Pioneer Investments: Pioneer Multi-Asset Ultrashort Income Fund


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Pioneer Multi-Asset Ultrashort Income Fund

Monthly Portfolio Holdings as of 2/28/2014

Security Name Coupon Maturity Date Par / Shares Market Value($)
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 0.8544 02/26/2016 1,800,000 1,809,882
LB-UBS Commercial Mortgage Trust 2005-C7, Floating Rate Note, 11/15/30 (144A) 5.197 11/15/2030 3,611,979 3,803,996
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.5045 11/15/2036 5,342,000 1,227,174
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 0.4555 12/25/2036 3,640,376 3,439,207
United Auto Credit Securitization Trust 2013-1, 0.95%, 9/15/15 (144A) 0.95 09/15/2015 2,000,000 1,497,802
Avis Budget Car Rental LLC, 3/15/19 3.0 03/15/2019 1,292,616 1,295,524
Daimler Finance North America LLC, 1.3%, 7/31/15 (144A) 1.3 07/31/2015 1,500,000 1,514,105
RALI Series 2004-QS16 Trust, 5.5%, 12/25/34 5.5 12/25/2034 700,000 57,082
Fieldwood Energy LLC, 9/25/18 3.875 09/25/2018 2,695,625 2,707,138
Syncreon Group BV, 9/26/20 5.25 09/26/2020 200,000 201,500
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/36 0.4545 03/15/2036 5,000,000 1,441,893
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 0.4055 09/25/2030 10,120,098 1,861,271
Stanwich Mortgage Loan Co 2012-NPL4 LLC, 2.9814%, 9/15/42 (144A) 2.9814 09/15/2042 1,500,000 377,686
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 3.9669 08/25/2053 1,900,000 1,890,956
Seminole Tribe of Florida, Inc., 4/29/20 3.0 04/11/2020 1,421,250 1,422,360
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 1.0555 04/25/2032 35,072,000 2,403,412
Structured Asset Mortgage Investments II Trust 2004-AR5, Floating Rate Note, 10/19/34 0.8145 10/19/2034 23,000,000 1,163,528
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 0.5045 05/15/2041 340,000 135,401
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 0.6155 01/25/2035 11,300,000 1,964,148
Structured Asset Sec Corp Mort Pass Thr Certs Series 1998-8, Floating Rate Note, 8/25/28 1.0955 08/25/2028 8,825,000 528,469
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 0.9955 11/25/2034 21,976,800 1,387,813
Ford Credit Auto Owner Trust 2013-C, 0.55%, 4/15/16 0.55 04/15/2016 1,160,000 1,003,362
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 0.9355 10/25/2034 56,927,495 3,452,939
Citibank Credit Card Issuance Trust, Floating Rate Note, 2/7/18 0.3975 02/07/2018 9,931,000 9,949,421
Devon Energy Corp., Floating Rate Note, 12/15/15 45.0 12/15/2015 2,800,000 2,811,320
Wesco Aircraft Hardware Corp 1st Lien Tl-B L + 2.5% 24feb21 3.25 02/24/2021 2,600,000 2,605,694
Atlantic Power LP, Term Loan B, 2/20/21   02/20/2021 3,150,000 3,171,656
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 0.5545 05/15/2036 7,791,000 708,386
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 0.5555 05/25/2037 32,172,000 1,465,462
American Credit Acceptance Receivables Trust 2014-1, 1.14%, 12/1/19 (144A) 1.14 12/01/2019 645,000 603,155
Royal Bank of Canada, Floating Rate Note, 12/16/15 22.0 12/16/2015 1,800,000 1,804,292
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 2.125 09/15/2015 551,000 567,502
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 0.3555 12/25/2036 3,000,000 609,853
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/31 0.7555 11/25/2031 50,000,000 555,073
Chase Funding Trust Series 2002-4, Floating Rate Note, 10/25/32 0.8955 10/25/2032 1,000,000 19,213
AdvancePierre Foods, Inc., 7/10/17 5.75 06/17/2017 247,500 248,929
Fannie Mae, Floating Rate Note, 2/1/34 2.295 02/01/2034 500,000 32,465
Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/17/15 2.0045 12/17/2015 1,800,000 1,796,777
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 11/25/34 0.9555 11/25/2034 30,931,007 882,252
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 2.3045 06/15/2016 3,000,000 3,002,315
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/33 0.5545 06/15/2033 10,000,000 680,423
American Honda Finance Corp., 1.85%, 9/19/14 (144A) 1.85 09/19/2014 600,000 610,372
Mastr Asset Backed Securities Trust 2006-AB1, Floating Rate Note, 2/25/36 0.3855 02/25/2036 12,307,204 2,667,613
Nationstar Agency Advance Funding Trust 2013-T1A, 0.997%, 2/15/45 (144A) 0.997 02/15/2045 2,250,000 2,245,305
Federal National Mortgage Association REMICS, 4.5%, 1/25/39 4.5 01/25/2039 820,000 87,507
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 0.6966 05/13/2016 2,500,000 2,510,232
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/35 0.4545 05/15/2035 10,200,000 973,897
HomeBanc Mortgage Trust 2005-2, Floating Rate Note, 5/25/25 0.5755 05/25/2025 45,670,847 2,193,169
Hyundai Capital Auto Funding VIII, Ltd., Floating Rate Note, 9/20/16 (144A) 1.1545 09/20/2016 4,279,000 1,260,991
Avis Budget Rental Car Funding AESOP LLC, 2.09%, 4/20/15 (144A) 2.09 04/20/2015 1,150,000 384,188
Northern Trust Corp., 4.625%, 5/1/14 4.625 05/01/2014 1,550,000 1,584,515
Federal National Mortgage Association, Floating Rate Note, 6/20/14 0.134 06/20/2014 4,829,000 4,830,166
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 0.7555 05/25/2040 500,000 341,110
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 9.0608 01/08/2015 250,000 260,000
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP1, Floating Rate Note, 3/15/46 5.038 03/15/2046 3,110,000 3,195,678
RASC Series 2005-KS7 Trust, Floating Rate Note, 8/25/35 0.5955 08/25/2035 4,600,000 850,570
US Bank NA Cincinnati Ohio, Floating Rate Note, 1/30/17 0.5861 01/30/2017 2,025,000 2,027,520
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 4/20/18 0.554 04/20/2018 1,190,000 1,193,546
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 8.0 07/09/2015 1,500,000 1,577,750
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 6.9108 04/07/2017 2,300,000 2,411,403
Morgan Stanley Capital I Trust 2004-HQ4, 4.97%, 4/14/40 4.97 04/14/2040 3,900,007 2,543,526
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 2.8058 01/09/2017 1,000,000 1,025,431
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 7.25 07/05/2016 2,250,000 2,367,634
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 9.3159 06/06/2017 1,100,000 1,170,224
RALI Series 2004-QS1 Trust, 4.25%, 1/25/34 4.25 01/25/2034 4,500,000 101,363
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 0.7555 12/25/2023 13,749,086 132,569
South Carolina Student Loan Corp., Floating Rate Note, 12/3/18 0.3361 12/03/2018 2,250,000 214,448
Expert Global Solutions, Inc., 4/3/18 8.5 03/13/2018 30,931 30,815
Jarden Corp., 9/30/20 2.9045 09/18/2020 997,500 1,000,406
Mystic Re, Ltd., Floating Rate Note, 3/12/15 (Cat Bond) (144A) 12.0608 03/12/2015 1,500,000 1,625,650
Discover Card Execution Note Trust, Floating Rate Note, 1/16/18 0.3545 01/16/2018 690,000 690,652
Covanta Energy Corp., 3/28/19 3.5 03/01/2019 196,500 197,728
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 0.4055 02/25/2030 6,250,000 987,414
Federal Home Loan Banks, Floating Rate Note, 3/11/14 0.18 03/11/2014 1,250,000 1,250,571
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 0.7555 04/25/2034 9,566,021 697,907
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/35 2.2153 06/25/2035 1,500,000 264,844
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 0.3555 12/25/2036 2,500,000 697,068
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/23 0.6555 03/25/2023 17,080,403 219,275
American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A) 0.6094 05/26/2016 825,000 828,786
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 1.3555 08/25/2034 1,523,000 295,953
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 0.7545 08/15/2019 1,275,000 1,276,871
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 8.6558 05/09/2016 1,500,000 1,622,496
Wilshire Mortgage Loan Trust, Floating Rate Note, 5/25/28 0.4355 05/25/2028 10,000,000 41,062
Queen Street VI Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 10.5951 04/09/2015 250,000 268,453
RPI Finance Trust, Term B-2 Term Loan, 5/9/18 3.25 05/09/2018 1,031,695 1,039,432
Univision Communications, Inc., Replacement First-Lien Term Loan, 3/1/20   03/01/2020 669,938 672,519
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 1.6356 12/22/2054 2,000,000 1,929,679
HSBC Home Equity Loan Trust 2005-3, Floating Rate Note, 1/20/35 0.414 01/20/2035 1,671,000 254,707
GMAC Commercial Mortgage Securities Inc Series 2004-C2 Trust, Floating Rate Note, 8/10/38 5.301 08/10/2038 5,341,000 4,236,369
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 0.7955 01/25/2029 24,460,400 1,590,569
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 12/15/32 5.0 12/15/2032 410,000 41,728
Volkswagen Auto Lease Trust, Floating Rate Note, 10/20/16 0.364 10/20/2016 1,500,000 1,500,206
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 3.4384 01/15/2017 500,000 514,049
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 11/18/16 0.7459 11/18/2016 1,800,000 1,803,587
BioScrip, Inc., 7/31/20 7.25 07/22/2020 639,256 644,450
Interactive Data Corp., 2/11/18 3.75 02/11/2018 639,278 641,675
PQ Corp., 8/7/17 4.5 08/07/2017 940,500 946,378
Las Vegas Sands LLC, Term B Loan, 12/19/20 3.25 12/19/2020 440,000 439,725
Embarcadero Reinsurance, Ltd., Floating Rate Note, 2/4/16 (Cat Bond) (144A) 6.6796 08/04/2014 1,320,000 1,343,756
Delos Finance Sarl Tl-B L + 2.75% 27feb21   02/27/2021 1,295,000 1,301,273
Royal Bank of Canada, Floating Rate Note, 1/23/17 0.5666 01/23/2017 1,875,000 1,875,565
Government National Mortgage Association, Floating Rate Note, 5/16/38 0.5545 05/16/2038 8,761,000 996,786
Gracechurch Card Funding Plc, Floating Rate Note, 5/15/19 (144A) 1.0045 05/15/2019 1,300,000 1,301,033
Deutsche Telekom International Finance BV, 4.875%, 7/8/14 4.875 07/08/2014 2,456,000 2,510,374
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-1, Floating Rate Note, 1/25/35 (144 0.4855 01/25/2035 3,700,000 120,088
Enterprise Fleet Financing LLC, 0.87%, 9/20/19 0.87 09/20/2019 2,000,000 2,000,804
American Airlines, Inc., 6/27/19 3.75 06/21/2019 2,537,250 2,548,350
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 11/15/23 4.0 11/15/2023 95,000 78,494
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 8.0316 05/07/2015 2,000,000 2,134,416
Daimler Finance North America LLC, Floating Rate Note, 8/1/16 (144A) 0.9219 08/01/2016 1,500,000 1,509,015
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 0.4055 10/25/2035 4,339,000 1,111,746
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 1.1555 03/25/2037 2,300,000 318,387
JPMorgan Chase & Co., Floating Rate Note, 5/2/14 0.9929 05/02/2014 1,000,000 1,003,248
Shell International Finance BV, Floating Rate Note, 11/15/16 0.4459 11/15/2016 1,500,000 1,502,244
Sequa Corp., 6/19/17 5.25 05/29/2017 420,750 415,228
Preferred Proppants LLC, 12/15/16 11.75 12/15/2016 533,509 415,247
Oxford Finance Funding Trust 2012-1, 3.9%, 3/15/17 (144A) 3.9 03/15/2017 2,710,000 784,997
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-4, 5.0%, 7/25/20 5.0 07/25/2020 486,000 22,770
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 0.4555 05/25/2036 25,142,877 2,959,928
RALI Series 2004-QS1 Trust, Floating Rate Note, 1/25/34 0.7055 01/25/2034 4,000,000 108,974
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 5.3108 03/07/2016 2,500,000 2,550,010
PFS Financing Corp., Floating Rate Note, 2/15/18 (144A) 0.7045 02/15/2018 2,340,000 2,341,698
Freddie Mac Strips, Floating Rate Note, 8/15/36 0.4045 08/15/2036 10,000,000 692,561
Salomon Brothers Mortgage Securities VII, Inc., Floating Rate Note, 3/25/28 0.6355 03/25/2028 49,537,000 108,760
Government National Mortgage Association, Floating Rate Note, 6/16/31 0.6545 06/16/2031 14,000,000 281,440
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/38 0.5555 12/25/2038 400,000 296,958
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 1.2555 09/25/2034 3,465,620 719,218
The Toronto-Dominion Bank, Floating Rate Note, 7/14/14 0.5417 07/14/2014 1,200,000 1,202,189
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 0.7555 06/25/2034 33,443,000 2,953,099
Taminco Global Chemical Corp., Initial Tranche B-3 Dollar Term Loan, 2/15/19 3.25 02/15/2019 692,229 694,249
Express Scripts Holding Co., 2.1%, 2/12/15 2.1 02/12/2015 2,428,000 2,464,564
Bear Stearns ALT-A Trust 2004-8, Floating Rate Note, 9/25/34 0.8555 09/25/2034 12,800,000 1,114,091
Nissan Auto Lease Trust, Floating Rate Note, 6/15/15 0.2545 06/15/2015 2,570,000 1,174,634
Getty Images, Inc., 10/18/19 4.75 09/17/2019 114,733 109,699
American Express Credit Account Master Trust, Floating Rate Note, 1/15/20 0.4245 01/15/2020 50,000 50,056
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/29 0.5045 05/15/2029 15,000,000 160,773
Stanwich Mortgage Loan Trust, 2.9814%, 2/16/43 (144A) 2.9814 02/16/2043 3,025,000 1,948,741
WaMu Mortgage Pass-Through Certificates Series 2004-S1 Trust, Floating Rate Note, 3/25/34 0.5555 03/25/2034 6,560,000 30,125
Volvo Financial Equipment LLC, 0.54%, 11/15/16 (144A) 0.54 11/15/2016 1,700,000 1,699,995
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 0.7356 12/22/2054 1,250,000 1,246,352
BAMLL Commercial Mortgage Securities Trust 2012-CLRN, Floating Rate Note, 8/15/29 (144A) 1.3045 08/15/2029 2,275,000 2,278,964
Wells Fargo Bank NA, Floating Rate Note, 6/16/14 0.1845 06/16/2014 1,800,000 1,800,221
AES Corp. Virginia, 6/1/18 3.75 05/27/2018 766,080 771,081
Adjustable Rate Mortgage Trust 2004-1, Floating Rate Note, 1/25/35 2.4455 01/25/2035 5,000,000 545,365
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 0.3045 10/15/2020 1,400,000 191,149
ARI Fleet Lease Trust 2012-A, Floating Rate Note, 3/15/20 (144A) 0.7045 03/15/2020 2,070,000 703,552
Revlon Consumer Products Corp., 8/19/19 4.0 08/19/2019 375,000 376,758
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 0.5929 12/15/2016 2,850,000 2,830,127
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 0.4055 07/25/2035 6,326,000 920,077
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 7.565 04/09/2015 2,250,000 2,346,056
PFS Financing Corp., Floating Rate Note, 2/15/17 (144A) 0.7545 02/15/2017 2,000,000 2,000,553
GSAMP Trust 2004-SEA2, Floating Rate Note, 3/25/34 0.8055 03/25/2034 3,898,600 3,879,284
KeyCorp Student Loan Trust 2004-A, Floating Rate Note, 10/28/41 0.5386 10/28/2041 500,000 144,296
Wachovia Bank Commercial Mortgage Trust Series 2005-C16, Floating Rate Note, 10/15/41 4.847 10/15/2041 1,430,000 1,467,409
Chesapeake Funding LLC, Floating Rate Note, 11/7/23 (144A) 0.9075 11/07/2023 3,790,000 2,550,857
Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34 0.8955 11/25/2034 22,339,000 1,603,924
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 4.0 07/09/2018 1,800,000 1,809,100
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 0.4545 04/15/2022 1,105,112 1,079,602
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 0.6555 05/25/2033 15,932,000 487,426
GMAC Commercial Mortgage Securities Inc Series 2005-C1 Trust, 4.697%, 5/10/43 4.697 05/10/2043 3,547,000 3,675,398
The University of Texas System, Floating Rate Note, 8/1/34 0.03 08/01/2034 11,970,000 11,970,233
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 0.5255 09/25/2035 5,006,169 2,039,193
RPI Finance Trust, Term B-3 Term Loan, 11/9/18 3.25 11/09/2018 634,396 639,075
Hyundai Auto Lease Securitization Trust 2012-A, 0.92%, 8/17/15 (144A) 0.92 08/17/2015 1,000,000 895,504
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/37 0.4045 03/15/2037 17,062,682 2,277,712
Vodafone Group Plc, Floating Rate Note, 2/19/16 0.6201 02/19/2016 1,150,000 1,152,441
MRFC Mortgage Pass-Through Trust Series 1999-TBC2, Floating Rate Note, 6/15/30 0.6345 06/15/2030 23,827,303 1,737,444
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 0.6155 06/25/2034 41,830,000 2,315,865
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 4.0558 05/05/2017 1,500,000 1,508,017
Honda Auto Receivables 2011-2 Owner Trust, 1.55%, 8/18/17 1.55 08/18/2017 950,000 956,355
The Toronto-Dominion Bank, Floating Rate Note, 5/1/15 0.4164 05/01/2015 3,350,000 3,356,514
Tesoro Corp., 5/30/16 2.4045 01/11/2016 795,000 802,950
New York Life Global Funding, Floating Rate Note, 7/30/14 (144A) 0.2361 07/30/2014 1,300,000 1,300,479
Gracechurch Card Funding Plc, Floating Rate Note, 6/15/17 (144A) 0.8545 06/15/2017 1,000,000 1,004,584
Federal Farm Credit Banks, Floating Rate Note, 10/23/14 0.15 10/23/2014 3,500,000 3,502,689
Waupaca Foundry, Inc., 6/29/17 4.5 06/29/2017 939,223 941,571
Nissan Auto Lease Trust, 0.98%, 5/15/15 0.98 05/15/2015 1,700,000 1,045,188
NBCUniversal Media LLC, 2.1%, 4/1/14 2.1 04/01/2014 1,500,000 1,515,110
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 0.7016 09/09/2016 1,000,000 1,005,589
Svenska Handelsbanken AB, Floating Rate Note, 3/21/16 0.6959 03/21/2016 2,275,000 2,286,822
inVentiv Health, Inc., 5/15/18 7.75 06/24/2018 66,656 66,364
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/25 0.4545 02/15/2025 2,142,856 609,455
America Movil SAB de CV, Floating Rate Note, 9/12/16 1.2419 09/12/2016 1,500,000 1,524,258
Caterpillar Financial Services Corp., Floating Rate Note, 2/9/15 0.5869 02/09/2015 2,000,000 2,007,303
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 0.6055 07/25/2034 19,310,000 2,081,862
Toyota Motor Credit Corp., Floating Rate Note, 5/17/16 0.5259 05/17/2016 2,800,000 2,811,683
Conseco Financial Corp., 7.05%, 1/15/19 7.05 01/15/2019 600,362 8,808
CHL Mortgage Pass-Through Trust 2004-29, Floating Rate Note, 2/25/35 0.6955 02/25/2035 56,431,000 3,126,712
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/40 0.5545 11/15/2040 1,265,000 767,460
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 0.8605 04/25/2035 724,529 658,953
Federal National Mortgage Association, Floating Rate Note, 2/25/38 0.6055 02/25/2038 50,000,000 17,465,428
Pepper Residential Securities Trust, Floating Rate Note, 10/18/14 (144A) 0.457 10/18/2014 1,500,000 1,500,418
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/33 1.1545 11/15/2033 2,550,000 371,604
NBTY, Inc., 10/1/17 3.5 10/01/2017 400,000 401,938
American Credit Acceptance Receivables Trust 2012-2, 1.89%, 7/15/16 (144A) 1.89 07/15/2016 800,000 173,434
Series 2007-1G WST Trust, Floating Rate Note, 5/21/38 (144A) 0.2836 05/21/2038 545,000 56,624
Alkermes, Inc., 9/25/19 3.5 09/25/2019 1,137,117 1,139,960
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 3.5304 01/06/2019 1,750,000 1,743,700
Landry's, Inc., 4/24/18 4.0 03/22/2018 478,773 482,564
City Center Trust 2011-CCHP, Floating Rate Note, 7/15/28 (144A) 4.65 07/15/2028 950,000 958,254
New York Life Global Funding, 1.3%, 1/12/15 (144A) 1.3 01/12/2015 660,000 666,697
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC17, 5.45%, 12/12/43 5.45 12/12/2043 48,000 9,455
The PNC Financial Services Group, Inc., Floating Rate Note, 2/21/49 (Perpetual) 4.4536 05/29/2049 1,500,000 1,502,985
Armstrong World Industries, Inc., 3/15/20 3.5 02/26/2020 1,091,999 1,096,321
Marathon Oil Corp., 0.9%, 11/1/15 0.9 11/01/2015 709,000 713,393
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 5.8159 12/06/2016 750,000 793,707
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 3.75 08/20/2025 1,405,000 1,041,960
New Century Home Equity Loan Trust Series 2003-4, Floating Rate Note, 10/25/33 1.2805 10/25/2033 2,500,000 1,496,283
KeyCorp, 3.75%, 8/13/15 3.75 08/13/2015 1,370,000 1,431,166
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/23 2.346 10/01/2023 1,890,000 11,397
Option One Mortgage Loan Trust 2005-1, Floating Rate Note, 2/25/35 0.9555 02/25/2035 600,000 212,620
Sealed Air Corp., Replacement Term Loan, 10/3/18 3.0 10/03/2018 577,379 581,530
Citigroup, Inc., Floating Rate Note, 7/25/16 1.1986 07/25/2016 1,500,000 1,518,379
Apple, Inc., Floating Rate Note, 5/3/16 0.292 05/03/2016 1,500,000 1,500,070
Wells Fargo Mortgage Backed Securities Trust, Floating Rate Note, 8/25/34 4.9253 08/25/2034 14,679,000 1,045,750
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 0.6236 11/21/2016 2,465,000 2,457,424
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 11/10/16 (Cat Bond) (144A) 11.779 11/10/2016 500,000 541,380
Countrywide Asset-Backed Certificates, Floating Rate Note, 1/25/36 0.5255 01/25/2036 125,000 36,231
Westpac Banking Corp., Floating Rate Note, 7/17/15 (144A) 1.0379 07/17/2015 500,000 505,323
Bayview Financial Acquisition Trust, Floating Rate Note, 5/28/44 0.7912 05/28/2044 23,920,000 727,722
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.3855 04/25/2031 17,333,137 3,580,202
Morgan Stanley Capital I Trust 2005-HQ6, 4.882%, 8/13/42 4.882 08/13/2042 470,000 59,051
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/34 5.0 06/15/2034 1,318,000 278,347
General Electric Capital Corp., Floating Rate Note, 1/8/16 0.8394 01/08/2016 2,300,000 2,319,388
Fifth Third Bancorp, Floating Rate Note, 12/20/16 0.6651 12/20/2016 1,727,000 1,713,643
Chesapeake Energy Corp., 12/2/17 5.75 12/02/2017 250,000 255,781
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 0.6155 11/25/2035 1,945,000 1,851,726
Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A) 1.0239 09/16/2016 1,500,000 1,513,307
Delta Air Lines, Inc., 4/20/17 3.5 03/29/2017 297,710 299,726
Sequoia Mortgage Trust 2004-12, Floating Rate Note, 1/20/35 0.424 01/20/2035 8,835,000 1,015,034
The Goodyear Tire & Rubber Co., 4/30/19 4.75 03/27/2019 600,000 606,375
CHS, 2021 Term D Loan, 1/27/21   01/27/2021 72,370 73,111
Export Development Canada, 3.125%, 4/24/14 3.125 04/24/2014 1,100,000 1,116,626
Direct Capital Funding V LLC, 0.7%, 9/20/14 (144A) 0.7 09/20/2014 1,309,000 606,363
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 1.0545 05/19/2033 36,301,000 2,157,808
Nissan Auto Receivables 2013-A Owner Trust, 0.37%, 9/15/15 0.37 09/15/2015 1,500,000 716,785
The Bank of New York Mellon Corp., 3.1%, 1/15/15 3.1 01/15/2015 670,000 688,595
Advantage Sales & Marketing, Inc., 12/18/17 4.25 12/17/2017 992,489 999,064
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 1.0555 05/25/2035 5,600,000 1,638,953
Jackson National Life Global Funding, Floating Rate Note, 9/30/15 (144A) 0.5969 09/30/2015 2,000,000 2,009,225
Morgan Stanley Capital I Trust 2004-IQ8, Floating Rate Note, 6/15/40 5.11 06/15/2040 1,925,000 871,046
JP Morgan Chase Commercial Mortgage Securities Corp Commercial Mortgage Pass-Thr, Floating Rate Note 5.4055 05/15/2041 772,620 137,046
Chase Issuance Trust, Floating Rate Note, 2/15/17 0.2545 02/15/2017 3,380,000 3,379,339
Federal Home Loan Banks, Floating Rate Note, 4/24/14 0.29 04/24/2014 7,890,000 7,895,030
Mastr Asset Backed Securities Trust 2004-HE1, Floating Rate Note, 9/25/34 1.1305 09/25/2034 1,570,000 243,024
Ship Midco, Ltd., 11/29/19 5.25 08/06/2017 98,939 100,028
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-R11, Floating Rate Note, 0.7605 11/25/2034 2,575,000 116,246
Government National Mortgage Association, Floating Rate Note, 8/20/35 0.554 08/20/2035 3,497,364 685,711
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 0.4286 01/27/2017 1,900,000 1,901,303
Ares VR CLO, Ltd., Floating Rate Note, 2/24/18 (144A) 2.1356 02/24/2018 225,000 196,404
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 0.7545 10/25/2028 42,221,000 1,552,404
SMHL Global Fund 2007-1, Floating Rate Note, 6/12/40 0.3619 06/12/2040 1,100,000 129,740
SMART Trust/Australia, 1.59%, 10/14/16 (144A) 1.59 10/14/2016 650,000 655,748
ACE Securities Corp Home Equity Loan Trust Series 2002-HE3, Floating Rate Note, 10/25/32 1.9555 10/25/2032 4,600,000 1,413,003
Citigroup, Inc., Floating Rate Note, 4/1/16 1.0366 04/01/2016 1,325,000 1,335,181
Bear Stearns Asset Backed Securities Trust 2006-4, Floating Rate Note, 10/25/36 0.2855 10/25/2036 13,088,000 765,453
Duke Energy Ohio, Inc., Floating Rate Note, 3/6/15 0.3819 03/06/2015 725,000 726,162
LB-UBS Commercial Mortgage Trust 2008-C1, Floating Rate Note, 4/15/41 6.1567 04/15/2041 414,000 254,118
General Electric Capital Corp., Floating Rate Note, 7/2/15 1.2766 07/02/2015 500,000 506,802
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/32 0.6555 09/25/2032 20,000,000 461,127
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R10, Floating Rate Note, 0.3755 01/25/2036 3,255,000 270,037
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 0.4545 01/15/2036 1,837,000 473,158
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 10.0304 06/06/2016 1,150,000 1,306,413
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 11.0952 04/10/2015 945,000 1,013,885
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/25/45 (144A) 0.3555 11/25/2045 13,635,000 1,770,528
NorthStar 2013-1, Floating Rate Note, 8/25/29 (144A) 2.0055 08/25/2029 2,784,000 2,790,012
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/35 0.4945 05/15/2035 3,925,000 998,233
ConvaTec, Inc., 12/22/16 4.0 12/01/2016 727,198 731,743
West Corp., Term B-10 Loan, 6/30/18 3.25 06/30/2018 1,143,359 1,140,679
Bank of Nova Scotia, Floating Rate Note, 1/12/15 1.2817 01/12/2015 2,505,000 2,531,716
HLSS Servicer Advance Receivables Trust, 1.2437%, 1/17/45 1.2437 01/17/2045 3,750,000 3,753,464
Government National Mortgage Association, 4.5%, 11/20/34 4.5 11/20/2034 1,100,000 99,331
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/40 0.7055 01/25/2040 5,000,000 525,824
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 6/25/35 0.5555 06/25/2035 3,880,000 78,656
Credit Suisse First Boston Mortgage Securities Corp., 4.832%, 4/15/37 4.832 04/15/2037 3,320,000 3,442,490
Bayview Opportunity Master Fund Trust IIB LP, 3.9496%, 1/28/34 (Step) 3.9496 01/28/2034 2,125,000 2,133,675
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 4.894 08/10/2042 3,300,000 3,401,529
DaVita HealthCare Partners, Inc., 11/1/19 4.0 08/01/2019 742,500 746,116
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 0.9494 01/25/2030 15,000,000 1,198,137
Fresenius US Finance I, Inc., 8/7/19 2.2469 08/06/2019 1,496,250 1,497,185
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 6/25/34 0.8955 06/25/2034 26,125,000 343,619
Verint Systems, Inc., 9/6/19 4.0 09/06/2019 247,500 248,428
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/36 0.4345 12/15/2036 17,426,100 1,776,315
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 4.799 08/10/2042 1,465,000 1,501,621
BB&T Corp., 2.05%, 4/28/14 2.05 04/28/2014 2,200,000 2,217,862
Ocwen Loan Servicing LLC, 2/15/18 5.0 01/15/2018 1,394,910 1,408,414
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 0.7559 02/15/2017 2,000,000 2,004,556
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 0.6045 04/28/2039 1,899,351 1,862,963
BA Credit Card Trust, Floating Rate Note, 12/15/16 0.2245 12/15/2016 6,150,000 6,150,188
Total Capital Canada, Ltd., Floating Rate Note, 1/15/16 0.6189 01/15/2016 3,355,000 3,378,390
Bright Horizons Family Solutions, Inc., 1/30/20 4.0 01/14/2020 376,200 378,473
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/33 2.625 11/01/2033 850,000 16,037
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 0.594 10/20/2017 888,000 890,118
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19, Floating Rate Note, 2/12/49 5.6978 02/12/2049 475,000 296,321
AMC Entertainment, Inc., 4/30/20 3.5 04/23/2020 1,472,472 1,476,724
ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A) 3.081 09/25/2025 1,558,000 1,272,101
TransDigm, Inc., 2/28/20 3.75 02/28/2020 323,367 325,208
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/37 0.7555 10/25/2037 2,400,000 788,124
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/23 0.6045 06/15/2023 6,500,000 175,250
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35 5.0 10/25/2035 17,468,000 1,939,427
TWCC Holding Corp., 2/13/17 3.5 02/11/2017 98,255 95,651
Kleopatra Acquisition Corp., 12/21/16 4.75 12/14/2016 695,979 704,099
LEAF Receivables Funding 9 LLC, 0.88%, 11/15/15 (144A) 0.88 11/15/2015 1,500,000 1,499,537
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 0.2655 03/25/2037 5,734,978 2,692,254
ACE Securities Corp Home Equity Loan Trust Series 2005-HE5, Floating Rate Note, 8/25/35 0.6255 08/25/2035 1,811,045 81,918
Allied Security Holdings LLC, Closing Date Term Loan (First Lien), 2/12/21   02/12/2021 517,045 517,368
U.S. Treasury Notes, 0.25%, 4/30/14 0.25 04/30/2014 5,000,000 5,005,543
BMW Vehicle Lease Trust 2013-1, 0.4%, 1/20/15 0.4 01/20/2015 1,495,000 847,816
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.3845 11/15/2018 800,000 255,458
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 0.8055 06/25/2035 4,005,000 1,733,274
Royal Bank of Canada, Floating Rate Note, 9/9/16 0.7016 09/09/2016 2,000,000 2,013,180
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MHQ, Floating Rate Note 1.2055 12/25/2034 1,560,000 187,272
Capital One Financial Corp., Floating Rate Note, 11/6/15 0.8765 11/06/2015 1,875,000 1,882,192
Impac CMB Trust Series 2004-5, Floating Rate Note, 10/25/34 0.8755 10/25/2034 27,915,000 1,820,045
Wells Fargo Mortgage Backed Securities 2005-9 Trust, 5.5%, 10/25/35 5.5 10/25/2035 2,300,000 243,471
NBCUniversal Enterprise, Inc., Floating Rate Note, 4/15/16 (144A) 0.7759 04/15/2016 2,694,000 2,703,854
Progressive Waste Solutions, Ltd., 10/24/19 3.0 10/31/2019 1,182,030 1,183,508
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 1.1505 03/25/2028 46,113,000 2,106,347
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/21 1.0555 09/25/2021 8,269,375 100,151
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/7/14 0.37 10/07/2014 4,200,000 4,210,168
SNAAC Auto Receivables Trust, 4.38%, 6/15/17 (144A) 4.38 06/15/2017 1,800,000 1,841,551
Adjustable Rate Mortgage Trust 2005-2, Floating Rate Note, 6/25/35 0.9355 06/25/2035 1,460,122 1,241,812
JP Morgan Chase Commercial Mortgage Securities Trust 2002-CIBC4, Floating Rate Note, 5/12/34 6.45 05/12/2034 257,000 193,732
General Electric Capital Corp., Floating Rate Note, 1/14/16 0.4717 01/14/2016 1,865,000 1,867,857
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 0.4555 03/25/2035 4,593,737 774,273
Credit Suisse New York NY, 5.5%, 5/1/14 5.5 05/01/2014 6,101,000 6,263,472
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 2.158 10/25/2023 1,705,000 1,641,554
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 4.0 06/28/2016 2,250,000 2,292,950
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 0.4055 09/25/2036 12,500,000 153,926
Impac CMB Trust Series 2004-5, Floating Rate Note, 8/25/34 0.9955 08/25/2034 9,850,000 748,651
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 1.0354 10/28/2016 1,725,000 1,735,216
RALI Series 2003-QS22 Trust, Floating Rate Note, 12/26/33 0.6055 12/26/2033 8,400,000 960,147
BB&T Corp., Floating Rate Note, 4/28/14 0.9354 04/28/2014 5,473,000 5,482,274
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 0.5545 07/15/2023 2,924,000 829,607
Quest Trust, Floating Rate Note, 3/25/34 (144A) 0.8155 03/25/2034 55,089,092 2,630,790
Morgan Stanley Capital I Trust 2005-TOP17, 4.78%, 12/13/41 4.78 12/13/2041 2,027,000 1,930,770
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 10.2429 01/07/2015 2,000,000 2,147,400
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-22A, Floating Rate Note, 6/25/3 2.5144 06/25/2033 4,000,000 422,142
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 2/20/17 0.724 02/20/2017 350,000 351,214
Honda Auto Receivables 2011-1 Owner Trust, 1.8%, 4/17/17 1.8 04/17/2017 500,000 341,536
Volkswagen International Finance NV, Floating Rate Note, 11/18/16 (144A) 0.6759 11/18/2016 1,750,000 1,752,250
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 0.0384 01/15/2017 1,500,000 1,530,785
Bank of America Corp., Floating Rate Note, 3/22/16 1.0659 03/22/2016 6,000,000 6,050,998
JP Morgan Mortgage Acquisition Trust 2007-CH4, Floating Rate Note, 12/25/29 0.2155 12/25/2029 8,500,000 122,742
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 0.5555 10/25/2036 71,456,000 3,382,498
Citigroup Mortgage Loan Trust, Inc., 6.5%, 6/25/16 6.5 06/25/2016 10,100,000 17,392
WR Grace & Co., U.S. Term Loan, 1/23/21 3.0 01/23/2021 812,023 812,785
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 2/13/32 (144A) 1.7543 02/13/2032 2,760,000 2,762,351
GE Business Loan Trust 2004-1, Floating Rate Note, 5/15/32 (144A) 0.4445 05/15/2032 767,511 98,891
National City Corp., 4.9%, 1/15/15 4.9 01/15/2015 2,750,000 2,873,973
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 1.7889 10/15/2054 2,500,000 1,869,104
Westgate Resorts 2012-2 LLC, 3.0%, 1/20/25 (144A) 3.0 01/20/2025 1,000,000 531,490
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 0.6255 03/25/2035 2,000,000 728,557
JP Morgan Mortgage Trust 2005-A4, Floating Rate Note, 7/25/35 2.2524 07/25/2035 1,500,000 267,923
Calpine Construction Finance Co LP, 5/3/20 3.0 05/01/2020 1,194,000 1,182,060
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 0.9055 12/25/2034 5,414,212 691,712
Banc of America Large Loan Trust 2007-BMB1, Floating Rate Note, 8/15/29 (144A) 1.254 08/15/2029 3,000,000 2,981,739
Mystic Re, Ltd., Floating Rate Note, 3/12/15 (Cat Bond) (144A) 9.0608 03/12/2015 1,000,000 1,061,850
Structured Asset Sec Corp Mor Pass Thr Cer Ser 2003-35, Floating Rate Note, 12/25/33 0.6555 12/25/2033 2,500,000 186,904
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 10/15/21 (144A) 0.3245 10/15/2021 10,150,000 3,734,417
Government National Mortgage Association, Floating Rate Note, 2/20/35 0.404 02/20/2035 8,941,000 1,402,793
Toyota Motor Credit Corp., Floating Rate Note, 1/23/15 0.4066 01/23/2015 1,290,000 1,292,470
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 2.7805 08/25/2034 2,122,000 327,365
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/19 0.3845 02/15/2019 4,675,000 490,244
Fannie Mae, Floating Rate Note, 1/1/48 2.3 01/01/2048 175,000 26,057
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 11/15/22 3.5 11/15/2022 1,100,000 8,302
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 0.8155 06/25/2028 35,227,000 1,806,531
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 2.7969 07/25/2033 5,472,215 318,086
VOLT XX LLC, 3.625%, 2/1/39 (Step) (144A) 3.625 02/01/2039 1,000,000 1,001,529
HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36 0.394 03/20/2036 4,674,000 4,535,423
Federal Farm Credit Banks, Floating Rate Note, 5/29/14 0.35 05/29/2014 4,500,000 4,507,385
Bear Stearns ALT-A Trust 2003-3, Floating Rate Note, 10/25/33 2.6188 10/25/2033 350,000 73,895
Navitas Equipment Receivables LLC 2013-1, 1.95%, 11/15/16 1.95 11/15/2016 1,750,000 1,494,339
World Financial Network Credit Card Master Trust, Floating Rate Note, 2/15/19   02/15/2019 2,000,000 2,000,367
GSAA Home Equity Trust 2004-11, Floating Rate Note, 12/25/34 0.4855 12/25/2034 5,735,000 343,414
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.5545 12/15/2032 9,063,000 978,479
A10 Securitization 2013-1 LLC, 2.4%, 11/15/25 (144A) 2.4 11/15/2025 1,400,000 1,400,606
Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/25/23 1.6055 11/25/2023 2,250,000 2,143,114
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 0.3245 04/16/2035 4,787,273 2,205,947
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 2.6737 10/25/2033 1,991,000 270,364
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/31 0.7545 11/15/2031 20,187,077 191,949
Bayview Opportunity Master Fund Trust IIB LP, Floating Rate Note, 1/28/33 (144A) 2.9814 01/28/2033 1,000,000 543,832
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 2.4985 05/25/2033 42,906,215 1,504,026
Salix Pharmaceuticals, Ltd., Term Loan, 12/17/19 4.25 12/17/2019 450,000 455,156
DT Auto Owner Trust 2013-1, 0.75%, 5/16/16 (144A) 0.75 05/16/2016 1,232,000 481,860
RAMP Series 2006-EFC1 Trust, Floating Rate Note, 2/25/36 0.3555 02/25/2036 1,500,000 46,245
Alternative Loan Trust 2004-18CB, Floating Rate Note, 9/25/34 0.6055 09/25/2034 41,975,000 425,150
Kindred Healthcare, Inc., 6/1/18 4.25 06/01/2018 719,572 724,968
Prestige Brands, Inc., 1/31/19 3.792 01/31/2019 569,398 573,075
State Street Corp., Floating Rate Note, 3/7/14 0.5916 03/07/2014 6,140,000 6,148,403
GE Equipment Small Ticket LLC Series 2013-1, 0.73%, 1/25/16 (144A) 0.73 01/25/2016 800,000 801,293
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 1.0555 12/25/2031 30,500,000 1,466,995
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/31 0.6555 08/25/2031 17,600,000 258,735
Anheuser-Busch InBev Worldwide, Inc., 1.5%, 7/14/14 1.5 07/14/2014 2,300,000 2,313,838
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 0.4255 04/25/2032 28,795,000 3,305,186
General Electric Capital Corp., Floating Rate Note, 4/7/14 0.8699 04/07/2014 1,967,000 1,970,719
Impac CMB Trust Series 2003-11, Floating Rate Note, 10/25/33 0.9155 10/25/2033 82,420,000 2,572,157
Sequoia Mortgage Trust 2003-2, Floating Rate Note, 6/20/33 1.0394 06/20/2033 11,850,000 532,457
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 0.7755 09/25/2034 42,840,193 1,897,514
Georgia Power Co., Floating Rate Note, 3/15/16 0.5629 03/15/2016 1,090,000 1,090,177
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/36 0.5545 09/15/2036 3,470,000 392,520
Santander Drive Auto Receivables Trust 2012-5, 0.83%, 12/15/16 0.83 12/15/2016 1,600,000 1,603,262
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 0.6055 02/25/2038 2,184,000 768,957
Fremont Home Loan Trust 2005-2, Floating Rate Note, 6/25/35 0.6155 06/25/2035 9,000,000 490,682
East Lane Re, Ltd., Floating Rate Note, 3/13/15 (Cat Bond) (144A) 6.6575 03/13/2015 2,100,000 2,197,974
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/32 1.1555 07/25/2032 15,000,000 247,756
WaMu Mortgage Pass-Through Certificates Series 2004-AR14 Trust, Floating Rate Note, 1/25/35 2.4031 01/25/2035 2,310,499 554,646
Golden State Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 3.81 01/08/2015 750,000 767,806
KeyBank NA Cleveland Ohio, Floating Rate Note, 11/25/16 0.7249 11/25/2016 1,800,000 1,804,044
Wachovia Bank Commercial Mortgage Trust Series 2007-WHALE 8, Floating Rate Note, 6/15/20 (144A) 0.2345 06/15/2020 5,000,000 889,151
JP Morgan Mortgage Trust 2005-A3, Floating Rate Note, 6/25/35 2.7439 06/25/2035 5,045,000 20,729
Toyota Motor Credit Corp., 0.75%, 3/5/17 (Step) 0.75 03/05/2017 1,000,000 999,465
Pepper Residential Securities Trust, Floating Rate Note, 7/24/14 (144A) 0.5055 07/24/2014 1,000,000 989,783
Volkswagen International Finance NV, Floating Rate Note, 11/20/14 (144A) 0.8346 11/20/2014 1,000,000 1,003,470
Live Nation Entertainment, Inc., 8/17/20 3.5 08/16/2020 776,055 778,474
Government National Mortgage Association, Floating Rate Note, 4/16/29 0.4545 04/16/2029 50,000,000 646,285
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/38 0.9055 09/25/2038 1,000,000 26,399
Textainer Marine Containers, Ltd., Floating Rate Note, 5/15/20 (144A) 0.4 05/15/2020 11,900,000 1,481,584
Volkswagen Auto Lease Trust 2012-A, 0.87%, 7/20/15 0.87 07/20/2015 1,412,000 1,101,030
AT&T, Inc., 0.875%, 2/13/15 0.875 02/13/2015 1,850,000 1,858,635
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 0.5866 05/23/2016 3,150,000 3,169,385
Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2005-FM1, Floating Rate Note, 5/25/35 0.6255 05/25/2035 1,700,000 164,316
Metropolitan Life Global Funding I, 5.125%, 6/10/14 (144A) 5.125 06/10/2014 720,000 737,606
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Series 2004-4, Floating Rate Note, 10 0.7055 10/25/2034 3,977,618 1,016,213
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates Series 20, Floating Rate Note 0.4155 07/25/2035 9,190,000 114,030
SBI Home Equity Loan Trust 2006-1, Floating Rate Note, 8/25/36 (144A) 0.5055 08/25/2036 2,950,000 1,051,819
Endo International Plc, Term Loan B 2011, 6/17/18 4.0 04/14/2018 8,650 8,669
Aeroflex, Inc., 11/9/19 4.5 11/24/2019 126,184 127,235
Residential Asset Securitization Trust 2003-A15, Floating Rate Note, 2/25/34 0.6055 02/25/2034 10,120,000 720,020
Federal Home Loan Banks, Floating Rate Note, 6/11/14 0.2 06/11/2014 11,750,000 11,760,956
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 0.5545 03/15/2041 13,046,000 3,989,522
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 0.3255 08/25/2036 1,250,000 427,581
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 8.955 12/06/2015 500,000 535,857
Federal National Mortgage Association, Floating Rate Note, 12/25/33 0.4555 12/25/2033 25,758,805 8,581,124
PACCAR Financial Corp., Floating Rate Note, 5/5/15 0.3671 05/05/2015 2,000,000 2,002,351
Federal Farm Credit Banks, Floating Rate Note, 5/21/14 0.25 05/21/2014 4,000,000 4,001,758
Harley-Davidson Motorcycle Trust 2012-1, 0.68%, 4/15/17 0.68 04/15/2017 1,650,000 1,515,465
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.8555 01/25/2035 4,963,000 715,447
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 0.7155 01/25/2030 41,198,025 2,274,609
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 0.3245 04/15/2022 1,430,707 760,198
Impac CMB Trust Series 2003-8, Floating Rate Note, 10/25/33 1.0555 10/25/2033 5,200,000 376,428
TAL Advantage LLC, Floating Rate Note, 4/20/21 (144A) 0.344 04/20/2021 1,250,000 267,594
Mississippi Business Finance Corp., Floating Rate Note, 12/1/30 0.03 12/01/2030 7,215,000 7,215,109
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 0.4545 02/15/2030 2,056,750 1,093,520
Sinclair Television Group, Inc., 4/19/20 3.0 10/29/2016 1,348,513 1,346,989
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37 0.4545 02/15/2037 23,400,000 1,817,518
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 0.4045 06/15/2033 4,489,882 2,844,257
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 2.6305 12/25/2034 2,000,000 822,976
General Electric Capital Corp., Floating Rate Note, 8/1/17 1.375 08/01/2017 500,000 500,790
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 3 0.6055 03/25/2035 2,757,237 1,818,698
HarborView Mortgage Loan Trust 2004-4, Floating Rate Note, 6/19/34 1.2795 06/19/2034 25,700,000 255,839
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 1.2355 03/25/2035 1,457,000 716,693
HSBC Home Equity Loan Trust 2005-3, Floating Rate Note, 1/20/35 0.574 01/20/2035 3,869,000 589,197
Gardner Denver, Inc., 7/30/20 4.25 07/23/2020 399,000 398,116
Hyundai Auto Receivables Trust 2013-A, 0.4%, 12/15/15 0.4 12/15/2015 1,780,000 975,969
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 0.4545 03/15/2041 1,000,000 888,616
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1.8055 03/25/2035 2,443,000 2,409,938
Svenska Handelsbanken New York NY, Floating Rate Note, 12/19/14 0.4144 12/19/2014 1,500,000 1,502,197
Baxter International, Inc., Floating Rate Note, 12/11/14 0.4126 12/11/2014 895,000 897,059
NEP, Refinanced New Term Loan (First Lien), 1/22/20 4.75 01/03/2020 618,750 622,102
JP Morgan Chase Commercial Mortgage Securities Trust 2013-INN, Floating Rate Note, 10/15/30 (144A) 2.3045 10/15/2030 2,445,000 2,450,010
Navios Maritime Partners LP, 6/27/18 5.25 06/27/2018 1,496,250 1,524,929
Federal National Mortgage Association REMICS, 6.0%, 3/25/27 6.0 03/25/2027 120,000 80
TD Ameritrade Holding Corp., 4.15%, 12/1/14 4.15 12/01/2014 2,100,000 2,179,693
Valeant Pharmaceuticals International, Inc., 2/13/19 3.75 02/13/2019 246,875 248,241
Caterpillar Financial Services Corp., Floating Rate Note, 2/26/16 0.4744 02/26/2016 1,500,000 1,503,491
American Honda Finance Corp., Floating Rate Note, 10/7/16 0.7399 10/07/2016 950,000 958,371
Citigroup, Inc., Floating Rate Note, 11/5/14 0.5156 11/05/2014 2,692,000 2,693,437
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 0.8955 11/25/2034 9,625,000 557,656
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 10.3108 01/08/2015 1,000,000 1,055,399
JP Morgan Chase Commercial Mortgage Securities Corp., 4.878%, 1/15/42 4.878 01/15/2042 3,500,000 3,584,952
AWAS Finance Luxembourg 2012 SA, 7/16/18 3.5 06/25/2018 460,557 463,435
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/33 0.5555 08/25/2033 485,000 25,339
Drillships Financing Holding, Inc., 3/31/21 6.0 03/02/2021 995,000 1,017,181
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/34 0.3945 07/15/2034 5,000,000 765,907
RALI Series 2003-QS5 Trust, Floating Rate Note, 3/25/18 0.6055 03/25/2018 30,000,000 1,383,600
Capital Auto Receivables Asset Trust/ Ally, 0.47%, 3/20/15 0.47 03/20/2015 1,750,000 1,381,412
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 4.568 01/15/2031 1,000,000 134,386
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/49 0.7055 12/25/2049 2,000,000 361,156
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 0.6055 05/25/2018 34,469,500 1,855,798
American Express Credit Corp., Floating Rate Note, 6/12/15 1.3419 06/12/2015 1,500,000 1,523,860
JBS USA LLC, 5/25/18 3.75 05/25/2018 990,000 990,000
Centex Home Equity Loan Trust 2003-A, Floating Rate Note, 3/25/33 3.654 03/25/2033 2,230,000 430,082
WR Grace & Co., Delayed Draw Term Loan, 1/23/21 2.4854 01/23/2021 290,008 290,280
Barclays Dryrock Issuance Trust 2014-1, Floating Rate Note, 12/16/19   12/16/2019 1,050,000 1,050,013
BMW Floorplan Master Owner Trust, Floating Rate Note, 9/15/17 (144A) 0.5545 09/15/2017 3,000,000 3,007,390
Government National Mortgage Association, Floating Rate Note, 9/16/31 0.4045 09/16/2031 34,344,532 899,568
American Express Credit Account Master Trust, Floating Rate Note, 3/15/17 1.4045 03/15/2017 4,645,000 4,672,773
JPMorgan Chase & Co., Floating Rate Note, 10/15/15 0.8989 10/15/2015 2,000,000 2,012,381
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 0.5356 11/23/2016 1,800,000 1,804,952
Epiq Systems, Inc., 8/27/20 4.75 08/26/2020 473,813 476,774
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 9.055 06/06/2015 1,750,000 1,887,113
DineEquity, Inc., 10/19/17 3.75 10/19/2017 126,975 127,826
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/34 0.4545 12/15/2034 8,495,000 716,972
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 0.4545 04/28/2036 4,911,055 1,599,828
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.3555 06/25/2037 22,500,000 2,077,984
The Hertz Corp., 3/11/18 3.75 03/11/2018 742,500 745,224
Microsemi Corp., 2/19/20 3.75 02/19/2020 262,922 263,949
Entercom Radio LLC, Term B-2 Loan, 11/23/18 4.0034 11/23/2018 371,617 375,333
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 0.4555 03/25/2036 700,000 132,072
Federal Home Loan Mortgage Corp., 7.0%, 6/1/14 7.0 06/01/2014 1,000,100 749
Alternative Loan Trust 2004-6CB, Floating Rate Note, 5/25/34 0.4455 05/25/2034 16,100,000 1,356,705
RFSC Series 2003-RP2 Trust, Floating Rate Note, 7/25/41 (144A) 1.6555 07/25/2041 2,000,000 1,728,678
Pm Cp Zero% 11mar14 Usd 0.0 03/11/2014 1,000,000 999,972
Pinnacle Foods Finance LLC, 4/29/20 3.25 04/16/2020 1,329,950 1,328,911
Bear Stearns ARM Trust 2005-5, Floating Rate Note, 8/25/35 2.21 08/25/2035 5,635,000 668,965
DBRR 2012- EZ1 Trust, 0.946%, 9/25/45 (144A) 0.946 09/25/2045 1,537,145 501,081
Fannie Mae, Floating Rate Note, 9/1/32 2.24 09/01/2032 375,000 26,193
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A) 9.065 03/16/2016 250,000 274,663
Mastr Asset Backed Securities Trust 2005-FRE1, Floating Rate Note, 10/25/35 0.4055 10/25/2035 1,400,000 121,355
Wells Fargo & Co., 5.0%, 11/15/14 5.0 11/15/2014 1,000,000 1,045,268
Stanfield Bristol CLO, Ltd., Floating Rate Note, 10/15/19 (144A) 1.0359 10/15/2019 544,000 532,655
The Geo Group, Inc., 4/3/20 3.25 03/28/2020 994,994 1,000,280
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/33 0.6555 11/25/2033 10,000,000 955,203
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.5145 11/15/2018 500,000 158,582
Impac CMB Trust Series 2004-9, Floating Rate Note, 1/25/35 0.9155 01/25/2035 14,700,000 1,034,325
CarMax Auto Owner Trust 2010-2, 2.04%, 10/15/15 2.04 10/15/2015 220,000 116,361
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 0.5555 03/25/2035 1,000,000 154,677
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 0.8045 01/18/2032 16,977,308 312,344
American Express Credit Account Master Trust, Floating Rate Note, 3/15/18 0.3045 03/15/2018 8,890,000 8,889,511
FCI - FIDJI LUXEMBOURG BC4 SARL, Term Loan, 12/19/20 6.25 12/19/2020 1,400,000 1,410,500
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 0.7055 12/25/2034 1,450,000 1,143,499
TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16 0.9269 06/30/2016 1,204,000 1,215,038
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.998 01/25/2035 25,907,600 3,716,364
JP Morgan Chase Commercial Mortgage Securities Trust 2013-JWRZ, Floating Rate Note, 4/15/30 (144A) 0.9345 04/15/2030 4,975,000 4,942,938
Bayview Financial Acquisition Trust, Floating Rate Note, 2/28/44 0.8295 02/28/2044 38,940,000 1,873,874
Wells Fargo Home Equity Asset-Backed Securities 2005-2 Trust, Floating Rate Note, 11/25/35 0.5655 11/25/2035 189,000 149,410
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/25 0.4555 04/25/2025 540,000 129,124
Wachovia Bank Commercial Mortgage Trust Series 2005-C18, 4.935%, 4/15/42 4.935 04/15/2042 4,722,637 4,883,672
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/15/35 0.8545 08/15/2035 50,000,000 6,319,153
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 1.258 12/05/2031 800,000 800,708
RAAC Series 2006-RP1 Trust, Floating Rate Note, 10/25/45 (144A) 0.4555 10/25/2045 15,300,000 967,009
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 0.3555 02/25/2037 5,150,000 678,013
Swedbank Hypotek AB, Floating Rate Note, 3/28/14 (144A) 0.6969 03/28/2014 1,220,000 1,221,814
Fannie Mae, 7.0%, 10/1/17 7.0 10/01/2017 2,241,352 9,777
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 0.4645 06/15/2036 52,250,000 2,683,074
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 1.23 03/15/2019 691,000 615,429
Dynegy, Inc., 4/23/20 4.0 04/16/2020 459,231 462,060
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/40 0.5045 07/15/2040 2,570,000 698,279
Michael Foods Group, Inc., 2/25/18 4.25 02/14/2018 194,442 195,293
The Coca-Cola Co., Floating Rate Note, 3/5/15 0.2213 03/05/2015 850,000 850,619
Chase Issuance Trust, Floating Rate Note, 5/16/16 0.2545 05/16/2016 4,355,000 4,355,247
Federal National Mortgage Association REMICS, 6.0%, 3/25/35 6.0 03/25/2035 1,000,000 114,685
Federal National Mortgage Association, Floating Rate Note, 11/21/14 0.46 11/21/2014 1,650,000 1,654,907
PNC Bank NA, Floating Rate Note, 1/28/16 0.5454 01/28/2016 2,250,000 2,253,815
Dominion Resources, Inc. Virginia, 1.8%, 3/15/14 1.8 03/15/2014 5,463,000 5,510,594
New York Life Global Funding, 0.75%, 7/24/15 (144A) 0.75 07/24/2015 1,000,000 1,004,145
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 4.75 04/25/2034 5,000,000 374,003
Fannie Mae Trust 2003-W6, Floating Rate Note, 9/25/42 0.5055 09/25/2042 10,100,000 913,521
United States Treasury Floating Rate Note, Floating Rate Note, 1/31/16 0.09 01/31/2016 10,000,000 9,996,937
First Investors Auto Owner Trust 2011-1, 7.17%, 2/15/18 (144A) 7.17 02/15/2018 1,000,000 1,011,077
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-WF1, 4.786%, 3/25/35 4.786 03/25/2035 735,000 108,448
SunTrust Bank, Floating Rate Note, 4/1/15 0.5466 04/01/2015 1,390,000 1,388,604
Government National Mortgage Association, Floating Rate Note, 1/16/35 0.4045 01/16/2035 11,437,000 1,430,996
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 0.7345 10/15/2037 18,287,000 1,692,954
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.5045 12/15/2032 15,400,000 298,540
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/42 0.6555 04/25/2042 642,857 509,677
Sequoia Mortgage Trust 2005-2, Floating Rate Note, 3/20/35 0.374 03/20/2035 3,900,000 429,750
Sequoia Mortgage Trust 4, Floating Rate Note, 11/22/24 0.8755 11/22/2024 6,940,000 221,247
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 0.3855 11/25/2037 31,986,000 2,095,840
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-AR4, Floating Rate Note, 12/25/34 2.3493 12/25/2034 1,170,000 192,335
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 0.3545 08/15/2026 1,330,000 583,507
Ziggo Bv 1st Lien Tl-B2 L + 2.75% 15jan22 3.5 01/15/2022 691,064 688,796
Bank of Nova Scotia, Floating Rate Note, 3/15/16 0.6429 03/15/2016 2,000,000 2,006,699
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 1.1055 07/25/2037 2,130,580 1,520,128
Four Seasons Holdings, Inc., Term Loan (First Lien) 2013, 6/27/20 3.5 06/27/2020 498,750 501,555
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.4255 11/25/2035 6,309,000 931,648
Canadian Natural Resources, Ltd., 1.45%, 11/14/14 1.45 11/14/2014 1,330,000 1,345,070
Gracechurch Mortgage Financing Plc, Floating Rate Note, 11/20/56 (144A) 1.7846 11/20/2056 2,500,000 2,065,167
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 6/10/39 5.3802 06/10/2039 1,941,016 759,358
Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Floating Rate Note, 10/15/44 5.2389 10/15/2044 1,990,733 1,787,169
Santander Drive Auto Receivables Trust 2010-1, 1.84%, 11/17/14 1.84 11/17/2014 1,525,000 92,195
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 0.6055 06/25/2036 8,454,822 1,083,725
GSAA Home Equity Trust 2004-8, Floating Rate Note, 9/25/34 0.8955 09/25/2034 5,000,000 230,596
WMG Acquisition Corp., 7/1/20 3.75 07/03/2020 1,097,250 1,098,107
Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37 0.3055 03/25/2037 1,000,000 753,842
Specialty Underwriting & Residential Finance Trust Series 2005-AB2, Floating Rate Note, 6/25/36 0.5455 06/25/2036 1,500,000 644,395
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/17 0.6055 02/25/2017 14,970,453 21,610
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 0.4555 10/25/2035 625,000 37,713
RBSSP Resecuritization Trust 2009-5, Floating Rate Note, 8/26/37 (144A) 0.6555 08/26/2037 7,810,000 2,992,452
Saxon Asset Securities Trust 2006-3, Floating Rate Note, 10/25/46 0.2655 10/25/2046 2,800,000 170,311
CHL Mortgage Pass-Through Trust 2003-J7, Floating Rate Note, 8/25/18 0.5555 08/25/2018 2,400,000 81,979
Truven Health Analytics, Inc., 6/6/19 4.5 05/23/2019 344,770 345,632
Glenn Pool Oil & Gas Trust, 5/2/16 4.5 06/01/2016 39,402 39,845
Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2006-HE1, Floating Rate Note, 2/25/36 0.3655 02/25/2036 1,700,000 229,626
Federal Home Loan Banks, 2.9%, 4/20/17 2.9 04/20/2017 4,130,000 943,511
Structured Asset Securities Corp Mortgage Loan Trust 2006-BC4, Floating Rate Note, 12/25/36 0.2655 12/25/2036 2,089,415 277,566
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.5545 12/15/2032 4,138,000 447,151
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 4.25 04/25/2034 16,913,000 1,112,814
Santander Drive Auto Receivables Trust 2012-5, 0.57%, 12/15/15 0.57 12/15/2015 1,000,000 58,068
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.4355 11/25/2035 14,045,000 2,673,888
PHARMEDIUM HEALTHCARE Corp., Initial Term Loan (First Lien), 1/23/21 4.25 01/23/2021 270,000 270,504
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 2/15/19   02/15/2019 900,000 900,170
Wells Fargo Bank NA, Floating Rate Note, 5/16/16 0.4459 05/16/2016 975,000 970,052
Penarth Master Issuer Plc, Floating Rate Note, 3/18/14 (144A) 0.7245 03/18/2014 2,465,000 2,466,334
Home Equity Asset Trust 2006-3, Floating Rate Note, 7/25/36 0.3355 07/25/2036 2,845,000 11,023
Queen Street V Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 8.565 04/09/2015 1,250,000 1,317,455
Ascentium Equipment Receivables LLC, 1.83%, 9/15/19 (144A) 1.83 09/15/2019 1,528,000 586,696
Cabela's Master Credit Card Trust, Floating Rate Note, 6/17/19 (144A) 0.7545 06/17/2019 1,500,000 1,509,754
Tronox Pigments BV, 3/19/20 4.5 01/24/2017 388,938 390,883
BNC Mortgage Loan Trust 2007-4, Floating Rate Note, 11/25/37 0.4055 11/25/2037 9,500,000 632,478
Philip Morris International, Inc., Floating Rate Note, 2/26/15 0.2844 02/26/2015 1,500,000 1,501,548
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/35 0.4555 12/25/2035 3,750,000 475,147
Federal National Mortgage Association, Floating Rate Note, 12/15/14 0.42 12/15/2014 1,400,000 1,405,182
Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/15/26 (144A) 1.9045 08/15/2026 1,375,000 1,378,447
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 2/25/36 0.3355 02/25/2036 9,778,000 2,233,996
Carrington Mortgage Loan Trust Series 2005-NC4, Floating Rate Note, 9/25/35 0.5555 09/25/2035 375,000 69,446
SNAAC Auto Receivables Trust, 1.78%, 6/15/16 (144A) 1.78 06/15/2016 1,650,000 66,795
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 1.733 08/20/2034 4,000,000 262,145
Starwood Property Mortgage Trust 2013-FV1, Floating Rate Note, 8/11/28 (144A) 1.4533 08/11/2028 2,495,000 2,496,887
Reynolds Group Holdings, Inc., 12/31/18 4.0 12/31/2018 793,241 799,603
Psav Presentation Services 1st Lien Tl-B L + 3.5% 24jan21   01/24/2021 230,000 231,725
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2.8625 03/25/2034 8,200,000 605,273
The Manitowoc Co, Inc., Term B Loan, 12/18/20 3.25 12/18/2020 85,000 85,264
Schaeffler AG, 1/27/17 4.25 01/27/2017 683,943 689,193
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-D, Floating Rate Note, 9/25/29 2.1206 09/25/2029 11,000,000 826,912
Activision Blizzard, Inc., 7/26/20 3.25 07/26/2020 1,350,000 1,355,661
Volkswagen Auto Lease Trust 2013-A, Floating Rate Note, 12/21/15 0.404 12/21/2015 2,000,000 1,912,307
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 7/20/16 0.754 07/20/2016 250,000 250,420
Credit Suisse First Boston Mortgage Securities Corp., 4.829%, 11/15/37 4.829 11/15/2037 649,797 643,805
CommScope, Inc., Tranche 3 Term Loan, 1/21/17 2.7331 01/21/2017 159,636 160,235
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 3.6158 01/17/2019 1,500,000 1,540,405
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 8.805 06/06/2015 1,450,000 1,566,667
Government National Mortgage Association, Floating Rate Note, 1/16/33 0.3545 01/16/2033 26,309,521 1,226,410
Mediacom Illinois LLC, 3/31/18   03/31/2018 1,400,000 1,396,500
Bayview Financial Acquisition Trust, 6.205%, 5/28/37 (Step) 6.205 05/28/2037 100,000 66,680
PACCAR Financial Corp., Floating Rate Note, 6/5/14 0.4913 06/05/2014 3,000,000 3,005,378
Sumitomo Mitsui Banking Corp. New York, Floating Rate Note, 4/1/15 0.6466 04/01/2015 1,000,000 1,002,974
JP Morgan Chase Commercial Mortgage Securities Corp., Floating Rate Note, 10/15/25 (144A) 2.0195 10/15/2025 2,350,000 2,357,312
Telesat Canada, 3/28/19 3.5 03/28/2019 667,146 669,895
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.7055 09/25/2037 1,915,000 294,768
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/29 0.5045 02/15/2029 23,100,000 323,811
XLIT, Ltd., 5.25%, 9/15/14 5.25 09/15/2014 3,467,000 3,635,199
Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16 1.0839 06/17/2016 1,130,000 1,142,251
GE Business Loan Trust 2003-1, Floating Rate Note, 4/15/31 (144A) 0.5845 04/15/2031 20,374,890 1,107,970
State Street Bank & Trust Co., Floating Rate Note, 12/8/15 0.4416 12/08/2015 2,320,000 2,319,534
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/38 0.5545 06/15/2038 4,056,000 1,255,046
Merrill Lynch Mortgage Synthetic, Floating Rate Note, 6/28/35 (144A) 0.8895 06/28/2035 1,500,000 732,477
CAM Mortgage Trust, 3.3515%, 12/15/53 (Step) (144A) 3.3515 12/15/2053 2,060,000 1,961,041
321 Henderson Receivables I LLC, Floating Rate Note, 9/15/45 (144A) 0.5045 09/15/2045 1,386,000 402,784
Federal National Mortgage Association, Floating Rate Note, 8/25/14 0.34 08/25/2014 1,800,000 1,802,563
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 10/25/34 0.8755 10/25/2034 4,100,000 91,211
De Flt% 25feb16 0.3357 02/25/2016 2,000,000 2,000,000
Harch CLO III, Ltd., Floating Rate Note, 4/17/20 (144A) 1.9861 04/17/2020 500,000 479,962
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 0.7255 09/25/2036 13,053,000 1,153,278
PF Chang's China Bistro, Inc., 6/22/19 4.2977 05/15/2019 865,052 866,134
Express Scripts Holding Co., 2.75%, 11/21/14 2.75 11/21/2014 4,135,000 4,233,214
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.1055 10/25/2037 4,080,200 1,312,460
American Honda Finance Corp., Floating Rate Note, 6/18/14 (144A) 0.6429 06/18/2014 1,500,000 1,503,953
GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34 0.9355 06/25/2034 52,357,062 1,933,567
Acosta, Inc., 3/2/18 4.25 03/02/2018 844,506 850,577
SBA Senior Finance II LLC, Incremental Tranche B-1- A Term Loan, 3/31/21 3.25 03/31/2021 300,000 300,038
TMS International Corp., 10/2/20 4.5 10/04/2020 150,000 151,594
SunTrust Bank, Floating Rate Note, 2/15/17 0.6771 02/15/2017 2,500,000 2,500,978
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 0.7055 05/25/2040 2,619,152 1,402,349
SMART Trust/Australia, Floating Rate Note, 6/14/15 0.4835 06/14/2015 1,800,000 698,460
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 0.8555 03/25/2035 5,042,000 784,447
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 0.9055 02/25/2033 10,185,000 449,288
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 0.6075 05/07/2024 2,000,000 1,761,611
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.3645 11/15/2018 2,080,000 678,108
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18   10/18/2018 742,500 745,682
Canadian National Railway Co., Floating Rate Note, 11/6/15 0.4365 11/06/2015 1,675,000 1,676,593
MASTR Adjustable Rate Mortgages Trust 2003-3, Floating Rate Note, 9/25/33 2.1096 09/25/2033 2,650,000 847,842
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 4.7429 01/07/2015 2,970,000 3,039,944
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 0.4555 07/25/2035 9,145,238 2,314,118
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 0.4255 09/25/2035 28,946,000 2,978,496
Fly Funding II Sarl, 8/8/18 4.5 08/09/2018 1,628,776 1,654,565
First Franklin Mortgage Loan Trust 2004-FF10, Floating Rate Note, 9/25/34 1.2355 09/25/2034 1,161,072 68,892
Toyota Motor Credit Corp., 1.25%, 11/17/14 1.25 11/17/2014 554,000 559,708
Yale University, 2.9%, 10/15/14 2.9 10/15/2014 1,237,000 1,270,527
John Deere Capital Corp., Floating Rate Note, 10/11/16 0.5317 10/11/2016 1,500,000 1,504,163
General Electric Capital Corp., Floating Rate Note, 4/24/14 0.9371 04/24/2014 2,420,000 2,424,080
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 0.5555 05/25/2033 9,443,647 377,551
Irwin Whole Loan Home Equity Trust 2005-C, Floating Rate Note, 4/25/30 0.7255 04/25/2030 5,000,000 254,906
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2004-2, Floating Rate Note, 6/25/ 1.1155 06/25/2034 21,291,000 1,920,592
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 0.5645 06/28/2044 8,536,000 367,698
CHL Mortgage Pass-Through Trust 2003-15, Floating Rate Note, 6/25/18 0.6555 06/25/2018 25,913,062 812,523
Countrywide Asset-Backed Certificates, Floating Rate Note, 7/25/35 0.5955 07/25/2035 2,058,000 456,200
Santander Drive Auto Receivables Trust 2011-S2, 2.86%, 6/15/17 (144A) 2.86 06/15/2017 360,000 34,621
Nationstar Mortgage Advance Receivables Trust 2013-T2, 1.679%, 6/20/46 (144A) 1.679 06/20/2046 908,000 898,630
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.3955 06/25/2037 8,285,000 1,533,144
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/35 0.5545 10/15/2035 7,355,000 1,184,972
Federal National Mortgage Association, Floating Rate Note, 6/23/14 0.36 06/23/2014 6,700,000 6,710,278
Ford Credit Auto Owner Trust 2014-A, 0.48%, 11/15/16 0.48 11/15/2016 950,000 950,864
Ally Master Owner Trust, Floating Rate Note, 8/15/17 1.2245 08/15/2017 3,000,000 3,028,191
Georgia Power Co., Floating Rate Note, 8/15/16 0.6359 08/15/2016 1,000,000 1,000,968
GreenPoint Mortgage Funding Trust 2005-HE4, Floating Rate Note, 7/25/30 0.5955 07/25/2030 95,421,717 1,014,599
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 1.1545 11/18/2032 105,671,000 2,430,402
Countrywide Asset-Backed Certificates, Floating Rate Note, 12/25/34 1.2055 12/25/2034 2,000,000 1,522,418
Cisco Systems, Inc., Floating Rate Note, 3/3/17 0.5161 03/03/2017 1,000,000 1,002,379
First Franklin Mortgage Loan Trust Series 2005-FF12, Floating Rate Note, 11/25/36 0.4155 11/25/2036 1,750,000 305,594
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 0.7045 02/15/2033 15,000,000 546,920
Milacron LLC, 3/28/20 4.25 03/12/2020 694,750 696,704
MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35 0.5055 02/25/2035 21,274,000 2,441,188
NSTAR Electric Co., 4.875%, 4/15/14 4.875 04/15/2014 1,400,000 1,432,655
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/23 0.5555 06/25/2023 3,460,000 239,103
Structured Asset Investment Loan Trust 2005-4, Floating Rate Note, 5/25/35 0.7555 05/25/2035 1,000,000 215,004
Booz Allen Hamilton, Inc., 7/31/19 3.75 07/31/2019 1,634,225 1,643,929
NSG Holdings LLC, 12/11/19 3.75 11/15/2019 1,596,029 1,604,009
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.3755 04/25/2031 6,464,393 1,379,473
Anheuser-Busch InBev Worldwide, Inc., 4.125%, 1/15/15 4.125 01/15/2015 1,650,000 1,711,249
National Australia Bank, Ltd., Floating Rate Note, 7/25/14 (144A) 1.1886 07/25/2014 3,125,000 3,140,518
Gracechurch Card Funding Plc, Floating Rate Note, 2/15/17 (144A) 0.8545 02/15/2017 900,000 903,955
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.2845 11/15/2018 6,880,620 1,256,419
Resimac MBS Trust, Floating Rate Note, 3/7/14 (144A) 0.5075 03/07/2014 2,100,000 2,100,625
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 2/26/16 0.6444 02/26/2016 3,330,000 3,340,397
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 4/4/14 0.4929 04/04/2014 2,925,000 2,927,926
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 0.4155 11/25/2046 4,792,000 1,017,131
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 1.1555 08/25/2034 158,000 6,827
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 0.6111 01/30/2017 1,900,000 1,899,628
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 0.4155 12/25/2035 2,967,970 977,616
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 0.5745 06/15/2036 5,835,000 700,312
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-5, Floating Rate Note, 1 0.4055 12/25/2035 2,400,000 389,917
Honda Auto Receivables 2012-2 Owner Trust, 0.7%, 2/16/16 0.7 02/16/2016 1,200,000 1,057,756
American Credit Acceptance Receivables Trust 2013-1, 1.45%, 4/16/18 (144A) 1.45 04/16/2018 1,715,000 1,016,489
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B, Floating Rate Note, 5/25/29 0.8869 05/25/2029 12,160,000 583,904
Calpine Corp., 10/9/19 4.0 09/27/2019 765,993 770,542
NCUA Guaranteed Notes Trust, Floating Rate Note, 11/6/17 0.5275 11/06/2017 6,590,000 2,983,471
Discover Card Execution Note Trust, Floating Rate Note, 3/15/17 0.3645 03/15/2017 800,000 800,576
GE Business Loan Trust 2004-2, Floating Rate Note, 12/15/32 (144A) 0.3745 12/15/2032 5,810,863 1,475,823
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33 0.6555 09/25/2033 19,984,406 2,668,858
Citigroup Mortgage Loan Trust 2007-WFHE2, Floating Rate Note, 3/25/37 0.3055 03/25/2037 6,642,000 335,378
American Express Centurion Bank, Floating Rate Note, 11/13/15 0.6866 11/13/2015 2,950,000 2,965,214
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 0.6155 03/25/2030 39,366,746 3,109,661
RREF 2013 LT2 LLC, 2.8331%, 5/22/28 (144A) 2.8331 05/22/2028 3,000,000 1,473,672
RASC Series 2007-KS3 Trust, Floating Rate Note, 4/25/37 0.3355 04/25/2037 1,500,000 624,255
MortgageIT Trust 2005-2, Floating Rate Note, 5/25/35 0.4155 05/25/2035 8,495,000 1,778,049
GE Business Loan Trust 2006-2, Floating Rate Note, 11/15/34 (144A) 0.3345 11/15/2034 5,767,382 2,453,594
Government National Mortgage Association, 4.5%, 5/20/33 4.5 05/20/2033 1,860,000 79,418
Fosse Master Issuer Plc, Floating Rate Note, 10/18/54 (144A) 1.6366 10/18/2054 1,000,000 883,592
Johnson & Johnson, Floating Rate Note, 5/15/14 0.3259 05/15/2014 1,372,000 1,372,414
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 0.358 10/27/2037 2,382,000 2,376,400
Countrywide Home Equity Loan Trust, Floating Rate Note, 6/15/29 0.4145 06/15/2029 28,190,000 222,777
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/30 0.7055 12/25/2030 20,000,000 113,115
Exeter Automobile Receivables Trust 2012-2, 3.06%, 7/16/18 (144A) 3.06 07/16/2018 1,000,000 1,013,873
Bear Stearns Asset Backed Securities Trust 2003-AC5, Floating Rate Note, 10/25/33 1.2555 10/25/2033 2,875,000 320,066
Wyle Services Corp., 3/26/17 5.0 03/31/2017 475,686 475,884
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 0.6055 07/25/2034 2,500,000 172,765
Federal Farm Credit Banks, Floating Rate Note, 3/4/15 0.21 03/04/2015 1,360,000 1,362,638
GreenPoint Mortgage Funding Trust 2005-HE4, Floating Rate Note, 7/25/30 0.8755 07/25/2030 2,051,321 277,201
Citibank Credit Card Issuance Trust, Floating Rate Note, 4/24/17 0.2555 04/24/2017 9,450,000 9,449,239
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 0.5555 03/25/2034 20,624,640 1,453,667
Morgan Stanley Capital I Trust 2005-HQ6, 4.989%, 8/13/42 4.989 08/13/2042 3,750,000 3,917,998
MetLife Institutional Funding II, Floating Rate Note, 4/4/14 (144A) 1.1429 04/04/2014 900,000 902,279
Countrywide Asset-Backed Certificates, Floating Rate Note, 4/25/36 0.3955 04/25/2036 20,000,000 130,012
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 1.0955 12/25/2034 23,713,000 723,509
Cequel Communications LLC, 2/14/19 3.5 01/31/2019 1,188,428 1,190,281
Federal National Mortgage Association REMICS, Floating Rate Note, 7/18/27 0.6545 07/18/2027 10,000,000 44,937
Volkswagen International Finance NV, Floating Rate Note, 3/21/14 (144A) 0.9959 03/21/2014 300,000 300,666
JP Morgan Chase Commercial Mortgage Securities Trust 2013-ALC, Floating Rate Note, 7/17/26 (144A) 3.005 07/17/2026 1,466,000 1,480,904
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 0.9055 02/25/2035 21,336,125 1,539,207
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA Netherlands, Floating Rate Note, 3/18/16 0.7229 03/18/2016 1,575,000 1,587,214
Immucor, Inc., 8/19/18 5.0 08/19/2018 219,974 221,486
Motel 6 Trust, 1.5%, 10/5/25 (144A) 1.5 10/05/2025 1,000,000 934,644
Albertsons LLC, 3/21/19 4.75 03/21/2019 1,261,023 1,273,318
Union Bank NA, Floating Rate Note, 9/26/16 0.9959 09/26/2016 1,000,000 1,011,417
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 0.3055 05/25/2036 2,895,912 1,061,116
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 0.6355 07/25/2035 2,600,000 2,491,576
AmeriCredit Automobile Receivables Trust 2013-4, 0.74%, 11/8/16 0.74 11/08/2016 1,500,000 1,502,887
Embarcadero Reinsurance, Ltd., Floating Rate Note, 8/7/15 (Cat Bond) (144A) 5.2376 08/07/2015 525,000 543,497
Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 1.1548 02/25/2024 1,555,000 1,560,948
Structured Asset Mortgage Investments II Trust 2004-AR1, Floating Rate Note, 3/19/34 0.8545 03/19/2034 15,000,000 945,636
Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2005-C, Floating Rate Note, 10/25/35 0.4255 10/25/2035 4,000,000 177,070
MetroCat Re, Ltd., Floating Rate Note, 8/5/16 (Cat Bond) (144A) 4.5304 08/05/2016 1,500,000 1,548,488
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 0.5555 05/25/2035 1,150,000 25,025
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 5.46 11/15/2035 1,240,000 1,191,535
Toyota Motor Credit Corp., Floating Rate Note, 4/7/14 0.25 04/07/2014 2,000,000 2,000,742
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 1.304 11/20/2036 100,000 84,597
Government National Mortgage Association II, Floating Rate Note, 1/20/22 1.625 01/20/2022 1,000,000 15,849
Ibis Re II, Ltd., Floating Rate Note, 2/5/15 (Cat Bond) (144A) 8.4108 02/05/2015 300,000 313,469
Federal Farm Credit Banks, Floating Rate Note, 4/21/14 0.216 04/21/2014 1,925,000 1,925,688
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 4.985 09/11/2042 3,751,000 3,933,637
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 2.5 11/05/2020 500,000 500,313
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/32 0.6055 09/25/2032 19,400,000 389,089
Language Line LLC, 6/20/16 6.25 05/30/2016 920,764 921,148
CHL Mortgage Pass-Through Trust 2003-11, Floating Rate Note, 5/25/33 0.7055 05/25/2033 30,308,000 438,359
Federal National Mortgage Association, Floating Rate Note, 1/20/15 0.164 01/20/2015 760,000 760,499
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/31 0.7555 07/25/2031 50,000,000 383,921
John Deere Capital Corp., Floating Rate Note, 4/25/14 0.3886 04/25/2014 897,000 897,749
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 0.4612 02/28/2041 5,200,000 276,415
Morgan Stanley Capital I, Inc., Floating Rate Note, 10/15/20 (144A) 0.285 10/15/2020 3,025,000 2,952,995
Johnston Re, Ltd., Floating Rate Note, 5/8/14 (Cat Bond) (144A) 7.66 05/08/2014 5,250,000 5,386,558
Merrill Lynch Mortgage Trust 2004-KEY2, Floating Rate Note, 8/12/39 4.864 08/12/2039 1,155,000 1,124,318
Confie seguros Holding II Co., 11/9/18 5.75 11/09/2018 498,731 499,354
Federal Home Loan Banks, 2.375%, 3/14/14 2.375 03/14/2014 9,650,000 9,763,024
Royal Bank of Canada, Floating Rate Note, 10/30/14 0.9361 10/30/2014 2,700,000 2,714,912
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/25/33 1.5055 12/25/2033 300,000 21,538
Waste Industries USA, Inc., 3/17/17 4.0 02/23/2017 150,368 150,931
Multi Packaging Solutions 1st Lien Tl-B L + 3.25% 30sep20   09/30/2020 175,000 176,641
Government National Mortgage Association, Floating Rate Note, 7/20/41 0.404 07/20/2041 2,647,831 1,897,496
The Bank of New York Mellon Corp., Floating Rate Note, 10/23/15 0.4666 10/23/2015 1,468,000 1,472,201
Armor Re, Ltd., Floating Rate Note, 5/14/14 (Cat Bond) (144A) 4.25 05/14/2014 6,800,000 6,820,882
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.4055 03/25/2037 3,413,000 607,231
The Toronto-Dominion Bank, 1.375%, 7/14/14 1.375 07/14/2014 1,100,000 1,106,477
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 0.7955 03/25/2034 50,182,000 3,267,366
RAMP Series 2005-RZ4 Trust, Floating Rate Note, 11/25/35 0.4155 11/25/2035 21,876,980 953,166
Metaldyne LLC, 12/18/18 5.0 12/19/2018 1,991,222 2,006,156
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/36 0.3955 12/25/2036 4,800,000 354,439
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 0.5055 06/25/2034 11,977,997 1,264,076
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 1.8889 10/15/2054 1,676,000 1,364,805
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 2.5 03/20/2025 350,000 215,763
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 10/25/36 (144A) 0.4255 10/25/2036 2,010,000 203,748
Structured Asset Securities Corp Mortgage Loan Trust 2007-BC3, Floating Rate Note, 5/25/47 0.2155 05/25/2047 3,500,000 274,292
Fannie Mae, Floating Rate Note, 4/1/15 2.825 04/01/2015 4,200,043 2,836
General Electric Capital Corp., Floating Rate Note, 7/10/15 0.6204 07/10/2015 690,000 693,493
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/39 0.6045