Pioneer Investments: Pioneer Short Term Income Fund


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Pioneer Short Term Income Fund

Monthly Portfolio Holdings as of 7/31/2015

Security Name Coupon Maturity Date Par / Shares Market Value($)
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 0.828 11/20/2034 1,990,836 184,439
Zebra Technologies Corporation 1st Lien Tl-B L + 4% 30sep21 4.75 09/30/2021 470,455 476,695
Tradewynd Re, Ltd., Floating Rate Note, 1/8/18 (Cat Bond) (144A) 5.013 01/08/2018 250,000 246,076
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 0.9405 12/25/2034 1,210,753 89,541
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 2/25/35 1.0505 02/25/2035 4,622,000 1,107,518
77 Energy 1st Lien Tl-B L + 3% 17jun21 3.75 06/17/2021 346,500 308,602
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 0.6505 11/25/2035 471,000 384,108
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37 0.4873 02/15/2037 2,840,000 112,607
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34 1.2105 11/25/2034 900,000 55,242
AMRESCO Residential Securities Corp Mortgage Loan Trust 1997-3, Floating Rate Note, 9/25/27 0.7455 09/25/2027 8,940,000 131,541
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.8905 01/25/2035 4,956,000 542,764
Amgen, Inc., 2.5%, 11/15/16 2.5 11/15/2016 500,000 511,189
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 2.125 09/15/2015 189,000 190,848
Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36 0.5405 05/25/2036 1,300,000 378,079
American Credit Acceptance Receivables Trust 2013-1, 1.45%, 4/16/18 (144A) 1.45 04/16/2018 41,000 4,041
Bayview Financial Asset Trust 2003-A, Floating Rate Note, 2/25/33 (144A) 4.91 02/25/2033 7,852,000 165,094
Bayview Commercial Asset Trust 2004-1, Floating Rate Note, 4/25/34 (144A) 0.7305 04/25/2034 4,150,000 343,276
Bayview Opportunity Master Fund Trust IIIa 2014-12RPL, 3.6225%, 7/28/19 (Step) (144A) 3.6225 07/28/2019 465,000 147,214
Fannie Mae, Floating Rate Note, 4/1/29 2.459 04/01/2029 400,000 2,812
Express Scripts Holding Co., 2.25%, 6/15/19 2.25 06/15/2019 750,000 746,359
Federal Home Loan Banks, 2.9%, 4/20/17 2.9 04/20/2017 1,370,000 217,611
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 0.6905 05/25/2033 4,068,000 87,847
The Korea Development Bank, Floating Rate Note, 1/22/17 0.92 01/22/2017 750,000 749,831
Government National Mortgage Association, Floating Rate Note, 8/20/35 0.588 08/20/2035 1,177,000 23,338
Government National Mortgage Association I, 5.0%, 8/15/19 5.0 08/15/2019 1,347,915 298,964
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.5473 11/15/2018 550,000 179,067
BPCE SA, Floating Rate Note, 4/25/16 1.5451 04/25/2016 550,000 553,447
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 0.6405 06/25/2036 199,992 117,123
Banc of America Commercial Mortgage Trust 2006-4 REMICS, 5.634%, 7/10/46 5.634 07/10/2046 1,960,000 1,738,819
Zero% 30nov19 0.0 11/30/2019 1,000,000 1,015,800
Fannie Mae, 4.0%, 12/1/19 4.0 12/01/2019 3,570,319 549,172
Citigroup Mortgage Loan Trust, Inc., 7.0%, 11/25/19 7.0 11/25/2019 7,340,000 50,012
Freddie Mac Strips, Floating Rate Note, 12/15/36 0.5373 12/15/2036 2,327,000 116,072
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 5.46 11/15/2035 460,000 341,304
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2.0051 04/07/2017 650,000 647,776
Southwire Co., Initial Term Loan, 1/31/21 3.0 01/31/2021 400,185 399,635
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 3.0 05/15/2018 585,000 146,556
Calpine Construction Finance Co LP, Term B-2 Loan, 1/3/22 3.25 01/03/2022 664,854 659,868
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.5873 12/15/2032 2,900,000 185,963
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 2.5088 02/25/2034 3,584,000 265,670
Commonwealth Bank of Australia, Floating Rate Note, 9/18/15 (144A) 1.0863 09/18/2015 460,000 461,077
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 2.5919 05/25/2033 9,158,341 243,731
Trafigura Securitisation Finance Plc. 2014-1, Floating Rate Note, 4/16/18 (144A) 1.136 04/16/2018 400,000 400,352
Starwood Property Trust, Inc., Term Loan (First Lien), 4/17/20 3.5 04/17/2020 196,482 196,073
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 0.8325 03/03/2017 500,000 501,379
Energy Transfer Partners LP, 2.5%, 6/15/18 2.5 06/15/2018 750,000 753,079
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 3.25 12/19/2020 518,438 522,164
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 3/26/35 2.6214 03/26/2035 1,750,000 151,415
MortgageIT Trust 2004-2, Floating Rate Note, 12/25/34 0.9305 12/25/2034 5,310,000 688,249
Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE6, Floating Rate Note, 9/25/34 0.9105 09/25/2034 7,075,000 452,564
KeyBank NA Cleveland Ohio, 1.1%, 11/25/16 1.1 11/25/2016 500,000 500,911
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 4.985 09/11/2042 1,160,000 1,165,507
Homestar Mortgage Acceptance Corp. REMICS, Floating Rate Note, 9/25/34 1.2905 09/25/2034 1,510,000 341,990
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 0.4851 01/27/2017 500,000 499,076
First Franklin Mortgage Loan Trust 2002-FFA, Floating Rate Note, 9/25/32 1.6905 09/25/2032 5,500,000 230,486
Entercom Radio LLC, Term B-2 Loan, 11/23/18 4.0048 11/23/2018 498,565 500,538
Freddie Mac REMICS, Floating Rate Note, 2/15/32 1.1373 02/15/2032 14,441,000 788,842
Countrywide Asset-Backed Certificates, Floating Rate Note, 12/25/35 4.7975 12/25/2035 1,814,000 359,616
First Horizon Mortgage Pass-Through Trust 2004-AR1, Floating Rate Note, 2/25/34 2.594 02/25/2034 1,500,000 57,757
Oracle Corp., Floating Rate Note, 7/7/17 0.4843 07/07/2017 575,000 575,233
CDC Mortgage Capital Trust 2002-HE1, Floating Rate Note, 1/25/33 0.8105 01/25/2033 19,484,513 350,747
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 3.75 12/12/2019 61,163 61,239
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/27/45 (144A) 0.3905 11/27/2045 4,965,000 418,634
CD 2006-CD2 Mortgage Trust, Floating Rate Note, 1/15/46 5.4797 01/15/2046 2,084,000 1,955,659
Principal Life Global Funding II, 1.2%, 5/19/17 (144A) 1.2 05/19/2017 750,000 751,556
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 0.6405 02/25/2038 624,000 114,243
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-AR3, Floating Rate Note, 3.9405 06/25/2033 155,851 59,948
RALI Series 2005-QA1 Trust, Floating Rate Note, 1/25/35 0.4905 01/25/2035 8,661,000 769,709
Sector Re V, Ltd., 0.0%, 3/1/20 (Cat Bond) (144A) 0.0 03/01/2020 300,000 302,730
Small Business Administration Participation Certificates, 2.24%, 4/15/43 (144A) 2.24 04/15/2043 630,000 625,948
Eco Services Operations Llc 1st Lien Tl-B L + 3.75% 10oct21 4.75 10/10/2021 522,375 524,334
Berkshire Hathaway Finance Corp., Floating Rate Note, 8/14/17 0.4 08/14/2017 1,000,000 1,000,965
Federal Home Loan Mortgage Corp. REMICS, 5.5%, 10/15/35 5.5 10/15/2035 1,625,000 18,821
Honda Auto Receivables 2013-2 Owner Trust, 0.53%, 2/16/17 0.53 02/16/2017 285,000 142,292
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 458,833 466,404
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.4405 06/25/2037 1,010,000 84,678
Morgan Stanley Capital I Trust 2006-TOP23, Floating Rate Note, 8/12/41 6.0094 08/12/2041 650,000 599,214
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 0.868 05/19/2035 24,300,000 1,147,667
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 1.1405 07/25/2037 583,530 231,477
Daimler Finance North America LLC, 1.45%, 8/1/16 (144A) 1.45 08/01/2016 1,000,000 1,011,238
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 1.6 06/19/2031 665,000 658,269
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 0.3873 10/15/2020 9,083,556 100,744
Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A) 0.5151 04/25/2022 500,000 259,105
Aon Corp., 3.125%, 5/27/16 3.125 05/27/2016 750,000 767,545
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 0.5905 09/25/2035 3,362,996 216,118
Nord Anglia Education Finance Llc 1st Lien Tl-B L + 3.5% 21mar21 5.0 03/21/2021 748,111 751,384
SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35 0.7505 04/25/2035 8,945,588 97,195
Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35 0.5705 12/25/2035 200,000 41,702
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 0.6405 06/25/2036 2,317,493 200,497
Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44 1.8653 12/25/2044 1,225,000 170,292
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.6405 09/25/2037 2,524,000 94,138
Conseco Finance Home Equity Loan Trust 2002-C, Floating Rate Note, 4/15/32 1.687 04/15/2032 2,875,000 733,870
WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21 2.75 01/23/2021 71,935 71,960
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33 0.6905 09/25/2033 4,915,594 465,635
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 1.689 11/05/2030 1,090,000 1,074,101
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-E, Floating Rate Note, 11/25/29 1.1149 11/25/2029 13,874,000 576,214
Oscar US Funding Trust 2014-1, 1.0%, 8/15/17 (144A) 1.0 08/15/2017 700,000 587,090
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 0.7905 04/25/2034 2,350,729 91,636
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/19 0.3373 07/15/2019 1,500,000 70,988
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/1/28 2.482 01/01/2028 500,000 3,050
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 0.5873 07/15/2023 835,000 152,094
Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18 2.66 03/31/2018 395,000 394,835
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/25 2.599 04/01/2025 13,000,000 16,987
Fannie Mae, Floating Rate Note, 2/1/27 2.45 02/01/2027 4,000,000 10,391
Federal Home Loan Mortgage Corp., 3.0%, 12/15/24 3.0 12/15/2024 2,315,000 400,454
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 0.7405 12/25/2034 510,000 307,281
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 0.4505 11/25/2035 5,875,000 357,073
Structured Asset Securities Corp Mortgage Loan Trust 2005-2XS, 4.65%, 2/25/35 (Step) 4.65 02/25/2035 1,000,000 78,861
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.5373 11/15/2036 600,000 87,494
Verizon Communications, Inc., 0.7%, 11/2/15 0.7 11/02/2015 935,000 936,469
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 0.3405 05/25/2036 704,088 143,498
Level 3 Financing Inc 1st Lien Tl-B2 L + 2.75% 31may22   05/31/2022 225,000 224,409
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 4.0153 05/05/2017 750,000 740,358
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 5/25/24 1.1405 05/25/2024 1,020,000 794,746
The GEO Group, Inc., Term Loan, 4/3/20 3.25 04/03/2020 491,206 492,741
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 1.18 08/15/2017 329,000 32,029
Sierra Timeshare 2013-2 Receivables Funding LLC, 2.92%, 11/20/25 (144A) 2.92 11/20/2025 270,000 86,817
SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A) 2.0 09/20/2029 1,600,000 680,068
Credit Suisse First Boston Mortgage Securities Corp., 7.5%, 5/25/32 7.5 05/25/2032 15,000,000 291,916
Government National Mortgage Association, 5.0%, 4/20/36 5.0 04/20/2036 850,000 81,606
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/45 0.4105 03/25/2045 6,100,000 850,180
CHL Mortgage Pass-Through Trust 2004-14, Floating Rate Note, 8/25/34 2.574 08/25/2034 1,810,000 177,441
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 0.4373 08/15/2035 462,000 80,854
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 0.3805 01/25/2036 1,567,646 110,809
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 0.5005 11/25/2035 7,189,000 1,217,776
Belden Finance 2013 LP, Initial Term Loan, 9/9/20 3.25 09/09/2020 245,625 246,086
Credit Suisse Mortgage Capital Certificates REMICS, Floating Rate Note, 7/27/36 (144A) 2.8214 07/27/2036 3,494,698 427,257
RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32 6.0 01/25/2032 11,000,000 367,131
Government National Mortgage Association, 3.0%, 12/20/38 3.0 12/20/2038 1,000,000 100,152
Federal National Mortgage Association, 2.5%, 4/25/36 2.5 04/25/2036 635,000 173,194
Federal Home Loan Mortgage Corp., 4.0%, 1/15/34 4.0 01/15/2034 5,000,000 240,298
Credit Suisse Commercial Mortgage Trust Series 2006-C2 REMICS, Floating Rate Note, 3/15/39 5.8602 03/15/2039 1,970,000 1,833,105
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/2/21 0.6952 03/02/2021 800,000 313,026
FCA US LLC, Tranche B Term Loan, 12/29/18 3.25 12/29/2018 592,500 593,018
Federal Home Loan Mortgage Corp., 2.5%, 10/1/27 2.5 10/01/2027 1,247,958 891,238
Eden Re II, Ltd., 0.0%, 4/19/18 (Cat Bond) (144A) 0.0 04/19/2018 700,000 716,800
Government National Mortgage Association REMICS, 4.0%, 9/20/37 4.0 09/20/2037 4,000,000 2,341,493
Apple, Inc., Floating Rate Note, 5/3/16 0.3288 05/03/2016 400,000 400,448
Golden State RE II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A) 2.2102 01/08/2019 750,000 746,600
Queen Street X RE, Ltd., Floating Rate Note, 6/8/18 (Cat Bond) (144A) 5.75 06/08/2018 250,000 246,672
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 4.0 06/28/2016 500,000 503,411
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 7.2653 07/05/2016 500,000 508,222
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38 1.4105 10/25/2038 1,808,000 168,041
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/20 (Cat Bond) (144A) 6.8551 04/07/2020 750,000 763,267
SWAY Residential 2014-1 Trust, Floating Rate Note, 1/20/32 (144A) 1.488 01/20/2032 700,000 693,146
JP Morgan Mortgage Trust 2005-A3, Floating Rate Note, 6/25/35 2.1174 06/25/2035 6,041,179 531,870
MGM Resorts International, Term B Loan, 12/20/19 3.5 12/20/2019 341,250 340,646
Access Point Funding I 2015-A LLC, 2.61%, 4/15/20 (144A) 2.61 04/15/2020 500,000 473,480
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5.421 09/10/2045 1,750,000 1,774,419
Chase Issuance Trust, 0.59%, 8/15/17 0.59 08/15/2017 300,000 300,075
Precision Castparts Corp., 1.25%, 1/15/18 1.25 01/15/2018 500,000 495,822
Merrill Lynch Mortgage Trust 2005-LC1, Floating Rate Note, 1/12/44 5.291 01/12/2044 1,670,000 1,170,524
RBSSP Resecuritization Trust 2009-5, Floating Rate Note, 8/25/37 (144A) 0.6848 08/25/2037 2,550,000 732,260
COMM 2014-PAT Mortgage Trust REMICS, Floating Rate Note, 8/13/27 (144A) 0.988 08/13/2027 400,000 398,131
Altrl Zero% 30jun17 0.0 06/30/2017 500,000 517,600
Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A) 2.1451 01/26/2020 553,000 532,928
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.7653 04/30/2018 650,000 637,579
Outfront Media Capital LLC, Term Loan, 1/15/21 3.0 01/15/2021 350,000 350,281
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 0.9405 05/25/2035 429,900 370,253
Evergreen Skills Lux Sarl, Initial Term Loan (First Lien), 4/23/21 5.75 04/23/2021 198,000 193,133
Pfizer, Inc., Floating Rate Note, 5/15/17 0.4239 05/15/2017 750,000 750,805
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/18 0.7873 08/15/2018 600,000 82,079
Federal Home Loan Mortgage Corp., 5.0%, 2/1/21 5.0 02/01/2021 1,000,000 66,789
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 3.25 10/18/2018 98,485 98,500
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 0.6718 01/30/2017 500,000 498,506
Government National Mortgage Association, Floating Rate Note, 2/20/38 0.688 02/20/2038 2,477,000 183,563
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 7/25/35 0.4605 07/25/2035 3,555,000 371,402
CHS, Incremental 2019 Term G Loan, 12/31/19 3.0318 12/31/2019 93,027 93,338
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 0.9618 07/19/2016 300,000 300,840
Alternative Loan Trust 2003-14T1, Floating Rate Note, 8/25/18 0.6405 08/25/2018 3,200,000 104,888
Federal National Mortgage Association, 3.5%, 3/25/28 3.5 03/25/2028 2,344,102 106,140
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.5873 12/15/2032 1,931,288 116,485
Fieldwood Energy LLC, Closing Date Loan, 9/25/18 3.875 09/25/2018 983,740 906,885
Federal National Mortgage Association, 3.5%, 7/25/24 3.5 07/25/2024 1,250,000 184,909
TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16 0.9618 06/30/2016 690,000 691,424
On Assignment Inc 1st Lien Tl-B L + 3% 05jun22 3.75 06/05/2022 120,436 120,963
Axis Equipment Finance Receivables III LLC, 3.41%, 4/20/20 (144A) 3.41 04/20/2020 300,000 299,734
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 0.9905 10/25/2034 2,344,000 109,064
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/42 0.7373 02/15/2042 350,000 176,222
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 0.8305 03/25/2034 25,588,000 1,370,918
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/38 1.0905 07/25/2038 6,812,000 332,969
BBCMS Trust 2014-BXO REMICS, Floating Rate Note, 8/16/27 (144A) 1.7873 08/16/2027 180,000 144,180
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/37 0.4873 01/15/2037 16,831,292 922,224
BXHTL 2015-JWRZ Mortgage Trust, Floating Rate Note, 5/15/28 (144A) 3.038 05/15/2028 800,000 803,521
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 4.894 08/10/2042 1,000,000 94,668
Polar Pak, Inc., 6/7/20 4.5 06/07/2020 81,881 81,881
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 1.0936 10/28/2016 750,000 752,971
Cendant Mortgage Corp., 6.25%, 3/25/32 (144A) 6.25 03/25/2032 4,100,000 382,222
Vantiv LLC, Term B Loan, 6/12/21 3.75 06/12/2021 288,029 289,647
GATX Corp., 1.25%, 3/4/17 1.25 03/04/2017 750,000 751,664
NSTAR Electric Co., Floating Rate Note, 5/17/16 0.516 05/17/2016 341,000 340,703
Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A) 2.38 03/20/2029 1,500,000 315,301
Fannie Mae, Floating Rate Note, 10/1/29 2.28 10/01/2029 10,892,567 83,054
Bear Stearns Commercial Mortgage Securities Trust 2006-TOP22, Floating Rate Note, 4/12/38 5.7775 04/12/2038 1,150,000 912,508
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 2.4598 11/25/2034 1,259,000 105,741
Toyota Motor Credit Corp., 1.125%, 5/16/17 1.125 05/16/2017 750,000 753,275
North American Development Bank, 2.3%, 10/10/18 2.3 10/10/2018 650,000 668,366
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 0.3605 08/25/2036 253,896 51,292
Hilton Grand Vacations Trust 2014-A, 2.07%, 11/25/26 (144A) 2.07 11/25/2026 750,000 555,036
Westpac Banking Corp., Floating Rate Note, 5/19/17 0.6065 05/19/2017 1,000,000 1,001,537
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 0.4605 04/25/2032 10,483,000 770,980
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 1.2047 03/25/2028 10,213,000 296,816
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A) 2.1 05/19/2031 700,000 697,348
CGWF Commercial Mortgage Trust 2013-RKWH REMICS, Floating Rate Note, 11/15/30 (144A) 2.0873 11/15/2030 1,720,000 1,721,235
PNC Bank NA, 1.6%, 6/1/18 1.6 06/01/2018 600,000 599,841
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 0.5285 02/22/2021 500,000 174,899
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 0.7805 11/25/2035 2,175,000 63,831
American Express Credit Corp., Floating Rate Note, 9/22/17 0.5808 09/22/2017 1,000,000 994,438
KeyCorp, 3.75%, 8/13/15 3.75 08/13/2015 931,000 947,886
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 8.508 05/09/2016 250,000 255,786
JP Morgan Chase Commercial Mortgage Securities Trust 2015-FL7, Floating Rate Note, 5/15/28 1.988 05/15/2028 850,000 851,011
RAMP Series 2003-RS9 Trust, Floating Rate Note, 10/25/33 5.06 10/25/2033 5,091,956 266,066
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/35 0.5405 03/25/2035 1,278,000 206,974
COMM 2014-KYO Mortgage Trust, Floating Rate Note, 6/11/27 (144A) 1.837 06/11/2027 1,630,000 1,629,926
CarMax Auto Owner Trust 2013-3, 2.15%, 5/15/19 2.15 05/15/2019 540,000 544,816
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 0.7412 09/09/2016 500,000 502,217
General Mills, Inc., 0.875%, 1/29/16 0.875 01/29/2016 250,000 250,070
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.8905 01/25/2035 9,210,000 937,758
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/31 2.406 10/01/2031 19,044,336 330,959
Costco Wholesale Corp., 1.125%, 12/15/17 1.125 12/15/2017 740,000 738,325
Polar Pak, Inc., 6/7/20 4.5 06/07/2020 143,636 143,636
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 2.503 08/25/2033 4,000,000 202,688
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/35 0.4373 01/15/2035 1,635,000 204,331
ACIS CLO 2014-4, Ltd., Floating Rate Note, 5/1/26 (144A) 1.2782 05/01/2026 700,000 175,572
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 9/10/47 5.327 09/10/2047 1,780,000 1,178,248
HLSS Servicer Advance Receivables Trust, 1.4953%, 1/16/46 (144A) 1.4953 01/16/2046 1,706,000 1,705,428
Electricite de France SA, Floating Rate Note, 1/20/17 (144A) 0.747 01/20/2017 750,000 750,862
Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20 3.5 09/23/2020 330,066 331,123
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/39 0.8905 11/25/2039 2,750,000 393,902
Barclays Bank Plc, Floating Rate Note, 2/17/17 0.856 02/17/2017 229,000 228,702
Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A) 1.87 08/20/2029 1,400,000 357,549
Sensata Technologies 1st Lien L + 2.25% 14oct21 2.5318 10/14/2021 645,133 647,552
Federal National Mortgage Association, 2.5%, 9/1/22 2.5 09/01/2022 2,000,000 1,133,184
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 2.4888 10/15/2054 250,000 260,007
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 0.582 11/23/2016 500,000 500,974
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 0.6505 01/25/2035 3,700,000 219,425
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/34 0.5905 04/25/2034 644,866 66,085
Berkshire Hathaway Finance Corp., Floating Rate Note, 1/10/17 0.4335 01/10/2017 1,000,000 1,000,870
US Residential Opportunity Fund III Trust 2015-1, 3.7213%, 1/29/35 (144A) 3.7213 01/29/2035 700,000 658,756
Gci Holdings Inc 1st Lien Tl-B L + 3.75% 22dec21 4.75 12/22/2021 748,125 752,801
The Bank of Nova Scotia, 1.45%, 4/25/18 1.45 04/25/2018 500,000 499,735
Government National Mortgage Association, Floating Rate Note, 4/16/31 0.487 04/16/2031 12,627,242 237,384
Ford Motor Credit Co LLC, 2.375%, 1/16/18 2.375 01/16/2018 250,000 252,130
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 2.4405 03/25/2032 1,100,000 139,103
PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29 1.44 05/15/2029 400,000 236,598
Fannie Mae, 5.0%, 10/1/41 5.0 10/01/2041 1,736,000 676,789
Ford Credit Auto Owner Trust 2014-A, 0.48%, 11/15/16 0.48 11/15/2016 260,000 2,719
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 2.238 09/18/2031 750,000 750,108
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.7605 09/25/2037 2,706,000 279,940
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 0.5405 08/25/2036 1,173,000 199,355
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU REMICS, Floating Rate Note, 12/15/28 1.688 12/15/2028 1,030,000 1,030,731
The Goldman Sachs Group, Inc., 1.6%, 11/23/15 1.6 11/23/2015 2,125,000 2,137,145
Texas Instruments, Inc., 0.875%, 3/12/17 0.875 03/12/2017 500,000 502,384
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1.2705 03/25/2035 300,000 62,109
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 3 0.8655 03/25/2035 592,188 232,937
CG-CCRE Commercial Mortgage Trust 2014-FL1, Floating Rate Note, 6/16/31 (144A) 1.1373 06/16/2031 1,630,000 1,627,381
American Honda Finance Corp., 1.2%, 7/14/17 1.2 07/14/2017 750,000 749,854
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 0.4605 09/25/2035 9,387,000 599,952
First Investors Auto Owner Trust 2013-1, 1.81%, 10/15/18 (144A) 1.81 10/15/2018 55,000 55,234
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 0.512 01/20/2021 1,000,000 233,007
Volkswagen International Finance NV, 1.6%, 11/20/17 (144A) 1.6 11/20/2017 500,000 502,138
Branch Banking & Trust Co., 2.3%, 10/15/18 2.3 10/15/2018 500,000 510,035
Citigroup, Inc., 1.3%, 4/1/16 1.3 04/01/2016 500,000 503,438
Navitas Equipment Receivables LLC 2013-1, 3.63%, 2/15/17 3.63 02/15/2017 650,000 652,425
La Hipotecaria Panamanian Mortgage Trust 2007-1, Floating Rate Note, 12/23/36 (144A) 4.7725 12/23/2036 1,400,000 610,649
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 1.2705 03/25/2035 311,000 80,468
Federal National Mortgage Association 2006-48-T, 5.5%, 12/25/34 5.5 12/25/2034 1,716,418 107,471
NorthStar 2013-1, Floating Rate Note, 8/27/29 (144A) 2.0405 08/27/2029 778,000 504,573
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 5.7551 12/06/2016 250,000 255,056
Royal Bank of Canada, Floating Rate Note, 6/16/17 0.5261 06/16/2017 1,000,000 999,481
Fannie Mae, 6.5%, 4/1/29 6.5 04/01/2029 9,050,000 288,758
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 0.7873 02/15/2019 430,000 429,357
Schaeffler (Aka Ina Beteiligungsge 1st Lien Tl-B L + 3.5% 15may20 4.25 05/15/2020 442,308 445,808
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 0.7405 05/25/2040 761,373 274,199
Government National Mortgage Association II, 6.0%, 4/20/22 6.0 04/20/2022 1,262,566 169,977
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 0.5905 10/25/2036 11,844,000 396,425
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.4705 11/25/2035 2,941,000 372,404
Bank of America Corp., 1.25%, 1/11/16 1.25 01/11/2016 575,000 576,562
Reckitt Benckiser Treasury Services Plc, 2.125%, 9/21/18 (144A) 2.125 09/21/2018 500,000 504,578
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 2.25 08/20/2025 1,490,000 602,833
RAMP Series 2004-SL4 Trust, Floating Rate Note, 5/25/18 6.3445 05/25/2018 13,780,000 47,244
Government National Mortgage Association, Floating Rate Note, 4/16/32 0.687 04/16/2032 10,000,000 130,797
Citigroup, Inc., 1.8%, 2/5/18 1.8 02/05/2018 750,000 755,270
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 9.265 06/06/2017 250,000 259,794
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 4.5 07/01/2019 1,381,464 162,326
Centerpoint Energy Transition Bond Co II LLC, 5.17%, 8/1/19 5.17 08/01/2019 720,000 531,454
Phillips 66, 2.95%, 5/1/17 2.95 05/01/2017 750,000 773,937
NovaStar Mortgage Funding Trust Series 2004-3, Floating Rate Note, 12/25/34 1.7655 12/25/2034 560,000 533,688
Morgan Stanley, Floating Rate Note, 1/5/18 1.0235 01/05/2018 750,000 750,710
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 5.2551 03/07/2016 500,000 493,783
Morgan Stanley ABS Capital I Inc Trust 2005-NC2, Floating Rate Note, 3/25/35 0.8205 03/25/2035 627,000 321,758
Federal National Mortgage Association, 4.0%, 10/1/20 4.0 10/01/2020 4,317,004 1,015,178
PVH Corp., Tranche B Term Loan, 2/13/20 3.25 02/13/2020 290,491 292,170
Home Loan Trust 2003-HI1, 5.77%, 4/25/28 (Step) 5.77 04/25/2028 1,500,000 75,723
Kizuna Re II, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A) 2.2653 04/06/2018 450,000 452,087
Progreso Receivables Funding LLC, 3.0%, 7/8/20 3.0 07/08/2020 350,000 350,845
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36 0.6105 08/25/2036 4,040,000 397,453
ConocoPhillips Co., 1.05%, 12/15/17 1.05 12/15/2017 1,000,000 993,705
NCF Dealer Floorplan Master Trust, Floating Rate Note, 10/20/20 (144A) 1.6868 10/20/2020 750,000 750,422
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 0.4205 11/25/2037 9,516,000 329,916
Federal National Mortgage Association, Floating Rate Note, 11/25/27 0.4905 11/25/2027 15,797,000 470,491
East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (Cat Bond) (144A) 2.7653 03/14/2018 500,000 489,674
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 5.23 12/17/2040 2,730,000 934,586
Terex Corp., U.S. Term Loan, 8/13/21 3.5 08/13/2021 256,395 256,811
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A) 0.6922 03/10/2017 500,000 499,361
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25 0.4373 08/15/2025 970,000 254,114
Structured Asset Securities Corp Mortgage Pass Through Ctfs Series 2003-35, Floating Rate Note, 12/2 0.6905 12/25/2033 5,293,000 199,487
Riverfront Re, Ltd., Floating Rate Note, 1/6/17 (Cat Bond) (144A) 4.0051 01/06/2017 320,000 315,090
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 0.539 02/28/2041 1,639,000 3,821
Fannie Mae, Floating Rate Note, 2/1/33 3.288 02/01/2033 380,000 1,163
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 0.3673 05/15/2036 4,000,000 108,338
Bayview Opportunity Master Fund IIA Trust 2012-4NPL Series III, Floating Rate Note, 2/28/35 (144A) 3.721 02/28/2035 400,000 256,761
John Deere Capital Corp., 1.05%, 12/15/16 1.05 12/15/2016 750,000 752,845
Fannie Mae, 7.0%, 7/1/17 7.0 07/01/2017 3,768,412 30,350
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 0.6905 03/25/2024 4,129,409 140,468
SunTrust Banks, Inc., 3.5%, 1/20/17 3.5 01/20/2017 500,000 514,488
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 9/8/17 (144A) 0.5889 09/08/2017 500,000 498,958
Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A) 0.5359 06/15/2020 500,000 90,597
Verizon Communications, Inc., Floating Rate Note, 9/15/16 1.8159 09/15/2016 1,780,000 1,804,733
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 4.568 01/15/2031 275,000 28,701
Progreso Receivables Funding II LLC, 3.5%, 7/8/19 (144A) 3.5 07/08/2019 1,370,000 1,379,601
Federal National Mortgage Association REMICS, Floating Rate Note, 5/18/32 0.688 05/18/2032 31,809,000 574,007
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP20, Floating Rate Note, 10/12/42 5.2572 10/12/2042 1,905,000 486,875
Wachovia Mortgage Loan Trust Series 2005-WMC1, Floating Rate Note, 10/25/35 0.9305 10/25/2035 750,000 62,893
Merrill Lynch Mortgage Investors Trust Series 2005-A3, Floating Rate Note, 4/25/35 0.4605 04/25/2035 10,415,000 1,060,711
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 0.6905 12/25/2032 34,313,143 624,306
Irwin Home Equity Loan Trust 2005-1, 5.32%, 6/25/35 (Step) 5.32 06/25/2035 900,000 67,562
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 1.21 08/15/2018 200,000 92,958
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/15/19 0.4873 08/15/2019 6,831,666 147,864
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5.372 09/10/2045 1,450,000 1,298,704
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 0.4373 08/15/2036 5,044,000 216,610
Morgan Stanley, Floating Rate Note, 2/25/16 1.532 02/25/2016 500,000 503,520
Federal Home Loan Mortgage Corp., 5.5%, 8/1/23 5.5 08/01/2023 1,563,938 45,918
Flt% 15jun16 0.0 06/15/2016 250,000 245,375
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/36 0.5373 04/15/2036 4,003,000 539,614
Banco Nacional de Desenvolvimento Economico e Social, 3.375%, 9/26/16 (144A) 3.375 09/26/2016 1,000,000 1,014,219
Government National Mortgage Association, Floating Rate Note, 2/16/30 0.837 02/16/2030 14,415,492 193,878
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 0.7308 03/22/2016 475,000 475,107
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 0.7673 10/15/2037 3,873,000 230,258
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 2.0384 05/07/2024 250,000 250,804
ASG Resecuritization Trust 2010-3, Floating Rate Note, 12/29/45 (144A) 0.4907 12/29/2045 1,642,839 632,489
DELOS FINANCE SARL, Loan, 2/27/21 3.5 03/06/2021 425,000 426,176
Merrill Lynch Mortgage Trust 2006-C2, Floating Rate Note, 8/12/43 5.782 08/12/2043 1,000,000 1,041,323
Federal National Mortgage Association, Floating Rate Note, 2/25/23 1.0405 02/25/2023 77,000,000 340,796
Becton Dickinson and Co., 1.45%, 5/15/17 1.45 05/15/2017 750,000 755,571
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/16/30 (144A) 1.938 12/16/2030 410,000 409,492
CNL Commercial Mortgage Loan Trust 2003-1, Floating Rate Note, 5/15/31 (144A) 0.6873 05/15/2031 5,443,000 362,841
Morgan Stanley Capital I Trust 2015-XLF1, Floating Rate Note, 8/14/31 (144A) 2.3873 08/14/2031 500,000 499,463
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/33 0.4973 04/15/2033 22,025,143 866,060
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 0.5905 05/25/2037 6,826,000 213,121
Massachusetts Development Finance Agency, Floating Rate Note, 2/15/36 3.0 02/15/2036 250,000 257,156
Activision Blizzard, Inc., Term Loan, 7/26/20 3.25 07/26/2020 573,304 576,260
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 0.5905 03/25/2034 763,500 177,338
Blue Danube II, Ltd., Floating Rate Note, 5/23/18 (Cat Bond) (144A) 4.3682 05/23/2018 800,000 802,504
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45 2.2887 06/25/2045 1,600,000 226,377
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 0.5905 07/25/2034 1,642,000 94,659
Impac CMB Trust Series 2005-4, Floating Rate Note, 5/25/35 0.8355 05/25/2035 6,960,000 666,066
America Movil SAB de CV, Floating Rate Note, 9/12/16 1.2879 09/12/2016 1,000,000 1,005,665
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 0.4905 10/25/2035 1,878,000 162,597
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 2.336 06/15/2016 1,000,000 1,003,504
GS Caltex Corp., 3.25%, 10/1/18 (144A) 3.25 10/01/2018 500,000 515,854
ABN AMRO Bank NV, 1.375%, 1/22/16 (144A) 1.375 01/22/2016 500,000 501,308
ML-CFC Commercial Mortgage Trust 2006-2, Floating Rate Note, 6/12/46 6.0283 06/12/2046 800,000 825,873
Government National Mortgage Association I, 6.5%, 5/15/31 6.5 05/15/2031 3,183,996 38,199
Aflac, Inc., 3.45%, 8/15/15 3.45 08/15/2015 500,000 508,350
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 1.0905 12/25/2031 4,375,000 120,563
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 3.5102 01/06/2019 500,000 490,468
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.4673 11/15/2018 2,550,000 464,639
Collateralized Mortgage Obligation Trust 44, Floating Rate Note, 7/1/18 1.1366 07/01/2018 13,590,000 33,315
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 1.088 05/19/2033 7,644,000 349,733
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 3.5 08/17/2020 508,935 509,995
Crown Castle 1st Lien Term-B2 L + 2.5% 31jan21 3.0 01/31/2021 347,355 346,834
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR12, Floating Rate Note, 9/11/38 5.8936 09/11/2038 840,000 668,434
GS Mortgage Securities Trust 2014-GSFL, Floating Rate Note, 7/15/31 (144A) 1.9373 07/15/2031 495,000 492,941
DR Horton, Inc., 4.0%, 2/15/20 4.0 02/15/2020 650,000 675,422
Capital Auto Receivables Asset Trust 2013-1, 1.74%, 10/22/18 1.74 10/22/2018 413,000 414,311
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 0.6359 12/15/2016 250,000 249,665
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 1.1905 02/25/2024 485,000 425,215
Bayer US Finance LLC, 1.5%, 10/6/17 (144A) 1.5 10/06/2017 750,000 755,363
Par Pharmaceutical Companies, Inc., Term B-2 Loan, 9/28/19 4.0 09/28/2019 637,690 638,022
Fannie Mae, Floating Rate Note, 11/1/25 2.268 11/01/2025 700,000 2,280
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 0.4873 01/15/2036 400,312 67,648
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 2.7%, 9/9/18 (144A) 2.7 09/09/2018 305,000 313,758
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 0.9305 03/25/2028 15,000,000 597,279
The Boeing Co., 0.95%, 5/15/18 0.95 05/15/2018 1,050,000 1,039,749
Origen Manufactured Housing Contract Trust 2004-A, Floating Rate Note, 1/15/35 5.91 01/15/2035 600,000 226,139
LB-UBS Commercial Mortgage Trust 2006-C4, Floating Rate Note, 6/15/38 6.048 06/15/2038 500,000 516,686
Abbey National Treasury Services Plc London, Floating Rate Note, 9/29/17 0.692 09/29/2017 750,000 747,366
Post Holdings Inc 1st Lien Tl-B L + 3% 23may21 3.75 05/23/2021 748,113 748,861
Raymond James Financial, Inc., 4.25%, 4/15/16 4.25 04/15/2016 2,108,000 2,181,061
JPMorgan Chase & Co., Floating Rate Note, 2/25/21 1.96 02/25/2021 500,000 492,609
CeramTec Acquisition Corp., Initial Dollar Term B-2 Loan, 8/30/20 4.25 08/30/2020 20,744 20,816
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/27 0.7373 04/15/2027 22,817,000 218,596
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 1.0105 05/25/2035 1,600,000 27,217
Federal National Mortgage Association, 4.5%, 6/25/40 4.5 06/25/2040 4,200,000 976,235
Conseco Finance Corp., 7.55%, 4/15/32 (Step) 7.55 04/15/2032 2,740,000 92,202
First Franklin Mortgage Loan Trust 2003-FFC, Floating Rate Note, 11/25/32 1.4905 11/25/2032 8,000,000 384,223
Tronox Pigments Holland BV, New Term Loan, 3/19/20 4.25 03/19/2020 447,716 429,247
Federal Home Loan Mortgage Corp., Floating Rate Note, 5/1/25 2.202 05/01/2025 588,110 5,338
FREMF Mortgage Trust 2014-KF05 REMICS, Floating Rate Note, 9/25/21 (144A) 4.1865 09/25/2021 500,000 485,904
17079z Zero% 31mar18 0.0 03/31/2018 250,000 257,975
Fannie Mae, Floating Rate Note, 10/1/36 1.896 10/01/2036 1,877,185 308,819
1011778 BC ULC, Term B-2 Loan, 12/12/21 3.75 12/12/2021 531,285 533,078
CNH Equipment Trust 2012-C, 0.57%, 12/15/17 0.57 12/15/2017 75,000 20,016
American Express Credit Corp., 1.3%, 7/29/16 1.3 07/29/2016 500,000 501,937
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 1.1873 03/15/2032 15,667,000 153,393
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 2.1905 10/25/2023 1,244,000 863,050
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/37 0.5623 11/15/2037 3,358,000 450,986
Bank of America Corp., Floating Rate Note, 8/25/17 0.892 08/25/2017 408,000 407,924
SunTrust Bank, 1.35%, 2/15/17 1.35 02/15/2017 500,000 502,982
Consumer Credit Origination Loan Trust 2015-1, 2.82%, 3/15/21 (144A) 2.82 03/15/2021 750,000 563,777
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 0.902 02/26/2016 320,000 320,981
Volkswagen Group of America Finance LLC, 1.65%, 5/22/18 (144A) 1.65 05/22/2018 500,000 499,453
AmeriCredit Automobile Receivables Trust 2014-2, Floating Rate Note, 10/10/17 0.4665 10/10/2017 380,000 178,350
Government National Mortgage Association, Floating Rate Note, 9/20/33 0.488 09/20/2033 704,000 19,680
Intesa Sanpaolo S.p.A., 3.625%, 8/12/15 (144A) 3.625 08/12/2015 1,375,000 1,399,095
321 Henderson Receivables I LLC, Floating Rate Note, 6/15/41 (144A) 0.3873 06/15/2041 2,000,000 603,070
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 0.6459 03/13/2017 650,000 650,811
Ford Credit Auto Owner Trust 2013-D, 1.54%, 3/15/19 1.54 03/15/2019 100,000 100,218
Government National Mortgage Association, Floating Rate Note, 1/16/35 0.437 01/16/2035 2,563,000 245,625
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 1.1905 04/25/2032 50,000,000 559,934
Banc of America Funding 2003-3 Trust, 5.5%, 10/25/33 5.5 10/25/2033 617,825 100,555
Marathon Oil Corp., 0.9%, 11/1/15 0.9 11/01/2015 1,496,000 1,498,430
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 3.0 03/27/2024 550,000 246,861
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 7/25/24 1.3905 07/25/2024 1,540,000 1,151,038
American Credit Acceptance Receivables Trust 2014-2, 0.99%, 10/10/17 (144A) 0.99 10/10/2017 500,000 100,255
Mastr Asset Backed Securities Trust 2005-WMC1, Floating Rate Note, 3/25/35 0.8655 03/25/2035 215,000 30,500
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 0.671 11/21/2016 1,500,000 1,500,815
Invitation Homes 2014-SFR2 Trust, Floating Rate Note, 9/18/31 (144A) 1.788 09/18/2031 600,000 597,591
PACCAR Financial Corp., Floating Rate Note, 6/6/17 0.4689 06/06/2017 485,000 485,400
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 1.23 03/15/2019 1,048,000 307,696
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 0.689 06/28/2044 1,650,000 1,278,003
RESI Finance LP 2003-CB1, Floating Rate Note, 7/9/35 1.6385 07/09/2035 4,982,000 1,126,889
Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A) 3.5051 06/06/2018 250,000 252,386
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 3.25 11/05/2020 493,750 496,643
Volkswagen International Finance NV, 1.125%, 11/18/16 (144A) 1.125 11/18/2016 750,000 752,039
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 2.7369 04/19/2034 3,987,000 170,316
Metropolitan Life Insurance Co., 7.7%, 11/1/15 (144A) 7.7 11/01/2015 1,250,000 1,292,944
Manufacturers & Traders Trust Co., Floating Rate Note, 7/25/17 0.5951 07/25/2017 1,000,000 995,433
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 2.75 01/23/2021 199,900 199,971
FCA US LLC, Term Loan B, 5/24/17 3.5 05/24/2017 892,800 893,693
L-3 Communications Corp., 1.5%, 5/28/17 1.5 05/28/2017 586,000 582,445
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 1.0905 04/25/2032 10,133,000 536,611
RREF 2015-LT7 LLC, 3.0%, 12/25/32 (144A) 3.0 12/25/2032 700,000 639,067
Federal National Mortgage Association REMICS, 3.5%, 10/25/39 3.5 10/25/2039 490,000 252,426
Milacron Llc 1st Lien Tl-B L + 3.5% 28sep20 4.5 09/28/2020 326,836 328,470
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/38 0.5873 03/15/2038 2,600,000 595,719
Seadrill Operating LP, Initial Term Loan, 2/14/21 4.0 02/14/2021 837,250 629,507
KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A) 1.7239 05/15/2021 375,000 371,261
Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43 2.1639 06/25/2043 3,857,000 116,298
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 1.6905 06/25/2028 2,350,000 435,508
Fannie Mae, 6.0%, 10/1/22 6.0 10/01/2022 973,454 227,402
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 0.7366 05/13/2016 250,000 250,947
Wachovia Corp., Floating Rate Note, 6/15/17 0.5559 06/15/2017 1,077,000 1,073,384
U.S. Treasury Notes, 0.875%, 1/15/18 0.875 01/15/2018 1,500,000 1,502,130
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 2.4 11/17/2025 642,000 143,892
U.S. Residential Opportunity Fund IV Trust 2015-1, 3.7213%, 2/27/35 (144A) 3.7213 02/27/2035 1,000,000 939,166
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 0.3005 03/25/2037 1,394,318 278,651
The Huntington National Bank, 1.3%, 11/20/16 1.3 11/20/2016 500,000 500,422
WaMu Mortgage Pass-Through Certificates Series 2003-S10, 5.0%, 10/25/18 5.0 10/25/2018 17,361,049 441,151
Federal Home Loan Mortgage Corp., 3.5%, 8/15/28 3.5 08/15/2028 500,000 132,379
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1.4445 05/27/2016 1,000,000 1,002,784
Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A) 3.763 11/25/2019 750,000 740,422
Wells Fargo Alternative Loan 2005-2 Trust, Floating Rate Note, 10/25/35 1.0105 10/25/2035 453,135 451,362
Ford Motor Credit Co LLC, 2.875%, 10/1/18 2.875 10/01/2018 1,000,000 1,024,230
Zero% 31aug16 0.0 08/31/2016 100,000 101,420
Micron Semiconductor Asia Pte, Ltd., 1.258%, 1/15/19 1.258 01/15/2019 500,000 349,387
Mastr Asset Backed Securities Trust 2006-AB1 REMICS, Floating Rate Note, 2/25/36 0.4205 02/25/2036 3,670,545 520,341
AmeriCredit Automobile Receivables Trust 2012-4, 3.82%, 2/10/20 (144A) 3.82 02/10/2020 500,000 513,139
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 0.5873 05/15/2041 638,000 94,421
Fannie Mae, Floating Rate Note, 10/1/29 2.57 10/01/2029 4,831,796 101,565
The Bank of New York Mellon Corp., 1.969%, 6/20/17 (Step) 1.969 06/20/2017 750,000 762,519
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 0.7605 09/25/2036 3,447,000 172,074
Fannie Mae, 6.0%, 4/1/38 6.0 04/01/2038 483,000 33,570
Federal National Mortgage Association, Floating Rate Note, 4/25/33 0.6905 04/25/2033 36,000,000 832,846
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 2.9127 07/25/2034 2,481,203 77,477
NYSE Holdings LLC, 2.0%, 10/5/17 2.0 10/05/2017 150,000 152,598
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 1.108 06/15/2029 900,000 898,390
Credit Suisse First Boston Mortgage Securities Corp., 4.877%, 4/15/37 4.877 04/15/2037 500,000 348,684
Gray Television Inc. 1st Lien Tl L + 3% 10jun21 3.75 06/10/2021 801,032 803,786
Nomura Resecuritization Trust 2011-4R, Floating Rate Note, 6/26/47 (144A) 3.1081 06/26/2047 2,077,000 958,859
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 0.4873 02/15/2039 288,000 127,567
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2.58 09/15/2021 1,200,000 606,140
Wachovia Bank Commercial Mortgage Trust Series 2005-C22 REMICS, Floating Rate Note, 12/15/44 5.448 12/15/2044 1,000,000 552,991
SunGard Data Systems, Inc., Tranche C Term Loan, 2/28/17 3.9382 02/28/2017 155,698 156,013
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.4105 04/25/2031 2,843,000 411,255
Prestige Brands, Inc., Term B-3 Loan, 9/3/21 3.5088 09/03/2021 264,282 265,009
RREF 2014-LT6 LLC, 2.75%, 9/15/24 (144A) 2.75 09/15/2024 1,280,000 481,489
FDIC 2010-R1 Trust, 2.184%, 5/25/50 (144A) 2.184 05/25/2050 2,060,000 640,543
Morgan Stanley Home Equity Loan Trust 2005-4, Floating Rate Note, 9/25/35 0.5105 09/25/2035 1,558,243 573,563
Morgan Stanley, Floating Rate Note, 11/9/18 3.1 11/09/2018 275,000 290,471
American Electric Power Co, Inc., 1.65%, 12/15/17 1.65 12/15/2017 500,000 500,593
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 0.5318 09/30/2016 500,000 500,141
MacDermid, Inc., Tranche B Term Loan (First Lien), 6/7/20 4.5 06/07/2020 1,241,766 1,248,528
BLCP Hotel Trust, Floating Rate Note, 8/15/29 (144A) 1.538 08/15/2029 1,610,000 1,609,159
BCAP LLC 2013-RR7 Trust, Floating Rate Note, 12/27/34 2.9658 12/27/2034 420,000 306,598
Federal National Mortgage Association, Floating Rate Note, 6/25/32 0.6905 06/25/2032 21,270,000 520,409
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/31 0.6873 07/15/2031 49,927,842 463,672
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 0.5505 11/25/2036 2,248,000 275,161
Fosse Master Issuer Plc, Floating Rate Note, 10/18/54 1.787 10/18/2054 100,000 76,664
HLSS Servicer Advance Receivables Trust, 1.7436%, 1/16/46 (144A) 1.7436 01/16/2046 250,000 249,944
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 0.3905 10/27/2037 1,375,920 1,156,766
HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36 0.428 03/20/2036 1,905,000 1,165,626
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 6.5 08/15/2030 425,000 20,762
Global Container Assets 2013-1, Ltd., 2.2%, 11/6/28 (144A) 2.2 11/06/2028 750,000 346,101
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/29 2.618 04/01/2029 160,000 1,996
IndyMac INDX Mortgage Loan Trust 2004-AR6, Floating Rate Note, 10/25/34 2.6977 10/25/2034 675,000 67,469
Navios Maritime Partners LP, Term Loan, 6/27/18 5.25 06/27/2018 435,775 438,317
Federal National Mortgage Association REMICS, Floating Rate Note, 12/18/32 0.588 12/18/2032 16,085,000 220,950
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 0.6059 09/13/2016 970,000 967,791
SunTrust Bank, Floating Rate Note, 2/15/17 0.7139 02/15/2017 805,000 805,406
PFS Financing Corp., Floating Rate Note, 2/15/18 (144A) 0.7373 02/15/2018 800,000 799,627
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 2.02 01/15/2019 200,000 200,221
CSMC Trust 2015-DEAL, Floating Rate Note, 4/16/29 (144A) 2.038 04/16/2029 900,000 898,059
Progress Residential 2014-SFR1 Trust, Floating Rate Note, 10/17/31 (144A) 2.438 10/17/2031 1,000,000 1,003,413
Ziggo Bv Us 1st Lien Tl-B1 L + 2.75% 15jan22 3.5 01/15/2022 449,291 447,944
Fannie Mae, 4.5%, 5/1/39 4.5 05/01/2039 2,100,000 766,236
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/33 0.6873 01/15/2033 40,000,000 1,465,546
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 0.9105 09/25/2034 12,500,000 356,463
JP Morgan Mortgage Trust 2006-S3, 6.0%, 8/25/36 6.0 08/25/2036 1,036,158 340
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.4405 03/25/2037 960,000 118,451
Credit Suisse First Boston Mortgage Securities Corp., 5.25%, 10/25/19 5.25 10/25/2019 1,196,000 38,326
Direct Capital Funding V LLC, 4.83%, 11/20/20 (144A) 4.83 11/20/2020 750,000 761,842
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 0.4405 02/25/2037 4,308,000 143,374
Colony American Homes 2014-2, Floating Rate Note, 7/19/31 (144A) 2.088 07/19/2031 600,000 598,484
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 1.1873 03/15/2032 35,466,000 269,245
Asset Backed Securities Corp Home Equity Loan Trust Series 2003-HE1, Floating Rate Note, 1/15/33 3.7123 01/15/2033 3,082,000 508,248
Kinder Morgan, Inc. Delaware, 2.0%, 12/1/17 2.0 12/01/2017 700,000 698,784
Barclays Dryrock Issuance Trust, Floating Rate Note, 3/16/20 0.5273 03/16/2020 500,000 500,226
Baxter International, Inc., 0.95%, 6/1/16 0.95 06/01/2016 500,000 500,685
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 3.1905 06/25/2028 1,923,500 106,622
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 1.6366 08/15/2031 700,000 702,458
BAMLL Commercial Mortgage Securities Trust 2014-ICTS, Floating Rate Note, 6/15/28 (144A) 1.2873 06/15/2028 580,000 579,809
Bbb Industries Llc 1st Lien Tl L + 5% 20oct21 6.0 10/20/2021 532,000 537,653
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/28 0.6873 04/15/2028 16,175,365 216,496
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 1.787 02/13/2032 1,850,000 1,838,191
Government National Mortgage Association, 3.0%, 12/20/38 3.0 12/20/2038 5,000,000 880,293
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL6, Floating Rate Note, 11/17/31 (144A) 1.588 11/17/2031 1,170,000 1,170,445
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/17 0.5905 05/25/2017 20,000,000 61,174
Exelon Corp., 1.55%, 6/9/17 1.55 06/09/2017 750,000 751,954
Federal National Mortgage Association, 4.0%, 1/1/20 4.0 01/01/2020 7,280,000 944,176
SNAAC Auto Receivables Trust, 4.38%, 6/15/17 (144A) 4.38 06/15/2017 460,000 20,906
Citigroup, Inc., Floating Rate Note, 4/1/16 1.0737 04/01/2016 500,000 501,198
CSMC 2015-TWNI Trust, Floating Rate Note, 3/15/28 (144A) 2.438 03/15/2028 400,000 399,477
Fifth Third Bank Cincinnati Ohio, 1.15%, 11/18/16 1.15 11/18/2016 750,000 750,975
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 2.8155 08/25/2034 590,000 62,577
MetroCat Re, Ltd., Floating Rate Note, 8/5/16 (Cat Bond) (144A) 4.5101 08/05/2016 400,000 402,130
JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A) 1.438 04/15/2027 1,670,000 1,669,068
Caterpillar Financial Services Corp., 1.0%, 11/25/16 1.0 11/25/2016 1,000,000 1,005,596
Crowne Group Llc 1st Lien Tl-B L + 5% 29sep20 6.0 09/29/2020 297,750 297,006
NSG Holdings LLC, New Term Loan, 12/11/19 3.75 12/11/2019 186,352 186,585
The Charles Schwab Corp., 0.85%, 12/4/15 0.85 12/04/2015 250,000 250,621
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 4.4803 04/18/2017 250,000 243,843
Trade MAPS 1, Ltd., Floating Rate Note, 12/10/18 (144A) 1.4385 12/10/2018 250,000 250,449
JPMorgan Chase & Co., 1.1%, 10/15/15 1.1 10/15/2015 492,000 494,080
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 0.5405 05/25/2036 6,641,000 176,015
Popular ABS Mortgage Pass-Through Trust 2004-5, Floating Rate Note, 12/25/34 4.655 12/25/2034 2,500,000 18,683
Federal National Mortgage Association, 3.5%, 1/25/24 3.5 01/25/2024 7,225,000 76,492
Thornburg Mortgage Securities Trust 2004-3, Floating Rate Note, 9/25/34 0.9305 09/25/2034 18,234,309 1,277,066
Fannie Mae, Floating Rate Note, 12/1/36 4.331 12/01/2036 6,500,000 216,882
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 0.8305 01/25/2029 3,360,000 171,034
Daimler Finance North America LLC, Floating Rate Note, 8/1/17 (144A) 0.6182 08/01/2017 617,000 617,223
Federal Home Loan Mortgage Corp., Floating Rate Note, 12/1/31 2.408 12/01/2031 49,986,196 260,355
TimberStar Trust I REMICS, 5.668%, 10/15/36 (144A) 5.668 10/15/2036 525,000 550,106
Senior Housing Properties Trust, 4.3%, 1/15/16 4.3 01/15/2016 290,000 292,262
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 8.608 04/08/2016 500,000 505,428
Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33 2.7457 09/25/2033 13,410,000 972,461
FHLMC Structured Pass Through Securities, Floating Rate Note, 12/25/29 0.4905 12/25/2029 12,000,000 179,306
Pricoa Global Funding I, Floating Rate Note, 6/24/16 (144A) 0.4923 06/24/2016 500,000 498,398
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 0.5188 05/02/2017 500,000 499,682
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 5.0 07/25/2018 600,000 26,820
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 1.0305 01/25/2035 8,440,000 908,283
GLC Trust 2013-1, 3.0%, 7/15/21 (144A) 3.0 07/15/2021 1,000,000 577,663
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 0.789 10/25/2028 8,975,000 270,145
HomeBanc Mortgage Trust 2005-2, Floating Rate Note, 5/25/25 0.6105 05/25/2025 6,015,011 88,034
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 1.2905 09/25/2034 881,754 115,475
ZIGGO BV, (USD) TLB3, 1/15/22 3.5 01/15/2022 476,177 474,748
Alamo Re, Ltd., Floating Rate Note, 6/7/18 (Cat Bond) (144A) 5.9051 06/07/2018 350,000 352,076
CHS, Incremental 2021 Term H Loan, 1/27/21 4.0 01/27/2021 171,168 172,083
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 1.55%, 9/9/16 (144A) 1.55 09/09/2016 1,000,000 1,010,811
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 4.75 04/25/2034 4,285,000 167,167
Enbridge, Inc., Floating Rate Note, 10/1/16 0.9337 10/01/2016 500,000 498,631
Monsanto Co., 1.15%, 6/30/17 1.15 06/30/2017 1,000,000 994,636
JP Morgan Chase Commercial Mortgage Securities Trust 2014-CBM, Floating Rate Note, 10/15/29 (144A) 2.138 10/15/2029 510,000 508,308
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 2.1271 11/19/2026 600,000 191,193
Dell Equipment Finance Trust 2014-1, 2.68%, 6/22/20 (144A) 2.68 06/22/2020 750,000 753,410
PNC Bank NA, Floating Rate Note, 8/1/17 0.5782 08/01/2017 750,000 750,368
Quest Trust REMICS, Floating Rate Note, 3/25/34 (144A) 0.8505 03/25/2034 24,804,330 782,698
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 8.0051 06/06/2016 250,000 262,425
SMART ABS Series 2014-1US Trust, Floating Rate Note, 7/14/16 0.486 07/14/2016 750,000 117,897
Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/17/26 (144A) 1.938 08/17/2026 430,000 430,374
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 2.7 08/15/2018 125,000 126,391
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 0.6905 01/25/2033 2,782,000 83,837
Health Care Real Estate Investment Trust, Inc., 2.25%, 3/15/18 2.25 03/15/2018 500,000 507,027
Government National Mortgage Association II, 6.0%, 10/20/21 6.0 10/20/2021 3,113,223 251,305
Leaf Receivables Funding 8 LLC, 2.67%, 9/15/20 (144A) 2.67 09/15/2020 311,966 313,625
Wells Fargo Commercial Mortgage Trust 2014-TISH REMICS, Floating Rate Note, 2/16/27 (144A) 1.745 02/16/2027 1,250,000 1,243,085
Wheelabrator 1st Lien Tl-C L + 4% 15oct21 5.0 10/15/2021 42,146 42,400
Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35 5.5 05/25/2035 4,068,000 35,980
Aircastle, Ltd., 6.75%, 4/15/17 6.75 04/15/2017 1,100,000 1,196,113
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A REMICS, Floating Rate Note, 4/25/29 0.6505 04/25/2029 9,857,948 469,610
Federal National Mortgage Association, Floating Rate Note, 3/25/18 0.4905 03/25/2018 8,811,000 182,841
Citigroup Commercial Mortgage Trust 2015-SSHP REMICS, Floating Rate Note, 9/15/27 (144A) 2.2873 09/15/2027 1,250,000 1,251,149
Royal Bank of Canada, Floating Rate Note, 1/23/17 0.6241 01/23/2017 550,000 550,496
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP4, Floating Rate Note, 10/15/42 5.04 10/15/2042 500,000 502,414
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 8.1537 01/07/2016 250,000 250,949
Government National Mortgage Association I, 7.5%, 10/15/36 7.5 10/15/2036 1,000,000 60,877
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.4405 03/25/2037 11,268,506 198,188
Federal Home Loan Mortgage Corp., 5.0%, 12/1/39 5.0 12/01/2039 265,000 100,694
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 0.5005 02/25/2035 603,000 177,871
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 4.0 11/08/2020 121,935 121,478
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 1.1438 06/25/2028 9,455,006 298,620
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 4.5051 12/06/2016 1,150,000 1,160,638
Orbital ATK, Inc., Term B Loan, 10/22/20 3.5 10/22/2020 196,753 197,448
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 0.5905 05/25/2033 34,300,000 1,169,226
AXIS Equipment Finance Receivables II LLC, 4.94%, 7/20/18 (144A) 4.94 07/20/2018 700,000 717,874
Federal National Mortgage Association, Floating Rate Note, 8/25/35 0.4905 08/25/2035 2,868,000 309,535
Hess Corp., 1.3%, 6/15/17 1.3 06/15/2017 750,000 742,376
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 4.838 07/15/2041 637,677 70,123
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 0.8405 06/25/2035 995,000 27,090
Capella Healthcare Inc 1st Lien Tl-B L + 4.25% 31dec21 5.25 12/31/2021 104,475 104,997
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/32 0.7573 03/15/2032 33,450,000 334,035
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 0.5605 09/25/2035 1,793,831 416,768
Lehman ABS Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 6/15/33 0.6373 06/15/2033 19,804,000 730,537
Assurant, Inc., 2.5%, 3/15/18 2.5 03/15/2018 300,000 306,357
Citigroup, Inc., Floating Rate Note, 11/15/16 0.9539 11/15/2016 750,000 753,243
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 2.5 03/20/2025 250,000 65,338
Foresight Energy LLC, Term Loan, 8/21/20 5.5 08/21/2020 67,011 65,001
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 (144A) 2.188 12/15/2028 945,000 946,068
Duke Energy Progress, Inc., Floating Rate Note, 3/6/17 0.4789 03/06/2017 411,000 409,989
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 0.4873 09/15/2026 385,000 201,414
Harley-Davidson Financial Services, Inc., 1.15%, 9/15/15 (144A) 1.15 09/15/2015 700,000 703,402
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 0.6505 03/25/2030 7,567,883 413,279
Sector Re V, Ltd., 0.0%, 3/30/19 (Cat Bond) (144A) 0.0 03/30/2019 516 71,287
Duke Energy Carolinas LLC, 1.75%, 12/15/16 1.75 12/15/2016 750,000 759,722
Banc of America Funding 2005-A Trust, Floating Rate Note, 2/20/35 0.498 02/20/2035 10,835,000 468,936
Welk Resorts 2013-A LLC, 3.1%, 3/15/29 (144A) 3.1 03/15/2029 750,000 481,644
Citibank Credit Card Issuance Trust, 5.1%, 11/20/17 5.1 11/20/2017 500,000 511,728
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 0.9557 02/20/2035 8,223,000 693,634
NCUA Guaranteed Notes Trust REMICS, 1.6%, 10/29/20 1.6 10/29/2020 1,470,000 125,417
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.1405 10/25/2037 885,400 172,962
Federal National Mortgage Association REMICS, 1.5%, 11/25/20 1.5 11/25/2020 745,000 139,983
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 0.7905 06/25/2034 10,699,000 767,982
JBS USA LLC, Incremental Term Loan, 9/18/20 3.75 09/18/2020 196,500 196,664
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 0.3873 08/15/2026 370,000 116,914
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 0.3905 01/25/2036 311,384 48,444
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 0.6905 06/25/2033 13,610,000 548,840
Ew Scripps 1st Lien Termloan L + 2.9717% 26nov20 3.5 11/26/2020 274,308 275,165
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC18, 5.44%, 6/12/47 5.44 06/12/2047 800,000 790,251
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 1.938 06/15/2034 1,110,000 1,109,571
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 3.75 06/30/2019 73,641 60,531
Capital One Financial Corp., 1.0%, 11/6/15 1.0 11/06/2015 975,000 977,582
National Oilwell Varco, Inc., 1.35%, 12/1/17 1.35 12/01/2017 775,000 772,695
Federal Home Loan Mortgage Corp., 6.5%, 7/1/16 6.5 07/01/2016 2,000,000 3,870
Fannie Mae, 6.5%, 7/1/32 6.5 07/01/2032 723,471 7,293
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 8.9051 06/06/2017 500,000 495,375
Navitas Equipment Receivables LLC 2015-1, 3.4%, 11/15/18 (144A) 3.4 11/15/2018 500,000 501,940
PARTY CITY HOLDINGS INC, 2014 Replacement Term Loan, 7/27/19 4.0 07/27/2019 940,675 942,292
University of California, 0.966%, 5/15/17 0.966 05/15/2017 500,000 501,655
PNC Bank NA, 1.125%, 1/27/17 1.125 01/27/2017 450,000 449,675
Federal National Mortgage Association REMICS, 3.0%, 1/25/21 3.0 01/25/2021 4,450,000 626,837
Bank of America Corp., 3.7%, 9/1/15 3.7 09/01/2015 500,000 508,769
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 0.3905 12/25/2036 2,600,000 516,096
Morgan Stanley Capital I Trust 2006-HQ9, Floating Rate Note, 7/12/44 5.793 07/12/2044 600,000 622,776
People's Choice Home Loan Securities Trust Series 2005-3, Floating Rate Note, 8/25/35 0.9405 08/25/2035 109,980 565
CPS Auto Receivables Trust 2013-A, 1.89%, 6/15/20 (144A) 1.89 06/15/2020 690,000 284,440
Bank of America NA, 1.75%, 6/5/18 1.75 06/05/2018 750,000 750,920
SilverLeaf Finance XVII LLC, 2.71%, 3/16/26 (144A) 2.71 03/16/2026 750,000 323,084
Westgate Resorts LLC, 9.5%, 2/20/25 (144A) 9.5 02/20/2025 1,800,000 378,845
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR10, Floating Rate Note, 12/11/40 5.405 12/11/2040 1,240,000 692,923
CD 2005-CD1 Commercial Mortgage Trust, Floating Rate Note, 7/15/44 5.3795 07/15/2044 940,000 120,314
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 0.4505 12/25/2035 815,490 185,295
COMM 2014-PAT Mortgage Trust, Floating Rate Note, 8/13/27 (144A) 1.7805 08/13/2027 820,000 822,013
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 0.517 04/20/2021 500,000 214,816
Morgan Stanley ABS Capital I Inc Trust 2005-WMC5, Floating Rate Note, 6/25/35 0.9255 06/25/2035 820,000 42,692
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 0.6505 06/25/2034 13,470,000 363,270
Fannie Mae, 2.5%, 3/1/28 2.5 03/01/2028 1,500,000 1,179,583
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 0.8955 04/25/2035 159,800 94,793
Fannie Mae, 3.0%, 11/1/27 3.0 11/01/2027 2,000,000 1,416,777
Bayview Commercial Asset Trust 2007-4, 3.485463%, 9/25/37 (Step) (144A) 3.4855 09/25/2037 3,000,000 46,486
Fannie Mae, 5.0%, 11/1/20 5.0 11/01/2020 3,800,000 219,595
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 0.7505 07/25/2029 10,014,000 415,438
LSTAR Securities Investment Trust 2014-2, Floating Rate Note, 11/1/19 (144A) 2.1866 11/01/2019 1,650,000 1,494,475
Countrywide Asset-Backed Certificates, Floating Rate Note, 3/25/35 1.0905 03/25/2035 1,300,000 381,278
Tpf Ii Power Llc 1st Lien Tl-B L + 4.5% 24sep21 5.5 09/24/2021 741,464 747,722
VOLT XXV LLC, 3.5%, 6/26/45 (Step) (144A) 3.5 06/26/2045 400,000 393,654
Soundview Home Loan Trust 2005-3, Floating Rate Note, 6/25/35 0.9705 06/25/2035 600,000 22,527
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 0.8905 03/25/2035 2,101,000 331,976
Fannie Mae, 3.0%, 5/1/21 3.0 05/01/2021 2,775,000 900,007
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/41 0.6073 04/15/2041 2,446,437 400,679
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 0.7939 02/15/2017 500,000 500,243
Georgia Power Co., Floating Rate Note, 3/15/16 0.6059 03/15/2016 827,000 826,953
Rialto Capital Management LLC, 2.85%, 5/15/24 (144A) 2.85 05/15/2024 700,000 112,345
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 2.25 06/25/2043 414,000 303,109
Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A) 1.0633 09/16/2016 500,000 501,687
Longpoint Re, Ltd. III, Floating Rate Note, 5/24/21 (Cat Bond) (144A) 3.75 05/24/2021 250,000 252,506
Vodafone Group Plc, Floating Rate Note, 2/19/16 0.6615 02/19/2016 275,000 275,051
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 3.5634 01/15/2017 250,000 252,821
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 4.25 04/25/2034 4,541,000 63,074
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 0.6545 05/27/2016 390,000 391,185
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 0.639 04/28/2039 425,000 264,405
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 2/26/16 0.692 02/26/2016 500,000 501,412
TMS International Corp., Term B Loan, 10/2/20 4.5 10/02/2020 145,824 145,095
Federal National Mortgage Association REMICS, 3.0%, 4/25/40 3.0 04/25/2040 1,110,000 121,443
Ascentium Equipment Receivables 2015-1 LLC, 3.24%, 1/10/22 (144A) 3.24 01/10/2022 510,000 513,230
WPX Energy, Inc., 7.5%, 8/1/20 7.5 08/01/2020 800,000 813,500
Fannie Mae, 5.5%, 8/1/37 5.5 08/01/2037 2,000,000 311,425
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 0.9405 02/25/2035 5,848,300 1,899
SpringCastle America Funding LLC, 2.7%, 5/25/23 2.7 05/25/2023 1,020,000 737,003
Wesco Aircraft Hardware Corp., Tranche B Term Loan, 2/24/21 3.25 02/24/2021 792,604 791,118
HSBC Bank Middle East, Ltd., 3.0%, 10/21/15 3.0 10/21/2015 750,000 757,157
Federal National Mortgage Association 2004-T2, Floating Rate Note, 7/25/43 3.4385 07/25/2043 6,750,000 882,970
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 0.6405 05/25/2018 11,040,000 292,616
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP5, Floating Rate Note, 12/15/44 5.2389 12/15/2044 1,920,000 742,293
Fannie Mae, 3.0%, 10/1/27 3.0 10/01/2027 2,000,000 1,189,036
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 0.5905 03/25/2034 4,612,000 274,602
Ford Motor Credit Co LLC, 1.7%, 5/9/16 1.7 05/09/2016 500,000 503,363
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 0.3805 12/25/2035 450,623 113,489
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 2.138 03/16/2026 399,000 398,419
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37 0.8105 12/25/2037 5,672,000 147,168
Fannie Mae, Floating Rate Note, 1/1/25 2.599 01/01/2025 7,000,000 53,762
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 0.3573 04/16/2035 1,550,000 561,244
Capital Auto Receivables Asset Trust 2013-1, 2.19%, 9/20/21 2.19 09/20/2021 125,000 125,908
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 1.784 08/20/2034 5,250,000 208,791
Energy Transfer Equity 1st Lien Tl-B L + 3.25% 02dec19 4.0 12/02/2019 278,824 279,107
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 0.4905 03/25/2035 1,201,850 150,415
Medtronic, Inc., 4.75%, 9/15/15 4.75 09/15/2015 460,000 470,352
RFSC Series 2004-RP1 Trust, Floating Rate Note, 11/25/42 2.437 11/25/2042 250,000 111,654
Fannie Mae, Floating Rate Note, 4/1/28 2.712 04/01/2028 400,000 3,139
Fannie Mae, Floating Rate Note, 7/1/36 2.539 07/01/2036 500,000 51,973
CeramTec GmbH, Dollar Term B-3 Loan, 8/30/20 4.25 08/30/2020 61,556 61,768
Fannie Mae, Floating Rate Note, 11/1/40 1.567 11/01/2040 9,368,434 30,897
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 0.6873 07/15/2036 3,107,000 200,532
Credit Acceptance Auto Loan Trust 2014-2, 2.67%, 9/15/22 (144A) 2.67 09/15/2022 1,000,000 1,005,376
Starbucks Corp., 0.875%, 12/5/16 0.875 12/05/2016 605,000 606,024
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 3.5 04/30/2020 245,603 246,339
American Airlines Inc 1st Lien Tl-B L + 3% 10oct21 3.5 10/10/2021 750,000 750,704
Government National Mortgage Association I, 6.5%, 10/15/37 6.5 10/15/2037 400,000 41,763
Federal National Mortgage Association, Floating Rate Note, 6/25/36 0.5905 06/25/2036 7,000,000 687,661
Valeant Pharmaceuticals Internatio 1st Lien Tl-Bf1 L + 3.25% 13mar22 4.0 03/13/2022 498,750 501,669
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/15/36 0.5073 11/15/2036 2,046,908 87,671
Government National Mortgage Association, 3.0%, 4/20/41 3.0 04/20/2041 300,000 227,728
Acorn Re, Ltd., Floating Rate Note, 7/17/18 (Cat Bond) (144A)   07/17/2018 300,000 301,328
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.4305 06/25/2037 2,134,162 232,110
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 10/25/35 5.5 10/25/2035 1,471,464 1,082
Government National Mortgage Association, Floating Rate Note, 2/20/35 0.438 02/20/2035 2,059,000 242,758
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/40 0.4905 08/25/2040 692,000 273,988
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 0.8105 10/25/2028 8,393,000 351,611
Velocity Commercial Capital Loan Trust 2015-1, Floating Rate Note, 6/25/45 (144A) 2.6185 06/25/2045 1,080,000 1,059,897
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 0.7505 01/25/2030 16,956,975 576,101
EQTY 2014-INNS Mortgage Trust REMICS, Floating Rate Note, 5/8/31 (144A) 1.785 05/08/2031 540,000 533,394
Svenska Handelsbanken AB, Floating Rate Note, 9/23/16 0.7513 09/23/2016 1,000,000 1,003,336
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 0.5873 03/15/2041 3,243,333 592,612
East Lane Re VI, Ltd., Floating Rate Note, 3/13/20 (Cat Bond) (144A) 3.7551 03/13/2020 350,000 348,574
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 2.7653 01/09/2017 500,000 506,846
RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35 5.25 07/25/2035 300,770 131,599
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 0.6405 07/25/2034 2,600,000 196,751
St Jude Medical, Inc., 2.5%, 1/15/16 2.5 01/15/2016 510,000 514,239
MUFG Union Bank NA, 2.625%, 9/26/18 2.625 09/26/2018 1,000,000 1,026,247
Cisco Systems, Inc., Floating Rate Note, 6/15/18 0.5933 06/15/2018 750,000 749,052
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 2.534 08/01/2031 12,000,000 89,780
Prudential Covered Trust 2012-1, 2.997%, 9/30/15 (144A) 2.997 09/30/2015 500,000 354,585
GCAT 2015-1 LLC, 3.625%, 5/26/20 (Step) (144A) 3.625 05/26/2020 300,000 289,440
Ford Motor Credit Co LLC, 1.724%, 12/6/17 1.724 12/06/2017 700,000 697,810
Government National Mortgage Association, 3.5%, 8/20/38 3.5 08/20/2038 1,115,000 284,978
COMM 2013-FL3 Mortgage Trust, Floating Rate Note, 10/13/28 (144A) 1.705 10/13/2028 1,000,000 305,456
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 1.5481 03/25/2044 20,000,000 184,489
Federal Home Loan Mortgage Corp., 2.75%, 11/15/25 2.75 11/15/2025 1,000,000 394,050
Equity One Mortgage Pass-Through Trust 2004-2, Floating Rate Note, 7/25/34 4.624 07/25/2034 1,925,000 495,315
BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A) 2.7928 09/26/2035 2,765,000 539,776
Fannie Mae, 2.5%, 6/1/23 2.5 06/01/2023 526,320 369,758
Huntsman International LLC, 2014-1 Incremental Term Loan, 9/30/21 3.75 09/30/2021 547,250 547,022
PHH Mortgage Capital LLC, 6.600001%, 12/25/27 (Step) (144A) 6.6 12/25/2027 3,250,000 70,422
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 3.9669 08/25/2053 1,505,000 858,814
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/28/36 (144A) 2.7893 05/28/2036 500,000 333,717
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/30 0.5373 03/15/2030 1,147,667 386,127
MALLINCKRODT INTERNATIONAL FINANCE SA, Initial Term B Loan, 3/6/21 3.25 03/06/2021 296,250 296,250
SMART ABS Series 2013-2US Trust, Floating Rate Note, 1/17/17 0.616 01/17/2017 500,000 222,918
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 1.0905 05/26/2037 550,000 363,676
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 0.4505 11/25/2046 4,252,000 640,736
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 4.2952 04/24/2017 600,000 584,918
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 1.8866 01/25/2029 3,592,000 41,378
Fannie Mae, 7.0%, 1/1/36 7.0 01/01/2036 1,000,000 23,598
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 0.6322 03/10/2017 750,000 747,308
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 0.6568 03/30/2016 277,000 276,692
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 0.8873 12/15/2039 666,000 238,721
Intesa Sanpaolo S.p.A., 3.125%, 1/15/16 3.125 01/15/2016 500,000 504,570
Government National Mortgage Association I, 6.0%, 3/15/17 6.0 03/15/2017 10,311,138 98,935
Remy International, Inc., Term B Loan 2013, 3/5/20 4.25 03/05/2020 994,898 998,007
JP Morgan Mortgage Trust 2004-S1, 5.0%, 9/25/34 5.0 09/25/2034 3,504,124 146,964
Origen Manufactured Housing Contract Trust 2005-A, Floating Rate Note, 6/15/36 5.41 06/15/2036 250,000 216,118
Albertsons LLC, Term B-2 Loan, 3/21/19 5.375 03/21/2019 645,137 648,766
Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40 5.361 02/15/2040 1,300,000 916,927
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.5153 04/30/2018 350,000 339,246
Bway Holding Co 1st Lien Tl-B L + 4.5% 08aug20 5.5 08/08/2020 99,000 99,696
VOLT XXXIII LLC, 3.5%, 3/25/55 (Step) (144A) 3.5 03/25/2055 700,000 666,170
Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19 4.0 04/23/2019 925,000 882,219
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 0.4873 02/15/2036 1,133,000 177,086
MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35 0.5405 02/25/2035 6,760,000 443,591
Thomson Reuters Corp., 0.875%, 5/23/16 0.875 05/23/2016 250,000 250,079
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 0.5405 06/25/2034 3,670,962 255,113
Capital One NA, 1.65%, 2/5/18 1.65 02/05/2018 750,000 750,205
Wells Fargo & Co., Floating Rate Note, 4/23/18 0.9241 04/23/2018 575,000 576,187
Kane Zero% 29apr16 0.0 04/29/2016 800,000 846,320
UnitedHealth Group, Inc., 1.875%, 11/15/16 1.875 11/15/2016 500,000 507,587
Wheelabrator 1st Lien Tl-B L + 4% 15oct21 5.0 10/15/2021 953,065 958,824
Orange Lake Timeshare Trust 2012-A, 4.87%, 3/10/27 (144A) 4.87 03/10/2027 600,000 236,693
GSAA Trust, Floating Rate Note, 6/25/35 0.9855 06/25/2035 1,900,000 394,478
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 10/10/45 5.115 10/10/2045 1,370,000 198,973
PSEG Power LLC, 2.75%, 9/15/16 2.75 09/15/2016 500,000 514,444
MVW Owner Trust 2014-1, 2.7%, 9/20/31 (144A)