Partners VII, Ltd., Floating Rate Note, 9/30/19 (144A) 1.9818 09/30/2019 5,000,000 2,027,999
Alkermes, Inc., 2019 Term Loan, 9/25/19 3.5 09/25/2019 1,119,845 1,121,477
Gszfp Cp Zero% 09jul15 Usd 0.0 07/09/2015 12,800,000 12,799,552
Kloeckner Pentaplast Of America 1st Lien Tl L + 4% 22apr20 5.0 04/22/2020 158,462 159,155
General Electric Capital Corp., Floating Rate Note, 7/12/16 0.9259 07/12/2016 2,372,000 2,389,612
CWABS Asset-Backed Certificates Trust 2004-7, Floating Rate Note, 12/25/34 1.237 12/25/2034 10,986,000 4,764,586
Sinclair Television Group, Inc., New Tranche B Term Loan, 4/19/20 3.0 04/19/2020 1,328,172 1,325,258
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 1.634 08/15/2031 2,500,000 2,508,426
Citibank Credit Card Issuance Trust, 5.1%, 11/20/17 5.1 11/20/2017 1,650,000 1,689,152
GSAA Home Equity Trust 2004-11, Floating Rate Note, 12/25/34 0.847 12/25/2034 14,390,000 747,437
Kloeckner Pentaplast Of America 1st Lien Tl L + 4% 22apr20 5.0 04/22/2020 67,719 68,015
JP Morgan Chase Commercial Mortgage Securities Trust 2014-PHH, Floating Rate Note, 8/16/27 (144A) 1.786 08/16/2027 3,770,000 3,775,318
Valeant Pharmaceuticals International, Inc., Series C-2 Tranche B Term Loan, 12/11/19 3.04 12/11/2019 511,676 511,285
Federal Farm Credit Banks, 0.39%, 4/25/16 0.39 04/25/2016 2,133,000 2,133,740
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 3.25 11/05/2020 493,750 494,830
JP Morgan Mortgage Acquisition Corp 2005-FLD1, Floating Rate Note, 7/25/35 0.967 07/25/2035 2,575,000 2,544,350
Alternative Loan Trust 2003-3T1, Floating Rate Note, 5/25/33 0.817 05/25/2033 15,000,000 523,169
Mizuho Bank, Ltd., Floating Rate Note, 3/26/18 (144A) 0.9208 03/26/2018 1,670,000 1,673,766
Wyle 1st Lien Tl-B L + 4% 22may21 5.0 05/22/2021 183,902 184,072
FCI - FIDJI LUXEMBOURG BC4 SARL, Term Loan, 12/19/20 6.25 12/19/2020 1,312,500 1,314,141
BAMLL Commercial Mortgage Securities Trust 2014-FL1, Floating Rate Note, 12/17/31 (144A) 2.3855 12/17/2031 3,613,000 3,624,425
Barclays Dryrock Issuance Trust, Floating Rate Note, 12/16/19 0.5455 12/16/2019 1,100,000 1,100,270
DaVita HealthCare Partners, Inc., Tranche B Term Loan, 6/19/21 3.5 06/19/2021 471,479 472,216
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-4, 5.0%, 7/25/20 5.0 07/25/2020 486,000 11,734
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A) 0.6922 03/10/2017 1,000,000 999,654
Federal National Mortgage Association REMICS, 4.5%, 1/25/39 4.5 01/25/2039 820,000 20,031
Ship Midco, Ltd., Facility B2A-II, 11/29/19 5.25 11/29/2019 78,745 79,287
NRG Energy, Inc., Term Loan (2013), 7/1/18 2.75 07/01/2018 1,164,510 1,156,723
Freddie Mac REMICS, 5.0%, 6/15/33 5.0 06/15/2033 26,351,400 1,002,771
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 1.184 08/15/2031 5,350,000 3,871,523
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 0.6322 03/10/2017 1,500,000 1,499,902
Permanent Master Issuer Plc, Floating Rate Note, 7/15/42 (144A) 1.8753 07/15/2042 887,000 891,928
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.467 11/25/2035 14,045,000 1,823,281
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 0.6273 05/23/2016 3,150,000 3,162,131
Cs Cp Zero% 31jul15 Usd 0.0 07/31/2015 6,000,000 5,998,755
United Auto Credit Securitization Trust 2014-1, 0.74%, 6/15/16 (144A) 0.74 06/15/2016 3,000,000 903,525
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/32 0.887 01/25/2032 30,000,000 359,018
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/32 0.637 09/25/2032 19,400,000 6,925
Bank of Montreal, 0.8%, 11/6/15 0.8 11/06/2015 2,600,000 2,606,636
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 5.23 12/17/2040 9,446,500 5,178,853
Credit Acceptance Auto Loan Trust 2012-2, 2.21%, 9/15/20 (144A) 2.21 09/15/2020 2,000,000 2,010,804
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 3.75 12/12/2019 318,295 318,693
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 0.487 10/25/2035 6,475,000 572,672
Westgate Resorts LLC, 9.5%, 2/20/25 (144A) 9.5 02/20/2025 5,000,000 1,150,283
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 0.7308 03/22/2016 4,300,000 4,298,021
MUFG Americas Holdings Corp., Floating Rate Note, 2/9/18 0.8489 02/09/2018 2,425,000 2,430,950
US Bancorp, 2.45%, 7/27/15 2.45 07/27/2015 2,620,000 2,650,834
Armstrong World Industries, Inc., Term Loan B, 3/15/20 3.5 03/15/2020 1,075,495 1,077,735
JPMorgan Chase & Co., Floating Rate Note, 10/15/15 0.9353 10/15/2015 2,000,000 2,006,691
CPS Auto Trust, 1.48%, 3/16/20 (144A) 1.48 03/16/2020 1,060,000 310,121
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 10.0051 06/06/2016 900,000 935,090
RPI Finance Trust, Term B-3 Term Loan, 11/9/18 3.25 11/09/2018 619,200 621,445
Total Capital International SA, 0.75%, 1/25/16 0.75 01/25/2016 2,500,000 2,511,845
BA Credit Card Trust, Floating Rate Note, 1/15/20 0.4755 01/15/2020 2,000,000 1,999,159
RPI Finance Trust, Term B-4 Term Loan, 11/9/20 3.5 11/09/2020 1,007,013 1,009,027
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 3.75 06/30/2019 1,107,386 985,920
Freddie Mac Strips, Floating Rate Note, 8/15/36 0.4355 08/15/2036 10,000,000 429,165
Multi Packaging Solutions, Inc., Initial Dollar Tranche B Term, 9/30/20 4.25 09/30/2020 172,813 172,524
Livingston International, Inc., Initial Term B-1 Loan (First Lien), 4/18/19 5.0 04/18/2019 490,000 485,713
Royal Bank of Canada, Floating Rate Note, 10/13/17 0.5359 10/13/2017 2,500,000 2,502,895
Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A) 3.7703 11/25/2019 2,350,000 2,341,246
Cps 1.89% 15nov19 15-B-A 1.89 11/15/2019 1,700,000 1,702,844
Harch CLO III, Ltd., Floating Rate Note, 4/17/20 (144A) 2.029 04/17/2020 500,000 490,226
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 1.187 12/25/2023 5,000,000 316,480
RALI Series 2003-QS5 Trust, Floating Rate Note, 3/25/18 0.637 03/25/2018 30,000,000 730,554
Exeter Automobile Receivables Trust 2015-2, 1.54%, 11/15/19 (144A) 1.54 11/15/2019 2,600,000 2,499,704
Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/17/26 (144A) 1.936 08/17/2026 1,375,000 1,375,989
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 0.6064 02/20/2035 12,303,000 1,041,553
Fly Funding II Sarl, Loan, 8/8/18 3.5 08/08/2018 1,525,689 1,528,867
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 0.937 02/25/2033 10,610,000 330,015
Gray Television Inc. 1st Lien Tl L + 3% 10jun21 3.75 06/10/2021 1,002,368 1,003,726
BAMLL Commercial Mortgage Securities Trust 2014-ICTS, Floating Rate Note, 6/15/28 (144A) 1.2855 06/15/2028 1,920,000 1,916,946
Volkswagen Group of America Finance LLC, Floating Rate Note, 5/23/16 (144A) 0.502 05/23/2016 1,900,000 1,899,467
Chevron Corp., Floating Rate Note, 11/9/16 0.3789 11/09/2016 2,640,000 2,641,596
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1.4445 05/27/2016 1,800,000 1,807,294
IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36 0.867 02/25/2036 3,493,986 458,364
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 0.5201 07/20/2019 1,500,000 292,992
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 0.4355 08/15/2035 2,185,000 395,425
The Bank of New York Mellon Corp., Floating Rate Note, 10/23/15 0.5073 10/23/2015 3,533,000 3,538,975
Carefree Portfolio Trust 2014-CARE, Floating Rate Note, 11/15/29 (144A) 2.036 11/15/2029 3,300,000 3,316,632
ABFC 2005-HE2 Trust, Floating Rate Note, 6/25/35 0.937 06/25/2035 2,500,000 1,580,514
Ford Credit Auto Owner Trust 2015-A, Floating Rate Note, 1/15/18 0.4355 01/15/2018 2,500,000 2,500,844
Navios Maritime Partners LP, Term Loan, 6/27/18 5.25 06/27/2018 1,405,726 1,404,847
BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A) 2.7717 09/26/2035 8,854,257 1,879,729
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/33 0.687 11/25/2033 10,000,000 694,001
Crowne Group Llc 1st Lien Tl-B L + 5% 29sep20 6.0 09/29/2020 496,250 495,009
First Franklin Mortgage Loan Trust Series 2005-FF12, Floating Rate Note, 11/25/36 0.447 11/25/2036 2,150,000 278,696
ABFC 2005-WF1 Trust, Floating Rate Note, 12/25/34 0.807 12/25/2034 2,140,000 702,925
Bayview Commercial Asset Trust 2008-1, Floating Rate Note, 1/25/38 (144A) 1.187 01/25/2038 18,000,000 1,822,441
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 1.027 01/25/2035 11,245,000 1,146,524
Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18 2.65 03/31/2018 1,382,500 1,380,195
Commscope Inc 1st Lien Tl-B1 L + 3% 29may22 3.75 05/29/2022 2,000,000 2,000,938
Dell Equipment Finance Trust 2014-1, 0.64%, 7/22/16 (144A) 0.64 07/22/2016 800,000 654,973
Jpmcc Flt% 15may28 15-Fl7-B 1.9866 05/15/2028 3,600,000 3,591,184
JMC Steel Group, Inc., Term Loan, 4/1/17 4.75 04/01/2017 355,691 353,468
Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A) 3.721 11/16/2044 3,070,000 2,326,780
World Financial Network Credit Card Master Trust, Floating Rate Note, 2/15/22 0.6655 02/15/2022 1,550,000 1,549,665
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 2.2355 09/18/2031 3,778,000 3,773,736
Honda Auto Receivables 2013-2 Owner Trust, 0.53%, 2/16/17 0.53 02/16/2017 959,000 543,017
NCUA Guaranteed Notes Trust, Floating Rate Note, 12/8/20 0.7405 12/08/2020 410,000 269,667
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/33 0.587 08/25/2033 485,000 14,084
SWAY Residential 2014-1 Trust, Floating Rate Note, 1/20/32 (144A) 1.4855 01/20/2032 2,900,000 2,876,429
Manufactured Housing Contract Trust Pass-Through Certificates Series 2001-1, Floating Rate Note, 4/2 1.0568 04/20/2032 9,286,000 712,941
Nations Equipment Finance Funding II LLC, 1.558%, 7/20/18 (144A) 1.558 07/20/2018 2,100,000 1,100,501
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 0.587 09/25/2035 369,713 35,981
American Express Credit Account Master Trust, Floating Rate Note, 2/15/18 1.3855 02/15/2018 1,945,000 1,946,852
Foresight Energy LLC, Term Loan, 8/21/20 5.5 08/21/2020 221,862 220,198
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36 0.737 08/25/2036 4,450,000 256,460
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 0.837 01/25/2033 5,000,000 148,231
Banc of America Mortgage 2003-A Trust, Floating Rate Note, 2/25/33 3.2536 02/25/2033 10,560,000 100,802
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 5.116 06/10/2044 2,675,000 276,239
Merck & Co, Inc., 0.7%, 5/18/16 0.7 05/18/2016 2,045,000 2,046,649
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3 REMICS, Floating Rate Note, 8/15/42 4.936 08/15/2042 8,585,000 874,253
Milacron Llc 1st Lien Tl-B L + 3.5% 28sep20 4.5 09/28/2020 686,070 688,214
Kane Ilw Zero% 02feb16 0.0 02/02/2016 750,000 717,375
Svenska Handelsbanken AB, Floating Rate Note, 3/21/16 0.7308 03/21/2016 4,735,000 4,749,384
DT Auto Owner Trust 2015-1, 1.06%, 9/17/18 (144A) 1.06 09/17/2018 2,100,000 1,525,512
NSG Holdings LLC, New Term Loan, 12/11/19 3.75 12/11/2019 1,500,874 1,497,122
Volvo Financial Equipment LLC Series 2012-1, 2.38%, 9/16/19 (144A) 2.38 09/16/2019 295,000 295,811
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 1.267 03/25/2035 1,457,000 391,055
Merrill Lynch Mortgage Trust 2005-LC1, Floating Rate Note, 1/12/44 5.291 01/12/2044 6,177,508 5,008,262
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 0.737 05/25/2040 2,619,152 974,949
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 0.6468 02/20/2035 34,411,748 2,880,068
General Electric Capital Corp., Floating Rate Note, 5/15/17 0.5539 05/15/2017 2,000,000 2,004,642
HLSS Servicer Advance Receivables Trust, 1.4953%, 1/16/46 (144A) 1.4953 01/16/2046 5,600,000 5,598,122
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 2.7703 01/09/2017 1,000,000 1,019,575
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 2.35 10/25/2035 2,600,000 589,331
General Electric Capital Corp., Floating Rate Note, 7/2/15 1.3008 07/02/2015 2,793,000 2,802,082
Kane Sac Zero% 15jun16 0.0 06/15/2016 500,000 479,900
Duke Energy Indiana, Inc., Floating Rate Note, 7/11/16 0.6259 07/11/2016 2,285,000 2,289,840
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/25 0.487 04/25/2025 540,000 75,671
Fannie Mae, 7.0%, 10/1/17 7.0 10/01/2017 2,241,352 5,419
Ziggo Bv Us 1st Lien Tl-B2 L + 2.75% 15jan22 3.5 01/15/2022 691,064 684,197
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 0.457 04/25/2032 29,975,000 2,276,550
Ascentium Equipment Receivables 2014-1 LLC, 1.58%, 10/10/18 (144A) 1.58 10/10/2018 1,700,000 1,704,385
Fifth Third Bancorp, 3.625%, 1/25/16 3.625 01/25/2016 3,790,000 3,905,395
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 7/25/34 0.847 07/25/2034 2,783,000 585,044
Capital One Multi-Asset Execution Trust, Floating Rate Note, 8/15/18 0.2755 08/15/2018