Pioneer Investments: Pioneer Multi-Asset Ultrashort Income Fund


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Pioneer Multi-Asset Ultrashort Income Fund

Monthly Portfolio Holdings as of 5/29/2015

Security Name Coupon Maturity Date Par / Shares Market Value($)
GSAA Trust, Floating Rate Note, 6/25/35 0.9798 06/25/2035 6,300,000 1,306,694
BCC Funding VIII LLC, 1.794%, 6/22/20 (144A) 1.794 06/22/2020 2,000,000 964,431
RASC Series 2005-KS5 Trust, Floating Rate Note, 6/25/35 0.9048 06/25/2035 1,500,000 479,148
SNAAC Auto Receivables Trust, 4.38%, 6/15/17 (144A) 4.38 06/15/2017 1,800,000 370,270
Texas Competitive Electric Holdings Co LLC, DIP Delayed Draw Term Loan (2014), 5/5/16 3.75 05/05/2016 0 0
Chase Issuance Trust, 0.54%, 10/16/17 0.54 10/16/2017 1,001,000 1,001,301
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 0.6348 06/25/2036 4,868,753 3,073,363
Nissan Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 0.4556 01/15/2016 760,000 42,060
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/45 0.4048 03/25/2045 12,700,000 1,822,029
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 2.7576 01/15/2017 1,500,000 1,527,971
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 3.25 03/31/2021 595,500 594,135
Four Seasons Holdings, Inc., Term Loan (First Lien) 2013, 6/27/20 3.5 06/27/2020 489,865 492,008
Capital Auto Receivables Asset Trust 2013-1, 1.74%, 10/22/18 1.74 10/22/2018 3,200,000 3,214,276
Tribune Media Co., Initial Term Loan, 11/20/20 4.0 11/20/2020 2,116,251 2,121,806
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 3.25 12/19/2020 1,574,100 1,577,051
inVentiv Health, Inc., Term B-3 Loan, 5/15/18 7.75 05/15/2018 66,145 66,201
Alternative Loan Trust 2004-J13, Floating Rate Note, 2/25/35 1.0848 02/25/2035 1,000,000 970,172
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 1.0248 11/25/2034 21,976,800 1,053,870
Bear Stearns ARM Trust 2005-5, Floating Rate Note, 8/25/35 2.16 08/25/2035 5,635,000 532,809
CHS, Incremental 2021 Term H Loan, 1/27/21 4.0 01/27/2021 46,301 46,496
Honda Auto Receivables 2014-1 Owner Trust, 0.41%, 9/21/16 0.41 09/21/2016 2,715,000 1,255,858
FCI - FIDJI LUXEMBOURG BC4 SARL, Term Loan, 12/19/20 6.25 12/19/2020 1,317,434 1,319,080
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 0.4548 09/25/2035 38,687,000 2,822,222
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 0.6656 06/15/2030 34,427,303 1,819,799
Caterpillar Financial Services Corp., Floating Rate Note, 2/26/16 0.522 02/26/2016 1,500,000 1,502,742
Valeant Pharmaceuticals International, Inc., Series E1 Tranche B Term Loan, 8/5/20 3.5 08/05/2020 1,313,724 1,315,038
City Center Trust 2011-CCHP, Floating Rate Note, 7/17/28 (144A) 4.65 07/17/2028 950,000 953,767
GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34 0.9648 06/25/2034 52,357,062 1,204,310
KeyBank NA Cleveland Ohio, Floating Rate Note, 11/25/16 0.772 11/25/2016 4,500,000 4,507,888
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 3.9669 08/25/2053 5,300,000 3,378,074
Ziggo Bv Us 1st Lien Tl-B1 L + 2.75% 15jan22 3.5 01/15/2022 1,072,383 1,070,172
Crusade Global Trust No. 1 of 2006, Floating Rate Note, 7/20/38 (144A) 0.3351 07/20/2038 1,200,000 125,713
Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 6.015 06/12/2015 3,550,000 3,597,570
JP Morgan Chase Commercial Mortgage Securities Trust 2014-CBM, Floating Rate Note, 10/15/29 (144A) 1.586 10/15/2029 4,280,000 4,282,827
Prestige Auto Receivables Trust 2014-1, 0.97%, 3/15/18 (144A) 0.97 03/15/2018 2,395,000 1,268,857
AmeriCredit Automobile Receivables Trust 2013-2, 0.65%, 12/8/17 0.65 12/08/2017 485,000 328,962
The Hertz Corp., Tranche B-1 Term Loan, 3/11/18 4.0 03/11/2018 733,125 735,141
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/23 0.6356 06/15/2023 6,500,000 89,252
Capital One Multi-Asset Execution Trust, Floating Rate Note, 6/17/19 0.2756 06/17/2019 5,470,000 5,461,449
Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A) 0.497 04/25/2022 2,000,000 1,295,513
Albertsons LLC, Term B-2 Loan, 3/21/19 5.375 03/21/2019 1,503,474 1,513,435
American Honda Finance Corp., Floating Rate Note, 12/11/17 0.5766 12/11/2017 2,570,000 2,579,700
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 0.467 01/27/2017 1,900,000 1,898,174
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 1.0848 12/25/2031 30,500,000 914,494
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/32 0.6848 09/25/2032 20,000,000 347,223
Morgan Stanley Capital I Trust 2005-IQ10, Floating Rate Note, 9/15/42 5.23 09/15/2042 2,910,000 401,620
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 0.4848 12/25/2036 3,640,376 3,528,327
Par Pharmaceutical Cos Inc 1st Lien Tl-B3 L + 3.25% 28sep19 4.25 09/28/2019 498,750 500,724
Ally Auto Receivables Trust 2014-SN1, Floating Rate Note, 10/20/16 0.384 10/20/2016 1,800,000 804,981
Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/17/26 (144A) 1.936 08/17/2026 1,375,000 1,376,109
Unifrax I LLC, New Term B Dollar Loan, 11/28/18 4.25 11/28/2018 974,189 974,189
Bank of America Corp., Floating Rate Note, 3/22/16 1.0846 03/22/2016 6,000,000 6,033,097
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 1.1834 11/18/2032 105,671,000 1,821,436
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 3/25/32 (144A) 1.3098 03/25/2032 6,512,459 891,386
Allison Transmission, Inc., Term B-3 Loan, 8/23/19 3.5 08/23/2019 771,279 776,196
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33 0.6848 09/25/2033 19,984,406 1,940,256
Volkswagen Group of America Finance LLC, Floating Rate Note, 5/23/16 (144A) 0.502 05/23/2016 1,900,000 1,901,344
Telesat Canada, U.S. Term B-2 Loan, 3/28/19 3.5 03/28/2019 658,744 658,875
Government National Mortgage Association, 4.0%, 7/20/34 4.0 07/20/2034 31,635,000 788,571
Bayview Opportunity Master Fund Trust IIIa 2014-12RPL, 3.6225%, 7/28/19 (Step) (144A) 3.6225 07/28/2019 2,450,000 1,224,791
Harley-Davidson Motorcycle Trust 2012-1, 0.68%, 4/17/17 0.68 04/17/2017 2,700,000 236,433
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 2,375,100 2,391,251
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R5, Floating Rate Note, 7 0.6148 07/25/2035 84,000 62,414
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 0.3748 01/25/2036 23,055,603 2,038,026
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 0.8248 09/25/2034 49,152,075 1,965,564
RAMP Series 2005-EFC4 Trust, Floating Rate Note, 9/25/35 0.5948 09/25/2035 12,260,000 2,506,328
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 1.1348 07/25/2037 2,130,580 965,102
Harch CLO III, Ltd., Floating Rate Note, 4/17/20 (144A) 2.029 04/17/2020 500,000 489,906
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 2.125 09/15/2015 551,000 555,725
Banc of America Mortgage 2003-A Trust, Floating Rate Note, 2/25/33 3.1312 02/25/2033 10,560,000 101,101
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 0.5848 07/25/2035 1,110,000 1,086,083
LG&E and KU Energy LLC, 2.125%, 11/15/15 2.125 11/15/2015 2,500,000 2,514,564
Permanent Master Issuer Plc, Floating Rate Note, 7/15/42 (144A) 1.8753 07/15/2042 887,000 890,351
McKesson Corp., 3.25%, 3/1/16 3.25 03/01/2016 2,500,000 2,564,437
Intelsat Jackson Holdings SA, Tranche B-2 Term Loan, 6/30/19 3.75 06/30/2019 521,732 520,624
New York Life Global Funding, 0.75%, 7/24/15 (144A) 0.75 07/24/2015 3,550,000 3,561,506
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 2.7703 01/09/2017 1,000,000 1,022,631
VFC 2015-3 LLC, 2.75%, 12/20/31 (144A) 2.75 12/20/2031 2,000,000 1,817,030
Allied Security Holdings LLC, Closing Date Term Loan (First Lien), 2/12/21 4.25 02/12/2021 512,124 513,485
Bear Stearns Asset Backed Securities Trust 2006-1, Floating Rate Note, 2/25/36 0.4648 02/25/2036 32,600,000 780,056
Tower Automotive Holdings USA LLC, Refinancing Term Loan, 4/23/20 4.0 04/23/2020 188,451 189,157
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 2.75 01/23/2021 803,903 805,626
East Lane Re VI, Ltd., Floating Rate Note, 3/13/20 (Cat Bond) (144A) 3.75 03/13/2020 1,450,000 1,427,090
COMM 2014-KYO Mortgage Trust, Floating Rate Note, 6/11/27 (144A) 1.832 06/11/2027 5,740,000 5,736,022
Government National Mortgage Association, Floating Rate Note, 10/16/39 0.8634 10/16/2039 2,500,000 337,695
EQTY 2014-INNS Mortgage Trust REMICS, Floating Rate Note, 5/8/31 (144A) 1.781 05/08/2031 1,850,000 1,835,983
Toyota Auto Receivables 2014-C Owner Trust, 0.51%, 2/15/17 0.51 02/15/2017 1,770,000 1,770,474
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 0.8056 10/15/2037 9,195,000 580,597
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 1/15/24 4.0 01/15/2024 1,801,000 11,693
Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37 0.3348 03/25/2037 1,000,000 488,596
Callidus Debt Partners Clo Fund VI, Ltd., Floating Rate Note, 10/23/21 (144A) 0.5373 10/23/2021 3,500,000 3,055,431
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.4348 06/25/2037 3,590,000 306,468
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 0.6848 05/25/2040 8,500,000 1,117,069
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/32 0.8848 01/25/2032 30,000,000 367,214
Lockwood Grove CLO, Ltd., Floating Rate Note, 1/25/24 (144A)   01/25/2024 2,500,000 2,513,738
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 0.3556 04/16/2035 5,387,273 2,036,635
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR10, Floating Rate Note, 12/11/40 5.405 12/11/2040 4,250,000 3,174,690
Colony American Homes 2014-2, Floating Rate Note, 7/19/31 (144A) 2.0856 07/19/2031 2,100,000 2,109,971
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-4, 5.0%, 7/25/20 5.0 07/25/2020 486,000 11,927
Federal Home Loan Mortgage Corp., Floating Rate Note, 6/26/15 0.1748 06/26/2015 2,000,000 2,000,071
CarMax Auto Owner Trust 2015-2, Floating Rate Note, 6/15/18 0.4603 06/15/2018 2,500,000 2,500,574
Ford Credit Auto Owner Trust 2015-A, Floating Rate Note, 1/15/18 0.4356 01/15/2018 2,500,000 2,500,484
Cabela's Credit Card Master Note Trust, Floating Rate Note, 2/18/20 (144A) 0.7156 02/18/2020 2,150,000 2,155,491
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 0.7448 01/25/2030 64,515,401 2,524,265
Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Floating Rate Note, 5/15/43 5.7124 05/15/2043 4,240,000 3,493,545
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 0.5348 08/25/2036 4,987,000 920,539
Waste Industries Usa Inc 1st Lien Tl-B L + 3.25% 20feb20 4.25 02/20/2020 150,000 151,406
AmeriCredit Automobile Receivables Trust 2015-2, Floating Rate Note, 9/10/18 0.5803 09/10/2018 2,125,000 2,125,779
Georgia Power Co., Floating Rate Note, 3/15/16 0.5906 03/15/2016 1,090,000 1,090,982
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 10/27/36 (144A) 0.4548 10/27/2036 2,010,000 148,400
Chase Issuance Trust, 0.79%, 6/15/17 0.79 06/15/2017 8,755,000 8,759,186
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 0.4948 11/25/2035 25,178,000 4,402,125
Ford Motor Credit Co LLC, Floating Rate Note, 1/9/18 1.2138 01/09/2018 2,600,000 2,617,068
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 0.4956 06/15/2036 52,250,000 1,961,216
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 3.5 08/17/2020 766,330 768,080
321 Henderson Receivables I LLC, Floating Rate Note, 12/15/41 (144A) 0.3856 12/15/2041 10,869,000 3,537,648
Hyundai Auto Receivables Trust 2012-A, 0.95%, 12/15/16 0.95 12/15/2016 3,878,000 1,411,842
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 0.5848 07/25/2018 7,302,000 171,670
HLSS Servicer Advance Receivables Trust, 1.4953%, 1/16/46 (144A) 1.4953 01/16/2046 5,600,000 5,597,889
Ally Master Owner Trust, Floating Rate Note, 8/15/17 1.2556 08/15/2017 3,000,000 3,006,898
Altrl Zero% 30jun17 0.0 06/30/2017 1,000,000 1,024,700
MCC Iowa LLC, Tranche G Term Loan, 1/20/20 4.0 01/20/2020 731,250 733,992
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 1.786 02/13/2032 6,150,000 6,157,227
WMG Acquisition Corp., Tranche B Refinancing Term Loan, 7/1/20 3.75 07/01/2020 1,083,500 1,077,134
Altice Financing SA, 7.875%, 12/15/19 (144A) 7.875 12/15/2019 1,250,000 1,371,680
RAMP Series 2004-RS11 Trust, Floating Rate Note, 11/25/34 1.1148 11/25/2034 3,805,000 906,491
Kane Flt% 14jul15 0.0 07/14/2015 1,528,080 1,516,925
HSBC Bank Middle East, Ltd., 3.0%, 10/21/15 3.0 10/21/2015 1,000,000 1,009,450
NEP, Amendment No. 4 Incremental Term Loan (First Lien), 1/22/20 4.25 01/22/2020 612,574 608,899
17079z Zero% 31mar18 0.0 03/31/2018 750,000 758,475
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 2.6598 12/25/2034 2,000,000 159,700
Conseco Finance Corp., Floating Rate Note, 11/17/31 1.536 11/17/2031 1,750,000 287,123
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/25 0.4856 02/15/2025 2,142,856 381,678
General Electric Capital Corp., Floating Rate Note, 7/2/15 1.3008 07/02/2015 2,793,000 2,801,121
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 0.5231 09/30/2016 1,795,000 1,797,496
US Bank NA Cincinnati Ohio, Floating Rate Note, 4/22/16 0.396 04/22/2016 2,000,000 2,002,492
Kane Flt% 12jun15   06/12/2015 2,000,000 1,998,600
Structured Asset Securities Corp Mortgage Loan Trust 2006-EQ1, Floating Rate Note, 7/25/36 0.3348 07/25/2036 5,000,000 2,466,793
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 0.7356 02/15/2033 15,000,000 384,388
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 1.681 11/05/2030 2,475,000 2,441,873
NCF Dealer Floorplan Master Trust, Floating Rate Note, 10/20/20 (144A) 1.6806 10/20/2020 3,000,000 3,001,397
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 3.75 06/30/2019 1,110,204 1,007,356
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 4.0 11/08/2020 317,738 317,738
Progress Residential 2015-SFR1 Trust, Floating Rate Note, 2/20/32 (144A) 2.5856 02/20/2032 3,000,000 3,038,671
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2.3972 03/25/2034 3,865,000 529,180
Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A) 0.5206 06/15/2020 2,000,000 669,862
ZIGGO BV, (USD) TLB3, 1/15/22 3.5 01/15/2022 1,136,553 1,134,210
GS Mortgage Securities Trust 2014-GSFL, Floating Rate Note, 7/15/31 (144A) 1.9356 07/15/2031 2,000,000 2,005,442
Syncreon Group BV, Term Loan, 9/26/20 5.25 09/26/2020 197,500 177,627
The Goldman Sachs Group, Inc., Floating Rate Note, 5/22/17 0.9535 05/22/2017 2,465,000 2,465,936
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-WF1, 4.786%, 3/25/35 4.786 03/25/2035 735,000 35,351
Government National Mortgage Association, Floating Rate Note, 4/16/32 0.7334 04/16/2032 13,425,000 231,386
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/31 1.1356 10/15/2031 1,750,000 102,895
Federal Home Loan Banks, Floating Rate Note, 10/1/15 0.21 10/01/2015 10,000,000 10,004,932
Home Equity Asset Trust 2005-6, Floating Rate Note, 12/25/35 0.6548 12/25/2035 4,004,000 2,877,085
BioScrip, Inc., Delayed Draw Term Loan, 7/31/20 6.5 07/31/2020 328,915 326,859
Anheuser-Busch InBev Finance, Inc., 0.8%, 1/15/16 0.8 01/15/2016 3,700,000 3,719,111
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 0.4648 09/25/2035 13,780,000 1,068,884
Impac CMB Trust Series 2003-8, Floating Rate Note, 10/25/33 1.0848 10/25/2033 8,000,000 467,649
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 10/25/24 1.5848 10/25/2024 2,480,000 1,468,083
Exeter Automobile Receivables Trust 2015-2, 1.54%, 11/15/19 (144A) 1.54 11/15/2019 2,600,000 2,595,647
United Airlines, Inc., Class B Term Loan, 4/1/19 3.5 04/01/2019 245,000 245,796
ARI Fleet Lease Trust 2012-A, Floating Rate Note, 3/15/20 (144A) 0.7356 03/15/2020 2,070,000 241,653
NovaStar Mortgage Funding Trust Series 2003-1, Floating Rate Note, 5/25/33 0.9648 05/25/2033 19,881,000 405,683
The Goldman Sachs Group, Inc., 3.7%, 8/1/15 3.7 08/01/2015 2,400,000 2,440,957
Alterna Funding I LLC, 1.639%, 2/15/21 (144A) 1.639 02/15/2021 1,400,000 1,002,499
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 7/25/34 0.5548 07/25/2034 20,600,000 2,220,319
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/33 1.6803 05/15/2033 3,500,000 382,683
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1.4445 05/27/2016 1,800,000 1,805,401
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 3 0.8598 03/25/2035 2,757,237 1,173,591
Bear Stearns ALT-A Trust 2004-8, Floating Rate Note, 9/25/34 0.8848 09/25/2034 14,600,000 895,391
Dynegy, Inc., Tranche B-2 Term Loan, 4/23/20 4.0 04/23/2020 453,462 456,390
American Airlines 1st Lien Tl-B L + 2.75% 27jun20 3.5 06/27/2020 2,505,375 2,508,507
MetroCat Re, Ltd., Floating Rate Note, 8/5/16 (Cat Bond) (144A) 4.5152 08/05/2016 1,250,000 1,264,906
Nissan Auto Receivables 2013-A Owner Trust, 0.5%, 5/15/17 0.5 05/15/2017 3,400,000 1,375,592
Multi Packaging Solutions, Inc., Initial Dollar Tranche B Term, 9/30/20 4.25 09/30/2020 173,250 172,961
Federal National Mortgage Association, Floating Rate Note, 12/25/33 0.4848 12/25/2033 25,758,805 6,909,400
Truven Health Analytics, Inc., New Tranche B Term Loan, 6/6/19 4.5 06/06/2019 340,427 341,168
GRIFOLS WORLDWIDE OPERATIONS USA INC, U.S. Tranche B Term Loam, 4/1/21 3.1854 04/01/2021 519,750 521,758
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 0.3548 08/25/2036 1,250,000 272,975
Chesapeake Funding LLC, Floating Rate Note, 4/7/24 (144A) 1.4305 04/07/2024 2,050,000 829,916
America Movil SAB de CV, Floating Rate Note, 9/12/16 1.2677 09/12/2016 1,500,000 1,508,518
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.5356 11/15/2036 2,850,000 434,728
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.5356 12/15/2032 15,400,000 222,397
San Diego Gas & Electric Co., Floating Rate Note, 3/9/17 0.4677 03/09/2017 2,500,000 2,500,331
AXIS Equipment Finance Receivables II LLC, 1.75%, 6/20/16 1.75 06/20/2016 1,000,000 352,794
First Investors Auto Owner Trust 2014-3, 1.06%, 11/15/18 (144A) 1.06 11/15/2018 2,000,000 1,911,080
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-AR3, Floating Rate Note, 3.9348 06/25/2033 729,633 299,182
NCUA Guaranteed Notes Trust, Floating Rate Note, 12/8/20 0.736 12/08/2020 410,000 272,540
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 0.9451 07/19/2016 1,500,000 1,506,564
Envision Healthcare Corp., Initial Term Loan, 5/25/18 4.0 05/25/2018 1,245,860 1,250,012
PepsiCo, Inc., Floating Rate Note, 2/26/16 0.492 02/26/2016 3,460,000 3,465,050
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 0.5548 09/25/2035 8,206,169 2,086,790
CPS Auto Trust, 1.48%, 3/16/20 (144A) 1.48 03/16/2020 1,060,000 323,978
Morgan Stanley Structured Trust, Floating Rate Note, 6/25/37 0.2648 06/25/2037 2,400,000 221,011
General Electric Capital Corp., Floating Rate Note, 7/12/16 0.9259 07/12/2016 1,001,000 1,009,343
Scientific Games International Inc 1st Lien Tl-B2 L + 5% 17sep21 6.0 09/17/2021 1,995,000 2,005,599
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5.46 09/10/2045 3,590,000 3,679,396
Exeter Automobile Receivables Trust 2012-2, 3.06%, 7/16/18 (144A) 3.06 07/16/2018 1,000,000 1,004,687
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 6/15/28 3.5 06/15/2028 5,381,000 396,632
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/33 0.5856 06/15/2033 10,000,000 500,583
Statoil ASA, Floating Rate Note, 11/9/17 0.4789 11/09/2017 2,140,000 2,135,167
CCG Receivables Truste 2013-1, 1.05%, 4/14/20 (144A) 1.05 04/14/2020 900,000 270,144
JOHN DEERE CAPITAL Corp., Floating Rate Note, 2/25/16 0.382 02/25/2016 2,883,000 2,884,764
BAMLL Commercial Mortgage Securities Trust 2014-INLD REMICS, Floating Rate Note, 12/17/29 (144A) 2.7856 12/17/2029 3,490,000 3,515,645
SMART ABS Series 2014-1US Trust, Floating Rate Note, 7/14/16 0.4856 07/14/2016 2,500,000 866,816
Bank of Montreal, Floating Rate Note, 9/24/15 0.5168 09/24/2015 2,600,000 2,604,360
Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44 1.85 12/25/2044 4,235,000 594,051
Nissan Auto Receivables 2012-A Owner Trust, 0.73%, 5/16/16 0.73 05/16/2016 55,000 1,134
RegionalCare Hospital Partners, Inc., Term Loan (First Lien), 4/21/19 5.25 04/21/2019 490,059 489,447
Symphony CLO, Ltd., Floating Rate Note, 7/23/23 (144A)   07/23/2023 3,050,000 3,052,704
Credit Suisse Commercial Mortgage Trust Series 2006-C1, Floating Rate Note, 2/15/39 5.4554 02/15/2039 5,802,000 5,429,757
WideOpenWest Finance LLC, Replacement Term B Loan, 4/1/19 4.5 04/01/2019 219,747 220,091
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/28/36 (144A) 0.0 05/28/2036 1,084,000 759,533
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 0.3313 05/25/2036 3,004,334 709,606
Pangaea Zero% 01jul18 0.0 07/01/2018 2,300,000 2,546,560
Westgate Resorts LLC, 9.5%, 2/20/25 (144A) 9.5 02/20/2025 5,000,000 1,273,288
Government National Mortgage Association II, Floating Rate Note, 1/20/22 1.75 01/20/2022 1,000,000 11,595
AT&T, Inc., 2.5%, 8/15/15 2.5 08/15/2015 3,119,000 3,150,863
Michaels Stores, Inc., Term B Loan, 1/28/20 3.75 01/28/2020 980,000 983,063
Eco Services Operations Llc 1st Lien Tl-B L + 3.75% 10oct21 4.75 10/10/2021 971,197 971,197
On Assignment, Inc., Initial Term B Loan, 5/15/20 3.5 05/15/2020 1,037,113 1,038,409
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 1.486 03/16/2026 1,460,000 1,459,293
Daimler Finance North America LLC, 1.3%, 7/31/15 (144A) 1.3 07/31/2015 5,100,000 5,128,858
Terra-Gen Power Llc 1st Lien Tl-B L + 4.25% 31dec21 5.25 12/31/2021 1,329,429 1,337,738
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 2.4432 07/25/2033 8,050,000 939,221
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 0.7348 10/25/2017 5,500,000 69,694
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 0.6299 03/13/2017 2,000,000 2,003,760
SunTrust Bank, Floating Rate Note, 2/15/17 0.7139 02/15/2017 3,645,000 3,642,177
Truman Capital Mortgage Loan Trust, Floating Rate Note, 1/25/34 1.8848 01/25/2034 925,000 777,645
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38 1.4048 10/25/2038 6,344,000 610,129
Discover Card Execution Note Trust, Floating Rate Note, 10/15/18 0.3656 10/15/2018 3,915,000 3,915,248
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/32 1.1856 03/15/2032 54,102,000 571,777
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 0.6146 03/10/2017 1,500,000 1,503,378
Mpg Holdco I Inc 1st Lien Tl-B L + 3.5% 13oct21 3.75 10/13/2021 1,299,801 1,304,393
General Electric Capital Corp., 1.625%, 7/2/15 1.625 07/02/2015 1,000,000 1,007,785
Calpine Corp., Term Loan (10/12), 10/9/19 4.0 10/09/2019 756,297 758,713
Voya CLO, Ltd., Floating Rate Note, 10/15/22 (144A) 1.5953 10/15/2022 3,000,000 3,006,175
Option One Mortgage Loan Trust 2007-FXD2, 5.9%, 3/25/37 (Step) 5.9 03/25/2037 810,000 37,850
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/40 0.5856 11/15/2040 1,265,000 522,439
American Honda Finance Corp., Floating Rate Note, 1/11/16 0.2959 01/11/2016 2,650,000 2,650,764
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 0.5051 04/20/2021 1,800,000 1,103,285
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 0.8348 06/25/2035 4,005,000 273,165
Kane Zero% 29apr16 0.0 04/29/2016 2,600,000 2,711,280
General Electric Capital Corp., Floating Rate Note, 1/14/16 0.507 01/14/2016 1,865,000 1,868,864
Westpac Banking Corp., Floating Rate Note, 5/19/17 0.6065 05/19/2017 2,000,000 2,002,417
GMAC Commercial Mortgage Securities Inc Series 2004-C2 Trust, Floating Rate Note, 8/10/38 5.301 08/10/2038 5,341,000 36,417
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 0.6206 12/15/2016 2,850,000 2,845,454
Blue Danube II, Ltd., Floating Rate Note, 5/23/18 (Cat Bond) (144A) 4.3682 05/23/2018 2,575,000 2,571,872
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/2/21 0.7359 03/02/2021 2,700,000 1,135,517
Castle Garden Funding, Floating Rate Note, 10/27/20 (144A) 0.5216 10/27/2020 7,000,000 1,029,379
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2.58 09/15/2021 2,100,000 1,412,171
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 0.3848 12/25/2036 3,800,000 752,190
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/35 0.5256 05/15/2035 3,925,000 832,034
Citigroup Mortgage Loan Trust, Inc., 6.5%, 6/25/16 6.5 06/25/2016 10,100,000 3,376
NCUA Guaranteed Notes Trust, Floating Rate Note, 4/6/20 0.5576 04/06/2020 5,835,000 1,067,702
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 10/10/45 5.115 10/10/2045 8,970,000 5,029,591
Royal Bank of Canada, Floating Rate Note, 1/23/17 0.6073 01/23/2017 1,875,000 1,880,036
General Mills, Inc., Floating Rate Note, 1/28/16 0.479 01/28/2016 1,895,000 1,894,452
Toyota Motor Credit Corp., Floating Rate Note, 5/16/17 0.476 05/16/2017 989,000 989,032
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/29 0.5356 05/15/2029 15,000,000 116,582
Daimler Finance North America LLC, Floating Rate Note, 8/1/17 (144A) 0.6182 08/01/2017 2,061,000 2,058,250
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 8/25/24 1.5348 08/25/2024 5,000,000 2,387,439
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25 0.5548 10/25/2035 800,000 373,865
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 3.0 05/15/2018 2,777,000 792,281
EMD Finance LLC, Floating Rate Note, 3/17/17 (144A) 0.6194 03/17/2017 2,500,000 2,502,632
Bosphorus Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 2.5101 05/03/2016 750,000 752,302
PVH Corp., Tranche B Term Loan, 2/13/20 3.25 02/13/2020 1,046,075 1,052,776
The Goldman Sachs Group, Inc., 1.6%, 11/23/15 1.6 11/23/2015 3,422,000 3,437,759
Svenska Handelsbanken New York NY, Floating Rate Note, 8/17/16 0.456 08/17/2016 2,500,000 2,500,738
Axalta Coating Systems US Holdings, Inc., Refinanced Term B Loan, 2/1/20 3.75 02/01/2020 1,021,485 1,022,762
RALI Series 2003-QS5 Trust, Floating Rate Note, 3/25/18 0.6348 03/25/2018 30,000,000 760,379
Southwire Co., Initial Term Loan, 1/31/21 3.25 01/31/2021 1,064,622 1,065,554
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 0.4448 11/25/2035 20,500,508 1,356,419
Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A) 3.7703 11/25/2019 2,350,000 2,337,408
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3 REMICS, Floating Rate Note, 8/15/42 4.936 08/15/2042 8,585,000 2,735,402
Toyota Motor Credit Corp., 0.75%, 3/3/17 (Step) 0.75 03/03/2017 2,250,000 2,256,135
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 0.5356 05/15/2041 340,000 98,237
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 0.4848 10/25/2035 625,000 22,886
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 0.7348 12/25/2034 1,590,000 996,764
Reynolds Group Holdings, Inc., Incremental U.S. Term Loan, 12/31/18 4.5 12/31/2018 0 0
CNH Equipment Trust 2013-C, 0.63%, 1/17/17 0.63 01/17/2017 1,903,426 97,173
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 1.3574 07/25/2029 3,866,000 115,495
Fosse Master Issuer Plc, Floating Rate Note, 10/19/54 (144A) 1.6751 10/19/2054 1,000,000 588,195
Honda Auto Receivables 2013-1 Owner Trust, 0.48%, 11/21/16 0.48 11/21/2016 390,000 148,999
Motor 2013-1 Plc, Floating Rate Note, 2/25/21 (144A) 0.6848 02/25/2021 2,946,000 98,225
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/26/35 0.9198 02/26/2035 19,369,028 2,129,994
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 3.75 08/20/2025 2,805,000 1,243,365
Westgate Resorts 2012-2 LLC, 9.0%, 1/21/25 (144A) 9.0 01/21/2025 1,500,000 327,540
Pepper Residential Securities Trust, Floating Rate Note, 7/24/15 (144A) 0.4848 07/24/2015 2,000,000 2,000,164
Credit Suisse Mortgage Capital Certificates REMICS, Floating Rate Note, 7/27/36 (144A) 2.7492 07/27/2036 7,712,000 1,130,879
JP Morgan Chase Commercial Mortgage Securities Trust 2014-PHH, Floating Rate Note, 8/16/27 (144A) 1.786 08/16/2027 3,770,000 3,768,860
77 Energy 1st Lien Tl-B L + 3% 17jun21 3.75 06/17/2021 1,439,125 1,353,976
Avago Technologies Ltd 1st Lien Tl-B L + 3% 16apr21 3.75 04/16/2021 1,122,572 1,126,208
PACCAR Financial Corp., Floating Rate Note, 6/6/17 0.4536 06/06/2017 1,290,000 1,292,117
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 0.4348 02/25/2030 13,978,771 1,769,985
Numericable Us Llc 1st Lien Tl-B1 L + 3.75% 23apr20 4.5 04/23/2020 267,407 268,804
American Credit Acceptance Receivables Trust 2014-1, 1.14%, 3/12/18 (144A) 1.14 03/12/2018 5,045,000 880,625
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 1.0848 06/25/2033 2,000,000 35,428
Chesapeake Funding LLC, Floating Rate Note, 2/7/27 (144A) 0.6805 02/07/2027 2,500,000 2,500,898
Freddie Mac REMICS, 5.0%, 6/15/33 5.0 06/15/2033 26,351,400 1,316,546
Tyco Electronics Group SA, Floating Rate Note, 1/29/16 0.479 01/29/2016 4,330,000 4,331,431
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 5.2703 03/07/2016 2,250,000 2,240,438
Banc of America Funding 2004-B Trust, Floating Rate Note, 12/20/34 0.544 12/20/2034 20,499,000 1,278,606
RAAC Series 2006-RP1 Trust, Floating Rate Note, 10/25/45 (144A) 0.4813 10/25/2045 15,300,000 291,493
Freddie Mac Strips, Floating Rate Note, 12/15/36 0.5356 12/15/2036 10,968,000 577,068
Alamo Re, Ltd., Floating Rate Note, 6/7/18 (Cat Bond) (144A)   06/07/2018 1,250,000 1,250,125
Embarcadero Reinsurance, Ltd., Floating Rate Note, 2/7/17 (Cat Bond) (144A) 5.0101 02/07/2017 1,025,000 1,030,388
Newstar Trust, Floating Rate Note, 1/20/23 (144A) 2.1751 01/20/2023 750,000 748,919
Impac CMB Trust Series 2004-5, Floating Rate Note, 8/25/34 1.0248 08/25/2034 9,850,000 562,992
Branch Banking & Trust Co., Floating Rate Note, 5/23/17 0.582 05/23/2017 500,000 497,615
Morgan Stanley Capital I Trust 2006-HQ9, Floating Rate Note, 7/12/44 5.793 07/12/2044 3,200,000 3,351,711
ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A) 3.081 09/25/2025 1,558,000 451,367
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 0.4856 02/15/2039 1,251,000 581,817
DynCorp International, Inc., Term Loan, 7/7/16 6.25 07/07/2016 143,055 142,161
Ford Motor Credit Co LLC, Floating Rate Note, 9/8/17 0.7836 09/08/2017 500,000 497,775
Svenska Handelsbanken AB, Floating Rate Note, 3/21/16 0.7146 03/21/2016 3,625,000 3,641,177
VOLT XXXIII LLC, 3.5%, 3/25/55 (Step) (144A) 3.5 03/25/2055 2,500,000 2,480,756
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 0.9248 11/25/2034 11,771,000 563,997
SWAY Residential 2014-1 Trust, Floating Rate Note, 1/20/32 (144A) 1.4856 01/20/2032 2,900,000 2,882,701
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-WCW, Floating Rate Note 1.2048 09/25/2034 2,800,000 1,070,194
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 1/15/18 0.5656 01/15/2018 350,000 350,172
Hyundai Capital Services, Inc., Floating Rate Note, 3/18/17 (144A) 1.0702 03/18/2017 1,950,000 1,961,460
Vericrest Opportunity Loan Transferee 2014-NPL4 LLC, 3.125%, 4/27/54 (Step) (144A) 3.125 04/27/2054 6,000,000 3,829,356
Tesoro Corp., Initial Term Loan, 5/30/16 2.4349 05/30/2016 795,000 795,974
Freddie Mac Strips, Floating Rate Note, 8/15/36 0.4856 08/15/2036 43,230,336 1,905,333
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 0.5856 02/15/2033 49,250,000 639,548
Firstmac Mortgage Funding Trust Series 1A-2014, Floating Rate Note, 6/26/15 (144A) 0.5348 06/26/2015 2,500,000 2,501,209
Capital One Financial Corp., Floating Rate Note, 11/6/15 0.9198 11/06/2015 2,620,000 2,625,513
ARI Fleet Lease Trust 2013-A, 0.7%, 12/15/15 (144A) 0.7 12/15/2015 4,000,000 593,245
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 0.4813 09/25/2036 5,483,897 664,457
American Express Centurion Bank, Floating Rate Note, 11/13/15 0.7266 11/13/2015 6,390,000 6,399,624
Chase Issuance Trust, Floating Rate Note, 8/15/17 0.3156 08/15/2017 9,130,000 9,130,799
HarborView Mortgage Loan Trust 2004-4, Floating Rate Note, 6/19/34 1.3053 06/19/2034 25,700,000 244,189
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 1,111,667 1,116,892
ABFC 2005-WF1 Trust, Floating Rate Note, 12/25/34 0.8048 12/25/2034 2,140,000 739,062
First Investors Auto Owner Trust 2014-2, 0.86%, 8/15/18 (144A) 0.86 08/15/2018 2,100,000 1,624,462
Vodafone Group Plc, Floating Rate Note, 2/19/16 0.6615 02/19/2016 1,150,000 1,149,713
Invitation Homes 2014-SFR3 Trust, Floating Rate Note, 12/17/31 (144A) 1.383 12/17/2031 2,000,000 2,001,877
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A) 0.6746 03/10/2017 1,000,000 1,000,807
Kinetic Concepts, Inc., Dollar Term E-1 Loan, 5/4/18 4.5 05/04/2018 585,306 590,306
American Credit Acceptance Receivables Trust 2014-3, 0.99%, 8/10/18 (144A) 0.99 08/10/2018 1,420,000 672,850
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 1.106 06/15/2029 3,750,000 3,742,642
Volkswagen Auto Lease Trust 2014-A, Floating Rate Note, 10/20/16 0.394 10/20/2016 1,500,000 711,265
Volvo Financial Equipment LLC Series 2012-1, 2.38%, 9/16/19 (144A) 2.38 09/16/2019 295,000 296,136
Barclays Bank Plc, Floating Rate Note, 2/17/17 0.856 02/17/2017 821,000 823,227
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 4.985 09/11/2042 3,751,000 3,800,493
Windstream Services LLC, Tranche B-5 Term Loan, 8/8/19 3.5 08/08/2019 706,988 705,736
Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A) 3.5051 06/06/2018 750,000 760,548
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 8.6125 04/08/2016 1,750,000 1,810,657
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/19 0.4156 02/15/2019 4,675,000 251,231
The Charlotte-Mecklenburg Hospital Authority, Floating Rate Note, 1/15/26 0.08 01/15/2026 4,000,000 4,000,279
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 9.0051 06/06/2015 1,750,000 1,786,488
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 1.0574 06/25/2028 44,308,430 1,428,896
Bank of Montreal, Floating Rate Note, 7/14/17 0.527 07/14/2017 2,300,000 2,301,896
Federal National Mortgage Association, Floating Rate Note, 3/25/18 0.4848 03/25/2018 30,543,000 697,077
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 4.838 07/15/2041 2,030,626 223,808
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 1.334 11/20/2036 100,000 22,953
Commercial Mortgage Trust 2005-GG5, Floating Rate Note, 4/10/37 5.277 04/10/2037 6,995,000 7,095,000
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 0.3356 10/15/2020 1,400,000 108,704
The Bank of New York Mellon Corp., 2.5%, 1/15/16 2.5 01/15/2016 835,000 853,175
Numericable Sfr 1st Lien Tl-B2 L + 3.75% 23apr20 4.5 04/23/2020 231,343 232,553
Activision Blizzard, Inc., Term Loan, 7/26/20 3.25 07/26/2020 1,411,209 1,419,258
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 0.9348 02/25/2035 21,336,125 56,993
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 5.167 06/10/2044 6,607,413 6,651,658
PNC Bank NA, Floating Rate Note, 6/1/18 0.7028 06/01/2018 2,500,000 2,496,240
Foresight Energy LLC, Term Loan, 8/21/20 5.5 08/21/2020 221,862 220,753
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 0.4548 04/25/2032 29,975,000 2,343,052
GMAC Commercial Mortgage Securities Inc Series 2006-C1 Trust, Floating Rate Note, 11/10/45 5.233 11/10/2045 8,250,000 5,092,875
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 3.5 09/06/2019 325,732 327,116
NPC International, Inc., Term Loan, 12/28/18 4.0 12/28/2018 155,200 154,521
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-AR4, Floating Rate Note, 12/25/34 2.6576 12/25/2034 1,170,000 109,097
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 3.25 10/18/2018 733,125 734,385
Wheels SPV 2 LLC, 0.84%, 3/20/23 (144A) 0.84 03/20/2023 1,000,000 888,666
JPMorgan Chase & Co., 1.1%, 10/15/15 1.1 10/15/2015 1,528,000 1,531,646
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A) 9.0101 03/16/2016 250,000 261,263
GCAT 2015-1 LLC, 3.625%, 5/26/20 (Step) (144A) 3.625 05/26/2020 2,500,000 2,500,000
Resi Flt% 12dec45 A1 0.9677 12/12/2045 3,000,000 2,544,580
Sumitomo Mitsui Banking Corp. New York, Floating Rate Note, 5/2/17 0.6488 05/02/2017 1,715,000 1,715,064
Citigroup, Inc., Floating Rate Note, 4/1/16 1.0642 04/01/2016 1,325,000 1,331,132
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 0.881 12/05/2031 900,000 897,240
BA Credit Card Trust, Floating Rate Note, 1/15/20 0.4756 01/15/2020 2,000,000 2,001,374
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 1.0248 01/25/2035 25,907,600 2,892,198
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 0.5148 01/25/2036 810,000 469,033
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 0.414 02/20/2035 31,769,748 2,697,418
Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18 2.65 03/31/2018 1,386,000 1,384,845
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 1.0048 08/25/2034 14,550,000 1,556,587
American Express Credit Corp., Floating Rate Note, 7/29/16 0.789 07/29/2016 2,850,000 2,859,383
Global Container Assets 2013-1, Ltd., 2.2%, 11/6/28 (144A) 2.2 11/06/2028 1,750,000 889,158
Alternative Loan Trust 2003-3T1, Floating Rate Note, 5/25/33 0.8148 05/25/2033 15,000,000 524,493
The Goodyear Tire & Rubber Co., Loan (Second Lien), 4/30/19 4.75 04/30/2019 666,667 672,083
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/32 0.7856 09/15/2032 10,000,000 209,873
RAMP Series 2006-RZ3 Trust, Floating Rate Note, 10/25/35 0.3448 10/25/2035 10,534,000 1,883,179
AmeriCredit Automobile Receivables Trust 2014-2, Floating Rate Note, 10/10/17 0.4603 10/10/2017 1,320,000 799,542
Az Chem Us Inc 1st Lien Tl-B L + 3.5% 09jun21 4.5 06/09/2021 1,855,848 1,862,642
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 0.7848 05/25/2040 500,000 248,829
Chevron Corp., Floating Rate Note, 3/2/18 0.4319 03/02/2018 2,550,000 2,553,388
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 0.3848 02/25/2037 5,150,000 450,986
Amazon.com, Inc., 0.65%, 11/27/15 0.65 11/27/2015 5,450,000 5,455,222
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 8.9051 06/06/2017 1,500,000 1,530,171
Verizon Communications, Inc., 0.7%, 11/2/15 0.7 11/02/2015 3,300,000 3,301,651
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/34 0.4256 07/15/2034 5,000,000 564,572
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 0.8848 02/25/2038 4,400,000 243,811
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 4.5051 12/06/2016 2,900,000 2,967,933
Chase Issuance Trust, Floating Rate Note, 4/15/19 0.4356 04/15/2019 150,000 149,315
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 0.7848 04/25/2034 9,566,021 405,097
Countrywide Asset-Backed Certificates, Floating Rate Note, 10/25/34 1.0248 10/25/2034 5,000,000 2,211,228
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 0.6263 10/25/2030 6,072,226 473,352
Outfront Media Capital LLC, Term Loan, 1/15/21 3.0 01/15/2021 1,629,423 1,629,219
Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36 0.5348 05/25/2036 6,586,000 2,045,882
The Bank of Nova Scotia, Floating Rate Note, 3/15/16 0.6706 03/15/2016 3,255,000 3,267,945
Specialty Underwriting & Residential Finance Trust Series 2005-AB2, Floating Rate Note, 6/25/36 0.5148 06/25/2036 18,964,000 671,469
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 0.4813 05/25/2036 25,142,877 1,529,887
Salomon Mortgage Loan Trust Series 2001-CB4, Floating Rate Note, 11/25/33 1.0848 11/25/2033 4,754,000 114,898
Capital One NA, Floating Rate Note, 3/22/16 0.7146 03/22/2016 1,900,000 1,904,197
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A) 2.1 05/19/2031 2,300,000 2,306,478
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 0.4856 02/15/2036 5,087,000 837,475
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.8848 01/25/2035 17,745,000 1,903,578
Ziggo Bv Us 1st Lien Tl-B2 L + 2.75% 15jan22 3.5 01/15/2022 691,064 689,639
RALI Series 2004-QR1 Trust, 5.25%, 10/25/34 5.25 10/25/2034 66,901,390 450,622
Discover Card Execution Note Trust, Floating Rate Note, 1/16/18 0.3856 01/16/2018 1,345,000 1,345,339
Cent CLO 16 LP, Floating Rate Note, 8/1/24 (144A) 1.5046 08/01/2024 3,250,000 3,253,912
Orbital ATK, Inc., Term B Loan, 10/22/20 3.5 10/22/2020 394,504 395,569
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WHQ2, Floating Rate Note, 1/25/35 1.1298 01/25/2035 3,100,000 1,497,536
GE Equipment Transportation LLC Series 2013-2, 0.61%, 6/24/16 0.61 06/24/2016 1,520,000 248,793
Bayview Financial Acquisition Trust, Floating Rate Note, 5/28/44 0.8163 05/28/2044 32,920,000 96,038
MortgageIT Trust 2005-2, Floating Rate Note, 5/25/35 0.7048 05/25/2035 8,495,000 1,489,370
Bombardier Recreational Products, Inc., Term B Loan, 1/30/19 4.0 01/30/2019 0 0
Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2006-HE1, Floating Rate Note, 2/25/36 0.3948 02/25/2036 1,700,000 80,899
Capital One Financial Corp., 1.0%, 11/6/15 1.0 11/06/2015 2,600,000 2,605,311
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 0.5348 02/25/2033 16,918,890 717,460
Communications Sales & Leasing Inc 1st Lien Tl-B L + 4% 16oct22 5.0 10/16/2022 400,000 399,700
Ford Motor Credit Co LLC, Floating Rate Note, 11/8/16 0.726 11/08/2016 1,715,000 1,711,439
Igloo Holdings Corp., 8.25%, 12/15/17 (144A) (PIK) 8.25 12/15/2017 1,250,000 1,316,016
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 0.3848 12/25/2036 3,000,000 301,841
Apidos CLO IX, Floating Rate Note, 7/17/23 (144A)   07/17/2023 3,000,000 3,005,907
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 0.7863 10/25/2028 42,221,000 1,286,051
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C REMICS, Floating Rate Note, 6/25/28 0.8448 06/25/2028 42,262,000 1,849,958
Charter Communications Operating LLC, Term F Loan, 12/31/20 3.0 12/31/2020 1,301,813 1,295,070
NCUA Guaranteed Notes Trust, Floating Rate Note, 10/7/20 0.6276 10/07/2020 2,040,000 916,865
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 0.8248 03/25/2034 76,711,000 4,178,623
Bayview Financial Acquisition Trust, 6.205%, 5/28/37 (Step) 6.205 05/28/2037 100,000 53,013
Government National Mortgage Association, Floating Rate Note, 8/20/38 0.684 08/20/2038 4,585,000 407,305
Royal Bank of Canada, Floating Rate Note, 6/16/17 0.5106 06/16/2017 2,200,000 2,202,745
Principal Life Global Funding II, 1.0%, 12/11/15 (144A) 1.0 12/11/2015 1,270,000 1,278,859
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 0.671 11/21/2016 2,465,000 2,464,105
Citigroup Mortgage Loan Trust Series 2004-OPT1 Asset Backed Pass-Through Certifi, Floating Rate Note 1.0098 10/25/2034 2,140,000 1,593,404
Merrill Lynch Mortgage Trust 2005-CIP1, Floating Rate Note, 7/12/38 5.047 07/12/2038 2,170,000 274,930
Western Refining, Inc., Term Loan 2013, 11/12/20 4.25 11/12/2020 446,608 448,143
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 3.9651 05/18/2016 1,910,000 1,936,180
Sequoia Mortgage Trust 10, Floating Rate Note, 10/20/27 0.944 10/20/2027 9,100,000 159,292
GE Equipment Small Ticket LLC Series 2014-1, 0.59%, 8/24/16 0.59 08/24/2016 1,900,000 1,356,428
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 0.9498 05/25/2035 1,575,000 216,563
Citibank Credit Card Issuance Trust, 4.55%, 6/20/17 4.55 06/20/2017 639,000 653,437
Manufactured Housing Contract Trust Pass-Through Certificates Series 2001-1, Floating Rate Note, 4/2 1.054 04/20/2032 9,286,000 794,708
Centex Home Equity Loan Trust 2003-A, Floating Rate Note, 3/25/33 3.654 03/25/2033 2,230,000 372,541
RBSSP Resecuritization Trust 2009-5, Floating Rate Note, 8/25/37 (144A) 0.6738 08/25/2037 7,810,000 2,359,886
Total Capital International SA, 0.75%, 1/25/16 0.75 01/25/2016 2,500,000 2,511,728
Citigroup Commercial Mortgage Trust 2015-SSHP REMICS, Floating Rate Note, 9/15/27 (144A) 2.2856 09/15/2027 3,000,000 3,000,935
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 7/25/24 1.3848 07/25/2024 5,330,000 4,294,525
Select Medical Corp., Series E Tranche B Term Loan, 6/1/18 3.7513 06/01/2018 227,883 228,453
Starwood Property Trust, Inc., Term Loan (First Lien), 4/17/20 3.5 04/17/2020 1,582,007 1,579,370
CNH Equipment Trust 2012-A, 2.09%, 8/15/18 2.09 08/15/2018 2,310,000 2,331,203
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/19 0.634 10/20/2019 2,700,000 2,697,241
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 1.1856 03/15/2032 122,751,000 992,585
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 1.1856 03/15/2032 64,920,000 676,752
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/16/30 (144A) 1.936 12/16/2030 1,500,000 1,502,220
RALI Series 2003-QS22 Trust, Floating Rate Note, 12/26/33 0.6348 12/26/2033 8,400,000 800,903
USI, Inc. New York, Initial Term Loan 2013, 12/30/19 4.25 12/30/2019 1,085,150 1,088,541
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 0.5899 09/13/2016 4,314,000 4,306,947
World Omni Automobile Lease Securitization Trust 2014-A, Floating Rate Note, 3/15/17 0.3956 03/15/2017 2,500,000 2,374,980
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/17 0.6348 02/25/2017 14,970,453 1,736
JP Morgan Mortgage Acquisition Corp 2005-FLD1, Floating Rate Note, 7/25/35 0.9648 07/25/2035 2,575,000 2,543,658
Caisse Centrale Desjardins, Floating Rate Note, 1/29/18 (144A) 0.944 01/29/2018 2,590,000 2,591,655
PFS Financing Corp., Floating Rate Note, 10/15/19 (144A) 1.0356 10/15/2019 1,700,000 1,699,385
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 2.1251 11/19/2026 2,250,000 773,320
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.4048 04/25/2031 6,464,393 990,597
Fannie Mae, Floating Rate Note, 11/1/23 2.261 11/01/2023 970,000 8,607
Ford Motor Credit Co LLC, Floating Rate Note, 3/27/17 0.8986 03/27/2017 2,500,000 2,503,974
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45 2.2608 06/25/2045 1,500,000 218,087
United States Treasury Floating Rate Note, Floating Rate Note, 10/31/16 0.068 10/31/2016 10,000,000 9,998,675
LB-UBS Commercial Mortgage Trust 2005-C7 REMICS, Floating Rate Note, 11/15/30 5.197 11/15/2030 8,161,979 203,629
CIT Equipment Collateral 2014-VT1, 0.86%, 5/22/17 (144A) 0.86 05/22/2017 2,500,000 2,500,229
Nissan Auto Receivables 2013-C Owner Trust, 0.4%, 6/15/16 0.4 06/15/2016 2,075,000 25,315
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 0.8048 09/25/2034 42,840,193 1,713,674
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 0.624 10/20/2017 888,000 888,203
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 1.0848 05/26/2037 2,400,000 1,783,921
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/40 0.7348 01/25/2040 5,000,000 362,057
Discover Card Execution Note Trust, Floating Rate Note, 3/15/18 0.7656 03/15/2018 6,550,000 6,558,430
Verizon Communications, Inc., Floating Rate Note, 9/15/16 1.8006 09/15/2016 6,355,000 6,473,160
Sequoia Mortgage Trust 2003-2, Floating Rate Note, 6/20/33 1.0827 06/20/2033 13,097,000 447,449
NSTAR Electric Co., Floating Rate Note, 5/17/16 0.516 05/17/2016 1,013,000 1,012,777
SMART ABS Series 2012-2US Trust, 1.59%, 10/14/16 (144A) 1.59 10/14/2016 1,550,000 362,584
Nissan Motor Acceptance Corp., Floating Rate Note, 9/26/16 (144A) 0.9694 09/26/2016 1,500,000 1,510,422
14112z Zero% 01feb19 0.0 02/01/2019 2,500,000 2,641,750
Volkswagen International Finance NV, 1.15%, 11/20/15 (144A) 1.15 11/20/2015 4,990,000 5,007,612
SMART ABS Series 2013-2US Trust, Floating Rate Note, 1/17/17 0.6156 01/17/2017 2,500,000 1,450,703
Prestige Brands, Inc., Term B-3 Loan, 9/3/21 3.5 09/03/2021 757,857 760,225
Seadrill Operating LP, Initial Term Loan, 2/14/21 4.0 02/14/2021 2,715,625 2,237,561
Harley-Davidson Financial Services, Inc., 1.15%, 9/15/15 (144A) 1.15 09/15/2015 4,100,000 4,116,982
Gray Television Inc. 1st Lien Tl L + 3% 10jun21 3.75 06/10/2021 1,002,368 1,005,605
NBCUniversal Enterprise, Inc., Floating Rate Note, 4/15/16 (144A) 0.8123 04/15/2016 2,694,000 2,705,283
Capital One Multi-Asset Execution Trust, Floating Rate Note, 12/16/19 0.2656 12/16/2019 3,400,000 3,389,153
Citadel Plastics Holdings Inc 1st Lien Tlb L + 4.25% 05nov20 5.25 11/05/2020 1,178,048 1,179,520
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 12/25/35 0.3648 12/25/2035 9,778,000 1,788,209
Direct Capital Funding V LLC, 1.673%, 12/20/17 (144A) 1.673 12/20/2017 725,000 26,708
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE2, Floating Rate Note, 2/25/35 0.8598 02/25/2035 8,100,000 384,707
Credit Suisse Commercial Mortgage Trust Series 2006-C2, Floating Rate Note, 3/15/39 5.6701 03/15/2039 3,730,000 2,453,145
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 1.6848 06/25/2028 7,545,000 1,496,275
Federal National Mortgage Association REMICS, 4.5%, 1/25/39 4.5 01/25/2039 820,000 22,031
Barclays Dryrock Issuance Trust, Floating Rate Note, 3/16/20 0.5256 03/16/2020 1,800,000 1,798,819
Quebecor Media, Inc., Facility B-1 Tranche, 8/17/20 3.25 08/17/2020 494,962 492,178
Wheelabrator 1st Lien Tl-B L + 4% 15oct21 5.0 10/15/2021 2,866,379 2,905,769
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 11/10/16 (Cat Bond) (144A) 11.8349 11/10/2016 500,000 522,173
Ford Credit Auto Owner Trust 2015-B, Floating Rate Note, 3/15/18 (144A) 0.4148 03/15/2018 2,600,000 2,600,151
Chase Issuance Trust, Floating Rate Note, 4/16/18 0.4053 04/16/2018 3,000,000 3,000,995
Credit Acceptance Auto Loan Trust 2012-2, 2.21%, 9/15/20 (144A) 2.21 09/15/2020 2,000,000 2,011,344
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 1.281 12/05/2031 800,000 798,981
Crown Castle 1st Lien Term-B2 L + 2.5% 31jan21 3.0 01/31/2021 1,177,227 1,176,830
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/33 1.1856 11/15/2033 2,550,000 302,345
VOLT XXXI LLC, 3.375%, 2/25/55 (Step) (144A) 3.375 02/25/2055 3,000,000 2,921,280
Revlon Consumer Products Corp., Replacement Term Loan, 11/19/17 3.25 11/19/2017 958,583 959,781
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 2.5167 10/25/2033 1,991,000 172,516
Tramline Re II, Ltd., Floating Rate Note, 1/4/19 (Cat Bond) (144A) 9.7703 01/04/2019 250,000 256,695
Asset Backed Securities Corp Home Equity Loan Trust Series NC 2005-HE4, Floating Rate Note, 5/25/35 0.8598 05/25/2035 3,657,000 92,620
Navitas Equipment Receivables LLC 2013-1, 1.95%, 11/15/16 1.95 11/15/2016 1,750,000 548,576
American Express Credit Corp., 1.75%, 6/12/15 1.75 06/12/2015 3,000,000 3,025,553
Morgan Stanley Capital I Trust 2005-TOP19, 4.89%, 6/12/47 4.89 06/12/2047 6,690,000 539,002
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 1.7956 08/20/2034 8,500,000 346,111
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/25/23 1.6348 11/25/2023 2,250,000 1,580,329
Asset-Backed Pass-Through Certificates Series 2004-R2, Floating Rate Note, 4/25/34 0.8048 04/25/2034 24,000,000 1,160,270
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 1.0848 04/25/2032 35,072,000 1,950,288
Bear Stearns Asset Backed Securities Trust 2004-SD3, Floating Rate Note, 9/25/34 0.7548 09/25/2034 660,000 232,943
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B, Floating Rate Note, 5/25/29 0.9582 05/25/2029 12,160,000 412,022
Fannie Mae, Floating Rate Note, 9/1/32 2.236 09/01/2032 375,000 20,294
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 0.8848 03/25/2035 5,042,000 796,705
World Omni Auto Receivables Trust 2013-B, 0.48%, 11/15/16 0.48 11/15/2016 50,000 3,064
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.5203 04/30/2018 1,000,000 1,005,375
GreenPoint Mortgage Funding Trust 2005-HE1, Floating Rate Note, 9/25/34 0.8598 09/25/2034 1,357,437 116,311
CCG Receivables Trust 2014-1, 1.06%, 11/14/21 (144A) 1.06 11/14/2021 1,900,000 1,590,050
Structured Asset Securities Corp Mortgage Loan Trust 2006-GEL4, Floating Rate Note, 10/25/36 (144A) 0.4048 10/25/2036 5,557,000 1,569,858
Eden Re II, Ltd., 0.0%, 4/19/18 (Cat Bond) (144A) 0.0 04/19/2018 1,300,000 1,319,500
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.4656 11/15/2018 8,570,000 1,610,880
Countrywide Asset-Backed Certificates, Floating Rate Note, 3/25/35 1.0848 03/25/2035 5,600,000 1,642,004
CommScope, Inc., Tranche 3 Term Loan, 1/21/17 2.6854 01/21/2017 157,636 157,471
Queen Street X RE, Ltd., Floating Rate Note, 6/8/18 (Cat Bond) (144A)   06/08/2018 1,000,000 981,400
MultiCat Mexico, Ltd. 2012-I Class A, Floating Rate Note, 6/4/16 (Cat Bond) (144A) 7.515 06/04/2016 1,750,000 1,766,100
American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A) 0.657 05/26/2016 3,050,000 3,059,922
Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 (144A) 1.2356 04/15/2032 4,920,000 4,896,049
Mercedes Benz Auto Lease Trust 2014-A, Floating Rate Note, 6/15/16 0.3656 06/15/2016 1,900,000 827,654
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 0.5848 07/25/2034 7,443,000 467,693
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 1.23 03/15/2019 4,251,000 1,505,255
First Horizon Mortgage Pass-Through Trust 2003-AR3, Floating Rate Note, 9/25/33 2.589 09/25/2033 13,000,000 836,131
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 0.4148 11/25/2037 31,986,000 1,202,800
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 0.6448 11/25/2035 1,945,000 1,663,295
MGM Resorts International, Term B Loan, 12/20/19 3.5 12/20/2019 1,221,875 1,222,639
Weight Watchers International, Inc., Initial Tranche B-2 Term Loan, 4/2/20 4.0 04/02/2020 871,867 434,844
American Express Credit Account Master Trust, Floating Rate Note, 5/15/20 0.4756 05/15/2020 3,300,000 3,301,759
MRFC Mortgage Pass-Through Trust Series 2000-TBC3, Floating Rate Note, 12/15/30 0.6256 12/15/2030 24,150,000 1,086,601
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 0.6545 05/27/2016 2,530,000 2,534,851
FCA US LLC, Term Loan B, 5/24/17 3.5 05/24/2017 373,062 374,127
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU REMICS, Floating Rate Note, 12/15/28 1.686 12/15/2028 3,510,000 3,514,786
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/33 0.5848 08/25/2033 485,000 14,612
BMW Floorplan Master Owner Trust, Floating Rate Note, 9/15/17 (144A) 0.5856 09/15/2017 3,000,000 3,007,302
Merrill Lynch Mortgage Trust 2005-LC1, Floating Rate Note, 1/12/44 5.291 01/12/2044 6,177,508 5,336,265
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/37 0.4856 01/15/2037 63,238,000 3,461,660
Government National Mortgage Association, Floating Rate Note, 9/16/31 0.4334 09/16/2031 34,344,532 630,328
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 0.6273 05/23/2016 3,150,000 3,161,103
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 8.7551 12/06/2016 1,450,000 1,479,377
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 1.1848 12/25/2023 5,000,000 324,093
Invitation Homes 2015-SFR2 Trust, Floating Rate Note, 6/17/32 (144A) 2.178 06/17/2032 2,550,000 2,560,460
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 6/25/34 0.9248 06/25/2034 26,125,000 342,224
DaVita HealthCare Partners, Inc., Tranche B Term Loan, 6/19/21 3.5 06/19/2021 472,669 474,737
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/20 (Cat Bond) (144A) 6.8551 04/07/2020 2,300,000 2,354,318
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 3.1253 07/15/2023 1,850,000 1,707,288
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 4/20/18 0.584 04/20/2018 1,190,000 1,189,654
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2.8579 03/25/2034 8,200,000 430,362
PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29 1.44 05/15/2029 1,300,000 846,596
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.4348 03/25/2037 3,413,000 439,688
Chemours Company Llc 1st Lien Tl-B L + 3% 12may22 3.75 05/12/2022 500,000 501,563
Soundview Home Loan Trust 2005-DO1, Floating Rate Note, 5/25/35 0.9048 05/25/2035 2,000,000 1,722,979
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 0.7366 05/13/2016 2,700,000 2,711,107
NSG Holdings LLC, New Term Loan, 12/11/19 3.75 12/11/2019 1,545,425 1,547,357
Government National Mortgage Association, Floating Rate Note, 8/20/35 0.584 08/20/2035 3,497,364 153,988
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/32 0.7848 08/25/2032 5,000,000 83,220
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/26/46 (144A) 3.5624 11/26/2046 3,500,000 3,592,706
Westpac Banking Corp., Floating Rate Note, 7/17/15 (144A) 1.0744 07/17/2015 500,000 501,073
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 0.5856 03/15/2041 13,046,000 2,536,201
PNC Bank NA, 0.8%, 1/28/16 0.8 01/28/2016 650,000 652,835
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 0.2948 03/25/2037 6,984,978 1,548,271
The Bank of New York Mellon Corp., Floating Rate Note, 10/23/15 0.5073 10/23/2015 3,533,000 3,538,142
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 0.5285 02/22/2021 2,250,000 784,794
KeyBank NA Cleveland Ohio, Floating Rate Note, 6/1/18 0.8028 06/01/2018 2,500,000 2,496,248
American Express Credit Account Master Trust, Floating Rate Note, 3/15/18 0.3356 03/15/2018 8,890,000 8,890,994
American Credit Acceptance Receivables Trust 2014-4, 1.23%, 7/10/18 (144A) 1.23 07/10/2018 1,150,000 828,054
GE Business Loan Trust 2003-2 REMICS, Floating Rate Note, 11/15/31 (144A) 0.5556 11/15/2031 10,000,000 863,844
GMF Floorplan Owner Revolving Trust, Floating Rate Note, 5/15/20 (144A) 0.684 05/15/2020 1,300,000 1,300,262
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 10/23/15 0.4073 10/23/2015 2,500,000 2,501,644
Crowne Group Llc 1st Lien Tl-B L + 5% 29sep20 6.0 09/29/2020 497,500 496,256
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 3.25 11/05/2020 495,000 496,135
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 4.0203 05/05/2017 1,250,000 1,238,444
PHARMEDIUM HEALTHCARE Corp., Initial Term Loan (First Lien), 1/23/21 4.25 01/23/2021 255,300 255,406
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 2,366,240
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 0.7939 02/15/2017 2,000,000 2,004,540
Chase Issuance Trust, 0.59%, 8/15/17 0.59 08/15/2017 950,000 950,403
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 11/15/23 4.0 11/15/2023 95,000 32,248
Lehman ABS Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 6/15/33 0.6356 06/15/2033 3,950,000 151,528
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 8/15/38 5.1 08/15/2038 8,955,043 921,043
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 0.4348 02/25/2037 26,822,396 2,179,787
Marathon Oil Corp., 0.9%, 11/1/15 0.9 11/01/2015 6,604,000 6,606,648
Sector Re V, Ltd., 0.0%, 12/1/19 (Cat Bond) (144A) 0.0 12/01/2019 500,000 525,550
Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20 3.5 09/23/2020 927,632 930,273
Bayview Commercial Asset Trust 2008-1, Floating Rate Note, 1/25/38 (144A) 1.1848 01/25/2038 18,000,000 2,349,246
Becton Dickinson and Co., Floating Rate Note, 6/15/16 0.7206 06/15/2016 2,700,000 2,709,343
Devon Energy Corp., Floating Rate Note, 12/15/15 0.7206 12/15/2015 4,800,000 4,803,035
COMM 2014-FL5 Mortgage Trust, Floating Rate Note, 10/17/31 (144A) 2.3356 10/17/2031 4,970,000 4,959,121
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/40 0.5356 07/15/2040 2,570,000 498,334
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/34 0.4848 11/25/2034 9,662,000 614,370
Citigroup, Inc., Floating Rate Note, 7/25/16 1.237 07/25/2016 3,700,000 3,719,647
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.5856 12/15/2032 9,063,000 622,980
Morgan Stanley, Floating Rate Note, 10/15/15 0.7553 10/15/2015 318,000 318,626
Fly Funding II Sarl, Loan, 8/8/18 3.5 08/08/2018 1,525,689 1,531,093
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 0.5848 03/25/2034 20,624,640 1,240,015
Apidos Quattro CDO, Floating Rate Note, 1/20/19 (144A) 1.7251 01/20/2019 1,000,000 993,431
The Bank of New York Mellon Corp., 2.95%, 6/18/15 2.95 06/18/2015 2,400,000 2,434,397
Enbridge, Inc., Floating Rate Note, 10/1/16 0.9242 10/01/2016 1,650,000 1,654,808
Cedar Fair LP, U.S. Term Facility, 3/6/20 3.25 03/06/2020 96,885 97,510
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 2/15/19 0.5856 02/15/2019 900,000 900,532
The Procter & Gamble Co., 1.8%, 11/15/15 1.8 11/15/2015 2,950,000 2,970,842
ASG Resecuritization Trust 2010-3, Floating Rate Note, 12/29/45 (144A) 0.4713 12/29/2045 5,216,443 2,081,584
Wilshire Mortgage Loan Trust, Floating Rate Note, 5/25/28 0.4648 05/25/2028 10,000,000 28,825
Fifth Third Bancorp, 3.625%, 1/25/16 3.625 01/25/2016 3,790,000 3,904,787
Home Equity Asset Trust 2005-7, Floating Rate Note, 1/25/36 0.5648 01/25/2036 7,770,000 3,672,233
BBCMS Trust 2014-BXO REMICS, Floating Rate Note, 8/16/27 (144A) 1.7856 08/16/2027 675,000 674,084
RENT-A-CENTER, INC, Term Loan (2014), 2/6/21 3.75 02/06/2021 1,732,500 1,734,666
Virgin Media Investment Holdings, Ltd., B Facility, 6/8/20 3.5 06/08/2020 1,484,673 1,483,861
DCP Midstream Operating LP, 3.25%, 10/1/15 3.25 10/01/2015 1,000,000 1,005,355
PNC Bank NA, Floating Rate Note, 1/28/16 0.589 01/28/2016 2,250,000 2,253,987
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/20 0.5856 12/15/2020 1,000,000 139,830
Language Line LLC, Tranche B Term Loan, 6/20/16 6.25 06/20/2016 829,201 829,374
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 1.936 06/15/2034 5,454,000 5,448,315
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 1.1248 12/25/2034 23,713,000 719,452
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP6, Floating Rate Note, 4/15/43 5.565 04/15/2043 3,512,000 3,613,581
CWGS Group LLC, Term Loan, 2/20/20 5.75 02/20/2020 392,357 395,581
Emdeon, Inc., Term B-2 Loan, 11/2/18 3.75 11/02/2018 1,599,857 1,606,056
321 Henderson Receivables I LLC, Floating Rate Note, 9/15/45 (144A) 0.5356 09/15/2045 3,120,000 714,938
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.4348 03/25/2037 39,983,000 858,447
Trafigura Securitisation Finance Plc. 2014-1, Floating Rate Note, 4/16/18 (144A) 1.1356 04/16/2018 1,400,000 1,401,229
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 0.5201 07/20/2019 1,250,000 244,317
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 0.6848 06/25/2033 44,273,266 1,846,817
CHS, Incremental 2019 Term G Loan, 12/31/19   12/31/2019 25,164 25,205
PFS Financing Corp., Floating Rate Note, 10/15/19 (144A) 0.7856 10/15/2019 1,400,000 1,399,676
DT Auto Owner Trust 2015-1, 1.06%, 9/17/18 (144A) 1.06 09/17/2018 2,100,000 1,663,006
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 7/25/36 0.4813 07/25/2036 4,500,000 4,439,195
Six Flags Theme Parks, Inc., Tranche B Term Loan, 12/20/18 3.5007 12/20/2018 727,904 732,908
Capital One Multi-Asset Execution Trust, Floating Rate Note, 2/15/19 0.3656 02/15/2019 1,950,000 1,950,587
CLI Funding LLC, Floating Rate Note, 8/18/21 (144A) 0.3634 08/18/2021 7,250,000 817,179
American Honda Finance Corp., Floating Rate Note, 10/7/16 0.7708 10/07/2016 2,285,000 2,299,130
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 6/20/17 1.084 06/20/2017 500,000 500,207
Fieldwood Energy LLC, Closing Date Loan, 9/25/18 3.875 09/25/2018 2,661,864 2,590,659
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3, Floating Rate Note, 8/25/35 (144 0.4848 08/25/2035 1,300,000 49,530
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 0.8856 03/15/2032 22,000,000 199,897
American International Group, Inc., 5.05%, 10/1/15 5.05 10/01/2015 2,500,000 2,556,993
GSAMP Trust 2005-HE6, Floating Rate Note, 11/25/35 0.5448 11/25/2035 220,000 116,021
Valeant Pharmaceuticals International, Inc., Series C-2 Tranche B Term Loan, 12/11/19 3.5 12/11/2019 511,676 512,493
San Diego Gas & Electric Co., 5.3%, 11/15/15 5.3 11/15/2015 2,500,000 2,560,328
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, 4.871%, 9/11/42 4.871 09/11/2042 7,568,000 3,514,340
Quest Trust REMICS, Floating Rate Note, 3/25/34 (144A) 0.8448 03/25/2034 95,089,092 3,301,321
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 6.5 08/15/2030 1,250,000 85,473
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 1.384 11/20/2036 14,250,000 2,899,737
Structured Asset Sec Corp Mort Pass Thr Certs Series 1998-8, Floating Rate Note, 8/25/28 1.1248 08/25/2028 37,025,000 1,367,767
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 6/25/35 0.5848 06/25/2035 3,880,000 28,699
Wells Fargo Commercial Mortgage Trust 2014-TISH REMICS, Floating Rate Note, 2/16/27 (144A) 2.036 02/16/2027 2,500,000 2,504,940
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 0.6481 03/30/2016 6,514,000 6,511,434
Calpine Construction Finance Co LP, Term B-1 Loan, 5/3/20 3.0 05/03/2020 1,179,000 1,168,131
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 0.9348 02/25/2033 10,610,000 337,893
PF Chang's China Bistro, Inc., Term Borrowing, 7/2/19 4.25 07/02/2019 834,931 826,060
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.6356 12/15/2032 2,500,000 744
Livingston International, Inc., Initial Term B-1 Loan (First Lien), 4/18/19 5.0 04/18/2019 491,250 488,487
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 0.9848 10/25/2034 9,071,000 436,088
Federal Farm Credit Banks, 0.39%, 4/25/16 0.39 04/25/2016 2,133,000 2,132,552
MassMutual Global Funding II, Floating Rate Note, 12/11/15 (144A) 0.3866 12/11/2015 3,290,000 3,294,310
Metropolitan Life Global Funding I, 3.125%, 1/11/16 (144A) 3.125 01/11/2016 690,000 709,832
Cabela's Credit Card Master Note Trust, Floating Rate Note, 6/17/19 (144A) 0.7856 06/17/2019 3,630,000 3,639,163
Xerium Technologies, Inc., New Term Loan, 5/17/19 5.75 05/17/2019 78,401 79,479
IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36 0.8648 02/25/2036 3,493,986 476,372
Wells Fargo & Co., Floating Rate Note, 6/26/15 1.1894 06/26/2015 5,230,000 5,244,761
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 0.8856 12/15/2039 2,334,000 849,278
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/32 1.1848 07/25/2032 15,000,000 187,550
Prestige Auto Receivables Trust 2013-1, 1.33%, 5/15/19 (144A) 1.33 05/15/2019 350,000 351,108
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 8.0051 06/06/2016 750,000 798,892
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.4248 06/25/2037 7,474,000 854,380
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.8848 01/25/2035 25,745,000 2,925,621
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.5356 11/15/2036 5,342,000 875,582
Fremont Home Loan Trust 2005-B, Floating Rate Note, 4/25/35 0.8298 04/25/2035 2,750,000 503,372
Gci Holdings Inc 1st Lien Tl-B L + 3.75% 22dec21 4.75 12/22/2021 660,000 666,600
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 9/8/17 (144A) 0.5736 09/08/2017 2,525,000 2,520,350
Berkshire Hathaway Finance Corp., Floating Rate Note, 8/14/17 0.4 08/14/2017 2,500,000 2,499,989
MOTOR 2015-1 Plc, Floating Rate Note, 6/27/22 (144A) 0.7848 06/27/2022 2,600,000 2,603,213
Morgan Stanley ABS Capital I Inc Trust 2005-HE3, Floating Rate Note, 7/25/35 0.9648 07/25/2035 95,000 26,698
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 3.5 04/30/2020 1,453,927 1,459,372
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 0.8348 01/25/2033 5,000,000 149,557
MASTR Adjustable Rate Mortgages Trust 2003-3, Floating Rate Note, 9/25/33 2.042 09/25/2033 2,650,000 714,024
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 0.4948 05/25/2036 13,100,000 1,226,579
Morgan Stanley Capital I Trust 2015-XLF1, Floating Rate Note, 8/14/31 (144A) 1.9356 08/14/2031 3,860,000 3,871,160
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2.0203 04/07/2017 2,000,000 1,996,867
Fannie Mae, Floating Rate Note, 10/1/32 2.644 10/01/2032 500,000 26,980
Drillships Financing Holding, Inc., Tranche B-1 Term Loan, 3/31/21 6.0 03/31/2021 707,622 610,767
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 1.0048 05/25/2035 5,000,000 143,601
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.6348 06/25/2037 900,000 95,088
VOLT XXX LLC, 3.625%, 10/25/57 (Step) 3.625 10/25/2057 2,250,000 2,191,489
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 2.2356 09/18/2031 3,778,000 3,804,267
Encore Credit Receivables Trust 2005-3, Floating Rate Note, 10/25/35 0.6548 10/25/2035 3,705,000 383,921
Lloyds Bank Plc, Floating Rate Note, 5/14/18 0.825 05/14/2018 2,500,000 2,504,494
Credit Acceptance Auto Loan Trust 2012-2, 1.52%, 3/16/20 (144A) 1.52 03/16/2020 3,241,000 559,045
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 2.8098 08/25/2034 2,122,000 226,087
State Street Bank & Trust Co., Floating Rate Note, 12/8/15 0.4636 12/08/2015 4,940,000 4,942,509
COMM 2013-FL3 Mortgage Trust, Floating Rate Note, 10/13/28 (144A) 1.703 10/13/2028 1,597,000 1,266,687
Delta Air Lines, Inc., Term Loan, 4/20/17 3.25 04/20/2017 293,893 294,205
BAMLL Commercial Mortgage Securities Trust 2014-FL1, Floating Rate Note, 12/17/31 (144A) 2.1605 12/17/2031 3,613,000 3,627,235
Ally Master Owner Trust, Floating Rate Note, 6/17/19 0.5856 06/17/2019 2,600,000 2,600,796
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 1.0862 05/19/2033 36,301,000 1,680,889
Apple, Inc., Floating Rate Note, 5/3/16 0.3288 05/03/2016 1,500,000 1,501,438
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/33 0.6848 11/25/2033 10,000,000 710,610
American Credit Acceptance Receivables Trust 2013-2, 1.32%, 2/15/17 (144A) 1.32 02/15/2017 805,000 19,780
Noranda Aluminum Acquisition Corp., Term B Loan, 2/28/19 5.75 02/28/2019 116,400 106,652
Bank of The West Auto Trust 2014-1, 0.69%, 7/17/17 (144A) 0.69 07/17/2017 1,850,000 1,852,135
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 1,147,083 1,150,983
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 0.6056 06/15/2036 5,835,000 509,641
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/35 0.4856 04/15/2035 1,775,000 347,239
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP20, Floating Rate Note, 10/12/42 5.1394 10/12/2042 8,735,000 6,333,576
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 0.7236 09/09/2016 2,800,000 2,814,499
Option One Mortgage Loan Trust 2005-1, Floating Rate Note, 2/25/35 0.9848 02/25/2035 10,220,000 2,661,127
CWABS Asset-Backed Certificates Trust 2004-7, Floating Rate Note, 12/25/34 1.2348 12/25/2034 2,306,000 1,030,773
Toyota Motor Credit Corp., 0.875%, 7/17/15 0.875 07/17/2015 1,200,000 1,204,719
The Goldman Sachs Group, Inc., Floating Rate Note, 7/22/15 0.676 07/22/2015 1,300,000 1,301,160
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/37 1.4356 05/15/2037 3,000,000 227,440
RALI Series 2003-QS10 Trust, Floating Rate Note, 5/25/33 0.5848 05/25/2033 38,865,000 630,091
JPMorgan Chase & Co., 3.4%, 6/24/15 3.4 06/24/2015 1,325,000 1,346,708
Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A) 2.127 01/26/2020 553,000 535,611
Fannie Mae Trust 2003-W6, Floating Rate Note, 9/25/42 0.5348 09/25/2042 23,575,079 1,868,426
Invitation Homes 2014-SFR2 Trust, Floating Rate Note, 9/18/31 (144A) 1.786 09/18/2031 2,100,000 2,107,410
Cabela's Credit Card Master Note Trust, Floating Rate Note, 9/17/18 (144A) 0.8856 09/17/2018 2,475,000 2,479,282
COMM 2014-PAT Mortgage Trust, Floating Rate Note, 8/13/27 (144A) 1.7785 08/13/2027 2,722,000 2,713,246
Prudential Financial, Inc., 3.0%, 5/12/16 3.0 05/12/2016 2,500,000 2,552,923
NewStar Commercial Loan Trust 2007-1, Floating Rate Note, 9/30/22 (144A) 0.5016 09/30/2022 2,000,000 789,254
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 0.6064 02/20/2035 12,303,000 1,045,560
Wells Fargo & Co., 1.5%, 7/1/15 1.5 07/01/2015 2,600,000 2,618,573
Seminole Hard Rock Entertainment, Inc., New Term Loan B, 5/14/20 3.5 05/14/2020 589,500 589,132
Ford Credit Auto Owner Trust 2011-B, 1.35%, 12/15/16 1.35 12/15/2016 200,000 24,461
ARI Fleet Lease Trust 2012-B, Floating Rate Note, 1/15/21 (144A) 0.4856 01/15/2021 1,030,000 237,988
Arlington Flt% 01aug15 0.0 08/01/2015 100,000 113,850
Pricoa Global Funding I, Floating Rate Note, 5/16/16 (144A) 0.426 05/16/2016 1,500,000 1,499,913
East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (Cat Bond) (144A) 2.7551 03/14/2018 2,000,000 1,979,928
Mizuho Bank, Ltd., Floating Rate Note, 3/26/18 (144A) 0.9094 03/26/2018 1,670,000 1,672,683
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 0.4356 08/15/2035 2,185,000 402,634
Morgan Stanley ABS Capital I Inc Trust 2005-HE6, Floating Rate Note, 11/25/35 0.5048 11/25/2035 960,000 297,008
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 0.4948 02/25/2035 2,497,000 754,692
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/23 2.372 10/01/2023 1,890,000 7,962
Oscar US Funding Trust II, Floating Rate Note, 2/15/18 (144A) 0.8745 02/15/2018 1,600,000 1,600,590
Progreso Receivables Funding III LLC, 3.625%, 1/30/25 (144A) 3.625 01/30/2025 3,050,000 3,056,757
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.2348 10/25/2037 2,211,066 1,376,700
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/49 0.7348 12/25/2049 2,000,000 241,365
Chesapeake Funding LLC, Floating Rate Note, 2/7/27 (144A) 1.9305 02/07/2027 1,000,000 1,001,138
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/36 0.5856 09/15/2036 3,470,000 285,038
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 4.0 06/28/2016 2,500,000 2,506,806
JPMorgan Chase & Co., Floating Rate Note, 3/1/18 0.7716 03/01/2018 2,500,000 2,497,290
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 0.582 11/23/2016 1,800,000 1,801,484
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 1.82 09/15/2020 731,000 307,495
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 0.5188 05/02/2017 2,000,000 2,001,692
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 1.21 08/15/2018 700,000 377,888
Alkermes, Inc., 2019 Term Loan, 9/25/19 3.5 09/25/2019 1,122,724 1,124,829
Georgia Power Co., Floating Rate Note, 8/15/16 0.6739 08/15/2016 1,000,000 999,221
State Street Corp., 2.875%, 3/7/16 2.875 03/07/2016 3,750,000 3,840,324
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 0.6813 06/25/2035 5,850,460 1,744,632
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 0.4348 09/25/2030 10,731,472 1,630,787
Ally Master Owner Trust, Floating Rate Note, 1/16/18 0.5556 01/16/2018 300,000 300,050
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 0.4448 11/25/2046 12,390,000 1,934,763
The Bank of New York Mellon Corp., Floating Rate Note, 3/4/16 0.491 03/04/2016 3,275,000 3,284,050
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 0.6348 07/25/2034 2,860,000 149,311
SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35 0.7448 04/25/2035 28,476,673 332,635
Morgan Stanley Capital I Trust 2006-TOP23, Floating Rate Note, 8/12/41 5.8347 08/12/2041 2,450,000 2,292,065
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/28 0.59 03/25/2028 24,210,000 282,191
Ascentium Equipment Receivables 2014-1 LLC, 1.58%, 10/10/18 (144A) 1.58 10/10/2018 1,700,000 1,704,154
Oracle Corp., Floating Rate Note, 7/7/17 0.4708 07/07/2017 1,937,000 1,941,879
SMART ABS Series 2015-1US Trust, Floating Rate Note, 8/14/17 0.6056 08/14/2017 2,250,000 2,250,636
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/21 1.0848 09/25/2021 8,269,375 71,552
Royal Bank of Canada, Floating Rate Note, 9/9/16 0.7236 09/09/2016 2,000,000 2,011,114
Government National Mortgage Association, Floating Rate Note, 10/20/38 0.584 10/20/2038 3,000,000 844,041
Citibank Credit Card Issuance Trust, Floating Rate Note, 2/7/18 0.4205 02/07/2018 9,931,000 9,937,184
CHL Mortgage Pass-Through Trust 2003-15 REMICS, Floating Rate Note, 6/25/18 0.6848 06/25/2018 28,013,062 487,841
CDGJ Commercial Mortgage Trust 2014-BXCH, Floating Rate Note, 12/15/27 (144A) 2.6856 12/15/2027 4,860,000 4,875,567
Ascentium Equipment Receivables 2014-1 LLC, 1.04%, 1/10/17 (144A) 1.04 01/10/2017 1,000,000 626,951
Armstrong World Industries, Inc., Term Loan B, 3/15/20 3.5 03/15/2020 1,078,246 1,080,941
Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A) 3.721 11/16/2044 3,070,000 2,585,239
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/23 0.6848 03/25/2023 17,080,403 128,651
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2004-2, Floating Rate Note, 6/25/ 1.1448 06/25/2034 21,291,000 1,419,076
Longpoint Re, Ltd. III, Floating Rate Note, 5/24/21 (Cat Bond) (144A)   05/24/2021 750,000 747,825
Merna Reinsurance, Ltd., Floating Rate Note, 4/9/18 (Cat Bond) (144A)   04/09/2018 1,000,000 996,600
Structured Asset Investment Loan Trust 2006-1, Floating Rate Note, 1/25/36 0.3848 01/25/2036 4,650,000 931,775
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.4648 11/25/2035 14,045,000 1,877,416
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 0.7856 08/15/2019 1,550,000 1,552,468
Global Mortgage Securitization, Ltd., Floating Rate Note, 11/25/32 (144A) 0.5048 11/25/2032 8,780,000 417,487
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/39 0.6356 03/15/2039 1,000,000 224,077
Structured Asset Mortgage Investments II Trust 2004-AR1, Floating Rate Note, 3/19/34 0.8862 03/19/2034 16,800,000 751,609
Par Pharmaceutical Companies, Inc., Term B-2 Loan, 9/28/19 4.0 09/28/2019 1,466,124