Pioneer Investments: Pioneer Multi-Asset Ultrashort Income Fund


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Pioneer Multi-Asset Ultrashort Income Fund

Monthly Portfolio Holdings as of 7/31/2015

Security Name Coupon Maturity Date Par / Shares Market Value($)
Bank of America NA, Floating Rate Note, 2/14/17 0.745 02/14/2017 2,000,000 2,000,818
Chase Issuance Trust, Floating Rate Note, 10/16/17 0.3373 10/16/2017 2,700,000 2,700,379
FCA US LLC, Tranche B Term Loan, 12/29/18 3.25 12/29/2018 2,863,750 2,866,256
United Airlines, Inc., Class B Term Loan, 4/1/19 3.25 04/01/2019 244,375 244,655
Orbital ATK, Inc., Term B Loan, 10/22/20 3.5 10/22/2020 393,505 394,895
Quest Trust REMICS, Floating Rate Note, 3/25/34 (144A) 0.8505 03/25/2034 95,089,092 3,000,527
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 0.3905 01/25/2036 6,155,063 957,572
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 0.7905 04/25/2034 12,006,021 468,020
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 2/26/16 0.692 02/26/2016 3,330,000 3,333,918
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 1.6835 12/22/2054 5,635,000 3,940,570
Chase Issuance Trust, Floating Rate Note, 3/15/19 0.2273 03/15/2019 6,300,000 6,273,139
GLC Trust 2013-1, 3.0%, 7/15/21 (144A) 3.0 07/15/2021 3,200,000 1,848,522
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 0.512 01/20/2021 3,500,000 815,525
Georgia Power Co., Floating Rate Note, 3/15/16 0.6059 03/15/2016 1,090,000 1,089,938
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 4.75 04/25/2034 12,155,000 474,193
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/29 0.5373 05/15/2029 15,000,000 110,390
Permanent Master Issuer Plc, Floating Rate Note, 7/15/42 (144A) 1.8888 07/15/2042 887,000 888,931
Citibank Credit Card Issuance Trust, Floating Rate Note, 5/9/18 0.3895 05/09/2018 3,500,000 3,499,513
ConvaTec, Inc., Dollar Term Loan, 12/22/16 4.25 12/22/2016 840,000 838,950
NCUA Guaranteed Notes Trust, Floating Rate Note, 10/7/20 0.635 10/07/2020 2,040,000 890,390
American Express Centurion Bank, Floating Rate Note, 11/13/15 0.7266 11/13/2015 6,390,000 6,405,545
BioScrip, Inc., Delayed Draw Term Loan, 7/31/20 6.5 07/31/2020 328,915 327,476
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 2,288,218
Principal Life Global Funding II, 1.0%, 12/11/15 (144A) 1.0 12/11/2015 3,770,000 3,781,430
Crusade Global Trust No 1 of 2007, Floating Rate Note, 4/19/38 0.347 04/19/2038 15,883,244 2,170,694
Carrington Mortgage Loan Trust Series 2005-NC4, Floating Rate Note, 9/25/35 0.5905 09/25/2035 375,000 25,722
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 0.4505 11/25/2035 20,500,508 1,245,988
Encore Credit Receivables Trust 2005-3, Floating Rate Note, 10/25/35 0.6605 10/25/2035 3,705,000 217,044
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 0.3405 05/25/2036 10,654,334 2,171,421
Toyota Motor Credit Corp., Floating Rate Note, 5/17/16 0.566 05/17/2016 3,800,000 3,811,564
VOLT NPL X LLC, 3.375%, 10/26/54 (Step) (144A) 3.375 10/26/2054 4,390,000 2,033,104
Banc of America Mortgage 2004-I Trust, Floating Rate Note, 10/25/34 2.4955 10/25/2034 6,000,000 373,967
EQTY 2014-INNS Mortgage Trust REMICS, Floating Rate Note, 5/8/31 (144A) 1.785 05/08/2031 1,850,000 1,827,370
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 0.5005 11/25/2035 25,178,000 4,265,011
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 11/10/16 (Cat Bond) (144A) 11.8764 11/10/2016 500,000 502,978
Foresight Energy LLC, Term Loan, 8/21/20 5.5 08/21/2020 221,862 215,206
Apple, Inc., Floating Rate Note, 5/3/16 0.3288 05/03/2016 1,500,000 1,501,678
CGWF Commercial Mortgage Trust 2013-RKWH REMICS, Floating Rate Note, 11/15/30 (144A) 2.0873 11/15/2030 6,770,000 6,774,860
PNC Bank NA, Floating Rate Note, 6/1/18 0.7028 06/01/2018 2,500,000 2,498,059
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 0.8188 07/15/2016 2,500,000 2,511,184
NRG Energy, Inc., 8.25%, 9/1/20 8.25 09/01/2020 1,250,000 1,344,844
ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A) 3.081 09/25/2025 1,558,000 377,088
PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29 1.44 05/15/2029 1,300,000 768,944
Berkshire Hathaway Finance Corp., Floating Rate Note, 1/10/17 0.4335 01/10/2017 1,855,000 1,856,614
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 0.5005 05/25/2036 13,100,000 1,184,014
Canadian National Railway Co., Floating Rate Note, 11/14/17 0.445 11/14/2017 1,670,000 1,665,914
Wells Fargo Bank NA, Floating Rate Note, 5/16/16 0.486 05/16/2016 975,000 973,625
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/25 0.4905 04/25/2025 540,000 72,470
Truven Health Analytics, Inc., New Tranche B Term Loan, 6/6/19 4.5 06/06/2019 339,559 339,024
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 5.46 11/15/2035 1,240,000 920,037
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 0.639 04/28/2039 1,899,351 1,181,640
Sequoia Mortgage Trust 2003-2, Floating Rate Note, 6/20/33 1.0827 06/20/2033 13,961,000 452,232
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 1.784 08/20/2034 8,500,000 338,042
Nelnet Student Loan Trust 2005-1, Floating Rate Note, 10/26/20 0.3651 10/26/2020 1,795,000 310,007
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 4.25 04/25/2034 16,913,000 234,919
Structured Asset Mortgage Investments II Trust 2004-AR1, Floating Rate Note, 3/19/34 0.888 03/19/2034 16,800,000 722,277
Oscar US Funding Trust II, Floating Rate Note, 2/15/18 (144A) 0.8855 02/15/2018 1,600,000 1,600,669
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL6, Floating Rate Note, 11/17/31 (144A) 1.588 11/17/2031 4,240,000 4,241,614
Aon Corp., 3.5%, 9/30/15 3.5 09/30/2015 3,648,000 3,706,145
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-R11, Floating Rate Note, 0.7955 11/25/2034 90,900,000 2,597,788
US Bank NA Cincinnati Ohio, Floating Rate Note, 1/26/18 0.5951 01/26/2018 2,600,000 2,601,238
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 1.82 09/15/2020 731,000 283,526
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 0.5373 05/15/2041 340,000 93,205
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 0.5405 05/25/2036 23,900,354 633,462
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR10, Floating Rate Note, 12/11/40 5.405 12/11/2040 4,250,000 2,374,938
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 2.8155 08/25/2034 2,122,000 225,067
COMM 2014-FL5 Mortgage Trust, Floating Rate Note, 10/17/31 (144A) 1.8729 10/17/2031 4,970,000 4,970,680
Chevron Corp., Floating Rate Note, 11/9/16 0.3789 11/09/2016 2,640,000 2,642,542
Bank of Nova Scotia Houston, Floating Rate Note, 10/23/15 0.5441 10/23/2015 1,640,000 1,640,661
Univision Communications, Inc., Replacement First-Lien Term Loan, 3/1/20 4.0 03/01/2020 659,700 660,158
Cabela's Credit Card Master Note Trust, Floating Rate Note, 3/16/20 0.5373 03/16/2020 1,505,000 1,501,996
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.5873 12/15/2032 11,201,000 718,265
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.2405 10/25/2037 2,211,066 1,306,033
Credit Acceptance Auto Loan Trust 2013-2, 1.5%, 4/15/21 (144A) 1.5 04/15/2021 330,000 331,320
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 0.7905 12/25/2023 13,749,086 97,059
Scientific Games International Inc 1st Lien Tl-B2 L + 5% 17sep21 6.0 09/17/2021 1,990,000 2,000,945
Michaels Stores, Inc., Term B Loan, 1/28/20 3.75 01/28/2020 977,500 980,380
CSMC Trust 2015-DEAL, Floating Rate Note, 4/16/29 (144A) 2.038 04/16/2029 3,500,000 3,492,450
Cratos CLO, Ltd., Floating Rate Note, 5/19/21 (144A) 2.6765 05/19/2021 4,500,000 4,454,144
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.4405 03/25/2037 39,983,000 703,211
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.4105 04/25/2031 6,464,393 935,110
Wells Fargo Home Equity Asset-Backed Securities 2005-2 Trust, Floating Rate Note, 11/25/35 0.6005 11/25/2035 189,000 10,281
Communications Sales & Leasing Inc 1st Lien Tl-B L + 4% 16oct22 5.0 10/16/2022 400,000 390,500
Chase Issuance Trust, Floating Rate Note, 8/15/17 0.3173 08/15/2017 9,130,000 9,131,112
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.4305 06/25/2037 7,474,000 812,866
Government National Mortgage Association, Floating Rate Note, 1/16/35 0.437 01/16/2035 11,437,000 1,096,062
Specialty Underwriting & Residential Finance Trust Series 2005-AB2, Floating Rate Note, 6/25/36 0.5805 06/25/2036 1,500,000 350,879
New Albertsons Inc 1st Lien Tl L + 3.75% 24jun21 4.75 06/24/2021 496,250 498,049
ML-CFC Commercial Mortgage Trust 2006-2, Floating Rate Note, 6/12/46 6.0283 06/12/2046 3,700,000 3,819,660
Svenska Handelsbanken AB, Floating Rate Note, 3/21/16 0.7308 03/21/2016 4,735,000 4,748,514
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/33 1.1873 11/15/2033 2,550,000 281,186
Federal Home Loan Mortgage Corp., Floating Rate Note, 2/15/18 0.5373 02/15/2018 26,045,000 466,304
FCI - FIDJI LUXEMBOURG BC4 SARL, Term Loan, 12/19/20 6.25 12/19/2020 1,312,500 1,312,500
RPI Finance Trust, 5/9/18 3.25 05/09/2018 0 0
Compass Re II, Ltd., Floating Rate Note, 12/8/15 (Cat Bond) 0.0 12/08/2015 1,000,000 957,800
Callidus Debt Partners Clo Fund VI, Ltd., Floating Rate Note, 10/23/21 (144A) 0.5541 10/23/2021 3,500,000 2,746,403
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 0.4505 09/25/2035 6,230,000 237,621
Georgia Power Co., Floating Rate Note, 8/15/16 0.6739 08/15/2016 1,000,000 999,905
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 3.25 11/05/2020 493,750 496,643
Royal Bank of Canada, Floating Rate Note, 2/3/17 0.5388 02/03/2017 500,000 500,655
Harley-Davidson Motorcycle Trust 2012-1, 0.68%, 4/17/17 0.68 04/17/2017 2,700,000 18,695
First Franklin Mortgage Loan Trust Series 2005-FF12, Floating Rate Note, 11/25/36 0.4505 11/25/2036 2,150,000 271,759
Calpine Corp., Term Loan (10/12), 10/9/19 4.0 10/09/2019 754,358 757,540
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 0.789 10/25/2028 42,221,000 1,270,838
Duk Cp Zero% 11aug15 Usd 0.0 08/11/2015 2,650,000 2,649,806
NSTAR Electric Co., Floating Rate Note, 5/17/16 0.516 05/17/2016 1,013,000 1,012,116
Zebra Technologies Corporation 1st Lien Tl-B L + 4% 30sep21 4.75 09/30/2021 940,909 953,389
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.4205 06/25/2037 632,250 69,259
American Credit Acceptance Receivables Trust 2014-4, 1.23%, 7/10/18 (144A) 1.23 07/10/2018 1,150,000 697,002
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 0.8305 09/25/2034 49,152,075 1,898,671
Tronox Pigments Holland BV, New Term Loan, 3/19/20 4.25 03/19/2020 382,432 366,657
Merna Reinsurance, Ltd., Floating Rate Note, 4/9/18 (Cat Bond) (144A) 2.0051 04/09/2018 1,000,000 993,378
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 0.5905 07/25/2035 1,110,000 999,452
14112z Zero% 01feb19 0.0 02/01/2019 2,500,000 2,684,750
Chase Issuance Trust, Floating Rate Note, 5/15/19 0.4373 05/15/2019 7,750,000 7,743,308
World Financial Network Credit Card Master Trust, Floating Rate Note, 12/16/19 0.5673 12/16/2019 10,375,000 10,378,890
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/16/27 (144A) 1.488 02/16/2027 3,350,000 3,352,979
Fresenius US Finance I, Inc., Tranche B Term Loan, 8/7/19 2.282 08/07/2019 1,473,750 1,472,522
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 1.6 06/19/2031 1,500,000 1,484,818
Springleaf Mortgage Loan Trust 2012-3, Floating Rate Note, 12/26/59 (144A) 1.57 12/26/2059 1,000,000 337,539
Westgate Resorts LLC, 9.5%, 2/20/25 (144A) 9.5 02/20/2025 5,000,000 1,052,346
DCP Midstream Operating LP, 3.25%, 10/1/15 3.25 10/01/2015 1,000,000 1,008,330
Morgan Stanley Capital I Trust 2006-TOP23, Floating Rate Note, 8/12/41 6.0094 08/12/2041 2,450,000 2,258,577
Freddie Mac REMICS, 5.0%, 6/15/33 5.0 06/15/2033 26,351,400 552,447
UBS AG, Floating Rate Note, 6/1/17 0.8428 06/01/2017 2,500,000 2,502,177
Nordea Bank AB, 0.875%, 5/13/16 (144A) 0.875 05/13/2016 2,650,000 2,661,169
Ascentium Equipment Receivables 2014-1 LLC, 1.04%, 1/10/17 (144A) 1.04 01/10/2017 1,000,000 473,072
American Honda Finance Corp., Floating Rate Note, 12/11/17 0.5955 12/11/2017 2,570,000 2,578,588
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 (144A) 2.188 12/15/2028 2,910,000 2,913,289
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 2/15/19 0.5873 02/15/2019 900,000 901,547
Caterpillar Financial Services Corp., Floating Rate Note, 2/26/16 0.522 02/26/2016 1,500,000 1,502,618
Federal Home Loan Banks, Floating Rate Note, 10/7/15 0.22 10/07/2015 2,640,000 2,640,688
Chemours Company Llc 1st Lien Tl-B L + 3% 12may22 3.75 05/12/2022 500,000 482,084
CWGS Group LLC, Term Loan, 2/20/20 5.25 02/20/2020 387,261 389,439
Hyundai Auto Receivables Trust 2014-B, 0.44%, 2/15/17 0.44 02/15/2017 99,000 34,223
Merrill Lynch Mortgage Trust 2006-C2, Floating Rate Note, 8/12/43 5.782 08/12/2043 6,475,000 6,742,569
Glenn Pool Oil & Gas Trust, Term Loan, 5/2/16 4.5 05/02/2016 14,097 14,062
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/26/35 0.9255 02/26/2035 19,369,028 1,768,690
Becton Dickinson and Co., Floating Rate Note, 6/15/16 0.7359 06/15/2016 2,700,000 2,702,845
Belden Finance 2013 LP, Initial Term Loan, 9/9/20 3.25 09/09/2020 638,625 639,822
Honda Auto Receivables 2013-1 Owner Trust, 0.48%, 11/21/16 0.48 11/21/2016 390,000 105,767
Dt Cp Zero% 07aug15 Usd 0.0 08/07/2015 2,500,000 2,499,883
Home Equity Asset Trust 2005-6, Floating Rate Note, 12/25/35 0.6605 12/25/2035 4,004,000 2,648,928
RASC Series 2005-KS5 Trust, Floating Rate Note, 6/25/35 0.9105 06/25/2035 1,500,000 327,737
WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21 2.75 01/23/2021 288,558 288,661
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 1.488 03/16/2026 1,460,000 1,459,831
Invitation Homes 2014-SFR3 Trust, Floating Rate Note, 12/18/31 (144A) 1.386 12/18/2031 2,000,000 1,993,631
Wachovia Bank Commercial Mortgage Trust Series 2006-C28 REMICS, Floating Rate Note, 10/15/48 5.603 10/15/2048 4,500,000 4,719,785
Cazenovia Creek Funding I LLC, 12/10/23 (144A) 2.773 12/10/2023 1,735,000 1,738,684
Exxon Mobil Corp., Floating Rate Note, 3/15/17 0.3259 03/15/2017 1,980,000 1,978,778
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 10/25/24 1.5905 10/25/2024 2,480,000 915,749
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 0.5188 05/02/2017 2,000,000 1,998,728
SNAAC Auto Receivables Trust, 4.38%, 6/15/17 (144A) 4.38 06/15/2017 1,800,000 81,807
Citigroup Commercial Mortgage Trust 2015-SSHP REMICS, Floating Rate Note, 9/15/27 (144A) 2.2873 09/15/2027 3,000,000 3,002,758
San Diego Gas & Electric Co., Floating Rate Note, 3/9/17 0.4812 03/09/2017 2,500,000 2,495,751
The Bank of New York Mellon Corp., Floating Rate Note, 10/23/15 0.5241 10/23/2015 3,533,000 3,535,300
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 1.2705 03/25/2035 1,457,000 376,983
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37 0.4873 02/15/2037 23,400,000 927,819
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 0.4405 02/25/2037 20,692,000 688,647
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/33 1.6866 05/15/2033 3,790,000 390,524
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 1.0905 05/26/2037 2,825,000 1,867,972
Six Flags Theme Parks Inc 1st Lien Tl-B L + 2.75% 30jun22 3.5 06/30/2022 1,150,000 1,156,110
Progreso Receivables Funding LLC, 3.0%, 7/8/20 3.0 07/08/2020 1,700,000 1,704,105
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/37 0.5273 05/15/2037 5,000,000 264,791
Colony American Homes 2014-2, Floating Rate Note, 7/19/31 (144A) 2.088 07/19/2031 2,100,000 2,094,695
CWABS Asset-Backed Certificates Trust 2005-1, Floating Rate Note, 2/25/33 5.147 02/25/2033 1,113,000 27,330
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 0.7405 05/25/2040 2,619,152 943,254
Countrywide Asset-Backed Certificates, Floating Rate Note, 10/25/34 1.0305 10/25/2034 5,000,000 2,211,683
American Honda Finance Corp., 1.0%, 8/11/15 (144A) 1.0 08/11/2015 1,000,000 1,004,851
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 10/23/15 0.4241 10/23/2015 2,500,000 2,500,320
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 3.5 04/30/2020 1,450,218 1,454,561
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 0.5285 02/22/2021 2,250,000 787,044
Asset Backed Securities Corp Home Equity Loan Trust Series OOMC 2005-HE6, Floating Rate Note, 7/25/3 0.7005 07/25/2035 1,879,167 1,079,164
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/33 0.5873 06/15/2033 10,000,000 474,989
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 0.689 06/28/2044 4,088,000 3,166,348
PF Chang's China Bistro, Inc., Term Borrowing, 7/2/19 4.25 07/02/2019 832,741 824,934
Duke Energy Progress, Inc., Floating Rate Note, 3/6/17 0.4789 03/06/2017 1,275,000 1,271,865
Manufactured Housing Contract Trust Pass-Through Certificates Series 2001-1, Floating Rate Note, 4/2 1.058 04/20/2032 9,286,000 502,402
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 1.689 11/05/2030 4,100,000 4,040,197
Centex Home Equity Loan Trust 2003-A, Floating Rate Note, 3/25/33 3.654 03/25/2033 2,230,000 372,521
Chemtura Corp., New Term Loan, 8/29/16 3.5 08/29/2016 71,429 71,518
Pricoa Global Funding I, Floating Rate Note, 5/16/16 (144A) 0.426 05/16/2016 1,500,000 1,501,183
Revlon Consumer Products Corp., Replacement Term Loan, 11/19/17 3.25 11/19/2017 958,583 959,781
General Mills, Inc., Floating Rate Note, 1/29/16 0.5941 01/29/2016 1,765,000 1,763,896
The Manitowoc Co, Inc., Term B Loan, 12/18/20 3.25 12/18/2020 71,613 71,589
PFS Financing Corp., Floating Rate Note, 10/15/19 (144A) 0.7873 10/15/2019 1,400,000 1,395,184
Toyota Motor Credit Corp., Floating Rate Note, 5/16/17 0.476 05/16/2017 2,589,000 2,587,381
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 0.4873 02/15/2030 2,056,750 786,251
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 2.563 10/25/2033 1,991,000 159,985
American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A) 0.657 05/26/2016 3,050,000 3,060,921
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 1.1905 12/25/2023 5,000,000 309,861
General Electric Capital Corp., Floating Rate Note, 5/15/17 0.5539 05/15/2017 2,000,000 2,005,540
Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A) 0.5151 04/25/2022 2,000,000 1,036,419
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 0.5373 02/15/2036 5,000,000 331,368
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.6873 12/15/2032 1,700,000 27,669
GMF Floorplan Owner Revolving Trust, Floating Rate Note, 5/15/20 (144A) 0.6873 05/15/2020 1,300,000 1,301,470
Cincinnati Bell, Inc., Tranche B Term Loan, 9/10/20 4.0 09/10/2020 1,228,125 1,228,893
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 0.5905 03/25/2034 20,624,640 1,228,008
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 0.8873 03/15/2032 22,000,000 186,969
Option One Mortgage Loan Trust 2007-FXD2, 5.9%, 3/25/37 (Step) 5.9 03/25/2037 810,000 36,605
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP5, Floating Rate Note, 12/15/44 5.2389 12/15/2044 8,709,924 3,367,351
Allied Security Holdings LLC, Closing Date Term Loan (First Lien), 2/12/21 4.25 02/12/2021 510,894 511,214
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 0.7673 10/15/2037 18,287,000 1,087,199
Citi Held For Asset Issuance 2015-PM1, 2.0%, 12/15/21 (144A) 2.0 12/15/2021 1,700,000 1,699,788
JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A) 1.438 04/15/2027 5,600,000 5,596,874
Golden Credit Card Trust, Floating Rate Note, 9/15/18 (144A) 0.6173 09/15/2018 715,000 715,559
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 2.5 03/20/2025 350,000 91,474
TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16 0.9618 06/30/2016 3,544,000 3,551,314
Government National Mortgage Association, Floating Rate Note, 8/20/38 0.688 08/20/2038 4,585,000 392,194
Oracle Corp., Floating Rate Note, 7/7/17 0.4843 07/07/2017 1,937,000 1,937,785
CGBAM Commercial Mortgage Trust 2014-HD, Floating Rate Note, 2/18/31 (144A) 1.388 02/18/2031 1,050,000 1,049,555
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 0.4905 10/25/2035 6,475,000 560,604
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 0.8305 01/25/2029 14,411,000 733,561
Kane Ilw Zero% 02feb16 0.0 02/02/2016 750,000 722,475
American Credit Acceptance Receivables Trust 2014-2, 0.99%, 10/10/17 (144A) 0.99 10/10/2017 3,300,000 661,680
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-WF1, 4.786%, 3/25/35 4.786 03/25/2035 735,000 24,589
Volkswagen Auto Lease Trust 2014-A, 0.52%, 10/20/16 0.52 10/20/2016 5,790,000 1,713,705
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 3.4737 01/17/2019 1,500,000 1,529,242
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 0.4905 10/25/2035 625,000 21,405
Kane Sac Zero% 15jun16 0.0 06/15/2016 500,000 483,650
Axalta Coating Systems US Holdings, Inc., Refinanced Term B Loan, 2/1/20 3.75 02/01/2020 1,018,766 1,019,191
Enterprise Products Operating LLC, 3.2%, 2/1/16 3.2 02/01/2016 3,355,000 3,443,975
Activision Blizzard, Inc., Term Loan, 7/26/20 3.25 07/26/2020 1,411,209 1,418,486
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5.46 09/10/2045 3,590,000 3,653,335
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 1.0318 11/25/2034 62,595,000 2,930,520
CD 2005-CD1 Commercial Mortgage Trust, Floating Rate Note, 7/15/44 5.3795 07/15/2044 3,277,000 419,436
CIT Equipment Collateral 2014-VT1, 0.86%, 5/22/17 (144A) 0.86 05/22/2017 2,500,000 2,499,787
Citigroup Mortgage Loan Trust 2010-4 REMICS, 5.0%, 10/25/35 (144A) 5.0 10/25/2035 9,095,000 2,043,797
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/37 1.4373 05/15/2037 3,000,000 226,977
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/36 0.6073 09/15/2036 3,320,000 338,232
PFS Financing Corp., Floating Rate Note, 10/15/19 (144A) 1.0373 10/15/2019 1,700,000 1,695,873
Mizuho Bank, Ltd., Floating Rate Note, 4/16/17 (144A) 0.7185 04/16/2017 2,000,000 1,997,333
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/36 0.4305 12/25/2036 4,800,000 229,324
Queen Street X RE, Ltd., Floating Rate Note, 6/8/18 (Cat Bond) (144A) 5.75 06/08/2018 1,000,000 986,689
Structured Asset Investment Loan Trust 2006-1, Floating Rate Note, 1/25/36 0.3905 01/25/2036 4,650,000 885,852
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 7/25/34 0.5605 07/25/2034 20,600,000 2,152,219
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 1.4438 07/25/2029 3,866,000 111,739
The Hertz Corp., Tranche B-1 Term Loan, 3/11/18 4.0 03/11/2018 731,250 733,192
PFP 2015-2, Ltd., Floating Rate Note, 7/14/34 (144A)   07/14/2034 3,750,000 3,750,000
Salomon Mortgage Loan Trust Series 2001-CB4, Floating Rate Note, 11/25/33 1.0905 11/25/2033 4,754,000 112,436
Chesapeake Funding LLC, Floating Rate Note, 2/7/27 (144A) 0.6884 02/07/2027 2,500,000 2,499,471
General Motors Financial Co, Inc., Floating Rate Note, 4/10/18 1.6435 04/10/2018 2,500,000 2,506,301
Post Holdings Inc 1st Lien Tl-B L + 3% 23may21 3.75 05/23/2021 990,003 990,993
SMART ABS Series 2015-1US Trust, Floating Rate Note, 8/14/17 0.606 08/14/2017 2,250,000 2,250,896
Manufacturers & Traders Trust Co., Floating Rate Note, 7/25/17 0.5951 07/25/2017 2,400,000 2,389,038
Citigroup Mortgage Loan Trust Series 2004-OPT1 Asset Backed Pass-Through Certifi, Floating Rate Note 1.0155 10/25/2034 2,140,000 1,429,047
Impac CMB Trust Series 2004-5, Floating Rate Note, 8/25/34 1.0305 08/25/2034 9,850,000 466,611
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 3.9651 05/18/2016 1,910,000 1,929,800
Federal Farm Credit Banks, Floating Rate Note, 2/18/16 0.191 02/18/2016 2,610,000 2,611,109
Fannie Mae, Floating Rate Note, 9/1/32 2.236 09/01/2032 375,000 20,080
RALI Series 2003-QS10 Trust, Floating Rate Note, 5/25/33 0.5905 05/25/2033 38,865,000 596,670
Capital One Multi-Asset Execution Trust, Floating Rate Note, 6/17/19 0.2773 06/17/2019 5,470,000 5,461,056
Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A) 3.5051 06/06/2018 750,000 757,158
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/32 0.7873 09/15/2032 10,000,000 175,425
Chesapeake Funding LLC, Floating Rate Note, 11/7/23 (144A) 0.9384 11/07/2023 3,790,000 460,145
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC18, 5.44%, 6/12/47 5.44 06/12/2047 3,550,000 3,506,738
Daimler Finance North America LLC, Floating Rate Note, 8/3/17 (144A) 1.0101 08/03/2017 2,665,000 2,663,950
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 0.7905 05/25/2040 500,000 232,383
American Airlines Inc 1st Lien Tl-B L + 3% 10oct21 3.5 10/10/2021 500,000 500,469
RAMP Series 2004-RS11 Trust, Floating Rate Note, 11/25/34 1.1205 11/25/2034 3,805,000 839,252
Cabela's Credit Card Master Note Trust, Floating Rate Note, 9/17/18 (144A) 0.8873 09/17/2018 2,475,000 2,477,460
John Deere Capital Corp., Floating Rate Note, 12/10/15 0.4022 12/10/2015 1,800,000 1,801,307
AT&T, Inc., 2.4%, 8/15/16 2.4 08/15/2016 3,925,000 4,019,882
United Auto Credit Securitization Trust 2015-1, 1.68%, 9/15/17 (144A) 1.68 09/15/2017 2,500,000 2,508,584
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 2.4598 11/25/2034 5,495,000 461,514
San Diego Gas & Electric Co., 5.3%, 11/15/15 5.3 11/15/2015 2,500,000 2,559,162
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 1.8866 01/25/2029 16,556,000 190,716
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 0.489 02/28/2041 5,200,000 6,082
Medtronic, Inc., 4.75%, 9/15/15 4.75 09/15/2015 5,040,000 5,153,422
Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36 0.5705 06/25/2036 18,000,000 2,325,630
CNH Equipment Trust 2012-A, 2.09%, 8/15/18 2.09 08/15/2018 2,310,000 2,326,054
Monitronics International, Inc., Term B Loan (2013), 3/23/18 4.25 03/23/2018 90,966 91,392
Ford Motor Credit Co LLC, Floating Rate Note, 9/8/17 0.7989 09/08/2017 2,600,000 2,585,360
Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18 2.66 03/31/2018 1,382,500 1,381,924
Citibank Credit Card Issuance Trust, Floating Rate Note, 2/7/18 0.4284 02/07/2018 9,931,000 9,939,705
Commercial Mortgage Trust 2005-GG5, Floating Rate Note, 4/10/37 5.277 04/10/2037 6,995,000 7,047,830
Sequoia Mortgage Trust 4, Floating Rate Note, 11/22/24 0.909 11/22/2024 47,340,000 1,063,278
General Electric Capital Corp., Floating Rate Note, 1/14/16 0.5158 01/14/2016 1,865,000 1,866,583
Kloeckner Pentaplast Of America 1st Lien Tl L + 4% 22apr20 5.0 04/22/2020 67,719 68,227
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/31 0.7905 11/25/2031 50,000,000 404,940
Macquarie Bank, Ltd., Floating Rate Note, 10/27/17 (144A) 0.9251 10/27/2017 2,500,000 2,496,621
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 5.23 12/17/2040 9,446,500 3,233,908
Wheelabrator 1st Lien Tl-C L + 4% 15oct21 5.0 10/15/2021 126,437 127,201
WireCo WorldGroup, Inc., Term Loan, 2/15/17 6.0 02/15/2017 827,564 830,667
Caisse Centrale Desjardins, 2.65%, 9/16/15 (144A) 2.65 09/16/2015 2,500,000 2,531,206
MMCA Auto Owner Trust 2012-A, 3.27%, 7/16/18 (144A) 3.27 07/16/2018 1,150,000 1,157,727
Progreso Receivables Funding II LLC, 3.5%, 7/8/19 (144A) 3.5 07/08/2019 4,750,000 4,783,289
SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35 0.7505 04/25/2035 28,476,673 309,403
Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A) 1.1905 03/25/2037 4,870,000 842,756
Carefree Portfolio Trust 2014-CARE, Floating Rate Note, 11/15/29 (144A) 2.038 11/15/2029 3,300,000 3,318,041
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36 0.7405 08/25/2036 4,450,000 247,743
American Honda Finance Corp., Floating Rate Note, 10/7/16 0.7843 10/07/2016 2,285,000 2,295,074
NCUA Guaranteed Notes Trust, Floating Rate Note, 12/8/20 0.745 12/08/2020 410,000 267,306
Four Corners CLO III, Ltd., Floating Rate Note, 7/22/20 (144A) 0.545 07/22/2020 18,500,000 3,505,520
Jackson National Life Global Funding, Floating Rate Note, 7/29/16 (144A) 0.5441 07/29/2016 5,100,000 5,103,138
Volkswagen Group of America Finance LLC, Floating Rate Note, 11/22/16 (144A) 0.5635 11/22/2016 1,230,000 1,231,191
NBTY, Inc., Term B-2 Loan, 10/1/17 3.5 10/01/2017 400,000 399,125
Exeter Automobile Receivables Trust 2014-2, 1.06%, 8/15/18 1.06 08/15/2018 1,400,000 563,999
AT&T, Inc., 2.95%, 5/15/16 2.95 05/15/2016 2,500,000 2,553,067
FCA US LLC, Term Loan B, 5/24/17 3.5 05/24/2017 372,093 372,465
Daimler Finance North America LLC, Floating Rate Note, 3/2/18 (144A) 0.7038 03/02/2018 1,275,000 1,273,211
Tempur Sealy International, Inc., New Term B Loan, 3/18/20 3.5 03/18/2020 415,796 417,355
LCM X LP, Floating Rate Note, 4/15/22 (144A) 1.5488 04/15/2022 500,000 462,874
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 8.508 05/09/2016 1,500,000 1,534,717
PepsiCo, Inc., Floating Rate Note, 2/26/16 0.492 02/26/2016 3,460,000 3,466,936
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/26/46 (144A) 3.4206 11/26/2046 3,500,000 3,571,461
COMM 2014-PAT Mortgage Trust, Floating Rate Note, 8/13/27 (144A) 1.7805 08/13/2027 2,722,000 2,728,682
Federal National Mortgage Association, Floating Rate Note, 12/25/33 0.4905 12/25/2033 25,758,805 6,540,155
JPMorgan Chase & Co., Floating Rate Note, 3/1/18 0.7928 03/01/2018 3,800,000 3,786,591
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.4605 11/25/2035 6,309,000 519,597
Pinnacle Foods Finance LLC, New Term Loan G, 4/29/20 3.0 04/29/2020 1,158,833 1,157,837
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 7.4102 01/09/2019 1,250,000 1,258,660
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/33 0.5905 08/25/2033 485,000 13,503
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 0.6405 06/25/2036 8,454,822 731,465
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 7/25/34 0.8505 07/25/2034 2,783,000 571,853
National Mentor Holdings, Inc., Tranche B Term Loan, 1/31/21 4.25 01/31/2021 498,737 500,296
Newstar Trust, Floating Rate Note, 1/20/23 (144A) 2.187 01/20/2023 2,750,000 2,742,069
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 1.2905 09/25/2034 3,465,620 453,861
Royal Bank of Canada, Floating Rate Note, 9/9/16 0.7412 09/09/2016 2,000,000 2,008,430
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 3.0 03/27/2024 2,250,000 1,009,887
Vodafone Group Plc, Floating Rate Note, 2/19/16 0.6615 02/19/2016 1,150,000 1,150,212
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 0.5905 03/25/2035 5,790,000 615,428
GMAC Commercial Mortgage Securities Inc Series 2006-C1 Trust, Floating Rate Note, 11/10/45 5.233 11/10/2045 8,250,000 5,044,341
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42 4.929 08/15/2042 2,670,000 1,783,094
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 1.2385 12/10/2027 500,000 500,151
Valeant Pharmaceuticals International, Inc., Series C-2 Tranche B Term Loan, 12/11/19 3.5 12/11/2019 511,676 513,001
Dtz Us Borrower Llc 1st Lien Tl L + 4.5% 28oct21 5.5 10/28/2021 1,706,213 1,713,323
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 7/25/36 0.487 07/25/2036 4,500,000 4,447,846
WMG Acquisition Corp., Tranche B Refinancing Term Loan, 7/1/20 3.75 07/01/2020 1,080,750 1,071,795
LSTAR Securities Investment Trust 2015-5, Floating Rate Note, 4/1/20 (144A) 2.184 04/01/2020 5,000,000 4,776,278
Eden Re II, Ltd., 0.0%, 4/19/18 (Cat Bond) (144A) 0.0 04/19/2018 1,300,000 1,331,200
Gardner Denver, Inc., Initial Dollar Term Loan, 7/30/20 4.25 07/30/2020 233,943 226,267
The Goldman Sachs Group, Inc., 5.35%, 1/15/16 5.35 01/15/2016 1,305,000 1,334,495
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 0.8905 02/25/2038 4,400,000 216,633
Armstrong World Industries, Inc., Term Loan B, 3/15/20 3.5 03/15/2020 1,075,495 1,077,735
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 0.4905 03/25/2036 700,000 106,445
World Omni Auto Receivables Trust 2014-B, Floating Rate Note, 1/16/18 0.4173 01/16/2018 2,650,000 2,122,312
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 1.787 02/13/2032 6,150,000 6,110,744
American Express Credit Account Master Trust, Floating Rate Note, 1/15/20 0.476 01/15/2020 2,600,000 2,600,722
EquiVantage Home Equity Loan Trust 1997-1, 8.05%, 3/25/28 (Step) 8.05 03/25/2028 1,500,000 21,807
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2.0051 04/07/2017 2,000,000 1,993,156
Golden Credit Card Trust, Floating Rate Note, 3/15/19 (144A) 0.5259 03/15/2019 300,000 299,452
Virgin Media 1st Lien Tl-F L + 2.75% 30jun23 3.5 06/30/2023 1,484,673 1,481,658
Structured Asset Securities Corp Mortgage Loan Trust 2005-S7, Floating Rate Note, 12/25/35 (144A) 0.7905 12/25/2035 11,868,000 1,128,294
Arbor Realty Collateralized Loan Obligation 2015-FL1, Ltd., Floating Rate Note, 3/15/25 (144A) 1.9355 03/15/2025 3,800,000 3,803,470
Ascentium Equipment Receivables 2014-1 LLC, 1.58%, 10/10/18 (144A) 1.58 10/10/2018 1,700,000 1,705,638
Evergreen Skills Lux Sarl, Initial Term Loan (First Lien), 4/23/21 5.75 04/23/2021 396,000 386,265
Nordea Bank AB, Floating Rate Note, 4/4/17 (144A) 0.6435 04/04/2017 2,175,000 2,177,882
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 1.1438 06/25/2028 44,308,430 1,399,406
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45 2.2887 06/25/2045 1,500,000 212,229
D Cp Zero% 05aug15 Usd 0.0 08/05/2015 2,361,000 2,360,921
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R10, Floating Rate Note, 0.4105 12/25/2035 15,705,000 188,768
Progressive Waste Solutions, Ltd., 10/24/19 4.5 10/24/2019 0 0
GS Mortgage Securities Trust 2006-GG6 REMICS, Floating Rate Note, 4/10/38 5.553 04/10/2038 3,550,000 3,479,697
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 0.9705 11/25/2034 21,071,000 2,442,480
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 0.4873 02/15/2036 5,087,000 795,091
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 6.5 08/15/2030 1,250,000 61,064
Merck & Co, Inc., Floating Rate Note, 2/10/17 0.4039 02/10/2017 2,500,000 2,501,743
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 2.8634 01/15/2017 1,500,000 1,518,828
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 0.5873 02/15/2033 49,250,000 625,049
EMD Finance LLC, Floating Rate Note, 3/17/17 (144A) 0.6333 03/17/2017 3,000,000 3,000,818
Riverfront Re, Ltd., Floating Rate Note, 1/6/17 (Cat Bond) (144A) 4.0051 01/06/2017 1,000,000 984,656
BCAP LLC 2013-RR7 Trust, Floating Rate Note, 12/27/34 2.9658 12/27/2034 1,410,000 1,029,293
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.4205 04/25/2031 17,333,137 2,033,678
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.5873 12/15/2032 9,063,000 546,631
GS Mortgage Securities Trust 2014-GSFL, Floating Rate Note, 7/15/31 (144A) 1.9373 07/15/2031 2,000,000 1,991,682
Nordea Bank Finland Plc New York, Floating Rate Note, 6/13/16 0.4659 06/13/2016 2,225,000 2,226,569
Mercedes Benz Auto Lease Trust 2014-A, Floating Rate Note, 6/15/16 0.3673 06/15/2016 1,900,000 435,557
Paragon Offshore Finance Co Tl-B L + 2.75% 11jul21 3.75 07/11/2021 868,438 570,998
Apidos Quattro CDO, Floating Rate Note, 1/20/19 (144A) 1.737 01/20/2019 1,000,000 991,503
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 0.4705 09/25/2035 13,780,000 999,110
Chesapeake Funding LLC, Floating Rate Note, 3/7/26 0.6084 03/07/2026 2,450,000 2,175,242
Cabela's Credit Card Master Note Trust, Floating Rate Note, 2/18/20 (144A) 0.7173 02/18/2020 2,150,000 2,153,414
Residential Asset Securitization Trust 2003-A15, Floating Rate Note, 2/25/34 0.6405 02/25/2034 10,120,000 508,490
Merck & Co, Inc., 0.7%, 5/18/16 0.7 05/18/2016 2,650,000 2,657,694
Volkswagen Auto Lease Trust 2014-A, Floating Rate Note, 10/20/16 0.398 10/20/2016 1,500,000 444,127
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 0.671 11/21/2016 2,465,000 2,466,339
ARI Fleet Lease Trust 2012-B, Floating Rate Note, 1/15/21 (144A) 0.4873 01/15/2021 1,030,000 189,129
Consumer Credit Origination Loan Trust 2015-1, 2.82%, 3/15/21 (144A) 2.82 03/15/2021 2,500,000 1,879,258
Citibank Credit Card Issuance Trust, 5.1%, 11/20/17 5.1 11/20/2017 1,650,000 1,688,701
PFS Financing Corp., Floating Rate Note, 2/15/18 (144A) 0.7373 02/15/2018 3,240,000 3,238,491
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/23 2.398 10/01/2023 1,890,000 7,500
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.5153 04/30/2018 1,000,000 969,275
Ally Master Owner Trust, Floating Rate Note, 6/17/19 0.5873 06/17/2019 2,600,000 2,594,772
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/21 0.4355 07/15/2021 17,312,039 174,825
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.7605 09/25/2037 3,173,000 353,994
Milacron Llc 1st Lien Tl-B L + 3.5% 28sep20 4.5 09/28/2020 452,994 455,259
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.4705 11/25/2035 14,045,000 1,778,446
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 0.5873 07/15/2036 1,200,000 39,254
Progress Residential 2015-SFR1 Trust, Floating Rate Note, 2/20/32 (144A) 2.588 02/20/2032 3,000,000 3,022,505
Fannie Mae, 7.0%, 10/1/17 7.0 10/01/2017 2,241,352 5,214
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5 REMICS, Floating Rate Note, 7/15/31 (1 2.2002 07/15/2031 2,500,000 2,494,518
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 0.8105 10/25/2028 38,289,000 1,604,057
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.4405 03/25/2037 3,413,000 421,116
Bank of Montreal, Floating Rate Note, 9/11/15 0.7555 09/11/2015 4,605,000 4,611,720
JP Morgan Chase Commercial Mortgage Securities Trust 2014-PHH, Floating Rate Note, 8/16/27 (144A) 1.788 08/16/2027 3,770,000 3,764,643
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 0.3005 03/25/2037 6,984,978 1,395,928
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 7/22/19 0.568 07/22/2019 2,670,000 2,661,174
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 0.4205 11/25/2037 31,986,000 1,108,941
RPI Finance Trust, Term B-3 Term Loan, 11/9/18 3.25 11/09/2018 619,200 622,606
Daimler Finance North America LLC, Floating Rate Note, 8/1/17 (144A) 0.6182 08/01/2017 2,061,000 2,061,745
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/31 0.7905 11/25/2031 44,000,000 356,347
KeyCorp, 3.75%, 8/13/15 3.75 08/13/2015 5,350,000 5,447,038
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 3.5 08/17/2020 764,385 765,977
RESI Finance LP 2003-CB1, Floating Rate Note, 7/9/35 1.6385 07/09/2035 22,195,000 5,020,333
Allison Transmission, Inc., Term B-3 Loan, 8/23/19 3.5 08/23/2019 769,326 772,772
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 0.648 02/20/2035 34,411,748 2,856,401
Chase Funding Trust Series 2002-4, Floating Rate Note, 10/25/32 0.9305 10/25/2032 1,000,000 17,001
BBCMS Trust 2014-BXO REMICS, Floating Rate Note, 8/16/27 (144A) 1.7873 08/16/2027 675,000 540,675
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.5473 11/15/2018 500,000 162,788
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/33 0.6905 11/25/2033 10,000,000 678,916
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 0.6545 05/27/2016 2,530,000 2,537,688
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/31 0.6905 08/25/2031 17,600,000 200,455
Sinclair Television Group, Inc., Incremental Tranche B-1 Term Loan, 7/22/21 3.5 07/22/2021 1,000,000 1,001,750
CFCRE 2015-RUM Mortgage Trust, Floating Rate Note, 7/15/17 (144A)   07/15/2017 4,500,000 4,501,175
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 0.6359 12/15/2016 2,850,000 2,846,181
Federal Farm Credit Banks, Floating Rate Note, 10/26/15 0.15 10/26/2015 2,560,000 2,560,010
Conseco Financial Corp., 7.05%, 1/15/19 7.05 01/15/2019 600,362 4,679
British Telecommunications Plc, 1.625%, 6/28/16 1.625 06/28/2016 2,881,000 2,895,554
Capital One NA, Floating Rate Note, 3/22/16 0.7308 03/22/2016 4,150,000 4,151,267
UnitedHealth Group, Inc., Floating Rate Note, 1/17/17 0.7441 01/17/2017 2,600,000 2,602,675
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 3.25 12/19/2020 1,570,125 1,581,411
Western Refining, Inc., Term Loan 2013, 11/12/20 4.25 11/12/2020 445,477 446,313
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 0.4373 08/15/2035 5,000,000 741,949
DaVita HealthCare Partners, Inc., Tranche B Term Loan, 6/19/21 3.5 06/19/2021 471,479 473,149
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 5.62 05/25/2036 25,142,877 1,388,644
Chase Issuance Trust, Floating Rate Note, 4/16/18 0.4188 04/16/2018 3,000,000 2,999,513
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 0.3905 10/27/2037 2,382,000 2,002,599
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 8.608 04/08/2016 1,750,000 1,768,997
JLL, Initial Dollar Term Loan, 1/23/21 4.25 01/23/2021 301,950 301,330
Lehman XS Trust Series 2005-2, Floating Rate Note, 8/25/35 0.8905 08/25/2035 42,014,000 2,218,243
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 0.9555 05/25/2035 1,575,000 98,806
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 1.0905 06/25/2033 2,000,000 35,420
Prestige Auto Receivables Trust 2013-1, 1.33%, 5/15/19 (144A) 1.33 05/15/2019 1,430,000 1,434,243
Bbb Industries Llc 1st Lien Tl L + 5% 20oct21 6.0 10/20/2021 997,500 1,008,098
Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A) 2.1451 01/26/2020 553,000 532,928
Capital Auto Receivables Asset Trust 2013-1, 1.74%, 10/22/18 1.74 10/22/2018 3,200,000 3,210,156
CPS Auto Receivables Trust 2014-C, 1.31%, 2/15/19 (144A) 1.31 02/15/2019 2,200,000 1,520,514
Baxalta, Inc., Floating Rate Note, 6/22/18 (144A) 1.0613 06/22/2018 2,500,000 2,507,767
TORONTO-DOMINION BANK, Floating Rate Note, 11/6/15 0.4798 11/06/2015 4,025,000 4,031,796
Drillships Financing Holding, Inc., Tranche B-1 Term Loan, 3/31/21 6.0 03/31/2021 705,822 552,129
Crown Castle 1st Lien Term-B2 L + 2.5% 31jan21 3.0 01/31/2021 1,174,246 1,172,485
VFC 2014-2 LLC, 2.75%, 7/20/30 (144A) 2.75 07/20/2030 3,510,000 1,397,043
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 0.527 04/19/2021 1,200,000 531,937
HLSS Servicer Advance Receivables Trust, 1.4953%, 1/16/46 (144A) 1.4953 01/16/2046 5,600,000 5,598,122
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 1.938 06/15/2034 5,454,000 5,451,890
Embarcadero Reinsurance, Ltd., Floating Rate Note, 2/7/17 (Cat Bond) (144A) 5.0101 02/07/2017 1,025,000 1,038,052
GSAMP Trust 2005-HE6, Floating Rate Note, 11/25/35 0.5505 11/25/2035 220,000 101,780
Daimler Finance North America LLC, Floating Rate Note, 8/1/16 (144A) 0.9582 08/01/2016 1,500,000 1,508,548
GRIFOLS WORLDWIDE OPERATIONS USA INC, U.S. Tranche B Term Loam, 4/1/21 3.1896 04/01/2021 518,438 520,706
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 0.4905 03/25/2035 7,593,737 950,380
Fifth Third Bancorp, Floating Rate Note, 12/20/16 0.7008 12/20/2016 1,727,000 1,719,482
Sensata Technologies 1st Lien L + 2.25% 14oct21 2.5318 10/14/2021 1,929,477 1,936,712
Bear Stearns Asset Backed Securities Trust 2004-SD3, Floating Rate Note, 9/25/34 0.7605 09/25/2034 790,000 258,107
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 0.7366 05/13/2016 2,700,000 2,710,227
DynCorp International, Inc., Term Loan, 7/7/16 6.25 07/07/2016 143,055 141,223
Deltek Systems Inc 1st Lien Termloan L + 4% 31dec22 5.0 12/31/2022 293,220 294,564
Branch Banking & Trust Co., Floating Rate Note, 5/23/17 0.582 05/23/2017 500,000 498,245
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 3.0 05/15/2018 2,777,000 695,703
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 0.3873 07/15/2036 5,000,000 730,662
Apidos CLO IX, Floating Rate Note, 7/17/23 (144A)   07/17/2023 3,000,000 3,002,242
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1.7653 01/07/2019 1,800,000 1,789,573
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 3.9102 06/07/2017 3,000,000 2,985,000
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 0.5805 11/25/2035 28,962,000 4,816,974
Micro Focus Us Inc 1st Lien Tl-B L + 4.25% 07oct21 5.25 10/07/2021 205,299 206,436
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 0.5873 05/15/2036 7,791,000 461,136
Medco Health Solutions, Inc., 2.75%, 9/15/15 2.75 09/15/2015 6,250,000 6,327,606
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 0.7405 10/25/2017 5,500,000 63,659
321 Henderson Receivables I LLC, Floating Rate Note, 9/15/45 (144A) 0.5373 09/15/2045 3,120,000 681,526
PHARMEDIUM HEALTHCARE Corp., Initial Term Loan (First Lien), 1/23/21 4.25 01/23/2021 254,625 253,034
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 0.8955 04/25/2035 724,529 429,788
CLI Funding LLC, Floating Rate Note, 8/18/21 (144A) 0.368 08/18/2021 7,250,000 708,580
The Procter & Gamble Co., 1.8%, 11/15/15 1.8 11/15/2015 2,950,000 2,972,485
GSAA Trust, Floating Rate Note, 6/25/35 0.9855 06/25/2035 6,300,000 1,308,005
Ziggo Bv Us 1st Lien Tl-B1 L + 2.75% 15jan22 3.5 01/15/2022 1,072,383 1,069,166
Svenska Handelsbanken AB, Floating Rate Note, 9/23/16 0.7513 09/23/2016 3,650,000 3,662,176
Mcdermott International Inc 1st Lien Tl-B L + 4.25% 11apr19 5.25 04/11/2019 495,000 488,400
Altrl Zero% 30jun17 0.0 06/30/2017 1,000,000 1,035,200
Cco Safari Iii Llc 1st Lien Tl I L + 2.75% 23jan23 3.5 01/23/2023 1,000,000 997,500
Toyota Motor Credit Corp., 0.75%, 3/3/17 (Step) 0.75 03/03/2017 2,250,000 2,249,621
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 3.9669 08/25/2053 5,300,000 3,024,395
ABFC 2003-WMC1 Trust, Floating Rate Note, 3/25/33 2.9655 03/25/2033 3,691,000 10,109
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 11/18/16 0.786 11/18/2016 1,800,000 1,802,975
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 1.0905 12/25/2031 30,500,000 840,498
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 1.788 11/19/2026 3,500,000 3,498,177
ACIS CLO 2014-4, Ltd., Floating Rate Note, 5/1/26 (144A) 1.2782 05/01/2026 3,000,000 752,450
Ford Motor Credit Co LLC, Floating Rate Note, 3/27/17 0.912 03/27/2017 2,500,000 2,492,628
NBCUniversal Enterprise, Inc., Floating Rate Note, 4/15/18 (144A) 0.9738 04/15/2018 1,300,000 1,301,782
Cisco Systems, Inc., Floating Rate Note, 9/3/15 0.3325 09/03/2015 3,600,000 3,601,991
Ocwen Loan Servicing LLC, Initial Term Loan, 2/15/18 3.9396 02/15/2018 1,012,071 1,010,648
Bayview Opportunity Master Fund Trust IIIa 2014-12RPL, 3.6225%, 7/28/19 (Step) (144A) 3.6225 07/28/2019 2,450,000 775,644
Bank of Montreal, Floating Rate Note, 9/24/15 0.5323 09/24/2015 2,600,000 2,602,098
Longpoint Re, Ltd. III, Floating Rate Note, 5/24/21 (Cat Bond) (144A) 3.75 05/24/2021 750,000 757,519
Igloo Holdings Corp., 8.25%, 12/15/17 (144A) (PIK) 8.25 12/15/2017 1,250,000 1,283,490
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 3/18/16 0.7663 03/18/2016 3,975,000 3,987,829
Bright Horizons Family Solutions I 1st Lien Tl-B1 L + 3.25% 30jan20 4.2506 01/30/2020 597,000 599,239
Invitation Homes 2015-SFR2 Trust, Floating Rate Note, 6/17/32 (144A) 2.1853 06/17/2032 2,550,000 2,544,254
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/23 0.5905 06/25/2023 3,460,000 218,930
Select Medical Corp., Series E Tranche B Term Loan, 6/1/18 3.7513 06/01/2018 227,883 228,261
Castle Garden Funding, Floating Rate Note, 10/27/20 (144A) 0.5428 10/27/2020 7,000,000 589,681
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE2, Floating Rate Note, 2/25/35 0.8655 02/25/2035 8,100,000 291,747
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.8905 01/25/2035 25,745,000 2,819,502
COMM 2014-PAT Mortgage Trust REMICS, Floating Rate Note, 8/13/27 (144A) 0.988 08/13/2027 2,300,000 2,289,253
Nissan Motor Acceptance Corp., Floating Rate Note, 9/26/16 (144A) 0.9808 09/26/2016 1,500,000 1,507,288
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 4.568 01/15/2031 1,000,000 104,368
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 1.888 06/15/2029 3,500,000 3,487,446
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 0.5405 02/25/2033 16,918,890 696,354
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 0.6905 06/25/2033 44,273,266 1,785,373
Chesapeake Funding LLC, Floating Rate Note, 2/7/27 (144A) 1.9384 02/07/2027 1,000,000 1,002,404
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 0.8325 03/03/2017 2,000,000 2,005,515
Syncreon Group BV, Term Loan, 9/26/20 5.25 09/26/2020 197,000 170,159
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 1.188 11/18/2032 105,671,000 1,760,120
Livingston International, Inc., Initial Term B-1 Loan (First Lien), 4/18/19 5.0 04/18/2019 490,000 483,263
Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44 1.8653 12/25/2044 4,235,000 588,724
Verizon Communications, Inc., Floating Rate Note, 9/15/16 1.8159 09/15/2016 8,530,000 8,648,522
Zero% 31aug16 0.0 08/31/2016 500,000 507,100
Invitation Homes 2014-SFR2 Trust, Floating Rate Note, 9/18/31 (144A) 1.788 09/18/2031 2,100,000 2,091,569
American Express Credit Account Master Trust, Floating Rate Note, 3/15/18 0.3373 03/15/2018 8,890,000 8,891,249
321 Henderson Receivables I LLC, Floating Rate Note, 6/15/41 (144A) 0.3873 06/15/2041 8,090,000 2,439,418
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/32 0.6905 09/25/2032 20,000,000 335,492
Microsemi Corp., Term Loan (2014), 3/14/21 3.25 03/14/2021 116,543 116,733
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 0.6718 01/30/2017 2,710,000 2,701,904
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 0.459 04/28/2036 13,680,000 624,719
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 12/25/35 0.3705 12/25/2035 9,778,000 1,730,135
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 5.25 04/25/2032 2,691,322 698,106
Louisiana Public Facilities Authority, Floating Rate Note, 4/26/27 1.177 04/26/2027 1,250,000 840,836
JP Morgan Mortgage Acquisition Corp 2005-FRE1, Floating Rate Note, 10/25/35 0.407 10/25/2035 19,316,000 857,819
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP4, Floating Rate Note, 10/15/42 5.04 10/15/2042 3,950,000 3,969,067
GSAMP Trust 2004-SEA2, Floating Rate Note, 3/25/34 0.8405 03/25/2034 4,798,600 2,383,607
Bank of America Corp., Floating Rate Note, 8/25/17 0.892 08/25/2017 1,423,000 1,422,736
Visteon Corp Term B 1st Lien Dd L + 2.75% 08apr21 3.5 04/08/2021 291,667 292,031
KeyCorp Student Loan Trust 2004-A, Floating Rate Note, 10/28/41 0.5951 10/28/2041 500,000 67,648
AT&T, Inc., 2.5%, 8/15/15 2.5 08/15/2015 3,119,000 3,156,558
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 0.808 09/20/2033 52,500,000 2,175,306
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/28/36 (144A) 2.7893 05/28/2036 1,084,000 720,279
PSEG Power LLC, 2.75%, 9/15/16 2.75 09/15/2016 2,500,000 2,572,222
Caterpillar Financial Services Corp., Floating Rate Note, 3/3/17 0.4225 03/03/2017 2,500,000 2,496,154
Telesat Canada, U.S. Term B-2 Loan, 3/28/19 3.5 03/28/2019 657,063 657,611
Language Line Llc 1st Lien Tl-B L + 5.5% 02jul21 6.5 07/02/2021 834,186 833,665
Statoil ASA, Floating Rate Note, 11/9/17 0.4789 11/09/2017 2,140,000 2,133,678
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 0.6505 11/25/2035 1,945,000 1,586,180
The Bank of New York Mellon Corp., 2.5%, 1/15/16 2.5 01/15/2016 835,000 843,390
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 0.8105 09/25/2034 42,840,193 1,655,359
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/35 0.4873 05/15/2035 10,200,000 478,197
Invitation Homes 2015-SFR3 Trust, Floating Rate Note, 8/19/32 (144A) 1.938 08/19/2032 3,500,000 3,504,491
Volvo Financial Equipment LLC Series 2013-1, 0.74%, 3/15/17 (144A) 0.74 03/15/2017 1,410,000 727,856
NSG Holdings LLC, New Term Loan, 12/11/19 3.75 12/11/2019 1,500,874 1,502,750
Citigroup Mortgage Loan Trust, Inc., 6.5%, 6/25/16 6.5 06/25/2016 10,100,000 2,705
Nomura Resecuritization Trust 2011-4R, Floating Rate Note, 6/26/47 (144A) 3.1081 06/26/2047 8,098,000 3,728,530
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.7405 09/25/2037 1,915,000 201,166
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR11, Floating Rate Note, 3/11/39 5.5961 03/11/2039 5,900,000 3,919,169
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 8.9051 06/06/2017 1,500,000 1,486,125
Chase Issuance Trust, Floating Rate Note, 4/15/19 0.4373 04/15/2019 150,000 149,342
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 0.6905 05/25/2040 8,500,000 1,026,237
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2.3976 03/25/2034 3,865,000 515,813
Trafigura Securitisation Finance Plc. 2014-1, Floating Rate Note, 4/16/18 (144A) 1.136 04/16/2018 1,400,000 1,401,231
Az Chem Us Inc 1st Lien Tl-B L + 3.5% 09jun21 4.5 06/09/2021 1,819,946 1,824,874
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 0.5005 02/25/2035 2,497,000 736,559
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 11/15/23 4.0 11/15/2023 95,000 30,263
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 1.0438 01/25/2030 16,401,000 906,952
Merrill Lynch Mortgage Investors Trust Series 2005-A9, Floating Rate Note, 12/25/35 2.528 12/25/2035 4,327,000 1,181,313
Confie Seguros Holding II Co., Term B Loan (First Lien), 11/9/18 5.75 11/09/2018 491,123 494,806
Xerium Technologies, Inc., Initial Term Loan, 5/17/19 5.75 05/17/2019 78,401 79,087
Soundview Home Loan Trust 2005-DO1, Floating Rate Note, 5/25/35 0.9105 05/25/2035 2,000,000 1,549,630
Quebecor Media, Inc., Facility B-1 Tranche, 8/17/20 3.25 08/17/2020 494,962 489,549
Chevron Corp., Floating Rate Note, 3/2/18 0.4538 03/02/2018 2,550,000 2,542,085
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 1.338 11/20/2036 100,000 14,474
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 0.3905 12/25/2036 3,800,000 754,294
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 0.7412 09/09/2016 2,800,000 2,812,416
Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A) 3.721 11/16/2044 3,070,000 2,264,021
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/21 1.0905 09/25/2021 8,269,375 69,592
Government National Mortgage Association, Floating Rate Note, 8/20/35 0.588 08/20/2035 3,497,364 69,347
CWABS Asset-Backed Certificates Trust 2004-7, Floating Rate Note, 12/25/34 1.2405 12/25/2034 10,986,000 4,466,247
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/33 0.5873 01/15/2033 86,214,000 1,024,393
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 0.3373 10/15/2020 1,400,000 99,527
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 0.7373 02/15/2033 15,000,000 368,688
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 1,147,083 1,166,010
Volkswagen Group of America Finance LLC, Floating Rate Note, 11/20/17 (144A) 0.716 11/20/2017 2,500,000 2,505,827
Atlantic Power LP, Term Loan, 2/20/21 4.75 02/20/2021 2,596,712 2,608,073
Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Floating Rate Note, 5/15/43 5.8965 05/15/2043 4,240,000 3,189,669
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 0.6505 06/25/2034 41,830,000 1,128,107
Bank of America NA, Floating Rate Note, 6/5/17 0.7292 06/05/2017 2,455,000 2,458,686
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 0.902 02/26/2016 1,800,000 1,805,517
TMS International Corp., Term B Loan, 10/2/20 4.5 10/02/2020 145,824 145,095
American Honda Finance Corp., Floating Rate Note, 1/11/16 0.306 01/11/2016 2,650,000 2,650,057
Schaeffler (Aka Ina Beteiligungsge 1st Lien Tl-B L + 3.5% 15may20 4.25 05/15/2020 1,489,642 1,501,430
17079z Zero% 31mar18 0.0 03/31/2018 750,000 773,925
American Credit Acceptance Receivables Trust 2014-3, 0.99%, 8/10/18 (144A) 0.99 08/10/2018 1,420,000 532,318
Royal Bank of Canada, Floating Rate Note, 12/16/15 0.5061 12/16/2015 1,800,000 1,801,956
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 0.7405 12/25/2034 1,590,000 957,995
Federal Home Loan Mortgage Corp., Floating Rate Note, 6/15/31 0.7873 06/15/2031 25,000,000 309,303
Calpine Corp 1st Lien Tl-B5 L + 2.75% 28may22 3.5 05/28/2022 290,000 289,436
The Goodyear Tire & Rubber Co., Loan (Second Lien), 4/30/19 3.75 04/30/2019 666,667 670,729
AdvancePierre Foods, Inc., Term Loan (First Lien), 7/10/17 5.75 07/10/2017 184,510 185,248
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2004-2, Floating Rate Note, 6/25/ 1.1505 06/25/2034 21,291,000 1,231,867
321 Henderson Receivables I LLC, Floating Rate Note, 12/15/41 (144A) 0.3873 12/15/2041 10,869,000 3,367,632
Pangaea Zero% 01jul18 0.0 07/01/2018 2,300,000 41,400
Freddie Mac Strips, Floating Rate Note, 12/15/36 0.5373 12/15/2036 10,968,000 547,091
CarMax Auto Owner Trust 2015-2, Floating Rate Note, 6/15/18 0.4673 06/15/2018 2,500,000 2,500,964
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 0.6505 03/25/2030 40,482,746 2,210,748
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/40 0.5373 07/15/2040 2,570,000 472,160
PNC Bank NA, Floating Rate Note, 1/28/16 0.6036 01/28/2016 2,250,000 2,251,625
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 9/8/17 (144A) 0.5889 09/08/2017 2,525,000 2,519,739
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 2.125 09/15/2015 551,000 556,388
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 4.0 11/08/2020 316,931 315,743
The Bank of Nova Scotia, Floating Rate Note, 3/15/16 0.6859 03/15/2016 3,255,000 3,263,002
VOLT XIX LLC, 3.875%, 4/26/55 (Step) 3.875 04/26/2055 1,500,000 767,330
Wheels SPV 2 LLC, 0.84%, 3/20/23 (144A) 0.84 03/20/2023 1,000,000 785,163
Salomon Brothers Mortgage Securities VII, Inc., Floating Rate Note, 3/25/28 0.6705 03/25/2028 49,537,000 58,279
State Street Corp., 2.875%, 3/7/16 2.875 03/07/2016 3,750,000 3,843,874
Bellemeade Re, Ltd., Floating Rate Note, 7/25/25 (144A) 2.689 07/25/2025 3,650,000 3,650,818
CSMC 2015-TWNI Trust, Floating Rate Note, 3/15/28 (144A) 2.438 03/15/2028 2,300,000 2,296,994
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2.58 09/15/2021 2,100,000 1,060,744
Symphony CLO, Ltd., Floating Rate Note, 7/23/23 (144A) 1.5641 07/23/2023 3,050,000 3,048,024
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 0.6673 06/15/2030 72,327,303 3,711,496
American Express Credit Account Master Trust, Floating Rate Note, 1/15/20 0.4573 01/15/2020 350,000 350,211
JP Morgan Chase Commercial Mortgage Securities Trust 2015-FL7, Floating Rate Note, 5/15/28 1.988 05/15/2028 3,600,000 3,604,282
DT Auto Owner Trust 2015-2, 1.24%, 9/17/18 (144A) 1.24 09/17/2018 2,600,000 2,418,596
Federal Home Loan Banks, Floating Rate Note, 10/1/15 0.21 10/01/2015 10,000,000 10,002,288
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 1.0905 04/25/2032 35,072,000 1,857,298
321 Henderson Receivables I LLC, Floating Rate Note, 11/15/40 (144A) 0.4173 11/15/2040 4,630,000 1,298,212
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 0.4605 04/25/2032 49,625,000 3,649,707
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/39 0.6373 03/15/2039 1,000,000 203,372
inVentiv Health, Inc., Term B-3 Loan, 5/15/18 7.75 05/15/2018 66,145 66,187
Multi Packaging Solutions, Inc., Initial Dollar Tranche B Term, 9/30/20 4.25 09/30/2020 172,813 172,596
JP Morgan Mortgage Acquisition Corp 2005-FLD1, Floating Rate Note, 7/25/35 0.9705 07/25/2035 2,575,000 2,544,828
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 0.487 09/25/2036 5,483,897 630,927
Sector Re V, Ltd., 0.0%, 3/1/20 (Cat Bond) (144A) 0.0 03/01/2020 1,250,000 1,261,375
Svenska Handelsbanken New York NY, Floating Rate Note, 8/17/16 0.456 08/17/2016 2,500,000 2,503,105
United States Treasury Floating Rate Note, Floating Rate Note, 4/30/17 0.124 04/30/2017 20,080,000 20,078,824
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 3.25 03/31/2021 594,000 590,993
USI, Inc. New York, Initial Term Loan, 12/30/19 4.25 12/30/2019 1,082,396 1,083,974
John Deere Capital Corp., Floating Rate Note, 10/11/16 0.576 10/11/2016 1,500,000 1,502,619
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 2.4405 03/25/2032 1,000,000 126,458
BAMLL Commercial Mortgage Securities Trust 2014-ICTS, Floating Rate Note, 6/15/28 (144A) 1.2873 06/15/2028 1,920,000 1,919,366
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 6/25/35 0.5905 06/25/2035 3,880,000 23,371
RAMP Series 2004-RZ1 Trust, Floating Rate Note, 3/25/34 0.6705 03/25/2034 20,100,000 1,270,021
AmeriCredit Automobile Receivables Trust 2012-1, 2.67%, 1/8/18 2.67 01/08/2018 1,740,000 1,325,278
Banc of America Mortgage 2003-A Trust, Floating Rate Note, 2/25/33 3.2536 02/25/2033 10,560,000 100,436
Sumfg 0.26% 14aug15 0.26 08/14/2015 2,000,000 2,001,204
Bear Stearns Asset Backed Securities I Trust 2005-HE9, Floating Rate Note, 10/25/35 0.9555 10/25/2035 5,000,000 900,941
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 0.489 04/28/2036 4,911,055 799,083
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 4.5051 12/06/2016 2,900,000 2,926,825
DEALERTRACK TECHNOLOGIES INC, Term Loan, 2/27/21 3.5 02/27/2021 954,022 954,165
Volkswagen International Finance NV, Floating Rate Note, 11/18/16 (144A) 0.716 11/18/2016 1,750,000 1,755,255
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 1.1905 03/25/2037 2,300,000 207,610
Government National Mortgage Association, Floating Rate Note, 5/16/38 0.587 05/16/2038 8,761,000 457,665
Zero% 30nov19 0.0 11/30/2019 2,800,000 2,844,240
Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20 3.5 09/23/2020 853,618 856,353
Irwin Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/25 0.6305 06/25/2025 18,060,000 3,386,041
Vers 2015-A Zero% 31dec17 0.0 12/31/2017 2,500,000 2,671,500
Cent CLO 16 LP, Floating Rate Note, 8/1/24 (144A) 1.5282 08/01/2024 4,235,000 4,240,361
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 0.7308 03/22/2016 4,300,000 4,300,968
COMM 2013-FL3 Mortgage Trust, Floating Rate Note, 10/13/28 (144A) 1.705 10/13/2028 3,907,000 1,193,415
Golden Credit Card Trust, Floating Rate Note, 3/15/21 (144A) 0.6373 03/15/2021 590,000 588,341
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 0.532 07/20/2019 1,500,000 80,172
Bank of Montreal, 0.8%, 11/6/15 0.8 11/06/2015 2,600,000 2,606,736
Flagship Credit Auto Trust 2015-2, 1.98%, 10/15/20 (144A) 1.98 10/15/2020 3,500,000 3,499,638
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU REMICS, Floating Rate Note, 12/15/28 1.688 12/15/2028 3,510,000 3,512,492
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/37 0.7405 10/25/2037 1,030,000 112,793
Tribune Company Tl-B L + 3.4684% 27dec20   12/27/2020 1,447,155 1,450,764
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/36 0.5873 09/15/2036 3,470,000 272,342
Ziggo Bv Us 1st Lien Tl-B2 L + 2.75% 15jan22 3.5 01/15/2022 691,064 688,991
Voya CLO, Ltd., Floating Rate Note, 10/15/22 (144A) 1.6088 10/15/2022 3,000,000 3,000,416
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 0.6322 03/10/2017 1,500,000 1,494,617
Tower Automotive Holdings USA LLC, Refinancing Term Loan, 4/23/20 4.0 04/23/2020 187,945 188,180
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 1.0105 08/25/2034 14,550,000 1,549,583
Structured Asset Securities Corp Mortgage Pass Through Ctfs Series 2003-35, Floating Rate Note, 12/2 0.6905 12/25/2033 3,944,000 148,645
Skandinaviska Enskilda Banken AB New York NY, Floating Rate Note, 1/4/16 0.6035 01/04/2016 2,575,000 2,577,284
Bear Stearns Asset Backed Securities I Trust 2004-HE11, Floating Rate Note, 12/25/34 1.0755 12/25/2034 20,500,000 20,258
77 Energy 1st Lien Tl-B L + 3% 17jun21 3.75 06/17/2021 1,435,500 1,278,492
Pepper Residential Securities Trust No 14, Floating Rate Note, 6/12/16 0.5167 06/12/2016 3,500,000 3,500,954
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 0.517 04/20/2021 1,800,000 773,336
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 0.8405 01/25/2033 5,000,000 146,238
The Huntington National Bank, Floating Rate Note, 4/24/17 0.7175 04/24/2017 2,000,000 1,990,669
Federal Home Loan Banks, 2.9%, 4/20/17 2.9 04/20/2017 4,130,000 656,009
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 0.4405 07/25/2035 23,056,000 2,267,315
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 3.513 05/05/2017 2,500,000 2,459,535
CIFC Funding 2007-I, Ltd., Floating Rate Note, 5/10/21 (144A) 0.5389 05/10/2021 500,000 223,666
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 4.838 07/15/2041 2,030,626 223,300
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 0.9405 05/25/2035 4,525,000 3,897,172
Daimler Finance North America LLC, Floating Rate Note, 5/18/18 (144A) 0.726 05/18/2018 2,370,000 2,355,355
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/35 0.4873 04/15/2035 1,775,000 335,820
Alliant Holdings I LLC, Initial Term Loan, 12/20/19 5.0 12/20/2019 241,207 241,546
Kizuna Re II, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A) 2.2653 04/06/2018 1,800,000 1,808,348
Toyota Motor Credit Corp., Floating Rate Note, 9/23/16 0.37 09/23/2016 650,000 649,901
Exeter Automobile Receivables Trust 2015-2, 1.54%, 11/15/19 (144A) 1.54 11/15/2019 2,600,000 2,390,955
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 0.3805 01/25/2036 23,055,603 1,629,688
Avis Budget Car Rental LLC, Tranche B Term Loan, 3/15/19 3.0 03/15/2019 1,273,080 1,275,467
AT&T, Inc., Floating Rate Note, 2/12/16 0.6649 02/12/2016 1,735,000 1,736,291
Berkshire Hathaway, Inc., 2.2%, 8/15/16 2.2 08/15/2016 2,775,000 2,843,932
Delta Air Lines, Inc., Term Loan, 4/20/17 3.25 04/20/2017 293,130 293,460
American Credit Acceptance Receivables Trust 2013-1, 1.45%, 4/16/18 (144A) 1.45 04/16/2018 1,859,000 183,230
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/35 0.5373 11/15/2035 850,000 165,671
Royal Bank of Canada, 0.8%, 10/30/15 0.8 10/30/2015 1,300,000 1,304,004
The GEO Group, Inc., Term Loan, 4/3/20 3.25 04/03/2020 979,956 983,018
Fannie Mae, Floating Rate Note, 1/1/48 2.215 01/01/2048 175,000 23,329
BSN medical International Holding GmbH & Co KG, Facility B1b, 8/28/19 4.0 08/28/2019 593,611 593,611
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 7/25/24 1.3905 07/25/2024 5,330,000 3,983,788
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MCW, Floating Rate Note 1.128 10/25/2034 1,150,000 292,881
GSAMP Trust 2006-SD1, Floating Rate Note, 7/25/45 0.6505 07/25/2045 9,948,000 189,887
VOLT XXV LLC, 3.5%, 6/26/45 (Step) (144A) 3.5 06/26/2045 2,500,000 2,460,338
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B, Floating Rate Note, 5/25/29 0.9582 05/25/2029 12,160,000 394,966
Jackson National Life Global Funding, Floating Rate Note, 9/30/15 (144A) 0.6318 09/30/2015 3,300,000 3,302,962
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 0.539 02/28/2041 6,439,000 15,011
The Goldman Sachs Group, Inc., Floating Rate Note, 5/22/17 0.9535 05/22/2017 2,465,000 2,469,160
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 0.8073 10/15/2037 9,195,000 549,852
Chase Issuance Trust, Floating Rate Note, 12/16/19 0.4473 12/16/2019 200,000 199,942
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 0.6905 06/25/2035 1,393,325 443,862
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 2.6915 06/25/2030 2,875,810 409,812
Wachovia Corp., Floating Rate Note, 10/28/15 0.6368 10/28/2015 1,983,000 1,986,383
Barclays Dryrock Issuance Trust, Floating Rate Note, 12/16/19 0.5473 12/16/2019 1,100,000 1,099,941
Nissan Motor Acceptance Corp., 1.0%, 3/15/16 (144A) 1.0 03/15/2016 1,300,000 1,306,071
Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A) 1.55 11/15/2017 5,310,000 1,710,814
Sequoia Mortgage Trust 2003-8, Floating Rate Note, 1/20/34 0.828 01/20/2034 5,750,000 239,910
Chesapeake Funding LLC, Floating Rate Note, 11/7/23 (144A) 2.1884 11/07/2023 250,000 250,409
Alkermes, Inc., 2019 Term Loan, 9/25/19 3.5 09/25/2019 1,119,845 1,121,712
US Residential Opportunity Fund III Trust 2015-1, 3.7213%, 1/29/35 (144A) 3.7213 01/29/2035 4,000,000 3,764,318
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/31 0.7873 11/15/2031 20,187,077 102,913
Endo International 1st Lien Tl-B1 L + 3% 24jun22 3.75 06/24/2022 421,301 423,769
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.4405 06/25/2037 3,590,000 300,984
Freddie Mac Strips, Floating Rate Note, 8/15/36 0.4373 08/15/2036 10,000,000 416,933
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 3/25/32 (144A) 1.3155 03/25/2032 6,512,459 811,436
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 3.75 08/20/2025 7,105,000 2,906,246
AWAS Finance Luxembourg 2012 SA, Term Loan, 7/16/18 3.5 07/16/2018 373,121 375,686
BA Credit Card Trust, Floating Rate Note, 1/15/20 0.4773 01/15/2020 2,000,000 2,000,897
ARI Fleet Lease Trust 2014-A, 0.81%, 11/15/22 (144A) 0.81 11/15/2022 3,000,000 2,051,830
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.5373 12/15/2032 15,400,000 203,542
Federal National Mortgage Association, Floating Rate Note, 12/25/23 2.087 12/25/2023 5,000,000 318,791
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/25 0.4873 02/15/2025 2,142,856 349,551
LSTAR Securities Investment Trust 2015-7, Floating Rate Note, 7/1/20 (144A) 2.188 07/01/2020 4,250,000 4,188,550
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 3.75 06/30/2019 1,107,386 910,248
TransDigm, Inc., Tranche C Term Loan, 2/28/20 3.75 02/28/2020 283,930 283,752
Fannie Mae Trust 2003-W6, Floating Rate Note, 9/25/42 0.5405 09/25/2042 24,560,079 1,913,830
Kloeckner Pentaplast Of America 1st Lien Tl L + 4% 22apr20 5.0 04/22/2020 158,462 159,651
Venture XII CLO, Ltd., Floating Rate Note, 2/28/24 (144A) 1.5859 02/28/2024 1,500,000 875,068
Citibank Credit Card Issuance Trust, Floating Rate Note, 11/7/18 0.5059 11/07/2018 3,490,000 3,492,574
Navios Maritime Partners LP, Term Loan, 6/27/18 5.25 06/27/2018 1,405,726 1,413,925
JPMorgan Chase & Co., 1.1%, 10/15/15 1.1 10/15/2015 1,528,000 1,534,459
MortgageIT Trust 2005-2, Floating Rate Note, 5/25/35 0.7105 05/25/2035 8,495,000 1,416,360
Bear Stearns ALT-A Trust 2004-8, Floating Rate Note, 9/25/34 0.8905 09/25/2034 0 -69
NextGear Floorplan Master Owner Trust, Floating Rate Note, 7/15/19 (144A) 1.935 07/15/2019 2,600,000 2,600,419
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 0.6568 03/30/2016 7,849,000 7,840,286
NCF Dealer Floorplan Master Trust, Floating Rate Note, 10/20/20 (144A) 1.6868 10/20/2020 3,000,000 3,001,687
Shell International Finance BV, Floating Rate Note, 11/15/16 0.4839 11/15/2016 3,020,000 3,026,881
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 1.23 03/15/2019 4,251,000 1,248,106
U.S. Residential Opportunity Fund IV Trust 2015-1, 3.7213%, 2/27/35 (144A) 3.7213 02/27/2035 4,675,000 4,390,603
Total Capital Canada, Ltd., Floating Rate Note, 1/15/16 0.6688 01/15/2016 3,355,000 3,361,122
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 0.6905 06/25/2035 5,850,460 1,647,684
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/37 0.7905 10/25/2037 2,400,000 607,960
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.4673 11/15/2018 8,570,000 1,561,551
Quikrete Holdings, Inc., Initial Loan (First Lien), 9/26/20 4.0 09/26/2020 852,173 853,638
Manulife Financial Corp., 3.4%, 9/17/15 3.4 09/17/2015 7,320,000 7,436,941
CHL Mortgage Pass-Through Trust 2003-15 REMICS, Floating Rate Note, 6/25/18 0.6905 06/25/2018 28,013,062 453,723
SunTrust Bank, Floating Rate Note, 2/15/17 0.7139 02/15/2017 3,645,000 3,646,840
MUFG Union Bank NA, Floating Rate Note, 9/26/16 1.0308 09/26/2016 6,200,000 6,223,720
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 0.5318 09/30/2016 1,795,000 1,795,506
Volkswagen International Finance NV, 1.15%, 11/20/15 (144A) 1.15 11/20/2015 6,790,000 6,815,789
Volt 3.625% 25jul45 15-Np10-A1 3.625 07/25/2045 2,400,000 2,400,393
Spectrum Brands Inc 1st Lien Tl L + 3% 16jun22 3.75 06/16/2022 188,276 189,335
Honda Auto Receivables 2014-1 Owner Trust, 0.41%, 9/21/16 0.41 09/21/2016 2,715,000 828,019
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1.2705 03/25/2035 4,100,000 848,828
Royal Bank of Canada, Floating Rate Note, 7/30/18 0.8368 07/30/2018 1,325,000 1,325,823
Federal Farm Credit Banks, 0.39%, 4/25/16 0.39 04/25/2016 2,133,000 2,133,840
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/32 0.8905 01/25/2032 30,000,000 349,438
Alamo Re, Ltd., Floating Rate Note, 6/7/18 (Cat Bond) (144A) 5.9051 06/07/2018 1,250,000 1,257,413
McKesson Corp., Floating Rate Note, 9/10/15 0.6822 09/10/2015 6,580,000 6,586,096
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 12/8/20 0.745 12/08/2020 1,330,000 850,292
Offshore Group Investment, Ltd., Second Term Loan, 3/28/19 5.75 03/28/2019 63,091 32,570
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 0.7385 12/10/2027 1,000,000 675,976
Westlake Automobile Receivables Trust 2013-1, 1.12%, 1/15/18 (144A) 1.12 01/15/2018 375,000 31,412
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 0.3873 08/15/2026 1,330,000 420,258
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 10/10/45 5.115 10/10/2045 8,970,000 1,302,766
COMM 2014-KYO Mortgage Trust, Floating Rate Note, 6/11/27 (144A) 1.837 06/11/2027 5,740,000 5,739,739
TAL Advantage V LLC, 1.7%, 5/20/39 (144A) 1.7 05/20/2039 1,400,000 977,246
Oracle Corp., 5.25%, 1/15/16 5.25 01/15/2016 2,900,000 2,969,241
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 0.6441 05/23/2016 3,650,000 3,659,016
Honda Auto Receivables 2013-2 Owner Trust, 0.53%, 2/16/17 0.53 02/16/2017 959,000 478,801
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 0.4505 11/25/2046 12,390,000 1,867,055
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 0.3905 02/25/2037 5,150,000 438,033
The Toronto-Dominion Bank, Floating Rate Note, 7/8/16 0.4465 07/08/2016 1,320,000 1,321,338
Westpac Banking Corp., Floating Rate Note, 5/19/17 0.6065 05/19/2017 2,000,000 2,003,074
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 0.3423 05/15/2047 200,000 72,013
Homestar Mortgage Acceptance Corp. REMICS, Floating Rate Note, 9/25/34 1.2905 09/25/2034 6,482,000 1,468,065
VOLT XXXIII LLC, 3.5%, 3/25/55 (Step) (144A) 3.5 03/25/2055 2,500,000 2,372,148
Sanders Re, Ltd., Floating Rate Note, 5/25/18 (Cat Bond) (144A) 3.0153 05/25/2018 1,000,000 972,583
Morgan Stanley Capital I Trust 2007-TOP25, Floating Rate Note, 11/12/49 5.514 11/12/2049 1,650,000 1,678,936
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/19 0.638 10/20/2019 3,255,000 3,250,458
Federal National Mortgage Association, Floating Rate Note, 3/25/18 0.4905 03/25/2018 73,948,000 1,534,528
US Bank NA Cincinnati Ohio, Floating Rate Note, 4/22/16 0.415 04/22/2016 2,000,000 2,001,799
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 0.5905 09/25/2035 369,713 23,759
Envision Healthcare Corp., Initial Term Loan, 5/25/18 4.0 05/25/2018 1,242,622 1,246,634
Mizuho Bank, Ltd., Floating Rate Note, 3/26/18 (144A) 0.9208 03/26/2018 1,670,000 1,674,951
Blue Danube II, Ltd., Floating Rate Note, 5/23/18 (Cat Bond) (144A) 4.3682 05/23/2018 2,575,000 2,583,059
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 0.4905 12/25/2036 3,640,376 3,532,330
Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Floating Rate Note, 10/17/44 5.4508 10/17/2044 2,840,733 254,638
Ford Credit Auto Owner Trust 2015-A, Floating Rate Note, 1/15/18 0.4373 01/15/2018 2,500,000 2,500,826
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 0.5205 01/25/2036 810,000 452,860
General Electric Capital Corp., Floating Rate Note, 5/11/16 0.4789 05/11/2016 1,000,000 1,002,197
Westgate Resorts 2012-2 LLC, 9.0%, 1/21/25 (144A) 9.0 01/21/2025 1,500,000 271,308
Lockwood Grove CLO, Ltd., Floating Rate Note, 1/25/24 (144A) 1.2521 01/25/2024 2,500,000 2,500,897
Morgan Stanley Structured Trust, Floating Rate Note, 6/25/37 0.2705 06/25/2037 2,400,000 201,253
Government National Mortgage Association, Floating Rate Note, 10/16/39 0.867 10/16/2039 2,500,000 321,415
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 1.0105 05/25/2035 5,000,000 85,052
SMART ABS Series 2013-2US Trust, Floating Rate Note, 1/17/17 0.616 01/17/2017 2,500,000 1,114,591
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-B, Floating Rate Note, 4/25/28 0.8705 04/25/2028 33,661,000 1,403,584
Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2006-HE1, Floating Rate Note, 2/25/36 0.4005 02/25/2036 1,700,000 60,478
Wells Fargo & Co., Floating Rate Note, 4/23/18 0.9241