Pioneer Investments: Pioneer Multi-Asset Ultrashort Income Fund


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Pioneer Multi-Asset Ultrashort Income Fund

Monthly Portfolio Holdings as of 1/30/2015

Security Name Coupon Maturity Date Par / Shares Market Value($)
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 8.5574 01/05/2017 2,250,000 2,409,679
Valeant Pharmaceuticals International, Inc., Series E1 Tranche B Term Loan, 8/5/20 3.5 08/05/2020 1,313,724 1,306,790
CROWNE GROUP LLC 1ST LIEN TL-B L + 5% 29Sep20 6.0 09/29/2020 498,750 491,268
Becton Dickinson and Co., Floating Rate Note, 6/15/16 0.6906 06/15/2016 2,700,000 2,700,528
SWIFT TRANSPORTATION CO LLC 1ST LIEN TL-B L + 3% 09Jun21 3.75 06/09/2021 339,861 339,295
WideOpenWest Finance LLC, Term B Loan, 4/1/19 4.75 04/01/2019 238,689 237,555
Aegis Asset Backed Sec Tr Mortgage Pass-Through Ctfs Ser 2004-2, FRN, 6/25/34 1.12825 06/25/2034 21,291,000 1,732,360
FCA US LLC, Term Loan B, 5/24/17 3.5 05/24/2017 374,031 372,887
General Electric Capital Corp., Floating Rate Note, 7/2/15 1.2852 07/02/2015 2,793,000 2,807,387
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 0.7665 08/15/2019 1,550,000 1,554,000
Tramline Re II, Ltd., Floating Rate Note, 1/4/19 (Cat Bond) (144A) 0.0 01/04/2019 250,000 253,350
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 8.1252 01/07/2016 1,000,000 1,028,445
NSG Holdings LLC, New Term Loan, 12/11/19 3.75 12/11/2019 1,549,347 1,537,727
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 1.36825 08/25/2034 7,523,000 1,177,272
Government National Mortgage Association, Floating Rate Note, 9/16/31 0.41825 09/16/2031 34,344,532 675,799
RALI Series 2003-QS10 Trust, Floating Rate Note, 5/25/33 0.56825 05/25/2033 38,865,000 744,181
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 0.6056 05/27/2016 2,530,000 2,539,048
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 0.5665 07/15/2023 2,924,000 620,933
Harley-Davidson Motorcycle Trust 2012-1, 0.68%, 4/17/17 0.68 04/17/2017 2,700,000 723,616
Citigroup, Inc., Floating Rate Note, 11/15/16 0.9121 11/15/2016 1,700,000 1,704,273
XOM CP ZERO% 04Feb15 USD 0.0 02/04/2015 6,100,000 6,099,915
Prestige Auto Receivables Trust 2014-1, 0.97%, 3/15/18 (144A) 0.97 03/15/2018 2,395,000 1,723,921
GreenPoint Mortgage Funding Trust 2005-HE1, Floating Rate Note, 9/25/34 0.84325 09/25/2034 1,357,437 415,626
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A) 0.6476 03/10/2017 1,000,000 1,001,338
TAL Advantage I LLC, Floating Rate Note, 4/20/21 (144A) 0.358 04/20/2021 1,250,000 155,170
Marathon Oil Corp., 0.9%, 11/1/15 0.9 11/01/2015 4,104,000 4,101,539
Mizuho Bank, Ltd., Floating Rate Note, 4/16/17 (144A) 0.6836 04/16/2017 1,000,000 997,187
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-D, Floating Rate Note, 9/25/29 2.09888 09/25/2029 11,000,000 744,199
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 0.73825 09/25/2036 13,053,000 814,654
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1.3956 05/27/2016 1,800,000 1,812,916
TMS International Corp., Term B Loan, 10/2/20 4.5 10/02/2020 148,500 142,560
DAVITA HEALTHCARE PARTNERS INC 1ST LIEN TL-B L + 2.75% 19Jun21 3.5 06/19/2021 473,859 472,378
ROVI SOLUTIONS CORP 1ST LIEN TL-B L + 3% 02Jul21 3.75 07/02/2021 1,020,898 1,001,757
American Credit Acceptance Receivables Trust 2013-1, 1.45%, 4/16/18 (144A) 1.45 04/16/2018 1,859,000 437,124
Capital Auto Receivables Asset Trust 2013-3, Floating Rate Note, 11/20/15 0.598 11/20/2015 840,000 114,165
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 5.25 04/25/2032 2,691,322 779,465
Livingston International, Inc., Initial Term B-1 Loan (First Lien), 4/18/19 5.0 04/18/2019 492,500 477,725
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 0.62825 01/25/2035 11,300,000 1,127,057
Fannie Mae, Floating Rate Note, 9/1/32 2.237 09/01/2032 375,000 21,511
TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16 0.9366 06/30/2016 3,544,000 3,556,852
Structured Asset Investment Loan Trust 2006-1, Floating Rate Note, 1/25/36 0.36825 01/25/2036 4,650,000 1,032,382
Merck & Co, Inc., Floating Rate Note, 5/18/16 0.4221 05/18/2016 500,000 501,186
BBB INDUSTRIES LLC 1ST LIEN TL L + 5% 20Oct21 6.0 10/20/2021 1,000,000 995,000
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 1.82 09/15/2020 731,000 363,104
American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A) 0.60935 05/26/2016 3,050,000 3,062,813
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 2.2165 09/18/2031 3,778,000 3,727,312
14112Z ZERO% 01Feb19 0.0 02/01/2019 2,500,000 2,534,500
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 2.765209 01/09/2017 1,000,000 1,014,815
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.5165 11/15/2036 5,342,000 954,632
Citigroup, Inc., Floating Rate Note, 4/1/16 1.0452 04/01/2016 1,325,000 1,329,408
Fannie Mae, Floating Rate Note, 2/1/34 2.295 02/01/2034 500,000 23,994
Federal National Mortgage Association REMICS, Floating Rate Note, 7/18/27 0.668 07/18/2027 10,000,000 38,703
NSTAR Electric Co., Floating Rate Note, 5/17/16 0.4721 05/17/2016 1,013,000 1,012,834
American Express Credit Account Master Trust, Floating Rate Note, 3/15/18 0.3165 03/15/2018 8,890,000 8,887,917
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35 5.0 10/25/2035 17,468,000 1,182,661
Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A) 2.1061 01/26/2020 553,000 532,686
MetLife Institutional Funding II, 1.625%, 4/2/15 (144A) 1.625 04/02/2015 4,500,000 4,532,280
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 1.9165 06/15/2034 5,454,000 5,442,933
ConvaTec, Inc., Dollar Term Loan, 12/22/16 4.0 12/22/2016 796,875 796,875
American Credit Acceptance Receivables Trust 2013-2, 1.32%, 2/15/17 (144A) 1.32 02/15/2017 805,000 141,528
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 0.5016 07/20/2019 1,250,000 266,947
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 1.75516 08/20/2034 7,500,000 332,344
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/32 0.66825 09/25/2032 20,000,000 367,780
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.39825 06/25/2037 632,250 77,347
Bear Stearns ARM Trust 2005-5, Floating Rate Note, 8/25/35 2.211042 08/25/2035 5,635,000 571,219
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/16/27 (144A) 1.4665 02/16/2027 3,350,000 3,350,003
NBTY, Inc., Term B-2 Loan, 10/1/17 3.5 10/01/2017 400,000 389,062
Verizon Communications, Inc., 0.7%, 11/2/15 0.7 11/02/2015 3,300,000 3,303,826
RAIT 2014-FL3 Trust, Floating Rate Note, 12/15/31 (144A) 1.4195 12/15/2031 3,540,000 3,567,535
KANE ILW ZERO% 02Feb16 0.0 02/02/2016 750,000 690,600
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 6/25/35 0.56825 06/25/2035 3,880,000 41,595
RPI Finance Trust, Term B-2 Term Loan, 5/9/18 3.25 05/09/2018 1,012,105 1,014,003
Option One Mortgage Loan Trust 2005-1, Floating Rate Note, 2/25/35 0.96825 02/25/2035 10,220,000 2,904,011
PepsiCo, Inc., Floating Rate Note, 2/26/16 0.44435 02/26/2016 3,460,000 3,466,493
Enterprise Fleet Financing LLC, 0.87%, 9/20/19 0.87 09/20/2019 2,000,000 1,913,144
Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A) 0.46825 01/25/2036 51,217,354 4,011,232
Royal Bank of Canada, Floating Rate Note, 9/9/16 0.6956 09/09/2016 2,000,000 2,009,374
New York Life Global Funding, Floating Rate Note, 12/15/17 (144A) 0.5206 12/15/2017 6,650,000 6,650,789
Province of Ontario Canada, Floating Rate Note, 4/1/15 0.4052 04/01/2015 1,800,000 1,800,958
Kleopatra Acquisition Corp., Term B-1 Loan, 12/21/16 4.75 12/21/2016 686,472 686,472
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 4.0 11/08/2020 318,543 311,177
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 8.0059 05/07/2015 6,250,000 6,460,642
NBCUniversal Enterprise, Inc., Floating Rate Note, 4/15/16 (144A) 0.7903 04/15/2016 2,694,000 2,699,456
Franklin Resources, Inc., 3.125%, 5/20/15 3.125 05/20/2015 2,150,000 2,180,483
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/32 0.7665 09/15/2032 10,000,000 218,477
Samson Investment Co., Tranche 1 Term Loan (Second Lien), 9/25/18 5.0 09/25/2018 71,233 44,948
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 (144A) 0.43825 04/25/2032 29,975,000 2,612,504
Federal National Mortgage Association, Floating Rate Note, 4/25/35 2.67 04/25/2035 750,000 135,236
Chase Issuance Trust, Floating Rate Note, 4/15/19 0.4165 04/15/2019 150,000 149,067
Atlantic Power LP, Term Loan, 2/20/21 4.75 02/20/2021 2,842,857 2,835,750
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 0.66825 06/25/2033 44,273,266 1,955,685
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 0.47235 05/02/2017 2,000,000 2,000,945
Credit Suisse First Boston Mortgage Securities Corp., 4.832%, 4/15/37 4.832 04/15/2037 3,450,000 1,727,614
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 1.6329 12/22/2054 5,635,000 4,419,897
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 1.272 12/05/2031 800,000 798,418
The Coca-Cola Co., Floating Rate Note, 3/5/15 0.21485 03/05/2015 850,000 850,293
77 ENERGY 1ST LIEN TL-B L + 3% 17Jun21 3.75 06/17/2021 1,442,750 1,249,782
First Horizon Mortgage Pass-Through Trust 2003-AR3, Floating Rate Note, 9/25/33 2.59034 09/25/2033 13,000,000 899,082
Foundation Re III, Ltd., Floating Rate Note, 2/25/15 (Cat Bond) (144A) 5.015209 02/25/2015 4,550,000 4,607,835
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/36 0.40825 12/25/2036 4,800,000 269,483
Merrill Lynch Mortgage Trust 2005-CKI1, Floating Rate Note, 11/12/37 5.2737 11/12/2037 7,925,000 5,899,383
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 0.3215 05/15/2047 200,000 75,420
KANE FLT% 14Jul15 0.0 07/14/2015 1,528,080 1,490,642
Structured Asset Securities Corp Mortgage Loan Trust 2006-GEL4, Floating Rate Note, 10/25/36 (144A) 0.38825 10/25/2036 5,557,000 1,947,886
ADVANTAGE SALES & MARKETING INC 1ST LIEN TL-B L + 3.25% 11Jul21 4.25 07/11/2021 663,429 657,328
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/33 0.5665 06/15/2033 10,000,000 544,097
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 0.5165 05/15/2041 340,000 106,634
Par Pharmaceutical Companies, Inc., Term B-2 Loan, 9/28/19 4.0 09/28/2019 1,469,835 1,444,480
MASTR Adjustable Rate Mortgages Trust 2004-11, Floating Rate Note, 11/25/34 0.80825 11/25/2034 5,400,000 1,642,921
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 0.80825 01/25/2029 24,460,400 1,317,039
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 0.78825 09/25/2034 42,840,193 1,758,795
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-4, 5.0%, 7/25/20 5.0 07/25/2020 486,000 15,401
CHS, 2021 Term D Loan, 1/27/21 4.25 01/27/2021 71,646 71,702
Bosphorus Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 2.560843 05/03/2016 750,000 752,291
Duke Energy Corp., 3.35%, 4/1/15 3.35 04/01/2015 2,600,000 2,641,019
CHL Mortgage Pass-Through Trust 2004-29, Floating Rate Note, 2/25/35 0.70825 02/25/2035 96,156,000 4,561,977
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 0.4665 01/15/2036 1,837,000 364,765
Westgate Resorts 2012-2 LLC, 9.0%, 1/21/25 (144A) 9.0 01/21/2025 1,500,000 448,542
Prestige Brands, Inc., Term B-1 Loan, 1/31/19 4.125 01/31/2019 454,561 454,845
BMW Vehicle Lease Trust 2013-1, 0.54%, 9/21/15 0.54 09/21/2015 3,062,000 1,104,850
Fannie Mae, 7.0%, 10/1/17 7.0 10/01/2017 2,241,352 6,418
American Credit Acceptance Receivables Trust 2014-4, 1.23%, 7/10/18 (144A) 1.23 07/10/2018 1,150,000 1,080,377
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37 0.4665 02/15/2037 23,400,000 1,379,971
NPC International, Inc., Term Loan, 12/28/18 4.0 12/28/2018 155,600 152,488
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/28 0.6165 12/15/2028 56,250,000 477,235
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 0.90825 11/25/2034 9,625,000 489,061
ADVANTAGE SALES & MART INC 1ST LIEN DD L + 3.25% 21Jul21 4.25 07/21/2021 22,114 21,910
Nissan Auto Lease 2013-A, 0.45%, 9/15/15 0.45 09/15/2015 3,985,000 38,820
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 0.6465 06/15/2030 34,427,303 1,937,374
United States Treasury Floating Rate Note, Floating Rate Note, 4/30/16 0.08900101 04/30/2016 21,260,000 21,264,673
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 0.4966 04/19/2021 1,200,000 710,777
AmeriCredit Automobile Receivables Trust 2011-5, 2.45%, 12/8/16 2.45 12/08/2016 1,700,000 540,953
VISTEON CORP TERM B 1ST LIEN DD L + 2.75% 08Apr21 3.5 04/08/2021 497,500 492,525
Louisiana Public Facilities Authority, Floating Rate Note, 4/26/27 1.1561 04/26/2027 1,250,000 951,734
Wells Fargo & Co., Floating Rate Note, 10/28/15 0.4561 10/28/2015 2,503,000 2,505,585
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 8.02 07/09/2015 2,500,000 2,576,722
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 5.765209 12/06/2016 1,500,000 1,570,087
Fannie Mae, Floating Rate Note, 11/1/23 2.246 11/01/2023 970,000 9,648
Ibis Re II, Ltd., Floating Rate Note, 2/5/15 (Cat Bond) (144A) 8.370279 02/05/2015 3,600,000 3,639,605
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP6, Floating Rate Note, 4/15/43 5.565 04/15/2043 2,712,000 2,800,523
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/37 1.4165 05/15/2037 3,000,000 250,433
Huntsman International LLC, 2014-1 Incremental Term Loan, 9/30/21 0.0 09/30/2021 1,000,000 994,063
Nissan Auto Receivables 2013-A Owner Trust, 0.5%, 5/15/17 0.5 05/15/2017 3,400,000 2,215,896
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 0.5906 12/15/2016 2,850,000 2,840,213
ZIGGO BV 1ST LIEN TL-B2 L + 2.75% 15Jan22 3.5 01/15/2022 691,063 674,589
Seadrill Operating LP, Initial Term Loan, 2/14/21 4.0 02/14/2021 2,722,500 2,166,941
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 0.76825 12/25/2032 14,000,000 407,325
Government National Mortgage Association, Floating Rate Note, 1/16/35 0.41825 01/16/2035 11,437,000 1,196,563
Federal Farm Credit Banks, Floating Rate Note, 2/18/16 0.16 02/18/2016 2,610,000 2,611,925
Harley-Davidson Financial Services, Inc., 1.15%, 9/15/15 (144A) 1.15 09/15/2015 4,100,000 4,128,865
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 0.6932 05/13/2016 2,500,000 2,512,717
Six Flags Theme Parks, Inc., Tranche B Term Loan, 12/20/18 3.500328 12/20/2018 729,765 730,829
Volkswagen Auto Lease Trust 2014-A, 0.52%, 10/20/16 0.52 10/20/2016 5,790,000 4,064,001
Banc of America Funding 2004-B Trust, Floating Rate Note, 12/20/34 0.528 12/20/2034 20,499,000 1,459,826
Citibank Credit Card Issuance Trust, 4.85%, 3/10/17 4.85 03/10/2017 4,180,000 4,279,938
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 0.5165 02/15/2036 5,000,000 390,635
NYCTL 2014-A Trust, 1.03%, 11/10/27 (144A) 1.03 11/10/2027 1,800,000 1,096,872
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 0.60625 04/10/2028 1,100,000 1,099,406
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/30 0.71825 12/25/2030 20,000,000 95,872
MCC Iowa LLC, Tranche G Term Loan, 1/20/20 4.0 01/20/2020 733,125 725,793
The Bank of Nova Scotia, Floating Rate Note, 7/15/16 0.7733 07/15/2016 1,500,000 1,507,918
Government National Mortgage Association II, Floating Rate Note, 1/20/22 1.625 01/20/2022 1,000,000 12,775
Credit Acceptance Auto Loan Trust 2012-2, 1.52%, 3/16/20 (144A) 1.52 03/16/2020 3,241,000 1,906,339
IASIS Healthcare LLC, Term B-2 Loan, 5/3/18 4.5 05/03/2018 487,518 487,315
HSBC Home Equity Loan Trust USA 2006-4, Floating Rate Note, 3/20/36 0.398 03/20/2036 1,061,000 802,803
Chesapeake Funding LLC, Floating Rate Note, 11/7/23 (144A) 0.918 11/07/2023 3,790,000 1,172,360
Aegis Asset Backed Sec Trust Mor Pass-Through Ctfs Series 2004-4, Frn, 10/25/34 1.26825 10/25/2034 3,977,618 894,018
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 0.788 09/20/2033 52,500,000 2,350,862
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.5165 11/15/2036 2,850,000 472,755
AmeriCredit Automobile Receivables Trust 2013-4, 0.74%, 11/8/16 0.74 11/08/2016 1,500,000 310,843
Progreso Receivables Funding I LLC, 3.625%, 1/30/25 (144A) 3.625 01/30/2025 3,050,000 3,050,000
Capital Auto Receivables Asset Trust 2013-1, 1.74%, 10/22/18 1.74 10/22/2018 3,200,000 3,221,205
LB-UBS Commercial Mortgage Trust 2005-C3, 4.739%, 7/15/30 4.739 07/15/2030 4,490,000 2,280,588
NCF Dealer Floorplan Master Trust, Floating Rate Note, 10/20/20 (144A) 1.668 10/20/2020 3,000,000 3,001,806
Home Equity Asset Trust 2005-7, Floating Rate Note, 1/25/36 0.54825 01/25/2036 7,770,000 4,024,869
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 0.46825 03/25/2035 7,593,737 1,042,082
Bright Horizons Family Solutions, Inc., Term B Loan, 1/30/20 3.75 01/30/2020 596,827 592,165
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 3.5 08/17/2020 768,275 761,552
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/28/36 (144A) 2.6593 05/28/2036 1,084,000 780,389
Chevron Corp., Floating Rate Note, 11/9/16 0.3321 11/09/2016 2,640,000 2,642,240
SINCLAIR BROADCASTING 1ST LIEN TL-B1 L + 2.75% 22Jul21 0.0 07/22/2021 1,000,000 993,750
FCA US LLC, Tranche B Term Loan, 12/29/18 3.25 12/29/2018 2,878,250 2,865,657
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 0.85435 02/26/2016 1,800,000 1,806,280
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 0.93325 05/25/2035 1,575,000 338,994
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/16/30 (144A) 1.9165 12/16/2030 1,500,000 1,501,254
Morgan Stanley, Floating Rate Note, 2/25/16 1.48285 02/25/2016 4,350,000 4,396,913
Structured Asset Sec Corp Mort Pass-Through Cert Ser 2004-S4, Frn, 12/25/34 2.64325 12/25/2034 2,000,000 286,044
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 1.318 05/07/2024 200,000 201,026
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 0.86825 03/25/2035 5,042,000 803,711
CNO Financial Group, Inc., Tranche B-2 Term Loan, 9/28/18 3.75 09/28/2018 459,849 456,256
Delta Air Lines, Inc., Term Loan, 4/20/17 3.25 04/20/2017 294,656 294,080
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 10.7904 04/10/2015 1,945,000 1,977,628
Harch CLO III, Ltd., Floating Rate Note, 4/17/20 (144A) 2.0026 04/17/2020 500,000 487,832
WMG Acquisition Corp., Tranche B Refinancing Term Loan, 7/1/20 3.75 07/01/2020 1,086,250 1,051,625
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 0.86825 02/25/2038 4,400,000 266,321
Starwood Property Trust, Inc., Term Loan (First Lien), 4/17/20 3.5 04/17/2020 1,586,043 1,555,643
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 7/22/19 0.548 07/22/2019 2,670,000 2,662,674
CCG Receivables Trust 2014-1, 1.06%, 11/14/21 (144A) 1.06 11/14/2021 1,900,000 1,902,754
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/37 0.76825 10/25/2037 2,400,000 655,740
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 3.1033 07/15/2023 1,350,000 1,279,432
JP Morgan Chase Com Mortgage Securities Tr 2014-FBLU REMICS, FRN, 12/15/28 (144A) 1.667 12/15/2028 3,510,000 3,514,204
Monitronics International, Inc., Term B Loan (2013), 3/23/18 4.25 03/23/2018 982,774 979,907
AXIS Equipment Finance Receivables II LLC, 1.75%, 6/20/16 1.75 06/20/2016 1,000,000 488,512
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-AR4, Floating Rate Note, 12/25/34 2.28628 12/25/2034 1,170,000 124,194
Capital One Multi-Asset Execution Trust, Floating Rate Note, 12/16/19 0.2465 12/16/2019 3,400,000 3,386,469
Centex Home Equity Loan Trust 2003-A, Floating Rate Note, 3/25/33 3.654 03/25/2033 2,230,000 372,788
Ford Credit Auto Owner Trust 2011-B, 1.35%, 12/15/16 1.35 12/15/2016 200,000 63,146
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP20, Floating Rate Note, 10/12/42 5.14016 10/12/2042 8,735,000 8,452,641
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 0.9266 07/19/2016 1,500,000 1,506,309
Toyota Auto Receivables 2013-B Owner Trust, 0.48%, 2/15/16 0.48 02/15/2016 2,390,000 454,088
Cabelas Credit Card Master Note Trust, Floating Rate Note, 9/17/18 (144A) 0.8665 09/17/2018 2,475,000 2,482,883
Wells Fargo Commercial Mortgage Trust 2014-TISH, Floating Rate Note, 2/16/27 (144A) 1.1965 02/16/2027 2,220,000 2,211,676
Bear Stearns ALT-A Trust 2003-3, Floating Rate Note, 10/25/33 2.68048 10/25/2033 350,000 58,578
JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A) 1.4165 04/15/2027 5,600,000 5,596,598
OAK Hill Advisors Residential Loan Trust 2014-NPL2, 3.475%, 4/25/54 (Step) (144A) 3.475 04/25/2054 3,490,000 3,448,734
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-WF1, 4.786%, 3/25/35 4.786 03/25/2035 735,000 45,416
Milacron LLC, Term Loan, 3/28/20 4.0 03/28/2020 687,802 669,747
JP Morgan Chase Commercial Mortgage Securities Trust 2002-CIBC4, Floating Rate Note, 5/12/34 6.45 05/12/2034 257,000 141,482
Kinetic Concepts, Inc., Dollar Term E-1 Loan, 5/4/18 4.0 05/04/2018 586,787 581,339
Morgan Stanley ABS Capital I Inc Trust 2005-HE6, Floating Rate Note, 11/25/35 0.48825 11/25/2035 160,000 55,736
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 1.6195 08/15/2031 2,500,000 2,496,666
ACA CLO 2006-2, Ltd., Floating Rate Note, 1/20/21 (144A) 0.9766 01/20/2021 3,250,000 3,195,190
Global Container Assets 2013-1, Ltd., 2.2%, 11/5/28 (144A) 2.2 11/05/2028 1,750,000 1,063,134
Revlon Consumer Products Corp., Acquisition Term Loan, 8/19/19 4.0 08/19/2019 371,250 366,957
Pinnacle Foods Finance LLC, New Term Loan G, 4/29/20 3.0 04/29/2020 1,158,832 1,133,121
America Movil SAB de CV, Floating Rate Note, 9/12/16 1.2399 09/12/2016 1,500,000 1,514,594
Freddie Mac Strips, Floating Rate Note, 8/15/36 0.4165 08/15/2036 10,000,000 490,521
Federal Farm Credit Banks, Floating Rate Note, 9/18/15 0.18 09/18/2015 2,540,000 2,541,649
SunTrust Bank, Floating Rate Note, 4/1/15 0.5552 04/01/2015 4,090,000 4,091,513
Federal Home Loan Mortgage Corp., Floating Rate Note, 6/26/15 0.15825 06/26/2015 2,000,000 2,000,535
Soundview Home Loan Trust 2005-DO1, Floating Rate Note, 5/25/35 0.88825 05/25/2035 2,000,000 1,933,203
ARLINGTON FLT% 01Aug15 0.0 08/01/2015 100,000 109,300
Nissan Master Owner Trust Receivables, Floating Rate Note, 5/15/17 0.6365 05/15/2017 3,395,000 3,398,136
Weight Watchers International, Inc., Initial Tranche B-2 Term Loan, 4/2/20 4.0 04/02/2020 1,965,000 1,318,186
Calpine Corp., Term Loan (10/12), 10/9/19 4.0 10/09/2019 758,236 751,060
Pinnacle Entertainment, Inc., Tranche B-2 Term Loan, 8/13/20 3.75 08/13/2020 195,562 193,667
NUMERICABLE US LLC 1ST LIEN TL-B1 L + 3.75% 23Apr20 4.5 04/23/2020 268,076 266,952
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 3.4452 01/17/2019 1,500,000 1,534,312
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 3.515209 01/06/2019 1,750,000 1,747,088
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 0.439 04/28/2036 13,680,000 795,170
Ford Credit Auto Owner Trust 2011-A, 1.65%, 5/15/16 1.65 05/15/2016 1,870,000 81,176
EQTY 2014-INNS Mortgage Trust, Floating Rate Note, 5/8/31 (144A) 1.368 05/08/2031 3,530,000 3,489,274
321 Henderson Receivables I LLC, Floating Rate Note, 6/15/41 (144A) 0.3665 06/15/2041 8,090,000 2,700,666
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 4.25 04/25/2034 16,913,000 517,771
Sanders Re, Ltd., Floating Rate Note, 5/25/18 (Cat Bond) (144A) 3.015209 05/25/2018 1,000,000 992,516
Crusade Global Trust No 1 of 2007, Floating Rate Note, 4/19/38 0.3166 04/19/2038 15,883,244 2,492,567
Apex Tool Group LLC, Term Loan, 1/31/20 4.5 01/31/2020 1,228,125 1,189,746
KANE FLT% 30Jul16 0.0 07/30/2016 1,006,000 1,098,652
Countrywide Asset-Backed Certificates, Floating Rate Note, 1/25/36 0.53825 01/25/2036 125,000 334
NCUA Guaranteed Notes Trust, Floating Rate Note, 11/6/17 0.53775 11/06/2017 6,590,000 2,467,687
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 3.775349 04/24/2017 1,350,000 1,349,268
Spirit AeroSystems, Inc., Term Loan B, 9/30/20 3.25 09/30/2020 1,328,943 1,318,976
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 0.35825 12/25/2035 1,719,377 511,309
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 4.0 07/09/2018 1,800,000 1,818,100
Emdeon, Inc., Term B-2 Loan, 11/2/18 3.75 11/02/2018 1,603,937 1,580,881
CSMC Trust 2014-SURF, Floating Rate Note, 2/15/29 (144A) 0.0 02/15/2029 2,400,000 2,396,655
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.11825 10/25/2037 4,405,200 1,035,974
Government National Mortgage Association, Floating Rate Note, 2/20/35 0.418 02/20/2035 8,941,000 1,160,737
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 3.25 03/31/2021 597,000 587,920
DTZ US BORROWER LLC 1ST LIEN TL L + 4.5% 28Oct21 5.5 10/28/2021 1,714,786 1,718,001
Duke Energy Progress, Inc., Floating Rate Note, 3/6/17 0.43535 03/06/2017 1,275,000 1,272,641
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2.39689 03/25/2034 3,865,000 571,754
JP Morgan Mortgage Trust 2004-A5, Floating Rate Note, 12/25/34 2.19839 12/25/2034 1,119,000 798,722
Progreso Receivables Funding II LLC, 3.5%, 7/8/19 (144A) 3.5 07/08/2019 4,750,000 4,763,590
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 0.91825 02/25/2035 21,336,125 396,318
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 0.9574 01/25/2030 15,000,000 930,678
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 2.3165 06/15/2016 3,000,000 3,006,338
Hyundai Capital Auto Funding VIII, Ltd., Floating Rate Note, 9/20/16 (144A) 1.168 09/20/2016 5,954,000 186,727
JPMorgan Chase & Co., 3.4%, 6/24/15 3.4 06/24/2015 1,325,000 1,344,512
Baxter International, Inc., 4.625%, 3/15/15 4.625 03/15/2015 2,500,000 2,555,738
WHEELABRATOR 1ST LIEN TL-C L + 4% 15Oct21 5.0 10/15/2021 126,436 127,345
JPMorgan Chase & Co., 1.1%, 10/15/15 1.1 10/15/2015 1,528,000 1,538,113
Bank of The West Auto Trust 2014-1, 0.69%, 7/17/17 (144A) 0.69 07/17/2017 1,850,000 1,850,576
BCC Funding VIII LLC, 1.794%, 6/22/20 (144A) 1.794 06/22/2020 2,000,000 1,242,583
321 Henderson Receivables I LLC, Floating Rate Note, 9/15/45 (144A) 0.5165 09/15/2045 3,120,000 758,786
Citibank Credit Card Issuance Trust, 5.1%, 11/20/17 5.1 11/20/2017 1,650,000 1,726,011
Citigroup, Inc., Floating Rate Note, 7/25/16 1.2161 07/25/2016 3,700,000 3,721,263
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 0.6956 09/09/2016 1,000,000 1,005,006
East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (Cat Bond) (144A) 2.780419 03/14/2018 2,000,000 2,002,250
Chase Issuance Trust, 0.54%, 10/16/17 0.54 10/16/2017 1,001,000 1,001,554
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 1.8665 06/15/2029 3,500,000 3,490,181
Royal Bank of Canada, Floating Rate Note, 1/23/17 0.5871 01/23/2017 1,875,000 1,877,757
First Investors Auto Owner Trust 2014-2, 0.86%, 8/15/18 (144A) 0.86 08/15/2018 2,100,000 2,098,822
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR10, Floating Rate Note, 12/11/40 5.405 12/11/2040 4,250,000 3,559,426
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WHQ2, Floating Rate Note, 2/25/35 1.11325 02/25/2035 3,100,000 1,672,388
American Honda Finance Corp., 1.45%, 2/27/15 (144A) 1.45 02/27/2015 4,455,000 4,485,952
ARI Fleet Lease Trust 2013-A, 0.7%, 12/15/15 (144A) 0.7 12/15/2015 4,000,000 1,369,896
World Omni Auto Receivables Trust 2013-B, 0.48%, 11/15/16 0.48 11/15/2016 50,000 16,972
Deltek, Inc., Term Loan (First Lien), 10/10/18 4.5 10/10/2018 295,477 294,123
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/39 0.6165 03/15/2039 1,000,000 265,058
Fieldstone Mortgage Investment Trust Series 2004-5, Floating Rate Note, 2/25/35 1.89325 02/25/2035 3,600,000 571,949
Landrys, Inc., B Term Loan, 4/24/18 4.0 04/24/2018 390,680 389,867
Discover Card Execution Note Trust, Floating Rate Note, 1/16/18 0.3665 01/16/2018 1,345,000 1,345,033
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/33 0.5665 01/15/2033 45,500,000 608,370
Structured Asset Sec Corp Mort Pass Thr Certs Series 1998-8, Floating Rate Note, 8/25/28 1.10825 08/25/2028 8,825,000 375,687
RAAC Series 2006-RP1 Trust, Floating Rate Note, 10/25/45 (144A) 0.46825 10/25/2045 15,300,000 415,121
Bear Stearns Asset Backed Securities Trust 2005-SD1, Floating Rate Note, 8/25/43 0.56825 08/25/2043 310,000 85,915
CNH Equipment Trust 2013-A, 0.69%, 6/15/18 0.69 06/15/2018 1,874,000 1,376,566
Bear Stearns Asset Backed Securities Trust 2003-AC5, Floating Rate Note, 10/25/33 1.26825 10/25/2033 2,875,000 269,370
Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/19/30 (144A) 2.1 12/19/2030 1,800,000 1,772,130
The Goldman Sachs Group, Inc., Floating Rate Note, 7/22/15 0.6567 07/22/2015 1,300,000 1,299,966
Nordea Bank Finland Plc New York, Floating Rate Note, 6/13/16 0.4206 06/13/2016 2,225,000 2,226,766
Bayview Financial Acquisition Trust, Floating Rate Note, 5/28/44 0.799 05/28/2044 32,920,000 284,634
CAM Mortgage Trust 2014-2, 2.6%, 12/15/53 (Step) (144A) 2.6 12/15/2053 2,130,000 612,622
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 7.42 01/09/2019 1,250,000 1,292,652
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 2.125 09/15/2015 551,000 560,525
Morgan Stanley Re-REMIC Trust 2010-R4, Floating Rate Note, 7/26/36 (144A) 0.418 07/26/2036 3,700,000 143,349
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 0.63825 03/25/2035 5,700,000 1,682,220
Volkswagen Group of America Finance LLC, Floating Rate Note, 5/23/16 (144A) 0.4529 05/23/2016 1,900,000 1,899,103
ACIS CLO 2014-4, Ltd., Floating Rate Note, 5/1/26 (144A) 1.23235 05/01/2026 3,000,000 2,251,044
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.765209 04/30/2018 2,300,000 2,350,964
SCIENTIFIC GAMES INTERNATIONAL INC 1ST LIEN TL-B2 L + 5% 17Sep21 6.0 09/17/2021 2,000,000 1,978,750
Unifrax I LLC, New Term B Dollar Loan, 11/28/18 4.25 11/28/2018 976,648 968,916
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 7/25/36 0.46825 07/25/2036 4,500,000 4,424,755
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 2.43564 11/25/2034 3,560,000 345,688
Credit Suisse Commercial Mortgage Trust Series 2006-C1, Floating Rate Note, 2/15/39 5.46825 02/15/2039 5,802,000 5,921,717
GMAC Commercial Mortgage Securities Inc Series 2004-C2 Trust, Floating Rate Note, 8/10/38 5.301 08/10/2038 5,341,000 40,812
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 6/25/34 0.53825 06/25/2034 20,600,000 2,323,436
General Electric Capital Corp., Floating Rate Note, 1/14/16 0.4828 01/14/2016 1,865,000 1,868,715
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 3.9669 08/25/2053 5,300,000 4,035,967
Daimler Finance North America LLC, Floating Rate Note, 8/1/17 (144A) 0.57235 08/01/2017 2,061,000 2,061,879
NN INC 1ST LIEN TL-B L + 5% 18Jul21 6.0 07/18/2021 1,232,142 1,230,602
The Charles Schwab Corp., 0.85%, 12/4/15 0.85 12/04/2015 1,555,000 1,561,812
Tradewynd Re, Ltd., Floating Rate Note, 1/8/18 (Cat Bond) (144A) 5.025 01/08/2018 750,000 750,537
Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18 2.64 03/31/2018 1,389,500 1,360,552
Nissan Motor Acceptance Corp., Floating Rate Note, 9/26/16 (144A) 0.9546 09/26/2016 1,500,000 1,508,368
Ford Motor Credit Co LLC, Floating Rate Note, 9/1/18 1.1921 09/01/2018 2,600,000 2,605,661
NCL CORP LTD 1ST LIEN TL-B L + 3.25% 06Nov21 4.0 11/06/2021 1,000,000 1,001,033
Quebecor Media, Inc., Facility B-1 Tranche, 8/17/20 3.25 08/17/2020 497,481 483,489
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 0.36825 12/25/2036 3,000,000 340,486
Ally Auto Receivables Trust 2011-2, 1.98%, 4/15/16 1.98 04/15/2016 355,000 32,336
Toyota Motor Credit Corp., Floating Rate Note, 9/18/15 0.3926 09/18/2015 1,000,000 1,001,282
Arran Residential Mortgages Funding 2010-1 Plc, Floating Rate Note, 5/16/47 (144A) 1.6321 05/16/2047 4,850,000 2,392,061
Ally Master Owner Trust, Floating Rate Note, 2/15/17 0.9665 02/15/2017 250,000 250,159
Federal Home Loan Banks, 2.9%, 4/20/17 2.9 04/20/2017 4,130,000 755,883
Ardagh Holdings USA, Inc., New Term Loan, 12/17/19 4.0 12/17/2019 678,870 669,535
Motel 6 Trust, 1.5%, 10/7/25 (144A) 1.5 10/07/2025 1,000,000 768,131
Banc of America Mortgage 2004-I Trust, Floating Rate Note, 10/25/34 2.49549 10/25/2034 6,000,000 413,302
Gracechurch Mortgage Financing Plc, Floating Rate Note, 11/20/56 (144A) 1.78185 11/20/2056 2,500,000 1,651,672
Cincinnati Bell, Inc., Tranche B Term Loan, 9/10/20 4.0 09/10/2020 1,234,375 1,225,888
The Toronto-Dominion Bank, Floating Rate Note, 5/1/15 0.41185 05/01/2015 5,695,000 5,703,026
BCAP LLC 2013-RR7 Trust, Floating Rate Note, 12/27/34 3.0 12/27/2034 1,410,000 1,160,280
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 1.10825 12/25/2034 23,713,000 719,126
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 0.81825 01/25/2033 5,000,000 158,587
CHARTER COMMUNICATIONS 1ST LIEN TL-B L + 3.5% 12Aug21 0.0 08/12/2021 1,250,000 1,256,872
Federal National Mortgage Association REMICS, 4.5%, 1/25/39 4.5 01/25/2039 820,000 44,828
Ameriquest Mort Sec Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Frn, 1/25/36 0.49825 01/25/2036 810,000 508,684
Ally Master Owner Trust, Floating Rate Note, 8/15/17 1.2365 08/15/2017 3,000,000 3,013,069
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, 4.871%, 9/11/42 4.871 09/11/2042 7,568,000 5,811,435
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 1.00825 01/25/2035 25,907,600 3,116,662
US Bank NA Cincinnati Ohio, Floating Rate Note, 1/26/18 0.5561 01/26/2018 2,600,000 2,599,209
BSN medical International Holding GmbH & Co KG, Facility B1b, 8/28/19 4.0 08/28/2019 593,611 592,374
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 3.0 05/15/2018 2,777,000 1,134,443
Reynolds Group Holdings, Inc., Incremental U.S. Term Loan, 12/31/18 4.0 12/31/2018 785,308 778,055
Government National Mortgage Association, Floating Rate Note, 1/20/33 0.418 01/20/2033 10,000,000 2,988
Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/17/26 (144A) 1.9165 08/17/2026 1,375,000 1,376,543
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 0.4816 01/20/2021 3,500,000 991,983
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 0.76825 04/25/2034 9,566,021 457,755
Chevy Chase Funding LLC Mort-Backed Certs Series 2004-3, Frn, 8/25/35 (144A) 0.46825 08/25/2035 1,300,000 51,395
GE Equipment Small Ticket LLC Series 2014-1, 1.59%, 8/24/16 0.59 08/24/2016 1,900,000 1,900,601
Alterna Funding I LLC, 1.639%, 2/15/21 (144A) 1.639 02/15/2021 1,400,000 1,150,745
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19, Floating Rate Note, 2/12/49 5.69845 02/12/2049 475,000 4,933
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 0.608 10/20/2017 888,000 888,956
Total Capital Canada, Ltd., Floating Rate Note, 1/15/16 0.6333 01/15/2016 3,355,000 3,365,452
The Bank of Nova Scotia, Floating Rate Note, 12/13/16 0.6606 12/13/2016 1,800,000 1,806,848
ASG Resecuritization Trust 2010-3, Floating Rate Note, 12/29/45 (144A) 0.474817 12/29/2045 5,216,443 2,185,989
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 8.015209 06/06/2016 750,000 808,833
Ibis Re II, Ltd., Floating Rate Note, 2/5/15 (Cat Bond) (144A) 13.520279 02/05/2015 3,500,000 3,562,387
MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35 0.51825 02/25/2035 21,274,000 1,693,863
Windstream Corp., Tranche B-4 Term Loan, 1/23/20 3.5 01/23/2020 1,030,477 1,023,264
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 1.16825 02/25/2024 1,555,000 1,429,201
Federal National Mortgage Association, Floating Rate Note, 8/26/16 0.18825 08/26/2016 6,085,000 6,088,785
The Boeing Co., 3.5%, 2/15/15 3.5 02/15/2015 1,500,000 1,525,577
Structured Asset Securities Corp Mortgage Loan Trust 2005-S7, Floating Rate Note, 12/25/35 (144A) 0.46825 12/25/2035 11,868,000 1,557,107
GE Business Loan Trust 2006-2, Floating Rate Note, 11/15/34 (144A) 0.3465 11/15/2034 6,967,382 2,532,809
The Bank of New York Mellon Corp., Floating Rate Note, 10/23/15 0.4871 10/23/2015 3,533,000 3,537,887
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 0.53825 09/25/2035 8,206,169 2,341,896
PACCAR Financial Corp., Floating Rate Note, 5/5/15 0.38125 05/05/2015 2,000,000 2,001,154
KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A) 1.6821 05/15/2021 650,000 644,132
Morgan Stanley Capital I Trust 2005-HQ6 REMICS, Floating Rate Note, 8/13/42 5.073 08/13/2042 2,900,000 2,944,180
Albertsons LLC, Term B-2 Loan, 3/21/19 4.75 03/21/2019 1,503,474 1,502,221
Microsemi Corp., Term Loan (2014), 3/14/21 3.25 03/14/2021 131,461 130,343
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 1.18 08/15/2017 1,138,000 240,229
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 2.05002 10/25/2033 12,490,305 1,441,980
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 0.4165 08/15/2035 2,185,000 428,438
LB-UBS Commercial Mortgage Trust 2006-C1 REMICS, 5.156%, 2/15/31 5.156 02/15/2031 5,465,000 5,462,075
Commercial Mortgage Trust 2005-GG5, Floating Rate Note, 4/10/37 5.277 04/10/2037 6,995,000 7,168,367
Toyota Motor Credit Corp., Floating Rate Note, 5/17/16 0.5221 05/17/2016 2,800,000 2,810,238
BWAY HOLDING CO 1ST LIEN TL-B L + 4.5% 08Aug20 5.5 08/08/2020 398,000 398,165
Option One Mortgage Loan Trust 2007-FXD2, 5.9%, 3/25/37 (Step) 5.9 03/25/2037 810,000 38,164
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 1,111,666 1,112,222
United Auto Credit Securitization Trust 2014-1, 0.74%, 6/15/16 (144A) 0.74 06/15/2016 3,000,000 3,000,864
Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35 5.5 05/25/2035 19,264,330 325,598
The Geo Group, Inc., Term Loan, 4/3/20 3.25 04/03/2020 984,968 977,581
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14, 5.171%, 12/11/38 5.171 12/11/2038 2,735,000 852,650
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 10.015209 06/06/2016 900,000 985,320
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/35 0.4665 05/15/2035 10,200,000 653,682
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 0.98825 05/25/2035 5,000,000 244,861
Westpac Banking Corp., Floating Rate Note, 5/19/17 0.56185 05/19/2017 2,000,000 2,001,284
Gracechurch Card Funding Plc, Floating Rate Note, 6/15/17 (144A) 0.8665 06/15/2017 2,200,000 2,203,914
ZIGGO BV 1ST LIEN TL-B1 L + 2.75% 15Jan22 3.5 01/15/2022 1,072,382 1,046,818
Ally Master Owner Trust, Floating Rate Note, 6/17/19 0.5665 06/17/2019 2,600,000 2,588,931
TORONTO-DOMINION BANK, Floating Rate Note, 11/6/15 0.43185 11/06/2015 4,025,000 4,034,312
Wells Fargo & Co., Floating Rate Note, 7/20/16 0.7866 07/20/2016 3,105,000 3,116,247
PFS Financing Corp., Floating Rate Note, 10/15/19 (144A) 1.0165 10/15/2019 1,700,000 1,699,432
ZEBRA TECHNOLOGIES CORPORATION 1ST LIEN TL-B L + 4% 30Sep21 4.75 09/30/2021 1,000,000 1,007,232
Ryder System, Inc., 3.15%, 3/2/15 3.15 03/02/2015 2,000,000 2,030,110
CG-CCRE Commercial Mortgage Trust 2014-FL1, Floating Rate Note, 6/16/31 (144A) 1.1165 06/16/2031 5,670,000 5,661,944
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.6665 12/15/2032 1,700,000 32,050
JMC Steel Group, Inc., Term Loan, 4/1/17 4.75 04/01/2017 357,545 351,958
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 0.46825 05/25/2036 25,142,877 1,832,622
Wells Fargo Bank NA, 4.75%, 2/9/15 4.75 02/09/2015 1,564,000 1,600,412
Irwin Whole Loan Home Equity Trust 2005-B, Floating Rate Note, 12/25/29 0.63825 12/25/2029 6,125,000 3,235,224
Apidos Quattro CDO, Floating Rate Note, 1/20/19 (144A) 1.7026 01/20/2019 1,000,000 986,114
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 0.71825 10/25/2017 5,500,000 84,590
DEALERTRACK TECHNOLOGIES INC, Term Loan, 2/27/21 3.5 02/27/2021 954,021 941,190
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 2/26/16 0.64435 02/26/2016 3,330,000 3,337,014
Nations Equipment Finance Funding II LLC, 1.558%, 7/20/18 (144A) 1.558 07/20/2018 2,100,000 1,563,894
Michaels Stores, Inc., Term B Loan, 1/28/20 3.75 01/28/2020 982,500 966,534
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/33 2.61 11/01/2033 850,000 15,106
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-E, Floating Rate Note, 11/25/29 1.0774 11/25/2029 36,000,000 2,077,830
Duke Energy Progress, Inc., Floating Rate Note, 11/20/17 0.43185 11/20/2017 2,600,000 2,602,217
Devon Energy Corp., Floating Rate Note, 12/15/15 0.6906 12/15/2015 4,800,000 4,799,103
Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A) 1.1695 09/25/2037 6,105,345 940,817
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 0.818 01/18/2032 16,977,308 249,645
Wachovia Corp., Floating Rate Note, 6/15/17 0.5106 06/15/2017 1,999,000 1,992,430
Government National Mortgage Association, Floating Rate Note, 5/16/38 0.56825 05/16/2038 8,761,000 595,529
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 5/25/24 1.11825 05/25/2024 3,560,000 3,118,251
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 0.84825 06/25/2033 8,955,000 177,292
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 1.21 08/15/2018 700,000 478,852
RESI Finance LP, Floating Rate Note, 9/10/35 (144A) 1.56625 09/10/2035 11,796,589 2,102,794
PANGAEA ZERO% 01Jul18 0.0 07/01/2018 2,300,000 2,467,900
Federal Home Loan Banks, Floating Rate Note, 10/7/15 0.22 10/07/2015 2,640,000 2,642,195
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/2/21 0.0 03/02/2021 2,700,000 1,222,823
Aegis Asset Backed Sec Tr Mort Pass- Through Ctfs Series 2004-3, Frn, 9/25/34 1.26825 09/25/2034 3,465,620 584,346
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 0.5665 05/15/2036 7,791,000 540,633
Aegis Asset Backed Sec Tr Mort Pass-Through Ctfs Ser 2005-4, Frn, 10/25/35 0.53825 10/25/2035 800,000 397,149
COMM 2014-FL5 Mortgage Trust, Floating Rate Note, 10/15/31 (144A) 2.3165 10/15/2031 4,970,000 4,958,375
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 6/25/34 0.90825 06/25/2034 26,125,000 343,286
BERKELEY-KANE FLT% 12Jun15 0.0 06/12/2015 2,008,000 2,084,103
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/32 0.66825 08/25/2032 15,000,000 298,373
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.86825 01/25/2035 17,745,000 2,052,512
321 Henderson Receivables II LLC, Floating Rate Note, 9/15/41 (144A) 0.3665 09/15/2041 11,542,000 3,901,774
Gardner Denver, Inc., Initial Dollar Term Loan, 7/30/20 4.25 07/30/2020 395,000 370,065
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 0.78825 10/25/2028 38,289,000 1,816,347
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 0.4866 04/20/2021 1,800,000 1,320,100
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 11/18/16 0.7421 11/18/2016 1,800,000 1,807,591
Selene Non-Performing Loans LLC, 2.9814%, 5/25/54 (Step) (144A) 2.9814 05/25/2054 3,530,000 3,402,061
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1.765209 01/07/2019 1,800,000 1,780,845
Nissan Auto Receivables 2013-C Owner Trust, 0.4%, 6/15/16 0.4 06/15/2016 2,075,000 807,136
Duke Energy Corp., Floating Rate Note, 4/3/17 0.6356 04/03/2017 1,740,000 1,743,033
Carefree Portfolio Trust 2014-CARE, Floating Rate Note, 11/15/29 (144A) 2.017 11/15/2029 3,300,000 3,304,514
Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20 3.5 09/23/2020 986,842 976,819
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/26/35 0.90325 02/26/2035 19,369,028 3,332,793
Toyota Motor Credit Corp., 1.0%, 2/17/15 1.0 02/17/2015 2,265,000 2,275,843
Federal Farm Credit Banks, Floating Rate Note, 3/9/15 0.08 03/09/2015 2,200,000 2,200,300
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/17 0.61825 02/25/2017 14,970,453 7,594
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 0.808 11/20/2034 5,055,000 509,310
Structured Asset Securities Corp Trust 2005-14, Floating Rate Note, 7/25/35 0.46825 07/25/2035 3,899,641 373,330
Raymond James Financial, Inc., 4.25%, 4/15/16 4.25 04/15/2016 7,409,000 7,836,535
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 1.88653 01/25/2029 16,556,000 236,796
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 2.16825 10/25/2023 4,205,000 3,391,148
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 3.975209 05/18/2016 2,610,000 2,664,940
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 1.06825 12/25/2031 30,500,000 1,099,164
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 1.00825 01/25/2035 11,245,000 1,216,133
Alternative Loan Trust 2003-3T1, Floating Rate Note, 5/25/33 0.79825 05/25/2033 15,000,000 578,003
American Express Credit Corp., 1.75%, 6/12/15 1.75 06/12/2015 3,000,000 3,021,665
JP Morgan Chase Commercial Mortgage Securities Trust 2013-JWRZ, Floating Rate Note, 4/15/30 (144A) 0.9465 04/15/2030 4,975,000 4,972,237
Trafigura Securitisation Finance Plc. 2014-1, Floating Rate Note, 4/16/18 (144A) 1.1165 04/16/2018 1,400,000 1,401,162
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C REMICS, Floating Rate Note, 6/25/28 0.82825 06/25/2028 42,262,000 1,910,637
Prestige Brands, Inc., Term B-2 Loan, 8/18/21 4.5 08/18/2021 566,666 567,658
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 0.3665 07/15/2036 5,000,000 926,280
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 3/18/16 0.7226 03/18/2016 1,575,000 1,582,202
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/25/23 1.61825 11/25/2023 2,250,000 1,738,223
Volvo Financial Equipment LLC Series 2014-1, 0.54%, 11/15/16 (144A) 0.54 11/15/2016 1,700,000 1,495,374
General Mills, Inc., Floating Rate Note, 1/28/16 0.4561 01/28/2016 1,895,000 1,891,113
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 8.915209 06/06/2017 1,500,000 1,559,475
Navios Maritime Partners LP, Term Loan, 6/27/18 5.25 06/27/2018 1,481,250 1,468,289
Nissan Auto Receivables 2012-A Owner Trust, 0.73%, 5/16/16 0.73 05/16/2016 55,000 10,233
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 3/25/32 (144A) 1.29325 03/25/2032 6,512,459 1,118,769
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/15/35 0.8665 08/15/2035 50,000,000 4,961,633
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 1.1695 08/15/2031 5,350,000 4,112,425
Skandinaviska Enskilda Banken AB New York NY, Floating Rate Note, 9/21/15 0.5871 09/21/2015 2,500,000 2,502,292
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 0.872 12/05/2031 900,000 896,422
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 6.5 08/15/2030 1,250,000 123,066
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 1/15/24 4.0 01/15/2024 1,801,000 42,298
ARI Fleet Lease Trust 2013-A, 0.92%, 7/15/21 (144A) 0.92 07/15/2021 600,000 601,709
Shell International Finance BV, Floating Rate Note, 11/15/16 0.4421 11/15/2016 1,500,000 1,502,172
West Corp., Term B-10 Loan, 6/30/18 3.25 06/30/2018 1,004,820 994,301
Alternative Loan Trust 2004-J13, Floating Rate Note, 2/25/35 1.06825 02/25/2035 1,000,000 963,921
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 4.1665 10/15/2015 1,537,000 1,543,377
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 0.46825 10/25/2035 6,475,000 636,232
RASC Series 2004-KS10 Trust, Floating Rate Note, 11/25/34 0.94825 11/25/2034 82,085,000 2,263,139
General Mills, Inc., Floating Rate Note, 1/29/16 0.5526 01/29/2016 1,765,000 1,765,550
Alkermes, Inc., 2019 Term Loan, 9/25/19 3.5 09/25/2019 1,125,602 1,115,753
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 4.894 08/10/2042 3,300,000 2,051,288
US Bank NA Cincinnati Ohio, Floating Rate Note, 4/22/16 0.3767 04/22/2016 2,000,000 2,000,726
Oracle Corp., Floating Rate Note, 7/7/17 0.4536 07/07/2017 1,937,000 1,937,035
Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A) 3.775349 11/25/2019 2,350,000 2,354,043
NRG Energy, Inc., 8.25%, 9/1/20 8.25 09/01/2020 1,250,000 1,367,968
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 0.4165 08/15/2035 5,000,000 885,498
GE Business Loan Trust 2003-1, Floating Rate Note, 4/15/31 (144A) 0.5965 04/15/2031 20,374,890 849,565
Citibank Credit Card Issuance Trust, Floating Rate Note, 5/9/18 0.3665 05/09/2018 3,500,000 3,498,529
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 0.469 02/28/2041 5,200,000 95,376
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/32 1.16825 07/25/2032 15,000,000 199,252
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.6165 12/15/2032 2,500,000 4,398
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 0.41825 10/25/2035 4,339,000 425,433
CSMC Series 2014-ICE, Floating Rate Note, 4/15/27 (144A) 1.3665 04/15/2027 6,470,000 6,471,238
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45 2.23296 06/25/2045 1,500,000 226,651
SMART Trust/Australia, Floating Rate Note, 8/15/16 0.4665 08/15/2016 1,500,000 1,083,446
Chevy Chase Funding LLC Mort-Backed Cert Series 2004-1, Frn, 1/25/35 (144A) 0.49825 01/25/2035 3,700,000 107,019
Valeant Pharmaceuticals International, Inc., Series C-2 Tranche B Term Loan, 12/11/19 3.5 12/11/2019 511,676 508,958
Ford Credit Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 0.4365 01/15/2016 150,000 63,385
World Financial Network Credit Card Master Trust, Floating Rate Note, 12/16/19 0.5465 12/16/2019 10,375,000 10,376,461
NCUA Guaranteed Notes Trust, Floating Rate Note, 10/7/20 0.61775 10/07/2020 2,000,000 945,137
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/40 0.71825 01/25/2040 5,000,000 394,686
American Express Credit Corp., Floating Rate Note, 7/29/16 0.7626 07/29/2016 2,850,000 2,860,702
Hologic, Inc., Refinancing Tranche B Term Loan, 8/1/19 3.25 08/01/2019 668,422 667,706
Merrill Lynch Mortgage Trust 2005-CIP1, Floating Rate Note, 7/12/38 5.047 07/12/2038 2,170,000 2,194,655
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 0.61825 07/25/2034 2,860,000 159,302
KeyCorp Student Loan Trust 2004-A, Floating Rate Note, 10/28/41 0.5561 10/28/2041 500,000 89,146
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 0.7521 02/15/2017 2,000,000 2,001,915
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 8.535489 05/09/2016 1,500,000 1,586,166
Morgan Stanley Capital I Trust 2006-TOP21, Floating Rate Note, 10/12/52 5.162 10/12/2052 1,960,000 2,013,842
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 1.06825 06/25/2033 2,000,000 39,344
NEW ALBERTSONS INC 1ST LIEN TL L + 3.75% 24Jun21 4.75 06/24/2021 498,750 493,388
Golden Credit Card Trust, Floating Rate Note, 2/15/18 (144A) 0.4165 02/15/2018 4,300,000 4,299,428
RAIT 2014-FL2 Trust, Floating Rate Note, 5/15/31 (144A) 2.32125 05/15/2031 5,200,000 5,140,494
Hewetts Island CDO, Ltd., Floating Rate Note, 6/9/19 (144A) 2.4856 06/09/2019 1,000,000 1,000,245
VERS 2015-A ZERO% 31Dec17 0.0 12/31/2017 2,500,000 2,519,500
PHARMEDIUM HEALTHCARE Corp., Initial Term Loan (First Lien), 1/23/21 4.25 01/23/2021 255,975 250,535
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 0.91825 05/25/2035 2,925,000 2,843,709
Enterprise Fleet Financing LLC, 0.72%, 4/20/18 (144A) 0.72 04/20/2018 4,500,000 1,102,751
Bank of America Corp., Floating Rate Note, 8/25/17 0.84285 08/25/2017 1,423,000 1,423,054
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 0.47825 05/25/2036 13,100,000 1,346,570
Sensata Technologies BV, Term Loan, 5/12/18 3.25 05/12/2018 527,437 528,632
BRIGHT HORIZONS FAMILY SOLUTIONS I 1ST LIEN TL-B1 L + 3.25% 30Jan20 0.0 01/30/2020 600,000 597,750
WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21 1.2551 01/23/2021 290,008 289,600
American Honda Finance Corp., Floating Rate Note, 10/7/16 0.7536 10/07/2016 950,000 954,888
Genpact International, Inc., Term Loan, 8/30/19 3.5 08/30/2019 980,075 975,481
Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Floating Rate Note, 5/15/43 5.895923 05/15/2043 4,240,000 3,662,164
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 0.4665 02/15/2036 5,087,000 907,227
Pepper Residential Securities Trust, Floating Rate Note, 4/10/15 (144A) 0.51625 04/10/2015 2,000,000 2,000,424
Kizuna Re II, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A) 2.265209 04/06/2018 1,800,000 1,808,955
Morgan Stanley Capital I Trust 2005-TOP19, 4.89%, 6/12/47 4.89 06/12/2047 6,690,000 4,664,096
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 0.6211 11/21/2016 2,465,000 2,463,165
KeyBank NA Cleveland Ohio, Floating Rate Note, 11/25/16 0.72285 11/25/2016 4,500,000 4,517,335
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 1,147,083 1,147,427
WireCo WorldGroup, Inc., Term Loan, 2/15/17 6.0 02/15/2017 871,420 873,054
Toyota Auto Receivables 2014-C Owner Trust, 0.51%, 2/15/17 0.51 02/15/2017 1,770,000 1,770,197
Citigroup Mortgage Loan Trust, Inc., 6.5%, 6/25/16 6.5 06/25/2016 10,100,000 8,868
Mastr Asset Backed Securities Trust 2005-FRE1, Floating Rate Note, 10/25/35 0.41825 10/25/2035 1,400,000 20,646
RAMP Series 2005-EFC4 Trust, Floating Rate Note, 9/25/35 0.57825 09/25/2035 1,060,000 343,517
RAMP Series 2004-RZ1 Trust, Floating Rate Note, 3/25/34 0.64825 03/25/2034 4,080,000 348,021
BMW Floorplan Master Owner Trust, Floating Rate Note, 9/15/17 (144A) 0.5665 09/15/2017 3,000,000 3,005,165
Pricoa Global Funding I, Floating Rate Note, 5/16/16 (144A) 0.3821 05/16/2016 1,500,000 1,500,974
GE Business Loan Trust 2003-2 REMICS, Floating Rate Note, 11/15/31 (144A) 0.5365 11/15/2031 10,000,000 1,001,319
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/49 0.71825 12/25/2049 2,000,000 266,585
Riverfront Re, Ltd., Floating Rate Note, 1/6/17 (Cat Bond) (144A) 4.015209 01/06/2017 1,000,000 1,003,044
Metropolitan Life Global Funding I, 3.125%, 1/11/16 (144A) 3.125 01/11/2016 690,000 707,765
VFC 2014-2 LLC, 2.75%, 7/20/30 (144A) 2.75 07/20/2030 3,510,000 2,231,289
American Express Credit Account Master Trust, Floating Rate Note, 1/15/20 0.4365 01/15/2020 350,000 349,929
BMW CP ZERO% 05Feb15 USD 0.0 02/05/2015 990,000 989,978
Vericrest Opportunity Loan Transferee 2014-NPL4 LLC, 3.125%, 4/27/54 (Step) (144A) 3.125 04/27/2054 6,000,000 4,897,862
Bayview Opportunity Master Fund IIa Trust 2014-20NPL, Floating Rate Note, 8/28/44 (144A) 3.721 08/28/2044 1,480,000 1,275,017
Federal Farm Credit Banks, Floating Rate Note, 3/23/15 0.30675 03/23/2015 18,770,000 18,777,680
Commonwealth Bank of Australia, Floating Rate Note, 9/18/15 (144A) 1.0426 09/18/2015 1,575,000 1,584,628
Bombardier Recreational Products, Inc., Term B Loan, 1/30/19 4.0 01/30/2019 188,571 184,721
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 1.67125 11/05/2030 2,475,000 2,442,007
American Credit Acceptance Receivables Trust 2014-2, 0.99%, 10/10/17 (144A) 0.99 10/10/2017 3,300,000 1,654,546
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2, 4.78%, 7/15/42 4.78 07/15/2042 3,770,000 3,808,119
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 1.16825 12/25/2023 5,000,000 346,033
AdvancePierre Foods, Inc., Term Loan (First Lien), 7/10/17 5.75 07/10/2017 185,455 184,470
Ownit Mortgage Loan Trust Series 2005-5, Floating Rate Note, 10/25/36 0.45825 10/25/2036 3,827,500 602,243
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 4.75 04/25/2034 12,155,000 585,787
Oscar US Funding Trust 2014-1, 1.0%, 8/15/17 (144A) 1.0 08/15/2017 2,500,000 2,500,911
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 0.76825 05/25/2040 500,000 271,035
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 3.5 04/30/2020 1,457,635 1,441,996
American Credit Acceptance Receivables Trust 2014-3, 0.99%, 8/10/18 (144A) 0.99 08/10/2018 1,420,000 1,026,429
Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16 1.0826 06/17/2016 1,130,000 1,135,238
Merrill Lynch Mortgage Trust 2005-LC1, Floating Rate Note, 1/12/44 5.291 01/12/2044 6,177,508 5,606,741
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 0.62825 03/25/2030 39,366,746 2,306,083
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/40 0.5665 11/15/2040 1,265,000 585,231
Discover Card Execution Note Trust, Floating Rate Note, 3/15/18 0.7465 03/15/2018 6,550,000 6,564,185
Enbridge, Inc., Floating Rate Note, 10/1/16 0.9052 10/01/2016 1,650,000 1,650,378
Volkswagen International Finance NV, 1.625%, 3/22/15 (144A) 1.625 03/22/2015 2,400,000 2,417,603
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/20 0.96825 09/25/2020 13,700,000 31,307
Trimaran CLO V, Ltd., Floating Rate Note, 3/15/18 (144A) 0.6206 03/15/2018 1,500,000 185,827
Citibank Credit Card Issuance Trust, Floating Rate Note, 4/24/17 0.26825 04/24/2017 17,520,000 17,512,067
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 4.275349 04/18/2017 250,000 252,353
Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A) 1.0226 09/16/2016 1,500,000 1,510,342
Mystic Re, Ltd., Floating Rate Note, 3/12/15 (Cat Bond) (144A) 12.015209 03/12/2015 1,500,000 1,575,400
Daimler Finance North America LLC, Floating Rate Note, 8/1/16 (144A) 0.91235 08/01/2016 1,500,000 1,510,950
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 0.6971 03/22/2016 4,300,000 4,297,684
Chase Issuance Trust, 0.47%, 5/15/17 0.47 05/15/2017 200,000 200,044
Sequoia Mortgage Trust 10, Floating Rate Note, 10/20/27 0.928 10/20/2027 6,100,000 115,613
Caterpillar Financial Services Corp., Floating Rate Note, 2/26/16 0.47435 02/26/2016 1,500,000 1,503,566
Jarden Corp., Tranche B1 Term Loan, 9/30/20 2.9205 09/30/2020 987,500 991,696
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 2.35 10/25/2035 2,600,000 636,023
MASTR Adjustable Rate Mortgages Trust 2003-3, Floating Rate Note, 9/25/33 2.04141 09/25/2033 2,650,000 758,249
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 0.66825 05/25/2033 15,932,000 403,564
Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19 4.0 04/23/2019 727,141 704,721
Wachovia Bank Commercial Mortgage Trust Series 2006-C23 REMICS, Floating Rate Note, 1/15/45 5.418 01/15/2045 5,550,000 4,453,901
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 0.61825 02/25/2038 2,184,000 557,907
Bank of Montreal, 0.8%, 11/6/15 0.8 11/06/2015 2,600,000 2,613,532
VOLT XIX LLC, 3.875%, 4/26/55 (Step) 3.875 04/26/2055 1,500,000 1,465,491
Credit Acceptance Auto Loan Trust 2012-2, 2.21%, 9/15/20 (144A) 2.21 09/15/2020 2,000,000 2,014,770
Wesco Aircraft Hardware Corp., Tranche B Term Loan, 2/24/21 3.25 02/24/2021 2,535,000 2,501,728
HSBC USA, Inc., 2.375%, 2/13/15 2.375 02/13/2015 8,014,000 8,107,742
CITADEL PLASTICS HOLDINGS INC 1ST LIEN TLB L + 4.25% 05Nov20 5.25 11/05/2020 1,181,000 1,173,618
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP4, Floating Rate Note, 10/15/42 5.04 10/15/2042 3,950,000 4,002,159
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 0.46825 12/25/2036 3,640,376 3,525,900
RESI Finance LP 2003-CB1, Floating Rate Note, 7/9/35 1.61625 07/09/2035 7,815,000 1,957,169
Castle Garden Funding, Floating Rate Note, 10/27/20 (144A) 0.4936 10/27/2020 7,000,000 1,153,653
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 0.5665 02/15/2033 49,250,000 666,646
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 3.5 09/06/2019 325,731 324,591
Morgan Stanley, Floating Rate Note, 10/15/15 0.7333 10/15/2015 318,000 318,628
Pepper Residential Securities Trust, Floating Rate Note, 7/24/15 (144A) 0.4683 07/24/2015 2,000,000 2,001,122
IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36 0.84825 02/25/2036 3,493,986 545,566
AZ CHEM US INC 1ST LIEN TL-B L + 3.5% 09Jun21 4.5 06/09/2021 1,883,464 1,848,384
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 1.767 02/13/2032 6,150,000 6,143,053
SMHL Global Fund 2007-1, Floating Rate Note, 6/12/40 0.3599 06/12/2040 1,100,000 87,181
Asset Backed Sec Corp Home Equity Loan Tr Series OOMC 2005-HE6, Frn, 7/25/35 0.67825 07/25/2035 1,879,167 1,316,692
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/41 0.5165 12/15/2041 1,000,000 652,131
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 5/1/15 0.3036 05/01/2015 2,720,000 2,720,509
Bear Stearns Asset Backed Securities Trust 2006-1, Floating Rate Note, 2/25/36 0.44825 02/25/2036 32,600,000 926,402
Aegis Asset Backed Securities Trust 2004-6, Floating Rate Note, 3/25/35 0.70825 03/25/2035 5,700,000 177,195
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 2.5665 10/15/2015 1,556,000 1,562,392
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 3.900011 06/07/2017 2,000,000 2,028,000
California Republic Auto Receivables Trust 2013-1, 1.41%, 9/17/18 (144A) 1.41 09/17/2018 500,000 263,112
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 0.75825 11/25/2035 7,825,000 264,032
Adjustable Rate Mortgage Trust 2004-1, Floating Rate Note, 1/25/35 2.39649 01/25/2035 5,000,000 438,679
EquiVantage Home Equity Loan Trust 1997-1, 8.05%, 3/25/28 (Step) 8.05 03/25/2028 1,500,000 26,838
LB-UBS Commercial Mortgage Trust 2005-C7 REMICS, Floating Rate Note, 11/15/30 5.197 11/15/2030 8,161,979 7,411,184
AWAS Finance Luxembourg 2012 SA, Term Loan, 7/16/18 3.5 07/16/2018 386,588 383,660
Bank of Montreal, Floating Rate Note, 9/11/15 0.70885 09/11/2015 2,600,000 2,609,417
Belden Finance 2013 LP, Initial Term Loan, 9/9/20 3.25 09/09/2020 641,875 636,659
East Lane Re, Ltd., Floating Rate Note, 3/13/15 (Cat Bond) (144A) 6.670279 03/13/2015 1,000,000 1,013,481
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 1.00825 11/25/2034 21,976,800 1,116,578
B/E AEROSPACE INC 1ST LIEN TL-B L + 3.25% 21Nov21 0.0 11/21/2021 1,500,000 1,503,862
inVentiv Health, Inc., Term B-3 Loan, 5/15/18 7.75 05/15/2018 66,145 65,566
Volkswagen International Finance NV, 1.15%, 11/20/15 (144A) 1.15 11/20/2015 3,690,000 3,717,225
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 7.265209 07/05/2016 2,250,000 2,352,468
RAMP Series 2004-RS11 Trust, Floating Rate Note, 11/25/34 1.09825 11/25/2034 3,805,000 1,031,509
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 0.61825 06/25/2036 8,454,822 841,926
SVSNY 0.185% 03Feb15 0.185 02/03/2015 2,500,000 2,501,407
Barclays Dryrock Issuance Trust, Floating Rate Note, 12/16/19 0.5265 12/16/2019 1,050,000 1,049,076
Capital One Financial Corp., 1.0%, 11/6/15 1.0 11/06/2015 2,600,000 2,610,769
Fifth Third Auto 2013-1, 0.59%, 3/15/16 0.59 03/15/2016 100,000 6,487
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 8.6325 04/08/2016 1,750,000 1,826,747
HomeBanc Mortgage Trust 2005-2, Floating Rate Note, 5/25/25 0.58825 05/25/2025 45,670,847 1,562,956
Golden Credit Card Trust, Floating Rate Note, 9/15/18 (144A) 0.5965 09/15/2018 715,000 715,655
GSAA Home Equity Trust 2004-8, Floating Rate Note, 9/25/34 0.90825 09/25/2034 7,860,000 256,785
Freddie Mac Strips, Floating Rate Note, 12/15/36 0.5165 12/15/2036 10,968,000 657,312
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/34 0.46825 11/25/2034 9,662,000 693,769
Discover Card Execution Note Trust, 0.86%, 11/15/17 0.86 11/15/2017 1,700,000 1,702,856
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/35 0.4165 01/15/2035 5,669,000 767,312
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 0.36825 01/25/2036 6,155,063 1,066,945
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42 4.99387 08/15/2042 2,670,000 2,723,930
Altria Group, Inc., 4.125%, 9/11/15 4.125 09/11/2015 1,075,000 1,115,834
Vantiv LLC, Term B Loan, 6/12/21 3.75 06/12/2021 958,660 953,659
Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 6.03 06/12/2015 3,550,000 3,627,508
Ship Midco, Ltd., Facility B2A-II, 11/29/19 5.25 11/29/2019 98,939 98,880
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/37 0.71825 10/25/2037 1,030,000 128,516
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 0.47825 02/25/2035 2,497,000 778,412
Mercedes Benz Auto Lease Trust 2014-A, Floating Rate Note, 6/15/16 0.3465 06/15/2016 1,900,000 1,590,248
Impac CMB Trust Series 2004-5, Floating Rate Note, 8/25/34 1.00825 08/25/2034 9,850,000 567,149
AmeriCredit Automobile Receivables Trust 2012-1, 2.67%, 1/8/18 2.67 01/08/2018 800,000 810,579
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 0.4165 08/15/2036 17,556,000 886,168
MUFG Union Bank NA, Floating Rate Note, 9/26/16 1.0046 09/26/2016 6,200,000 6,239,102
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/35 0.4665 04/15/2035 1,775,000 373,647
New York Life Global Funding, 0.75%, 7/24/15 (144A) 0.75 07/24/2015 3,550,000 3,557,876
LB-UBS Commercial Mortgage Trust 2005-C5, 4.954%, 9/15/30 4.954 09/15/2030 8,750,000 5,906,861
Citibank Credit Card Issuance Trust, 4.55%, 6/20/17 4.55 06/20/2017 639,000 652,505
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.38825 04/25/2031 6,464,393 1,109,059
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/31 0.76825 07/25/2031 48,885,770 434,703
The Hertz Corp., Tranche B-1 Term Loan, 3/11/18 4.0 03/11/2018 735,000 732,473
Citibank Credit Card Issuance Trust, Floating Rate Note, 2/7/18 0.408 02/07/2018 9,931,000 9,932,668
The Goodyear Tire & Rubber Co., Loan (Second Lien), 4/30/19 4.75 04/30/2019 800,000 801,000
First Franklin Mortgage Loan Trust Series 2005-FF12, Floating Rate Note, 11/25/36 0.42825 11/25/2036 2,150,000 319,678
Enterprise Fleet Financing LLC, 0.93%, 4/20/18 (144A) 0.93 04/20/2018 1,800,000 1,802,838
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 0.5606 09/13/2016 1,814,000 1,806,464
Telesat Canada, U.S. Term B-2 Loan, 3/28/19 3.5 03/28/2019 660,424 655,471
Bank of Montreal, Floating Rate Note, 7/14/17 0.5028 07/14/2017 2,300,000 2,298,763
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/29 0.5165 05/15/2029 15,000,000 129,374
MassMutual Global Funding II, Floating Rate Note, 12/11/15 (144A) 0.35885 12/11/2015 1,750,000 1,752,200
VOLT NPL X LLC, 3.375%, 10/26/54 (Step) (144A) 3.375 10/26/2054 4,390,000 4,253,196
CWABS Asset-Backed Certificates Trust 2005-1, Floating Rate Note, 2/25/33 5.147 02/25/2033 1,113,000 137,688
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 0.669 06/28/2044 4,088,000 3,860,214
Government National Mortgage Association, 4.0%, 7/20/34 4.0 07/20/2034 31,635,000 1,069,333
Ameriquest Mort Sec Inc Asset Backed Pass Thr Cert 03 AR3, Floating Rate Note, 6/25/33 3.91825 06/25/2033 729,633 369,256
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 0.56825 05/25/2037 32,172,000 1,127,039
RAMP Series 2006-RZ3 Trust, Floating Rate Note, 10/25/35 0.32825 10/25/2035 10,534,000 2,273,391
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 1.11825 07/25/2037 2,130,580 1,075,941
RBS Greenwich Capital Mortgage Loan Trust, Floating Rate Note, 4/15/24 (144A) 5.009609 04/15/2024 1,150,000 1,163,759
Asset-Backed Pass-Through Certificates Series 2004-R2, Floating Rate Note, 4/25/34 0.78825 04/25/2034 24,000,000 1,255,105
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP18, Floating Rate Note, 2/13/42 4.933 02/13/2042 3,975,000 45,682
MUFG 0.15% 11Feb15 0.15 02/11/2015 3,000,000 3,000,070
GLC Trust 2013-1, 3.0%, 7/15/21 (144A) 3.0 07/15/2021 3,200,000 2,511,207
SMART Trust/Australia, Floating Rate Note, 9/14/16 0.6165 09/14/2016 1,785,000 1,091,992
Outfront Media Capital LLC, Term Loan, 1/15/21 3.0 01/15/2021 1,629,423 1,602,605
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 9.015209 06/06/2015 1,750,000 1,811,250
Honda Auto Receivables 2014-1 Owner Trust, 0.41%, 9/21/16 0.41 09/21/2016 2,715,000 2,158,605
CSMC Trust 2014-SURF REMICS, Floating Rate Note, 2/15/29 (144A) 1.9665 02/15/2029 2,400,000 2,399,708
Bank of Nova Scotia Houston, Floating Rate Note, 10/23/15 0.5071 10/23/2015 1,000,000 1,001,442
RALI Series 2004-QR1 Trust, 5.25%, 10/25/34 5.25 10/25/2034 66,901,390 969,233
Westpac Banking Corp., Floating Rate Note, 7/28/15 0.5561 07/28/2015 1,000,000 1,000,209
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 3.75 06/30/2019 1,470,118 1,301,843
Federal Farm Credit Banks, 0.39%, 4/25/16 0.39 04/25/2016 2,133,000 2,134,998
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/35 0.46825 12/25/2035 3,750,000 381,307
Government National Mortgage Association, Floating Rate Note, 10/20/38 0.568 10/20/2038 3,000,000 974,700
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 2.41825 03/25/2032 1,000,000 311,769
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 0.31825 05/25/2036 3,004,334 758,991
VOLT XXXI LLC, 3.375%, 2/25/55 (Step) (144A) 3.375 02/25/2055 3,000,000 3,020,736
Sinclair Television Group, Inc., New Tranche B Term Loan, 4/19/20 3.0 04/19/2020 1,334,952 1,301,578
World Omni Automobile Lease Securitization Trust 2014-A, Floating Rate Note, 3/15/17 0.3765 03/15/2017 2,500,000 2,496,685
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 2.5 03/20/2025 350,000 131,650
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 1.4665 03/16/2026 1,460,000 1,460,811
Booz Allen Hamilton, Inc., Refinance Tranche B, 7/31/19 3.75 07/31/2019 1,358,137 1,357,077
KINDRED HEALTHCARE 1ST LIEN TL-B L + 3% 10Apr21 4.0 04/10/2021 714,174 705,247
AECOM TECHNOLOGY CORP 1ST LIEN TL-B L + 3% 17Sep21 3.75 09/17/2021 287,912 288,632
Government National Mortgage Association, Floating Rate Note, 4/16/32 0.71825 04/16/2032 13,425,000 243,047
GSAA Home Equity Trust 2004-11, Floating Rate Note, 12/25/34 0.82825 12/25/2034 5,735,000 302,965
Lockwood Grove CLO, Ltd., Floating Rate Note, 1/25/24 (144A) 0.0 01/25/2024 2,500,000 2,503,338
Federal National Mortgage Association REMICS, 6.0%, 3/25/35 6.0 03/25/2035 1,000,000 3,537
Santander Drive Auto Receivables Trust 2011-2, 3.28%, 6/15/16 3.28 06/15/2016 2,265,000 509,575
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 11/10/16 (Cat Bond) (144A) 11.7874 11/10/2016 500,000 534,175
Quest Trust REMICS, Floating Rate Note, 3/25/34 (144A) 0.82825 03/25/2034 95,089,092 3,657,887
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3 REMICS, Floating Rate Note, 8/15/42 4.936 08/15/2042 8,585,000 7,363,061
Motor 2013-1 Plc, Floating Rate Note, 2/25/21 (144A) 0.66825 02/25/2021 2,946,000 737,234
Foresight Energy LLC, Term Loan, 8/21/20 5.5 08/21/2020 221,862 214,097
Valeant Pharmaceuticals International, Inc., Series D2 Term Loan B, 2/13/19 3.5 02/13/2019 213,198 212,082
Queen Street V Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 8.50507 04/09/2015 1,750,000 1,778,427
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 10/10/45 5.115 10/10/2045 8,970,000 7,897,071
Ameriquest Mort Sec Inc Asset-Backed Pass-Through Ctfs Ser 2005-R5, Frn, 7/25/35 0.59825 07/25/2035 84,000 73,371
Fly Funding II Sarl, Loan, 8/8/18 4.5 08/08/2018 1,566,924 1,563,497
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 2.49761 05/25/2033 42,906,215 1,248,178
Discover Card Execution Note Trust, 0.69%, 8/15/18 0.69 08/15/2018 3,125,000 3,127,723
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 0.47825 11/25/2035 21,900,000 4,056,068
Duke Energy Ohio, Inc., Floating Rate Note, 3/6/15 0.37535 03/06/2015 725,000 725,378
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 0.46825 07/25/2035 9,145,238 1,957,081
JP Morgan Chase Commercial Mortgage Securities Trust 2014-CBM, Floating Rate Note, 10/15/29 (144A) 1.5665 10/15/2029 4,280,000 4,253,651
Cabelas Credit Card Master Note Trust, Floating Rate Note, 3/16/20 0.5165 03/16/2020 900,000 900,052
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 2.7576 01/15/2017 1,500,000 1,521,188
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 0.66825 06/25/2035 5,850,460 2,002,855
United Airlines, Inc., Class B Term Loan, 4/1/19 3.5 04/01/2019 245,625 243,885
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 0.4665 04/15/2022 1,105,112 1,096,073
Tempur Sealy International, Inc., New Term B Loan, 3/18/20 3.5 03/18/2020 425,614 420,294
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 1.24825 03/25/2035 1,457,000 513,669
Big Heart Pet Brands, Initial Term Loan, 2/24/20 3.5 02/24/2020 478,256 462,010
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 3.5 10/18/2018 735,000 728,454
Barclays Dryrock Issuance Trust, Floating Rate Note, 7/16/18 0.5065 07/16/2018 200,000 200,124
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 0.46825 03/25/2036 700,000 112,884
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 1.16825 03/25/2037 2,300,000 240,965
Navitas Equipment Receivables LLC 2013-1, 1.95%, 11/15/16 1.95 11/15/2016 1,750,000 768,991
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 0.7665 02/15/2019 3,490,000 3,498,561
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 0.6665 07/15/2036 15,317,285 1,175,346
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 2.4 11/17/2025 1,400,000 529,174
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34 1.18825 11/25/2034 3,500,000 219,709
Adjustable Rate Mortgage Trust 2005-2, Floating Rate Note, 6/25/35 0.94825 06/25/2035 2,260,122 1,646,010
Apple, Inc., Floating Rate Note, 5/3/16 0.28235 05/03/2016 1,500,000 1,501,047
Calpine Construction Finance Co LP, Term B-1 Loan, 5/3/20 3.0 05/03/2020 1,182,000 1,147,722
Honda Auto Receivables 2013-1 Owner Trust, 0.48%, 11/21/16 0.48 11/21/2016 390,000 245,610
Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 (144A) 1.21825 04/15/2032 4,920,000 4,896,986
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 2.106097 11/19/2026 2,250,000 849,846
Park Place Sec Inc Asset-Backed Pass-Through Cert Series 2004-MCW, Frn, 10/25/34 1.10575 10/25/2034 1,150,000 450,437
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 6/20/17 1.068 06/20/2017 500,000 500,329
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/33 0.56825 08/25/2033 485,000 16,950
DigitalGlobe, Inc., Term Loan, 1/31/20 3.75 01/31/2020 875,040 872,437
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/31 0.66825 08/25/2031 17,600,000 212,421
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 0.66825 03/25/2024 14,460,650 559,479
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 0.51825 05/25/2036 23,900,354 687,389
National Australia Bank, Ltd., Floating Rate Note, 3/17/17 (144A) 0.6126 03/17/2017 1,950,000 1,955,954
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 0.5665 03/15/2041 13,046,000 2,858,856
Arysta Lifescience SPC LLC, Initial Term Loan (First Lien), 5/29/20 4.5 05/29/2020 2,341,473 2,337,570
State Street Bank & Trust Co., Floating Rate Note, 12/8/15 0.43535 12/08/2015 4,940,000 4,938,868
American Airlines, Inc., Class B Term Loan, 6/27/19 3.75 06/27/2019 2,511,750 2,498,930
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 0.35825 01/25/2036 23,055,603 2,583,033
John Deere Owner Trust 2013-B, 0.55%, 1/15/16 0.55 01/15/2016 100,000 10,345
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36 0.71825 08/25/2036 4,450,000 264,869
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 3.4576 01/15/2017 500,000 509,618
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2 REMICS, 4.738%, 7/15/42 4.738 07/15/2042 3,175,000 3,007,081
Royal Bank of Canada, Floating Rate Note, 12/16/15 0.46285 12/16/2015 1,800,000 1,803,971
Federal Farm Credit Banks, Floating Rate Note, 10/26/15 0.15 10/26/2015 2,560,000 2,560,544
World Financial Network Credit Card Master Trust, 3.96%, 4/15/19 3.96 04/15/2019 350,000 355,038
Axalta Coating Systems US Holdings, Inc., Refinanced Term B Loan, 2/1/20 4.0 02/01/2020 1,024,204 1,004,600
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 0.4779 02/22/2021 2,250,000 1,184,880
Fresenius US Finance I, Inc., Tranche B Term Loan, 8/7/19 2.211 08/07/2019 1,481,250 1,475,695
Government National Mortgage Association, Floating Rate Note, 10/16/39 0.84825 10/16/2039 2,500,000 368,999
CDGJ Commercial Mortgage Trust 2014-BXCH, Floating Rate Note, 12/15/27 (144A) 2.6665 12/15/2027 4,860,000 4,869,045
Commonwealth Bank of Australia, Floating Rate Note, 12/4/15 (144A) 0.4446 12/04/2015 1,800,000 1,803,677
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.5265 11/15/2018 500,000 161,503
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/36 0.4665 03/15/2036 5,000,000 1,100,463
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A) 9.0375 03/16/2016 250,000 267,125
Ameriquest Mor Sec Inc Asset-Backed Pass-Through Ctfs Ser 2005-R10, Frn, 12/25/35 0.38825 12/25/2035 15,705,000 664,398
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/32 0.86825 01/25/2032 30,000,000 403,475
Chemtura Corp., New Term Loan, 8/29/16 3.5 08/29/2016 146,428 146,489
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1.24825 03/25/2035 1,150,000 393,195
Ameriquest Mortg Sec Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, FRN, 3/25/35 0.84325 03/25/2035 2,757,237 1,351,114
Morgan Stanley Structured Trust, Floating Rate Note, 6/25/37 0.24825 06/25/2037 2,400,000 268,029
Home Equity Asset Trust 2005-6, Floating Rate Note, 12/25/35 0.63825 12/25/2035 3,404,000 2,835,078
Fremont Home Loan Trust 2005-B, Floating Rate Note, 4/25/35 0.81325 04/25/2035 2,750,000 612,885
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 5.167 06/10/2044 6,607,413 6,724,217
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/37 0.56825 07/25/2037 1,942,360 289,099
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 1.51825 06/25/2033 1,826,298 1,083,503
GE Business Loan Trust 2004-2, Floating Rate Note, 12/15/32 (144A) 0.3865 12/15/2032 9,937,438 1,384,816
Ally Auto Receivables Trust 2013-2, Floating Rate Note, 7/15/16