Pioneer Investments: Pioneer Multi-Asset Ultrashort Income Fund


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Pioneer Multi-Asset Ultrashort Income Fund

Monthly Portfolio Holdings as of 3/31/2015

Security Name Coupon Maturity Date Par / Shares Market Value($)
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 3.75 08/20/2025 2,805,000 1,349,740
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 0.8745 03/15/2032 22,000,000 201,822
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 10/27/36 (144A) 0.4438 10/27/2036 2,010,000 153,480
Rovi Solutions Corp 1st Lien Tl-B L + 3% 02jul21 3.75 07/02/2021 1,018,334 1,015,788
General Electric Capital Corp., 1.625%, 7/2/15 1.625 07/02/2015 1,000,000 1,007,051
inVentiv Health, Inc., Term B-3 Loan, 5/15/18 7.75 05/15/2018 66,145 66,201
World Omni Auto Receivables Trust 2013-B, 0.48%, 11/15/16 0.48 11/15/2016 50,000 10,178
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 5/1/15 0.3036 05/01/2015 2,720,000 2,721,946
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 3.7753 04/24/2017 1,350,000 1,334,081
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 8.9051 06/06/2017 1,500,000 1,527,342
IASIS Healthcare LLC, Term B-2 Loan, 5/3/18 4.5 05/03/2018 486,275 487,917
Hewett's Island CDO, Ltd., Floating Rate Note, 6/9/19 (144A) 2.5136 06/09/2019 1,000,000 1,001,648
American Credit Acceptance Receivables Trust 2013-1, 1.45%, 4/16/18 (144A) 1.45 04/16/2018 1,859,000 340,081
Ford Motor Credit Co LLC, Floating Rate Note, 9/8/17 0.7836 09/08/2017 500,000 497,385
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 1.1745 03/15/2032 64,920,000 712,833
Valeant Pharmaceuticals International, Inc., Series C-2 Tranche B Term Loan, 12/11/19 3.03 12/11/2019 511,676 512,031
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5.372 09/10/2045 5,040,000 5,136,091
Progressive Waste Solutions, Ltd., Term B Loan, 10/24/19 3.0 10/24/2019 1,167,106 1,172,941
Nordea Bank Finland Plc New York, Floating Rate Note, 6/13/16 0.4499 06/13/2016 2,225,000 2,225,787
JP Morgan Mortgage Acquisition Corp 2005-FRE1, Floating Rate Note, 10/25/35 0.391 10/25/2035 19,316,000 1,025,948
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 0.7738 05/25/2040 500,000 261,060
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 2.35 10/25/2035 2,600,000 617,512
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/16/30 (144A) 1.925 12/16/2030 1,500,000 1,502,561
Citigroup Mortgage Loan Trust, Inc., 6.5%, 6/25/16 6.5 06/25/2016 10,100,000 7,375
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/37 0.5145 05/15/2037 5,000,000 321,504
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 0.4838 11/25/2035 25,178,000 4,482,930
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 0.725 12/10/2027 1,000,000 855,049
JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A) 1.425 04/15/2027 5,600,000 5,598,777
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 2.4432 07/25/2033 8,050,000 946,209
Atlantic Power LP, Term Loan, 2/20/21 4.75 02/20/2021 2,730,906 2,747,974
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 0.5615 11/23/2016 1,800,000 1,802,680
Hyatt Hotel Portfolio Trust 2015-HYT, Floating Rate Note, 11/15/29 (144A) 1.875 11/15/2029 1,800,000 1,804,448
American Express Credit Account Master Trust, Floating Rate Note, 2/15/18 1.3745 02/15/2018 1,945,000 1,951,796
Alliant Holdings I, Inc., Initial Term Loan, 12/20/19 5.0 12/20/2019 242,448 242,700
Landry's, Inc., B Term Loan, 4/24/18 4.0 04/24/2018 379,853 381,040
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 0.406 02/20/2035 31,769,748 2,908,645
Paragon Offshore Finance Co Tl-B L + 2.75% 11jul21 3.75 07/11/2021 870,625 592,129
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 0.7238 10/25/2017 5,500,000 77,031
Mizuho Bank, Ltd., Floating Rate Note, 3/26/18 (144A) 0.9094 03/26/2018 1,670,000 1,670,204
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/18 0.4745 11/15/2018 7,142,857 7,387
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 0.3738 12/25/2036 3,000,000 326,056
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR10, Floating Rate Note, 12/11/40 5.405 12/11/2040 4,250,000 3,341,877
Daimler Finance North America LLC, 1.3%, 7/31/15 (144A) 1.3 07/31/2015 5,100,000 5,124,800
Harley-Davidson Motorcycle Trust 2011-1, 2.12%, 8/15/17 2.12 08/15/2017 190,000 191,168
Chesapeake Funding LLC, Floating Rate Note, 2/7/27 (144A) 1.925 02/07/2027 1,000,000 1,001,228
National Australia Bank, Ltd., Floating Rate Note, 3/17/17 (144A) 0.6407 03/17/2017 1,950,000 1,954,504
Credit Suisse Commercial Mortgage Trust Series 2006-C1, Floating Rate Note, 2/15/39 5.4685 02/15/2039 5,802,000 5,810,112
Nn Inc 1st Lien Tl-B L + 5% 18jul21 6.0 07/18/2021 1,216,518 1,221,840
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 0.8738 02/25/2038 4,400,000 257,056
Springleaf Mortgage Loan Trust 2012-3, Floating Rate Note, 12/26/59 (144A) 1.57 12/26/2059 1,000,000 419,029
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 0.471 05/25/2036 25,142,877 1,672,744
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 7.42 01/09/2019 1,250,000 1,301,944
The Hertz Corp., Tranche B-1 Term Loan, 3/11/18 4.0 03/11/2018 733,125 733,813
JP Morgan Chase Commercial Mortgage Securities Trust 2013-JWRZ, Floating Rate Note, 4/15/30 (144A) 0.955 04/15/2030 4,975,000 4,976,183
ARI Fleet Lease Trust 2012-A, Floating Rate Note, 3/15/20 (144A) 0.7245 03/15/2020 2,070,000 288,455
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 0.7745 08/15/2019 1,550,000 1,553,399
PHARMEDIUM HEALTHCARE Corp., Initial Term Loan (First Lien), 1/23/21 4.25 01/23/2021 255,975 254,802
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 0.4238 02/25/2037 20,692,000 806,865
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 0.6338 06/25/2034 41,830,000 1,377,776
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 2.7988 08/25/2034 2,122,000 239,451
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 3.9152 06/07/2017 2,000,000 2,007,100
Exeter Automobile Receivables Trust 2014-2, 1.06%, 8/15/18 1.06 08/15/2018 1,400,000 792,505
TI Group Automotive Systems LLC, Term Loan Facility, 7/1/21 4.25 07/01/2021 633,502 634,030
Toyota Auto Receivables 2013-B Owner Trust, 0.48%, 2/15/16 0.48 02/15/2016 2,390,000 78,374
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1.8238 03/25/2035 2,443,000 2,401,930
NEP, Amendment No. 3 Incremental Term Loan (First Lien), 1/22/20 4.25 01/22/2020 612,574 598,025
General Electric Capital Corp., Floating Rate Note, 7/2/15 1.2852 07/02/2015 2,793,000 2,808,407
McKesson Corp., 3.25%, 3/1/16 3.25 03/01/2016 2,500,000 2,558,311
RAMP Series 2004-RS11 Trust, Floating Rate Note, 11/25/34 1.1038 11/25/2034 3,805,000 967,514
NovaStar Mortgage Funding Trust Series 2003-1, Floating Rate Note, 5/25/33 0.9538 05/25/2033 19,881,000 405,216
American Express Credit Corp., Floating Rate Note, 7/29/16 0.7626 07/29/2016 2,850,000 2,863,413
The Bank of New York Mellon Corp., 2.5%, 1/15/16 2.5 01/15/2016 835,000 852,228
Government National Mortgage Association, Floating Rate Note, 6/16/31 0.6745 06/16/2031 14,000,000 230,541
CLI Funding LLC, Floating Rate Note, 8/18/21 (144A) 0.357 08/18/2021 7,250,000 925,702
Capital One Multi-Asset Execution Trust, Floating Rate Note, 8/15/18 0.2645 08/15/2018 6,945,000 6,943,525
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 0.5738 05/25/2037 32,172,000 1,057,612
United Auto Credit Securitization Trust 2015-1, 1.68%, 9/15/17 (144A) 1.68 09/15/2017 2,500,000 2,500,442
WaMu Mortgage Pass-Through Certificates Series 2002-AR18 Trust, Floating Rate Note, 1/25/33 2.506 01/25/2033 34,265,000 326,211
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/37 0.7238 10/25/2037 1,030,000 125,005
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 0.4245 04/15/2022 497,205 496,684
Citigroup Mortgage Loan Trust Series 2004-OPT1 Asset Backed Pass-Through Certifi, Floating Rate Note 0.9988 10/25/2034 2,140,000 1,722,743
Nissan Motor Acceptance Corp., Floating Rate Note, 9/26/16 (144A) 0.9694 09/26/2016 1,500,000 1,508,885
Carrington Mortgage Loan Trust Series 2005-NC4, Floating Rate Note, 9/25/35 0.5738 09/25/2035 375,000 39,360
ARI Fleet Lease Trust 2013-A, 0.7%, 12/15/15 (144A) 0.7 12/15/2015 4,000,000 974,788
NorthStar 2013-1, Floating Rate Note, 8/27/29 (144A) 2.0238 08/27/2029 2,784,000 2,032,141
Morgan Stanley ABS Capital I Inc Trust 2005-WMC3, Floating Rate Note, 3/25/35 0.8788 03/25/2035 131,174 63,172
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 0.321 05/25/2036 3,004,334 749,506
General Electric Capital Corp., Floating Rate Note, 5/11/16 0.4584 05/11/2016 1,000,000 1,001,729
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 0.3245 10/15/2020 1,400,000 118,205
Toyota Auto Receivables 2014-C Owner Trust, 0.51%, 2/15/17 0.51 02/15/2017 1,770,000 1,770,095
Freddie Mac Strips, Floating Rate Note, 8/15/36 0.4745 08/15/2036 43,230,336 2,013,563
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 0.8745 12/15/2039 2,334,000 916,491
Six Flags Theme Parks, Inc., Tranche B Term Loan, 12/20/18 3.5007 12/20/2018 727,904 732,149
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 9/8/17 (144A) 0.5736 09/08/2017 2,525,000 2,517,254
Banc of America Mortgage 2004-I Trust, Floating Rate Note, 10/25/34 2.4955 10/25/2034 6,000,000 403,255
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 4.5051 12/06/2016 2,900,000 2,970,325
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 0.6738 03/25/2024 14,460,650 532,593
Dtz Us Borrower Llc 1st Lien Tl L + 4.5% 28oct21 5.5 10/28/2021 1,710,500 1,724,042
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 8.6125 04/08/2016 1,750,000 1,801,392
Kane Ilw Zero% 02feb16 0.0 02/02/2016 750,000 701,250
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/32 0.7745 09/15/2032 10,000,000 215,114
GSAMP Trust 2004-SEA2, Floating Rate Note, 3/25/34 0.8238 03/25/2034 4,798,600 2,953,804
Canadian National Railway Co., Floating Rate Note, 11/14/17 0.4271 11/14/2017 1,670,000 1,668,532
Verizon Communications, Inc., 0.7%, 11/2/15 0.7 11/02/2015 3,300,000 3,309,693
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 2.4472 11/25/2034 5,495,000 523,536
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 4.894 08/10/2042 3,300,000 463,056
GSAA Home Equity Trust 2004-11, Floating Rate Note, 12/25/34 0.8338 12/25/2034 5,735,000 300,517
GS Mortgage Securities Trust 2014-GSFL, Floating Rate Note, 7/15/31 (144A) 1.9245 07/15/2031 1,690,000 1,694,898
Garda World Security Corp., Term B Loan, 11/1/20 4.0 11/01/2020 1,245,217 1,241,585
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-WCW, Floating Rate Note 1.1938 09/25/2034 2,800,000 1,205,614
ASG Resecuritization Trust 2010-3, Floating Rate Note, 12/29/45 (144A) 0.4303 12/29/2045 5,216,443 2,142,048
The Procter & Gamble Co., 1.8%, 11/15/15 1.8 11/15/2015 2,950,000 2,996,280
Mastr Asset Backed Securities Trust 2006-AB1 REMICS, Floating Rate Note, 2/25/36 0.4038 02/25/2036 12,307,204 1,981,310
Merna Reinsurance, Ltd., Floating Rate Note, 4/9/18 (Cat Bond) (144A)   04/09/2018 1,000,000 999,200
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 0.7738 12/25/2023 13,749,086 104,365
Volkswagen Auto Lease Trust 2014-A, 0.52%, 10/20/16 0.52 10/20/2016 5,790,000 3,395,857
Ford Motor Credit Co LLC, Floating Rate Note, 11/8/16 0.7061 11/08/2016 1,715,000 1,709,615
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1.7652 01/07/2019 1,800,000 1,812,915
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.4238 06/25/2037 3,590,000 307,889
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/32 0.7738 08/25/2032 5,000,000 86,067
Altria Group, Inc., 4.125%, 9/11/15 4.125 09/11/2015 1,075,000 1,093,661
Ally Auto Receivables Trust 2011-3, 1.61%, 5/16/16 1.61 05/16/2016 602,000 33,337
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 0.6745 07/15/2036 15,317,285 1,122,510
Morgan Stanley, Floating Rate Note, 10/15/15 0.7333 10/15/2015 318,000 318,943
Belden Finance 2013 LP, Initial Term Loan, 9/9/20 3.25 09/09/2020 640,250 641,450
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2.8579 03/25/2034 8,200,000 430,550
Embarcadero Reinsurance, Ltd., Floating Rate Note, 2/7/17 (Cat Bond) (144A) 5.0051 02/07/2017 1,025,000 1,037,081
MASTR Adjustable Rate Mortgages Trust 2003-3, Floating Rate Note, 9/25/33 2.042 09/25/2033 2,650,000 754,429
Hyundai Auto Receivables Trust 2012-A, 0.95%, 12/15/16 0.95 12/15/2016 3,878,000 2,105,841
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 7/25/24 1.3738 07/25/2024 5,330,000 4,578,816
Glenn Pool Oil & Gas Trust, Term Loan, 5/2/16 4.5 05/02/2016 19,879 19,830
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-4, 5.0%, 7/25/20 5.0 07/25/2020 486,000 14,954
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.6238 09/25/2037 9,159,000 390,437
Az Chem Us Inc 1st Lien Tl-B L + 3.5% 09jun21 4.5183 06/09/2021 1,883,464 1,889,644
Discover Card Execution Note Trust, 0.69%, 8/15/18 0.69 08/15/2018 3,125,000 3,126,686
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 0.7146 03/22/2016 4,300,000 4,299,624
BlackRock, Inc., 1.375%, 6/1/15 1.375 06/01/2015 1,310,000 1,317,952
AWAS Finance Luxembourg 2012 SA, Term Loan, 7/16/18 3.5 07/16/2018 386,589 387,551
Synchrony Credit Card Master Note Trust, 1.51%, 6/15/18 1.51 06/15/2018 849,000 850,594
Fannie Mae, Floating Rate Note, 9/1/32 2.237 09/01/2032 375,000 21,324
Dell Equipment Finance Trust 2014-1, 0.64%, 7/22/16 (144A) 0.64 07/22/2016 800,000 800,346
Invitation Homes 2015-SFR2 Trust, Floating Rate Note, 6/17/32 (144A)   06/17/2032 2,800,000 2,800,000
GE Business Loan Trust 2006-2, Floating Rate Note, 11/15/34 (144A) 0.3545 11/15/2034 8,767,382 3,064,949
Commonwealth Bank of Australia, Floating Rate Note, 12/4/15 (144A) 0.471 12/04/2015 1,800,000 1,802,483
Chase Issuance Trust, 0.79%, 6/15/17 0.79 06/15/2017 8,755,000 8,764,229
Caterpillar Financial Services Corp., Floating Rate Note, 3/3/17 0.4052 03/03/2017 2,500,000 2,499,277
British Telecommunications Plc, 2.0%, 6/22/15 2.0 06/22/2015 7,229,000 7,291,581
Chase Issuance Trust, Floating Rate Note, 10/16/17 0.3245 10/16/2017 2,700,000 2,699,315
Selene Non-Performing Loans LLC, 2.9814%, 5/25/54 (Step) (144A) 2.9814 05/25/2054 3,530,000 3,271,070
Morgan Stanley ABS Capital I Inc Trust 2005-NC2, Floating Rate Note, 3/25/35 0.8038 03/25/2035 2,854,027 1,719,010
American Honda Finance Corp., Floating Rate Note, 12/11/17 0.5766 12/11/2017 2,570,000 2,574,763
Royal Bank of Canada, Floating Rate Note, 1/23/17 0.5871 01/23/2017 1,875,000 1,880,737
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 0.873 12/05/2031 900,000 896,888
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 3.1042 06/25/2030 2,875,810 433,580
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 0.8119 03/03/2017 2,000,000 2,006,962
PNC Bank NA, Floating Rate Note, 1/28/16 0.5661 01/28/2016 2,250,000 2,254,779
Pfizer, Inc., Floating Rate Note, 5/15/17 0.4071 05/15/2017 2,100,000 2,100,897
Specialty Underwriting & Residential Finance Trust Series 2005-AB2, Floating Rate Note, 6/25/36 0.5638 06/25/2036 1,500,000 466,522
Prudential Financial, Inc., 3.0%, 5/12/16 3.0 05/12/2016 2,500,000 2,585,491
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 1.673 11/05/2030 2,475,000 2,442,147
Impac CMB Trust Series 2003-8, Floating Rate Note, 10/25/33 1.0738 10/25/2033 8,000,000 470,288
Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A) 1.0507 09/16/2016 1,500,000 1,508,124
Svenska Handelsbanken AB, Floating Rate Note, 3/21/16 0.7146 03/21/2016 3,625,000 3,639,212
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 0.6238 07/25/2034 22,310,000 1,844,913
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/31 1.1245 10/15/2031 1,750,000 103,730
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 10/23/15 0.3871 10/23/2015 2,500,000 2,502,868
Discover Card Execution Note Trust, Floating Rate Note, 3/15/18 0.7545 03/15/2018 6,550,000 6,561,962
Bbb Industries Llc 1st Lien Tl L + 5% 20oct21 6.0 10/20/2021 1,000,000 1,003,750
American Honda Finance Corp., 1.0%, 8/11/15 (144A) 1.0 08/11/2015 1,000,000 1,003,675
PNC Bank NA, Floating Rate Note, 4/29/16 0.5726 04/29/2016 3,268,000 3,270,889
Ally Auto Receivables Trust 2014-SN1, Floating Rate Note, 10/20/16 0.376 10/20/2016 1,800,000 1,083,703
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 4.75 04/25/2034 12,155,000 564,003
CommScope, Inc., Tranche 3 Term Loan, 1/21/17 2.8283 01/21/2017 157,636 157,439
Svenska Handelsbanken New York NY, Floating Rate Note, 8/17/16 0.4381 08/17/2016 2,500,000 2,500,950
Merrill Lynch Mortgage Trust 2005-CKI1, Floating Rate Note, 11/12/37 5.2818 11/12/2037 7,925,000 5,825,367
Prestige Brands, Inc., Term B-2 Loan, 8/18/21 4.5 08/18/2021 550,000 552,888
Banc of America Mortgage 2003-A Trust, Floating Rate Note, 2/25/33 3.1312 02/25/2033 10,560,000 101,734
United Airlines, Inc., Class B Term Loan, 4/1/19 3.5 04/01/2019 245,000 244,388
Royal Bank of Canada, Floating Rate Note, 6/16/17 0.5106 06/16/2017 2,200,000 2,196,955
VOLT XIX LLC, 3.875%, 4/26/55 (Step) 3.875 04/26/2055 1,500,000 1,245,914
Alkermes, Inc., 2019 Term Loan, 9/25/19 3.5 09/25/2019 1,125,602 1,128,416
Quebecor Media, Inc., Facility B-1 Tranche, 8/17/20 3.25 08/17/2020 496,222 490,794
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 0.6738 01/25/2033 13,036,000 432,589
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 0.4245 08/15/2036 17,556,000 839,245
BSN medical International Holding GmbH & Co KG, Facility B1b, 8/28/19 4.0 08/28/2019 593,611 592,375
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/49 0.7238 12/25/2049 2,000,000 254,950
Volvo Financial Equipment LLC Series 2014-1, 0.54%, 11/15/16 (144A) 0.54 11/15/2016 1,700,000 1,245,255
Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A) 3.7753 11/25/2019 2,350,000 2,354,866
TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16 0.9531 06/30/2016 3,544,000 3,554,963
Audio Visual Services Corp., Initial Term Loan (First Lien), 1/24/21 4.5 01/24/2021 227,700 227,700
Pelican Re, Ltd., Floating Rate Note, 4/13/15 (Cat Bond) (144A) 14.0136 04/13/2015 2,250,000 2,274,266
KeyCorp, 3.75%, 8/13/15 3.75 08/13/2015 5,350,000 5,435,129
Booz Allen Hamilton, Inc., Refinance Tranche B, 7/31/19 3.75 07/31/2019 1,358,138 1,366,344
Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35 0.5538 12/25/2035 2,690,000 735,041
Nelnet Student Loan Trust 2005-1, Floating Rate Note, 10/26/20 0.3261 10/26/2020 1,795,000 397,016
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 1.0738 04/25/2032 35,072,000 1,974,213
Activision Blizzard, Inc., Term Loan, 7/26/20 3.25 07/26/2020 1,411,209 1,419,147
Cabela's Credit Card Master Note Trust, Floating Rate Note, 2/18/20 (144A) 0.7045 02/18/2020 2,150,000 2,156,964
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 0.6438 03/25/2035 5,700,000 1,617,094
Bombardier Recreational Products, Inc., Term B Loan, 1/30/19 4.0 01/30/2019 188,571 188,611
Firstmac Mortgage Funding Trust Series 1A-2014, Floating Rate Note, 6/26/15 (144A) 0.5228 06/26/2015 2,500,000 2,499,878
Bear Stearns ALT-A Trust 2004-8, Floating Rate Note, 9/25/34 0.8738 09/25/2034 14,600,000 923,598
US Bank NA Cincinnati Ohio, Floating Rate Note, 1/30/17 0.4846 01/30/2017 2,025,000 2,027,303
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 0.616 10/20/2017 888,000 888,357
RAIT 2014-FL2 Trust, Floating Rate Note, 5/15/31 (144A) 2.323 05/15/2031 5,200,000 5,146,450
Wachovia Corp., Floating Rate Note, 6/15/17 0.5406 06/15/2017 1,999,000 1,994,723
American Express Credit Account Master Trust, 1.29%, 3/15/18 (144A) 1.29 03/15/2018 400,000 400,601
Emdeon, Inc., Term B-2 Loan, 11/2/18 3.75 11/02/2018 1,599,857 1,604,856
Citibank Credit Card Issuance Trust, Floating Rate Note, 2/7/18 0.415 02/07/2018 9,931,000 9,932,769
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 3.75 12/12/2019 318,295 319,223
Duke Energy Progress, Inc., Floating Rate Note, 3/6/17 0.4636 03/06/2017 1,275,000 1,274,868
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3, Floating Rate Note, 8/25/35 (144 0.4738 08/25/2035 1,300,000 50,808
Nissan Auto Receivables 2013-A Owner Trust, 0.5%, 5/15/17 0.5 05/15/2017 3,400,000 1,804,369
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 1.225 12/10/2027 500,000 501,689
The Huntington National Bank, Floating Rate Note, 4/24/17 0.6811 04/24/2017 2,000,000 1,999,778
VOLT NPL X LLC, 3.375%, 10/26/54 (Step) (144A) 3.375 10/26/2054 4,390,000 3,807,757
RAMP Series 2006-RZ3 Trust, Floating Rate Note, 10/25/35 0.3338 10/25/2035 10,534,000 2,129,450
MassMutual Global Funding II, Floating Rate Note, 12/11/15 (144A) 0.3866 12/11/2015 3,290,000 3,292,528
Oak Hill Advisors Residential Loan Trust 2014-NPL1, 2.8828%, 5/25/54 (Step) (144A) 2.8828 05/25/2054 1,810,000 1,173,769
Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37 0.3238 03/25/2037 1,000,000 533,621
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP4, Floating Rate Note, 10/15/42 5.04 10/15/2042 3,950,000 3,995,832
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 6/25/34 0.9138 06/25/2034 26,125,000 343,160
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/21 1.0738 09/25/2021 8,269,375 73,783
Government National Mortgage Association, Floating Rate Note, 8/20/35 0.576 08/20/2035 3,497,364 242,167
Revlon Consumer Products Corp., Acquisition Term Loan, 8/19/19 4.0 08/19/2019 363,653 364,051
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/31 0.7738 11/25/2031 50,000,000 437,853
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 0.8738 03/25/2035 5,042,000 803,202
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 0.4745 01/15/2036 1,837,000 339,284
Valeant Pharmaceuticals International, Inc., Series E1 Tranche B Term Loan, 8/5/20 3.5 08/05/2020 1,313,724 1,314,957
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 1.0267 11/25/2034 62,595,000 2,997,234
RASC Series 2005-KS3 Trust, Floating Rate Note, 4/25/35 0.8188 04/25/2035 829,000 174,917
Tronox Pigments BV, New Term Loan, 3/19/20 4.0 03/19/2020 383,408 383,959
Royal Bank of Canada, Floating Rate Note, 12/16/15 0.4906 12/16/2015 1,800,000 1,802,644
RAMP Series 2005-EFC4 Trust, Floating Rate Note, 9/25/35 0.5838 09/25/2035 1,060,000 281,215
Milacron LLC, Term Loan, 3/28/20 4.0 03/28/2020 686,070 680,067
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 0.4745 02/15/2030 2,056,750 888,256
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 0.6738 06/25/2035 1,393,325 620,208
RPI Finance Trust, Term B-3 Term Loan, 11/9/18 3.25 11/09/2018 620,776 622,871
Epiq Systems, Inc., Term Loan, 8/27/20 4.5 08/27/2020 467,006 468,173
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 0.5738 07/25/2035 1,110,000 1,089,583
Cincinnati Bell, Inc., Tranche B Term Loan, 9/10/20 4.0 09/10/2020 1,231,250 1,231,763
Federal National Mortgage Association REMICS, Floating Rate Note, 7/18/27 0.677 07/18/2027 10,000,000 37,741
BAMLL Commercial Mortgage Securities Trust 2014-FL1, Floating Rate Note, 12/17/31 (144A) 2.3745 12/17/2031 3,613,000 3,629,107
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 2.7576 01/15/2017 1,500,000 1,533,632
GSAMP Trust 2006-HE1, Floating Rate Note, 12/26/45 0.3838 12/26/2045 7,000,000 1,109,701
Wells Fargo Bank NA, Floating Rate Note, 5/16/16 0.4671 05/16/2016 975,000 973,369
Progress Residential 2015-SFR1 Trust, Floating Rate Note, 2/20/32 (144A) 2.5745 02/20/2032 3,000,000 3,033,344
Capital One Financial Corp., Floating Rate Note, 11/6/15 0.8951 11/06/2015 2,620,000 2,628,779
Jackson National Life Global Funding, Floating Rate Note, 9/30/15 (144A) 0.6231 09/30/2015 3,300,000 3,304,312
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.5245 11/15/2036 2,850,000 452,254
Charter Communications Operating LLC, Term F Loan, 12/31/20 3.0 12/31/2020 1,301,813 1,298,456
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 (144A) 2.175 12/15/2028 2,910,000 2,915,804
Merck & Co, Inc., Floating Rate Note, 5/18/16 0.4462 05/18/2016 500,000 501,032
Toyota Motor Credit Corp., Floating Rate Note, 9/18/15 0.4202 09/18/2015 2,300,000 2,301,606
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/32 0.8738 01/25/2032 30,000,000 387,812
Genpact International, Inc., Term Loan, 8/30/19 3.5 08/30/2019 977,588 980,765
Windstream Corp., Tranche B-4 Term Loan, 1/23/20 3.5 01/23/2020 1,027,849 1,028,491
WMG Acquisition Corp., Tranche B Refinancing Term Loan, 7/1/20 3.75 07/01/2020 1,083,500 1,059,663
Kane Zero% 29apr16 0.0 04/29/2016 2,600,000 2,695,680
WaMu Mortgage Pass-Through Certificates Series 2005-AR7 Trust, Floating Rate Note, 8/25/35 2.3579 08/25/2035 28,565,000 601,080
BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A) 2.7797 09/26/2035 8,854,257 1,991,829
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP6, Floating Rate Note, 4/15/43 5.565 04/15/2043 2,712,000 2,802,493
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 2.4238 03/25/2032 1,000,000 252,697
State Street Corp., 2.875%, 3/7/16 2.875 03/07/2016 3,750,000 3,835,480
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MCW, Floating Rate Note 1.1113 10/25/2034 1,150,000 396,991
American Airlines, Inc., Class B Term Loan, 6/27/19 3.75 06/27/2019 2,505,375 2,508,955
GMAC Commercial Mortgage Securities Inc Series 2004-C2 Trust, Floating Rate Note, 8/10/38 5.301 08/10/2038 5,341,000 37,964
Queen Street VI Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 10.3625 04/09/2015 250,000 263,081
Westgate Resorts LLC, 9.5%, 2/20/25 (144A) 9.5 02/20/2025 5,000,000 1,545,526
GS Mortgage Securities Trust 2006-GG6 REMICS, Floating Rate Note, 4/10/38 5.553 04/10/2038 3,550,000 3,623,962
Steward Health Care System LLC, Term Loan, 4/10/20 6.75 04/10/2020 982,500 980,953
Sumitomo Mitsui Banking Corp. New York, Floating Rate Note, 5/2/17   05/02/2017 1,715,000 1,715,966
Blue Danube II, Ltd., Floating Rate Note, 5/23/18 (Cat Bond) (144A) 4.2787 05/23/2018 2,575,000 2,587,096
ARI Fleet Lease Trust 2014-A, 0.81%, 11/15/22 (144A) 0.81 11/15/2022 3,000,000 2,763,446
Medco Health Solutions, Inc., 2.75%, 9/15/15 2.75 09/15/2015 5,000,000 5,048,741
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 8.6049 01/05/2017 2,250,000 2,409,148
First Horizon Mortgage Pass-Through Trust 2003-AR3, Floating Rate Note, 9/25/33 2.5904 09/25/2033 13,000,000 875,881
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 2/25/35 1.0338 02/25/2035 17,437,000 4,533,218
PF Chang's China Bistro, Inc., Term Borrowing, 7/2/19 4.25 07/02/2019 834,931 816,667
Interactive Data 1st Lien Tl-B L + 3.75% 24apr21 4.75 04/24/2021 212,433 213,727
Fieldstone Mortgage Investment Trust Series 2004-5, Floating Rate Note, 2/25/35 1.8988 02/25/2035 3,600,000 528,101
Anheuser-Busch InBev Worldwide, Inc., 3.625%, 4/15/15 3.625 04/15/2015 1,285,000 1,307,562
Pangaea Zero% 01jul18 0.0 07/01/2018 2,300,000 2,507,460
Delta Funding Home Equity Loan Trust 1997-2, 7.04%, 6/25/27 7.04 06/25/2027 1,000,000 845
Aecom Technology Corp 1st Lien Tl-B L + 3% 17sep21 3.75 09/17/2021 287,913 290,672
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 1.0775 05/19/2033 36,301,000 1,753,548
Nissan Auto Receivables 2013-C Owner Trust, 0.4%, 6/15/16 0.4 06/15/2016 2,075,000 435,264
Daimler Finance North America LLC, Floating Rate Note, 3/2/18 (144A) 0.6816 03/02/2018 1,275,000 1,277,162
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 0.6299 03/13/2017 2,000,000 2,001,655
Crusade Global Trust, Floating Rate Note, 7/20/38 (144A) 0.3166 07/20/2038 1,200,000 135,148
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 1.47 05/15/2018 100,000 15,874
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 0.3438 08/25/2036 1,250,000 291,819
Apple, Inc., Floating Rate Note, 5/3/16 0.3031 05/03/2016 1,500,000 1,501,359
Enterprise Fleet Financing LLC, 0.93%, 4/20/18 (144A) 0.93 04/20/2018 1,800,000 1,801,768
GE Equipment Transportation LLC Series 2013-2, 0.61%, 6/24/16 0.61 06/24/2016 1,520,000 470,495
Bank of Montreal, 0.8%, 11/6/15 0.8 11/06/2015 2,600,000 2,615,036
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 0.471 09/25/2036 5,483,897 688,949
Bosphorus Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 2.5101 05/03/2016 750,000 749,004
ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A) 3.081 09/25/2025 1,558,000 527,652
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 0.4338 09/25/2035 6,230,000 274,656
Axalta Coating Systems US Holdings, Inc., Refinanced Term B Loan, 2/1/20 3.75 02/01/2020 1,021,485 1,016,843
Bank of Montreal, Floating Rate Note, 7/14/17 0.5028 07/14/2017 2,300,000 2,300,893
Morgan Stanley ABS Capital I Inc Trust 2005-HE3, Floating Rate Note, 7/25/35 0.9538 07/25/2035 95,000 31,979
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.5745 12/15/2032 11,201,000 804,562
BMW Vehicle Lease Trust 2013-1, 0.54%, 9/21/15 0.54 09/21/2015 3,062,000 249,973
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 1.7813 08/20/2034 8,500,000 361,201
Volvo Financial Equipment LLC Series 2012-1, 2.38%, 9/16/19 (144A) 2.38 09/16/2019 295,000 296,780
Enbridge, Inc., Floating Rate Note, 10/1/16 0.9052 10/01/2016 1,650,000 1,646,898
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/32 0.6738 09/25/2032 20,000,000 361,526
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/24 1.2245 03/15/2024 6,200,000 1,419,453
Swift Transportation Co LLC, Tranche B Loan, 6/9/21 3.75 06/09/2021 339,006 340,489
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.1512 04/30/2018 1,000,000 1,015,450
TransDigm, Inc., Tranche C Term Loan, 2/28/20 3.75 02/28/2020 319,284 319,259
First Investors Auto Owner Trust 2013-3, 0.89%, 9/15/17 (144A) 0.89 09/15/2017 220,000 53,148
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 0.3445 04/15/2022 1,430,707 197,670
ABFC 2005-WF1 Trust, Floating Rate Note, 12/25/34 0.7938 12/25/2034 2,140,000 776,193
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/31 0.6738 08/25/2031 17,600,000 208,933
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/31 0.7738 11/25/2031 44,000,000 385,310
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 3.25 10/18/2018 733,125 733,910
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 0.6238 06/25/2036 8,454,822 811,549
Cisco Systems, Inc., Floating Rate Note, 3/3/17 0.5419 03/03/2017 2,580,000 2,589,282
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 0.625 05/07/2024 2,550,000 1,147,269
FNA 2014-1 Trust, 1.296%, 12/10/22 (144A) 1.296 12/10/2022 2,500,000 2,140,975
Chase Issuance Trust, Floating Rate Note, 4/15/19 0.2245 04/15/2019 1,350,000 1,343,591
Structured Asset Sec Corp Mort Pass Thr Certs Series 1998-8, Floating Rate Note, 8/25/28 1.1138 08/25/2028 8,825,000 364,597
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 8.5125 05/09/2016 1,500,000 1,545,650
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 0.4538 09/25/2035 13,780,000 1,147,793
Nations Equipment Finance Funding II LLC, 1.558%, 7/20/18 (144A) 1.558 07/20/2018 2,100,000 1,386,626
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.8738 01/25/2035 17,745,000 1,978,960
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 5.116 06/10/2044 2,675,000 1,186,227
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 4.1745 10/15/2015 1,537,000 1,540,293
Tower Automotive Holdings USA LLC, Refinancing Term Loan, 4/23/20 4.0 04/23/2020 188,956 189,133
Nissan Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 0.4445 01/15/2016 760,000 242,248
General Electric Capital Corp., Floating Rate Note, 5/15/17 0.5371 05/15/2017 2,000,000 2,003,261
Commercial Mortgage Trust 2005-GG5, Floating Rate Note, 4/10/37 5.277 04/10/2037 6,995,000 7,131,217
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 2,375,100 2,384,363
Wheels SPV 2 LLC, 0.84%, 3/20/23 (144A) 0.84 03/20/2023 1,000,000 978,194
AmeriCredit Automobile Receivables Trust 2011-5, 2.45%, 12/8/16 2.45 12/08/2016 1,700,000 74,560
Quest Trust REMICS, Floating Rate Note, 3/25/34 (144A) 0.8338 03/25/2034 95,089,092 3,434,633
Chesapeake Funding LLC, Floating Rate Note, 4/7/24 (144A) 1.425 04/07/2024 2,050,000 951,843
Rialto Capital Management LLC, 2.85%, 5/15/24 (144A) 2.85 05/15/2024 2,000,000 515,291
Fannie Mae, Floating Rate Note, 11/1/23 2.243 11/01/2023 970,000 9,118
Structured Asset Securities Corp Mortgage Loan Trust 2005-S7, Floating Rate Note, 12/25/35 (144A) 0.7738 12/25/2035 11,868,000 1,454,792
GE Business Loan Trust 2003-2 REMICS, Floating Rate Note, 11/15/31 (144A) 0.5445 11/15/2031 10,000,000 860,876
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 0.4338 12/25/2035 2,967,970 726,866
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 0.6309 05/27/2016 2,530,000 2,536,918
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 0.9538 11/25/2034 15,162,000 1,952,134
American Honda Finance Corp., Floating Rate Note, 10/7/16 0.7536 10/07/2016 2,285,000 2,299,268
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 1.2738 09/25/2034 3,465,620 543,127
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/33 2.61 11/01/2033 850,000 15,007
Wachovia Bank Commercial Mortgage Trust Series 2005-C20 REMICS, Floating Rate Note, 7/15/42 5.118 07/15/2042 8,460,000 4,193,259
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 3.0 05/15/2018 2,777,000 972,597
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE2, Floating Rate Note, 2/25/35 0.8488 02/25/2035 8,100,000 511,028
Banc of America Funding 2004-B Trust, Floating Rate Note, 12/20/34 0.536 12/20/2034 20,499,000 1,440,989
Avago Technologies Ltd 1st Lien Tl-B L + 3% 16apr21 3.75 04/16/2021 1,122,572 1,126,291
Gci Holdings Inc 1st Lien Tl-B L + 3.75% 22dec21 4.75 12/22/2021 660,000 663,300
Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 6.015 06/12/2015 3,550,000 3,586,802
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 0.7833 07/15/2016 1,500,000 1,509,914
Capital One Multi-Asset Execution Trust, Floating Rate Note, 12/16/19 0.2545 12/16/2019 3,400,000 3,387,723
GSAMP Trust 2005-HE6, Floating Rate Note, 11/25/35 0.5338 11/25/2035 220,000 125,149
General Electric Capital Corp., Floating Rate Note, 7/10/15 0.6321 07/10/2015 690,000 691,551
Calpine Construction Finance Co LP, Term B-1 Loan, 5/3/20 3.0 05/03/2020 1,179,000 1,165,183
Altice Financing SA, 7.875%, 12/15/19 (144A) 7.875 12/15/2019 1,250,000 1,353,984
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 0.4838 02/25/2035 2,497,000 771,422
Sequoia Mortgage Trust 10, Floating Rate Note, 10/20/27 0.936 10/20/2027 6,100,000 109,486
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.4545 11/15/2018 8,570,000 1,660,404
Chesapeake Funding LLC, Floating Rate Note, 11/7/23 (144A) 0.925 11/07/2023 3,790,000 929,212
Home Equity Asset Trust 2005-6, Floating Rate Note, 12/25/35 0.6438 12/25/2035 4,004,000 3,147,788
Federal Home Loan Banks, 2.9%, 4/20/17 2.9 04/20/2017 4,130,000 728,005
Ziggo Bv Us 1st Lien Tl-B1 L + 2.75% 15jan22 3.5 01/15/2022 1,072,383 1,066,686
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 2.5167 10/25/2033 1,991,000 207,250
Pepper Residential Securities Trust, Floating Rate Note, 7/24/15 (144A) 0.474 07/24/2015 2,000,000 2,000,281
Sensata Technologies Bv 1st Lien Tl-B2 L + 2.75% 08oct21 3.5 10/08/2021 1,492,500 1,503,134
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 1.0138 01/25/2035 25,907,600 3,051,680
ARI Fleet Lease Trust 2012-B, Floating Rate Note, 1/15/21 (144A) 0.4745 01/15/2021 1,030,000 265,623
Pepper Residential Securities Trust, Floating Rate Note, 4/10/15 (144A) 0.525 04/10/2015 2,000,000 2,000,563
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 6.0404 04/10/2015 600,000 607,605
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.1238 10/25/2037 4,405,200 999,368
Bayview Financial Acquisition Trust, 6.205%, 5/28/37 (Step) 6.205 05/28/2037 100,000 54,572
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 0.6738 06/25/2035 5,850,460 1,945,799
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 0.9574 01/25/2030 15,000,000 905,129
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 4.0101 06/28/2016 2,500,000 2,528,861
Numericable Sfr 1st Lien Tl-B2 L + 3.75% 23apr20 4.5 04/23/2020 231,343 232,326
Toyota Motor Credit Corp., Floating Rate Note, 5/16/17 0.4571 05/16/2017 989,000 988,431
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.5245 12/15/2032 15,400,000 233,101
NBTY, Inc., Term B-2 Loan, 10/1/17 3.5 10/01/2017 400,000 395,375
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 2.2245 09/18/2031 3,778,000 3,789,622
Volkswagen Auto Lease Trust 2014-A, Floating Rate Note, 10/20/16 0.386 10/20/2016 1,500,000 879,555
Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19 4.0 04/23/2019 727,141 689,572
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 0.7738 04/25/2034 9,566,021 441,824
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/23 0.6738 03/25/2023 17,080,403 138,243
Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A) 0.4738 01/25/2036 51,217,354 3,867,858
Gray Television Inc. 1st Lien Tl L + 3% 10jun21 3.75 06/10/2021 1,002,368 1,002,870
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 1.0738 05/26/2037 2,400,000 1,916,016
Salomon Mortgage Loan Trust Series 2001-CB4, Floating Rate Note, 11/25/33 1.0738 11/25/2033 4,754,000 117,064
Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 6.7003 01/09/2017 2,000,000 1,877,011
Invitation Homes 2014-SFR3 Trust, Floating Rate Note, 12/17/31 (144A) 1.375 12/17/2031 2,000,000 1,993,925
Prestige Brands, Inc., Term B-1 Loan, 1/31/19 4.125 01/31/2019 416,283 417,974
JPMorgan Chase & Co., Floating Rate Note, 3/1/18 0.7716 03/01/2018 2,500,000 2,500,545
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.5245 11/15/2036 5,342,000 927,470
Branch Banking & Trust Co., Floating Rate Note, 5/23/17 0.5615 05/23/2017 500,000 496,888
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 7/25/34 0.8338 07/25/2034 2,783,000 612,454
Capital One Financial Corp., 1.0%, 11/6/15 1.0 11/06/2015 2,600,000 2,613,605
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 4.0 11/08/2020 318,544 317,615
Daimler Finance North America LLC, 1.65%, 4/10/15 (144A) 1.65 04/10/2015 2,131,000 2,147,940
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/36 0.5945 09/15/2036 3,320,000 365,888
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/40 0.5745 11/15/2040 1,265,000 554,019
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/32 1.1745 03/15/2032 54,102,000 602,261
Hyperion Insurance Group, Ltd., Term Loan, 10/4/19 5.75 10/04/2019 965,250 962,234
Enterprise Fleet Financing LLC, 0.72%, 4/20/18 (144A) 0.72 04/20/2018 4,500,000 752,587
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/37 0.5738 07/25/2037 1,942,360 275,137
Fannie Mae Trust 2003-W6, Floating Rate Note, 9/25/42 0.5238 09/25/2042 13,825,000 1,143,099
Freddie Mac Strips, Floating Rate Note, 12/15/36 0.5245 12/15/2036 10,968,000 620,622
Residential Asset Securitization Trust 2003-A15, Floating Rate Note, 2/25/34 0.6238 02/25/2034 10,120,000 564,101
Ford Motor Credit Co LLC, Floating Rate Note, 3/27/17 0.8986 03/27/2017 2,500,000 2,499,312
Volkswagen Group of America Finance LLC, Floating Rate Note, 5/23/16 (144A) 0.4815 05/23/2016 1,900,000 1,898,615
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 5.167 06/10/2044 6,607,413 6,687,672
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 0.5016 07/20/2019 1,250,000 267,229
Wachovia Bank Commercial Mortgage Trust Series 2005-C22 REMICS, Floating Rate Note, 12/15/44 5.2707 12/15/2044 5,713,000 5,145,728
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 1,111,667 1,114,891
COMM 2014-PAT Mortgage Trust, Floating Rate Note, 8/13/27 (144A) 1.7675 08/13/2027 2,722,000 2,713,106
Navios Maritime Partners LP, Term Loan, 6/27/18 5.25 06/27/2018 1,409,476 1,421,808
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 3.75 06/30/2019 1,110,204 1,006,718
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 2.75 01/23/2021 803,903 805,123
Chesapeake Funding LLC, Floating Rate Note, 2/7/27 (144A) 0.675 02/07/2027 2,500,000 2,501,089
Aegis Asset Backed Securities Trust 2004-6, Floating Rate Note, 3/25/35 0.7138 03/25/2035 5,700,000 80,817
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 6.5 08/15/2030 1,250,000 104,762
United Technologies Corp., Floating Rate Note, 6/1/15 0.7616 06/01/2015 1,965,000 1,967,974
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 0.8138 03/25/2034 76,711,000 4,219,616
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 1.5238 06/25/2033 1,826,298 975,367
Cisco Systems, Inc., Floating Rate Note, 9/3/15 0.3119 09/03/2015 3,600,000 3,601,387
JPMorgan Chase & Co., 1.1%, 10/15/15 1.1 10/15/2015 1,528,000 1,539,609
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.6245 12/15/2032 2,500,000 1,346
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 0.4338 11/25/2035 20,500,508 1,458,174
Ew Scripps Termloan L + 2.9717% 26nov20 0.2715 11/26/2020 523,674 525,638
RALI Series 2004-QR1 Trust, 5.25%, 10/25/34 5.25 10/25/2034 66,901,390 637,614
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 0.5745 07/15/2036 1,200,000 48,429
Waste Industries Usa Inc 1st Lien Tl-B L + 3.25% 20feb20 4.25 02/20/2020 150,000 150,656
Encore Credit Receivables Trust 2005-3, Floating Rate Note, 10/25/35 0.6438 10/25/2035 3,705,000 658,442
MRFC Mortgage Pass-Through Trust Series 2000-TBC3, Floating Rate Note, 12/15/30 0.6145 12/15/2030 24,150,000 1,141,511
The Bank of New York Mellon Corp., Floating Rate Note, 10/23/15 0.4871 10/23/2015 3,533,000 3,539,794
Government National Mortgage Association, 4.0%, 7/20/34 4.0 07/20/2034 31,635,000 936,947
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 0.6738 06/25/2033 44,273,266 1,905,831
Citigroup, Inc., Floating Rate Note, 7/25/16 1.2161 07/25/2016 3,700,000 3,727,731
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 0.7745 02/15/2019 3,490,000 3,481,558
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/19 0.626 10/20/2019 2,700,000 2,702,842
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/34 0.4738 11/25/2034 9,662,000 651,006
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B, Floating Rate Note, 5/25/29 0.8669 05/25/2029 12,160,000 425,369
KeyCorp Student Loan Trust 2004-A, Floating Rate Note, 10/28/41 0.5561 10/28/2041 500,000 89,688
Exeter Automobile Receivables Trust 2012-2, 1.3%, 6/15/17 (144A) 1.3 06/15/2017 1,000,000 29,327
VOLT XXX LLC, 3.625%, 10/25/57 (Step) 3.625 10/25/2057 2,250,000 2,237,420
CHL Mortgage Pass-Through Trust 2003-J7, Floating Rate Note, 8/25/18 0.5738 08/25/2018 2,400,000 43,066
RESI Finance LP 2003-CB1, Floating Rate Note, 7/9/35 1.625 07/09/2035 7,815,000 1,918,564
Chevron Corp., Floating Rate Note, 3/2/18 0.4319 03/02/2018 2,550,000 2,550,831
Velocity Commercial Capital Loan Trust 2014-1, Floating Rate Note, 9/25/44 (144A) 2.171 09/25/2044 3,200,000 2,847,406
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/36 0.4638 07/25/2036 2,000,000 271,362
DT Auto Owner Trust 2015-1, 1.06%, 9/17/18 (144A) 1.06 09/17/2018 2,100,000 1,949,866
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 0.5278 02/28/2041 6,439,000 354,798
Citibank Credit Card Issuance Trust, Floating Rate Note, 4/24/17 0.274 04/24/2017 17,520,000 17,518,614
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 0.5738 10/25/2036 71,456,000 2,619,128
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 0.4745 04/15/2036 3,463,000 645,783
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 0.9938 08/25/2034 14,550,000 1,688,649
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 0.4838 05/25/2036 13,100,000 1,272,262
SNAAC Auto Receivables Trust 2013-1, 1.14%, 7/16/18 (144A) 1.14 07/16/2018 1,823,000 38,436
Enterprise Fleet Financing LLC, 0.87%, 9/20/19 0.87 09/20/2019 2,000,000 1,757,498
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 0.8238 06/25/2035 4,005,000 436,953
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 5/25/24 1.1238 05/25/2024 3,560,000 3,049,594
NYCTL 2014-A Trust, 1.03%, 11/10/27 (144A) 1.03 11/10/2027 1,800,000 895,003
Option One Mortgage Loan Trust 2005-1, Floating Rate Note, 2/25/35 0.9738 02/25/2035 10,220,000 2,799,091
Structured Asset Securities Corp Mortgage Loan Trust 2006-EQ1, Floating Rate Note, 7/25/36 0.3238 07/25/2036 5,000,000 2,606,275
TAL Advantage V LLC, 1.7%, 5/20/39 (144A) 1.7 05/20/2039 1,400,000 1,095,523
Altisource Solutions Sarl, Term B Loan, 12/9/20 4.5 12/09/2020 985,084 724,037
Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A) 1.1738 03/25/2037 4,870,000 920,062
Bear Stearns ALT-A Trust 2003-3, Floating Rate Note, 10/25/33 2.6805 10/25/2033 350,000 56,247
McKesson Corp., Floating Rate Note, 9/10/15 0.6646 09/10/2015 5,290,000 5,293,862
Enterprise Products Operating LLC, 3.7%, 6/1/15 3.7 06/01/2015 3,830,000 3,894,184
Spectrum Brands, Inc., Tranche C Term Loan, 8/13/19 3.5 08/13/2019 295,500 295,980
Master Credit Card Trust II, Floating Rate Note, 1/22/18 (144A) 0.6033 01/22/2018 1,825,000 1,827,124
Evergreen Skills Lux Sarl, Initial Term Loan (First Lien), 4/23/21 5.75 04/23/2021 398,000 393,921
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 0.8138 01/25/2029 25,646,400 1,347,465
Statoil ASA, Floating Rate Note, 11/9/17 0.4561 11/09/2017 2,140,000 2,134,145
JBS USA LLC, Initial Term Loan, 5/25/18 3.75 05/25/2018 874,626 876,266
Huntsman International LLC, 2014-1 Incremental Term Loan, 9/30/21 3.75 09/30/2021 997,500 1,004,358
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 11/25/34 0.9738 11/25/2034 30,931,007 721,722
Government National Mortgage Association, Floating Rate Note, 9/16/31 0.4245 09/16/2031 34,344,532 653,603
Exxon Mobil Corp., Floating Rate Note, 3/15/17 0.3106 03/15/2017 1,980,000 1,980,126
Ardagh Holdings USA, Inc., New Term Loan, 12/17/19 4.0 12/17/2019 677,160 680,263
Morgan Stanley Structured Trust, Floating Rate Note, 6/25/37 0.2538 06/25/2037 2,400,000 242,261
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 0.4816 01/20/2021 3,500,000 994,200
Bank of The West Auto Trust 2014-1, 0.69%, 7/17/17 (144A) 0.69 07/17/2017 1,850,000 1,850,753
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19, Floating Rate Note, 2/12/49 5.8851 02/12/2049 475,000 4,932
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/32 0.6738 08/25/2032 15,000,000 290,694
Bank of Montreal, Floating Rate Note, 9/24/15 0.5168 09/24/2015 2,600,000 2,602,821
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 1.3738 08/25/2034 7,523,000 1,107,696
ABFC 2003-WMC1 Trust, Floating Rate Note, 3/25/33 2.9488 03/25/2033 3,691,000 12,709
Quikrete Holdings, Inc., Initial Loan (First Lien), 9/26/20 4.0 09/26/2020 852,173 852,705
Language Line LLC, Tranche B Term Loan, 6/20/16 6.2558 06/20/2016 854,207 851,404
Wheelabrator 1st Lien Tl-B L + 4% 15oct21 5.0 10/15/2021 2,866,379 2,902,209
Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34 0.9138 11/25/2034 34,999,000 2,172,321
Direct Capital Funding V LLC, 1.673%, 12/20/17 (144A) 1.673 12/20/2017 725,000 58,735
Hyundai Auto Receivables Trust 2014-B, 0.44%, 2/15/17 0.44 02/15/2017 99,000 68,335
Ford Credit Auto Owner Trust 2015-A, Floating Rate Note, 1/15/18 0.424 01/15/2018 2,500,000 2,500,735
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 0.9238 05/25/2035 2,925,000 2,816,440
Multi Packaging Solutions, Inc., Initial Dollar Tranche B Term, 9/30/20 4.25 09/30/2020 173,250 172,673
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36 0.7238 08/25/2036 4,450,000 262,254
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2.58 09/15/2021 2,100,000 1,819,836
Soundview Home Loan Trust 2005-DO1, Floating Rate Note, 5/25/35 0.8938 05/25/2035 2,000,000 1,811,394
Ally Auto Receivables Trust 2015-SN1, Floating Rate Note, 10/20/16 0.558 10/20/2016 1,900,000 1,900,043
Orbital ATK, Inc., Term B Loan, 10/22/20 3.5 10/22/2020 394,504 395,408
MMCA Auto Owner Trust 2012-A, 3.27%, 7/16/18 (144A) 3.27 07/16/2018 1,150,000 1,169,573
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 0.4845 06/15/2036 52,250,000 2,184,735
MOTOR 2015-1 Plc, Floating Rate Note, 6/27/22 (144A) 0.8088 06/27/2022 2,600,000 2,604,363
USI, Inc. New York, Initial Term Loan 2013, 12/30/19 4.25 12/30/2019 1,085,150 1,079,724
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU REMICS, Floating Rate Note, 12/15/28 1.675 12/15/2028 3,510,000 3,514,926
ACA CLO 2006-2, Ltd., Floating Rate Note, 1/20/21 (144A) 0.9766 01/20/2021 3,250,000 3,206,853
The Charles Schwab Corp., 0.85%, 12/4/15 0.85 12/04/2015 4,055,000 4,075,431
Capital One Multi-Asset Execution Trust, Floating Rate Note, 6/17/19 0.2645 06/17/2019 5,470,000 5,458,283
Cent CLO 16 LP, Floating Rate Note, 8/1/24 (144A) 1.4824 08/01/2024 3,250,000 3,256,475
MALLINCKRODT INTERNATIONAL FINANCE SA, Initial Term B Loan, 3/6/21 3.25 03/06/2021 965,250 964,129
Lehman ABS Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 6/15/33 0.6245 06/15/2033 3,950,000 159,979
TMS International Corp., Term B Loan, 10/2/20 4.5 10/02/2020 148,500 146,180
GRIFOLS WORLDWIDE OPERATIONS USA INC, U.S. Tranche B Term Loam, 4/1/21 3.178 04/01/2021 519,750 519,848
RAAC Series 2005-RP3 Trust, Floating Rate Note, 5/25/39 (144A) 0.9738 05/25/2039 2,000,000 1,293,196
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 0.9266 07/19/2016 1,500,000 1,508,266
Government National Mortgage Association, Floating Rate Note, 1/16/35 0.4245 01/16/2035 11,437,000 1,163,358
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 0.9238 02/25/2033 10,610,000 356,799
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 0.7438 09/25/2036 13,053,000 791,737
Golden Credit Card Trust, Floating Rate Note, 2/15/18 (144A) 0.4245 02/15/2018 4,300,000 4,296,976
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 3.5 08/17/2020 766,330 764,574
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 2.623 07/25/2033 8,661,215 370,785
Igloo Holdings Corp., 8.25%, 12/15/17 (144A) (PIK) 8.25 12/15/2017 1,250,000 1,292,865
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 0.3738 01/25/2036 6,155,063 1,044,199
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.4438 11/25/2035 6,309,000 620,761
Ally Master Owner Trust, Floating Rate Note, 1/16/18 0.5445 01/16/2018 300,000 300,049
Ursa Re, Ltd., Floating Rate Note, 12/7/17 (Cat Bond) (144A) 3.5152 12/07/2017 1,100,000 1,103,369
Morgan Stanley Re-REMIC Trust 2010-R4, Floating Rate Note, 7/26/36 (144A) 0.522 07/26/2036 3,700,000 40,344
HSBC Bank Middle East, Ltd., 3.0%, 10/21/15 3.0 10/21/2015 1,000,000 1,022,133
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 0.7238 05/25/2040 2,619,152 1,077,328
John Deere Capital Corp., Floating Rate Note, 12/10/15 0.3846 12/10/2015 1,800,000 1,801,771
JOHN DEERE CAPITAL Corp., Floating Rate Note, 2/25/16 0.3616 02/25/2016 2,883,000 2,885,792
Marathon Oil Corp., 0.9%, 11/1/15 0.9 11/01/2015 6,604,000 6,630,139
Government National Mortgage Association II, Floating Rate Note, 1/20/22 1.625 01/20/2022 1,000,000 11,880
Wells Fargo Commercial Mortgage Trust 2014-TISH, Floating Rate Note, 2/16/27 (144A) 1.205 02/16/2027 2,220,000 2,214,488
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 1.6 11/19/2026 3,500,000 3,501,406
Toyota Motor Credit Corp., Floating Rate Note, 5/17/16 0.5471 05/17/2016 3,800,000 3,812,147
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 0.6146 03/10/2017 1,500,000 1,501,883
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/23 2.363 10/01/2023 1,890,000 8,325
Sector Re V, Ltd., 0.0%, 12/1/19 (Cat Bond) (144A) 0.0 12/01/2019 500,000 512,150
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 0.6238 07/25/2034 2,860,000 153,642
NPC International, Inc., Term Loan, 12/28/18 4.0 12/28/2018 155,200 153,066
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/32 0.6238 09/25/2032 19,400,000 75,821
Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A) 0.5206 06/15/2020 2,000,000 668,469
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 3 0.8488 03/25/2035 2,757,237 1,263,741
Centex Home Equity Loan Trust 2003-A, Floating Rate Note, 3/25/33 3.654 03/25/2033 2,230,000 372,570
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 4.985 09/11/2042 3,751,000 3,821,733
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL6, Floating Rate Note, 11/17/31 (144A) 1.575 11/17/2031 4,240,000 4,239,626
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 2.5 03/20/2025 350,000 117,736
Honda Auto Receivables 2013-2 Owner Trust, 0.53%, 2/16/17 0.53 02/16/2017 959,000 744,653
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 12/8/20 0.731 12/08/2020 1,330,000 891,909
General Mills, Inc., Floating Rate Note, 1/29/16 0.5526 01/29/2016 1,765,000 1,766,569
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 4.0 07/09/2018 2,800,000 2,824,656
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 0.4946 05/02/2017 2,000,000 2,001,035
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 0.6338 11/25/2035 1,945,000 1,733,314
Cabela's Credit Card Master Note Trust, Floating Rate Note, 9/17/18 (144A) 0.8745 09/17/2018 2,475,000 2,481,152
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-AR4, Floating Rate Note, 12/25/34 2.2914 12/25/2034 1,170,000 116,481
Bayview Financial Acquisition Trust, Floating Rate Note, 5/28/44 0.8078 05/28/2044 32,920,000 206,834
COMM 2013-FL3 Mortgage Trust, Floating Rate Note, 10/13/28 (144A) 1.692 10/13/2028 1,597,000 1,274,599
Fly Funding II Sarl, Loan, 8/8/18 4.5 08/08/2018 1,546,307 1,554,038
Offshore Group Investment, Ltd., Second Term Loan, 3/28/19 5.75 03/28/2019 158,380 90,672
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 0.4245 08/15/2035 2,185,000 417,052
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2.3972 03/25/2034 3,865,000 553,815
Franklin Resources, Inc., 3.125%, 5/20/15 3.125 05/20/2015 2,150,000 2,181,413
Tribune Media Co., Initial Term Loan, 11/20/20 4.0 11/20/2020 2,116,251 2,120,748
HSBC Bank Plc, 3.5%, 6/28/15 (144A) 3.5 06/28/2015 2,500,000 2,540,754
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 11/15/23 4.0 11/15/2023 95,000 44,709
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 0.796 09/20/2033 52,500,000 2,205,417
SNAAC Auto Receivables Trust 2014-1, 1.03%, 9/17/18 (144A) 1.03 09/17/2018 839,000 368,210
American International Group, Inc., 5.05%, 10/1/15 5.05 10/01/2015 2,500,000 2,616,265
Crowne Group Llc 1st Lien Tl-B L + 5% 29sep20 6.0 09/29/2020 497,500 494,702
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/30 0.7238 12/25/2030 20,000,000 91,865
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 4.0253 05/05/2017 1,250,000 1,251,375
Bayview Opportunity Master Fund IIa Trust 2014-20NPL, Floating Rate Note, 8/28/44 (144A) 3.721 08/28/2044 1,480,000 1,149,077
CCG Receivables Trust 2014-1, 1.06%, 11/14/21 (144A) 1.06 11/14/2021 1,900,000 1,746,131
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 0.3638 01/25/2036 23,055,603 2,314,540
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/26/35 0.9088 02/26/2035 19,369,028 2,601,772
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 1.6 06/19/2031 1,500,000 1,487,260
The Goldman Sachs Group, Inc., Floating Rate Note, 7/22/15 0.6567 07/22/2015 1,300,000 1,301,942
Asset Backed Securities Corp Home Equity Loan Trust Series OOMC 2005-HE6, Floating Rate Note, 7/25/3 0.6838 07/25/2035 1,879,167 1,266,197
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 1.0738 12/25/2031 30,500,000 983,040
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 0.4745 09/15/2026 1,427,500 801,288
On Assignment, Inc., Initial Term B Loan, 5/15/20 3.5 05/15/2020 1,037,113 1,037,545
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 0.9238 02/25/2035 21,336,125 213,861
Voya CLO, Ltd., Floating Rate Note, 10/15/22 (144A)   10/15/2022 3,000,000 3,000,000
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 0.5738 07/25/2034 7,443,000 482,767
Morgan Stanley Capital I Trust 2005-TOP19, 4.89%, 6/12/47 4.89 06/12/2047 6,690,000 3,406,751
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 1,147,083 1,149,492
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 1.1738 03/25/2037 2,300,000 232,051
321 Henderson Receivables I LLC, Floating Rate Note, 12/15/41 (144A) 0.3745 12/15/2041 10,869,000 3,650,416
Raymond James Financial, Inc., 4.25%, 4/15/16 4.25 04/15/2016 7,409,000 7,838,279
Citibank Credit Card Issuance Trust, Floating Rate Note, 11/7/18 0.4861 11/07/2018 3,490,000 3,489,988
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/25/23 1.6238 11/25/2023 2,250,000 1,677,179
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.4138 06/25/2037 7,474,000 894,860
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 4.974 07/10/2045 1,700,000 1,709,223
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.7238 09/25/2037 1,915,000 221,126
JP Morgan Chase Commercial Mortgage Securities Trust 2002-CIBC4, Floating Rate Note, 5/12/34 6.45 05/12/2034 257,000 136,408
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 1.8866 01/25/2029 16,556,000 234,145
Ally Master Owner Trust, Floating Rate Note, 8/15/17 1.2445 08/15/2017 3,000,000 3,010,221
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/31 0.7738 07/25/2031 48,885,770 423,762
Kindred Healthcare 1st Lien Tl-B L + 3% 10apr21 4.25 04/10/2021 714,175 718,490
Daimler Finance North America LLC, Floating Rate Note, 8/1/16 (144A) 0.9346 08/01/2016 1,500,000 1,511,125
Citibank Credit Card Issuance Trust, Floating Rate Note, 5/9/18 0.375 05/09/2018 3,500,000 3,500,447
Westpac Banking Corp., Floating Rate Note, 7/28/15 0.5561 07/28/2015 1,000,000 1,001,003
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/42 0.6738 04/25/2042 642,857 450,752
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-E, Floating Rate Note, 11/25/29 1.1149 11/25/2029 36,000,000 2,007,061
Cabela's Credit Card Master Note Trust, Floating Rate Note, 6/17/19 (144A) 0.7745 06/17/2019 3,630,000 3,639,922
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 8.0051 06/06/2016 750,000 795,358
American Express Credit Corp., 1.75%, 6/12/15 1.75 06/12/2015 3,000,000 3,021,977
Gracechurch Card Funding Plc, Floating Rate Note, 5/15/19 (144A) 1.0245 05/15/2019 1,300,000 1,310,824
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 0.8938 07/25/2035 2,600,000 2,131,855
Xerium Technologies, Inc., New Term Loan, 5/17/19 5.75 05/17/2019 78,601 79,583
Pilot Travel Centers Llc 1st Lien Tl-B L + 3.25% 01oct21 4.25 10/01/2021 74,541 75,287
Citibank Credit Card Issuance Trust, Floating Rate Note, 5/22/17 1.376 05/22/2017 6,500,000 6,512,003
Oracle Corp., Floating Rate Note, 7/7/17 0.4536 07/07/2017 1,937,000 1,941,216
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/17 0.6238 02/25/2017 14,970,453 6,707
GE Business Loan Trust 2004-2, Floating Rate Note, 12/15/32 (144A) 0.3945 12/15/2032 9,937,438 1,290,186
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/29 0.5245 05/15/2029 15,000,000 123,497
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 0.2838 03/25/2037 6,984,978 1,713,719
Mpg Holdco I Inc 1st Lien Tl-B L + 3.5% 13oct21 4.25 10/13/2021 1,549,174 1,558,989
Manufactured Housing Contract Trust Pass-Through Certificates Series 2001-1, Floating Rate Note, 4/2 1.046 04/20/2032 9,286,000 1,073,667
Federal Home Loan Mortgage Corp., Floating Rate Note, 6/1/35 2.591 06/01/2035 3,000,000 7,419
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45 2.2365 06/25/2045 1,500,000 222,039
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 1.0138 11/25/2034 21,976,800 1,087,555
AmeriCredit Automobile Receivables Trust 2012-1, 2.67%, 1/8/18 2.67 01/08/2018 800,000 808,499
Countrywide Asset-Backed Certificates, Floating Rate Note, 9/25/35 0.6638 09/25/2035 1,400,000 129,064
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 1.776 02/13/2032 6,150,000 6,156,164
VOLT XXXI LLC, 3.375%, 2/25/55 (Step) (144A) 3.375 02/25/2055 3,000,000 2,973,390
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/39 0.6245 03/15/2039 1,000,000 248,943
Exeter Automobile Receivables Trust 2012-2, 3.06%, 7/16/18 (144A) 3.06 07/16/2018 1,000,000 1,003,079
Citadel Plastics Holdings Inc 1st Lien Tlb L + 4.25% 05nov20 5.2531 11/05/2020 1,181,000 1,183,953
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34 1.1938 11/25/2034 3,500,000 218,518
Discover Card Execution Note Trust, Floating Rate Note, 10/15/18 0.3545 10/15/2018 3,915,000 3,914,294
Getty Images, Inc., Initial Term Loan, 10/18/19 4.75 10/18/2019 113,574 96,055
Capital Auto Receivables Asset Trust 2013-1, 1.74%, 10/22/18 1.74 10/22/2018 3,200,000 3,213,532
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 1.177 11/18/2032 105,671,000 1,897,630
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 2.1121 11/19/2026 2,250,000 838,679
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 3.1033 07/15/2023 1,850,000 1,770,126
Hologic, Inc., Refinancing Tranche B Term Loan, 8/1/19 3.25 08/01/2019 668,423 669,937
MultiCat Mexico, Ltd. 2012-I Class A, Floating Rate Note, 6/4/16 (Cat Bond) (144A) 7.5203 06/04/2016 1,750,000 1,784,927
Wyle 1st Lien Tl-B L + 4% 22may21 5.0 05/22/2021 196,360 196,544
Ford Credit Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 0.4445 01/15/2016 150,000 30,640
Structured Asset Securities Corp Trust 2005-14, Floating Rate Note, 7/25/35 0.4738 07/25/2035 3,899,641 359,498
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 0.7338 01/25/2030 64,515,401 2,562,419
GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34 0.9538 06/25/2034 52,357,062 1,304,050
CWGS Group LLC, Term Loan, 2/20/20 5.75 02/20/2020 392,357 396,158
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 0.3638 12/25/2035 1,719,377 491,548
Chase Issuance Trust, 0.47%, 5/15/17 0.47 05/15/2017 200,000 200,054
Mirror BidCo Corp., New Incremental Term Loan, 12/18/19 4.25 12/18/2019 1,003,913 1,002,866
Citibank Credit Card Issuance Trust, 5.1%, 11/20/17 5.1 11/20/2017 1,650,000 1,727,288
United States Treasury Floating Rate Note, Floating Rate Note, 10/31/16 0.088 10/31/2016 20,100,000 20,094,537
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 0.575 04/10/2028 1,100,000 1,098,991
SNAAC Auto Receivables Trust, 4.38%, 6/15/17 (144A) 4.38 06/15/2017 1,800,000 650,848
Oscar US Funding Trust II, Floating Rate Note, 2/15/18 (144A)   02/15/2018 1,600,000 1,600,233
JPMorgan Chase & Co., Floating Rate Note, 10/15/15 0.9133 10/15/2015 2,000,000 2,008,708
Sirius International Group, Ltd., Floating Rate Note (Perpetual) (144A) 7.506 12/31/2049 0 21,820
CPS Auto Receivables Trust 2014-C, 1.31%, 2/15/19 (144A) 1.31 02/15/2019 2,200,000 1,824,006
Impac CMB Trust Series 2004-5, Floating Rate Note, 8/25/34 1.0138 08/25/2034 9,850,000 565,158
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 0.4738 12/25/2036 3,640,376 3,527,450
Harley-Davidson Financial Services, Inc., 1.15%, 9/15/15 (144A) 1.15 09/15/2015 4,100,000 4,110,718
United Airlines Inc 1st Lien Tl-B L + 3% 07aug21 3.75 08/07/2021 997,500 998,123
Discover Card Execution Note Trust, Floating Rate Note, 1/16/18 0.3745 01/16/2018 1,345,000 1,345,515
World Financial Network Credit Card Master Trust, Floating Rate Note, 12/16/19 0.5545 12/16/2019 10,375,000 10,377,941
Credit Acceptance Auto Loan Trust 2012-2, 1.52%, 3/16/20 (144A) 1.52 03/16/2020 3,241,000 1,211,583
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.8738 01/25/2035 25,745,000 3,046,510
Government National Mortgage Association, Floating Rate Note, 10/20/38 0.576 10/20/2038 3,000,000 920,708
JP Morgan Chase Commercial Mortgage Securities Trust 2015-COSMO, Floating Rate Note, 1/15/32 (144A) 2.4278 01/15/2032 4,000,000 4,001,802
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 0.4461 01/27/2017 1,900,000 1,897,689
Option One Mortgage Loan Trust 2007-FXD2, 5.9%, 3/25/37 (Step) 5.9 03/25/2037 810,000 38,406
Federal National Mortgage Association REMICS, 4.5%, 1/25/39 4.5 01/25/2039 820,000 32,139
Kizuna Re II, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A) 2.2652 04/06/2018 1,800,000 1,815,345
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 6/25/34 0.5438 06/25/2034 20,600,000 2,249,258
Envision Healthcare Corp., Initial Term Loan, 5/25/18 4.0 05/25/2018 1,245,860 1,251,505
DynCorp International, Inc., Term Loan, 7/7/16 6.25 07/07/2016 143,055 142,340
The Manitowoc Co, Inc., Term B Loan, 12/18/20 3.25 12/18/2020 71,613 71,634
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 8/15/38 5.1 08/15/2038 8,955,043 4,715,201
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 5.23 12/17/2040 9,446,500 6,275,651
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 0.3745 07/15/2036 5,000,000 868,983
Fannie Mae, Floating Rate Note, 2/1/34 2.295 02/01/2034 500,000 23,784
MUFG Union Bank NA, Floating Rate Note, 9/26/16 1.0194 09/26/2016 6,200,000 6,233,217
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 0.5738 07/25/2018 7,302,000 185,510
Harch CLO III, Ltd., Floating Rate Note, 4/17/20 (144A) 2.0026 04/17/2020 500,000 490,416
NewStar Commercial Loan Trust 2007-1, Floating Rate Note, 9/30/22 (144A) 0.5016 09/30/2022 2,000,000 788,147
DEALERTRACK TECHNOLOGIES INC, Term Loan, 2/27/21 3.25 02/27/2021 954,022 951,332
United Auto Credit Securitization Trust 2014-1, 0.74%, 6/15/16 (144A) 0.74 06/15/2016 3,000,000 2,503,191
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 1.6615 12/22/2054 5,635,000 4,175,387
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 0.5745 07/15/2023 2,924,000 591,659
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A) 9.0101 03/16/2016 250,000 261,650
Fosse Master Issuer Plc, Floating Rate Note, 10/19/54 (144A) 1.6566 10/19/2054 1,000,000 643,907
Pricoa Global Funding I, Floating Rate Note, 6/24/16 (144A) 0.4768 06/24/2016 3,255,000 3,255,817
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/27/45 (144A) 0.3738 11/27/2045 21,220,000 2,020,892
CGWF Commercial Mortgage Trust 2013-RKWH REMICS, Floating Rate Note, 11/15/30 (144A) 2.0745 11/15/2030 6,770,000 6,783,064
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 0.6738 05/25/2033 15,932,000 400,236
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 3.5051 01/06/2019 1,750,000 1,738,834
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 0.4738 03/25/2035 7,593,737 1,012,454
San Diego Gas & Electric Co., Floating Rate Note, 3/9/17 0.4677 03/09/2017 2,500,000 2,498,210
Stanwich Mortgage Loan Trust, 2.9814%, 2/16/43 (144A) 2.9814 02/16/2043 3,025,000 409,846
Kinetic Concepts, Inc., Dollar Term E-1 Loan, 5/4/18 4.5 05/04/2018 585,306 588,233
Expert Global Solutions, Inc., Term B Advance (First Lien), 4/3/18 8.5 04/03/2018 10,555 10,565
Government National Mortgage Association, Floating Rate Note, 4/16/29 0.4745 04/16/2029 50,000,000 533,591
Kane Flt% 12jun15   06/12/2015 2,000,000 1,958,000
Global Mortgage Securitization, Ltd., Floating Rate Note, 11/25/32 (144A) 0.4938 11/25/2032 8,780,000 447,789
Wells Fargo & Co., Floating Rate Note, 10/28/15 0.4561 10/28/2015 2,503,000 2,506,727
World Omni Auto Receivables Trust 2014-B, Floating Rate Note, 1/16/18 0.4045 01/16/2018 2,650,000 2,650,227
Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35 5.5 05/25/2035 19,264,330 271,778
MGM Resorts International, Term B Loan, 12/20/19 3.5 12/20/2019 1,221,875 1,219,711
MortgageIT Trust 2004-2, Floating Rate Note, 12/25/34 0.9138 12/25/2034 41,395,000 6,111,001
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/16/27 (144A) 1.475 02/16/2027 3,350,000 3,351,327
Government National Mortgage Association, Floating Rate Note, 8/20/38 0.676 08/20/2038 4,585,000 423,545
Caisse Centrale Desjardins, Floating Rate Note, 1/29/18 (144A) 0.9176 01/29/2018 2,590,000 2,593,702
Exeter Automobile Receivables Trust 2015-1, 1.6%, 6/17/19 (144A) 1.6 06/17/2019 1,700,000 1,700,019
Kleopatra Acquisition Corp., Term B-1 Loan, 12/21/16 4.75 12/21/2016 684,096 688,514
77 Energy 1st Lien Tl-B L + 3% 17jun21 3.75 06/17/2021 1,442,750 1,268,177
Barclays Dryrock Issuance Trust, Floating Rate Note, 3/16/20 0.5145 03/16/2020 1,800,000 1,798,409
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 10.7904 04/10/2015 1,945,000 1,991,095
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/36 0.4138 12/25/2036 4,800,000 260,517
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/35 0.4245 01/15/2035 5,669,000 739,831
Bayview Commercial Asset Trust 2008-1, Floating Rate Note, 1/25/38 (144A) 1.1738 01/25/2038 18,000,000 3,172,216
Wells Fargo & Co., Floating Rate Note, 7/20/16 0.7866 07/20/2016 3,105,000 3,121,368
Federal National Mortgage Association, Floating Rate Note, 8/26/16 0.1928 08/26/2016 6,085,000 6,088,980
Bank of Nova Scotia Houston, Floating Rate Note, 10/23/15 0.5071 10/23/2015 1,640,000 1,643,187
Fifth Third Auto Trust 2014-3, Floating Rate Note, 5/15/17 0.4045 05/15/2017 1,700,000 1,700,358
Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A) 3.721 11/16/2044 3,070,000 2,700,321
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.3938 04/25/2031 6,464,393 1,032,595
The Goodyear Tire & Rubber Co., Loan (Second Lien), 4/30/19 4.75 04/30/2019 666,667 673,437
Chase Funding Trust Series 2002-4, Floating Rate Note, 10/25/32 0.9138 10/25/2032 1,000,000 17,807
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.6738 09/25/2037 7,400,000 708,809
Atlas IX Capital, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 7.0288 01/07/2019 250,000 250,000
NCUA Guaranteed Notes Trust, Floating Rate Note, 3/11/20 0.5715 03/11/2020 2,035,000 983,973
Permanent Master Issuer Plc, Floating Rate Note, 7/15/42 (144A) 1.8533 07/15/2042 887,000 891,973
Merck & Co, Inc., Floating Rate Note, 2/10/17 0.3806 02/10/2017 2,500,000 2,504,794
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 0.5738 03/25/2035 5,190,000 624,423
CIFC Funding 2007-I, Ltd., Floating Rate Note, 5/10/21 (144A) 0.5156 05/10/2021 500,000 265,106
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/37 1.4245 05/15/2037 3,000,000 238,177
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 1.21 08/15/2018 700,000 428,971
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 0.4738 10/25/2035 625,000 25,388
Schaeffler (Aka Ina Beteiligungsge 1st Lien Tl-B L + 3.5% 15may20 4.25 05/15/2020 1,683,943 1,697,888
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2004-2, Floating Rate Note, 6/25/ 1.1338 06/25/2034 21,291,000 1,590,264
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 0.4238 02/25/2037 26,822,396 2,286,639
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37 0.7938 12/25/2037 21,428,000 644,114
American Credit Acceptance Receivables Trust 2014-3, 0.99%, 8/10/18 (144A) 0.99 08/10/2018 1,420,000 840,782
American Express Credit Account Master Trust, Floating Rate Note, 1/15/20 0.4445 01/15/2020 350,000 350,256
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 3.0 03/27/2024 2,250,000 1,244,588
PQ Corp., 2014 Term Loan, 8/7/17 4.0 08/07/2017 928,625 926,409
DELOS FINANCE SARL, Loan, 2/27/21 3.5 03/06/2021 1,295,000 1,298,561
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Series 2004-4, Floating Rate Note, 10 1.2738 10/25/2034 3,977,618 842,227
Burger King Corp 1st Lien Tl-B L + 3.5% 25sep21 4.5 09/25/2021 614,526 621,382
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 0.3738 10/27/2037 2,382,000 2,338,547
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 1.1719 08/15/2031 5,350,000 4,110,173
AmeriCredit Automobile Receivables Trust 2013-4, 0.74%, 11/8/16 0.74 11/08/2016 1,500,000 129,650
CNH Equipment Trust 2013-C, 0.63%, 1/17/17 0.63 01/17/2017 1,903,426 301,929
The Toronto-Dominion Bank, Floating Rate Note, 7/8/16 0.435 07/08/2016 1,320,000 1,321,680
Tradewynd Re, Ltd., Floating Rate Note, 1/8/18 (Cat Bond) (144A) 5.025 01/08/2018 750,000 752,750
Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 (144A) 1.2265 04/15/2032 4,920,000 4,893,914
FCA US LLC, Term Loan B, 5/24/17 3.5 05/24/2017 373,062 373,294
Lehman XS Trust Series 2005-2, Floating Rate Note, 8/25/35 0.8738 08/25/2035 42,014,000 2,660,700
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 0.5438 09/25/2035 8,206,169 2,190,809
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/20 0.5745 12/15/2020 1,000,000 146,703
NCUA Guaranteed Notes Trust, Floating Rate Note, 11/6/17 0.541 11/06/2017 6,590,000 2,384,505
John Deere Capital Corp., Floating Rate Note, 10/11/16 0.5421 10/11/2016 1,500,000 1,505,830
Arran Residential Mortgages Funding 2010-1 Plc, Floating Rate Note, 5/16/47 (144A) 1.6581 05/16/2047 4,850,000 2,025,760
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/31 0.7738 07/25/2031 50,000,000 297,358
Pinnacle Entertainment, Inc., Tranche B-2 Term Loan, 8/13/20 3.75 08/13/2020 181,125 181,370
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WHQ2, Floating Rate Note, 1/25/35 1.1188 01/25/2035 3,100,000 1,585,879
Deltek, Inc., Term Loan (First Lien), 10/10/18 4.5 10/10/2018 294,724 296,059
BBCMS Trust 2015-SLP, Floating Rate Note, 2/15/28 (144A) 2.1778 02/15/2028 3,150,000 3,149,968
Golden Credit Card Trust, Floating Rate Note, 9/15/18 (144A) 0.6045 09/15/2018 715,000 715,924
Westgate Resorts 2012-2 LLC, 9.0%, 1/21/25 (144A) 9.0 01/21/2025 1,500,000 386,738
Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A) 1.1719 09/25/2037 6,105,345 768,819
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/19 0.4045 02/15/2019 4,675,000 279,298
Honda Auto Receivables 2012-2 Owner Trust, 0.7%, 2/16/16 0.7 02/16/2016 1,200,000 88,096
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 6/20/17 0.666 06/20/2017 2,000,000 2,001,122
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 9.0051 06/06/2015 1,750,000 1,781,325
HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36 0.416 03/20/2036 8,638,000 6,417,446
First Investors Auto Owner Trust 2014-2, 0.86%, 8/15/18 (144A) 0.86 08/15/2018 2,100,000 1,914,441
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 1.325 05/07/2024 200,000 200,908
Select Medical Corp., Series E Tranche B Term Loan, 6/1/18 3.75 06/01/2018 227,883 228,168
Consumer Credit Origination Loan Trust 2015-1, 2.82%, 3/15/21 (144A) 2.82 03/15/2021 2,500,000 2,389,116
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 3.9669 08/25/2053 5,300,000 3,777,740
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 8.7551 12/06/2016 1,450,000 1,475,403
Fifth Third Bancorp, Floating Rate Note, 12/20/16 0.6903 12/20/2016 1,727,000 1,717,032
DaVita HealthCare Partners, Inc., Tranche B Term Loan, 6/19/21 3.5 06/19/2021 472,669 474,400
RAIT 2014-FL3 Trust, Floating Rate Note, 12/15/31 (144A) 1.4219 12/15/2031 3,540,000 3,493,650
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-AR3, Floating Rate Note, 3.9238 06/25/2033 729,633 347,190
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 0.8538 06/25/2033 8,955,000 162,411
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 0.9738 10/25/2034 9,071,000 454,452
AmeriCredit Automobile Receivables Trust 2013-2, 0.65%, 12/8/17 0.65 12/08/2017 485,000 431,004
Crown Castle 1st Lien Term-B2 L + 2.5% 31jan21 3.0 01/31/2021 1,177,227 1,176,049
Salomon Brothers Mortgage Securities VII, Inc., Floating Rate Note, 3/25/28 0.6538 03/25/2028 49,537,000 64,120
Daimler Finance North America LLC, Floating Rate Note, 8/1/17 (144A) 0.5946 08/01/2017 2,061,000 2,059,086
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 0.6338 01/25/2035 11,300,000 971,008
NSTAR Electric Co., Floating Rate Note, 5/17/16 0.4971 05/17/2016 1,013,000 1,012,585
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 7/25/35 0.4438 07/25/2035 15,315,000 1,689,667
PACCAR Financial Corp., Floating Rate Note, 6/6/17 0.4536 06/06/2017 1,290,000 1,290,296
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 10.0051 06/06/2016 900,000 964,730
Manufacturers & Traders Trust Co., Floating Rate Note, 7/25/17 0.5561 07/25/2017 2,400,000 2,394,176
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 1.0738 06/25/2033 2,000,000 36,081
Carlyle High Yield Partners VII, Ltd., Floating Rate Note, 9/30/19 (144A) 1.9731 09/30/2019 5,000,000 2,015,465
Government National Mortgage Association, Floating Rate Note, 2/20/35 0.426 02/20/2035