Pioneer Investments: Pioneer Short Term Income Fund


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Pioneer Short Term Income Fund

Monthly Portfolio Holdings as of 7/31/2014

Security Name Coupon Maturity Date Par / Shares Market Value($)
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/39 0.855 11/25/2039 2,750,000 548,183
RASC Series 2005-EMX2 Trust, Floating Rate Note, 7/25/35 0.635 07/25/2035 40,280 12,065
Cronos Containers Program, Ltd., 3.81%, 9/18/27 (144A) 3.81 09/18/2027 500,000 409,587
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 5.23 12/15/2040 2,030,000 1,506,248
Bank of America Corp., 1.35%, 11/21/16 1.35 11/21/2016 500,000 502,684
First Investors Auto Owner Trust 2013-3, 2.32%, 10/15/19 (144A) 2.32 10/15/2019 300,000 302,226
Hyundai Capital America, 1.875%, 8/9/16 (144A) 1.875 08/09/2016 500,000 510,924
Principal Life Global Funding II, 1.2%, 5/19/17 (144A) 1.2 05/19/2017 750,000 747,879
Government National Mortgage Association, Floating Rate Note, 1/20/34 0.6062 01/20/2034 1,775,000 127,264
Enterprise Products Operating LLC, 3.2%, 2/1/16 3.2 02/01/2016 1,000,000 1,051,780
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 0.755 06/25/2034 10,699,000 916,042
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/1/18 2.355 07/01/2018 2,100,000 4,947
Duke Energy Progress, Inc., Floating Rate Note, 3/6/17 0.4295 03/06/2017 411,000 411,486
Honda Auto Receivables 2012-2 Owner Trust, 0.7%, 2/16/16 0.7 02/16/2016 350,000 182,414
South Carolina State Public Service Authority, Floating Rate Note, 6/1/15 1.027 06/01/2015 890,000 891,535
AmeriCredit Automobile Receivables Trust 2011-3, 4.04%, 7/10/17 4.04 07/10/2017 100,000 103,671
Federal Home Loan Mortgage Corp., Floating Rate Note, 5/1/25 2.165 05/01/2025 588,110 6,501
GreenPoint Mortgage Funding Trust 2005-HE4, Floating Rate Note, 7/25/30 0.595 07/25/2030 7,877,220 24,116
Cinedigm Digital Funding I LLC, Term Loan, 2/28/18 3.75 03/31/2016 171,637 171,958
Polarpak, Inc., USD Term Loan (Canadian Borrower Portion), 6/7/20 4.5 06/07/2020 157,665 157,665
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 5.25 04/25/2032 795,156 254,265
Government National Mortgage Association, 4.5%, 6/16/34 4.5 06/16/2034 1,387,000 55,981
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.502 11/15/2036 1,229,000 252,095
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.725 09/25/2037 2,706,000 363,901
Federal Home Loan Mortgage Corp., 5.0%, 12/1/39 5.0 12/01/2039 265,000 125,451
KeyBank NA Cleveland Ohio, 1.65%, 2/1/18 1.65 02/01/2018 1,000,000 1,004,322
Chase Funding Trust Series 2003-3, Floating Rate Note, 4/25/33 0.695 04/25/2033 13,029,694 135,698
Federal National Mortgage Association REMICS, 3.0%, 1/25/21 3.0 01/25/2021 2,950,000 647,885
CAM Mortgage Trust 2014-1, 3.3515%, 12/15/53 (Step) (144A) 3.3515 12/15/2053 660,000 206,760
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.402 11/15/2036 994,698 54,594
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/30 0.502 03/15/2030 1,147,667 525,607
Wells Fargo & Co., Floating Rate Note, 6/26/15 1.1536 06/26/2015 585,000 590,243
Fieldwood Energy LLC, Closing Date Loan, 9/25/18 3.875 09/25/2018 993,747 996,093
American Credit Acceptance Receivables Trust 2014-2, 0.99%, 10/10/17 (144A) 0.99 10/10/2017 500,000 429,004
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 2.7412 07/25/2034 2,481,203 97,520
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 0.452 02/15/2039 288,000 164,140
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 2.63 12/25/2034 500,000 138,184
Silverton RE, Ltd., 0.0%, 9/16/16 (Cat Bond) (144A) 0.0 09/16/2016 250,000 291,450
LPL Holdings, Inc., 2013 Incremental Tranche B Term Loan, 3/29/19 3.25 03/29/2019 146,644 146,534
JP Morgan Mortgage Trust 2004-A5, Floating Rate Note, 12/25/34 2.2769 12/25/2034 245,000 194,615
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 2.1 05/19/2031 700,000 700,028
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 0.655 01/25/2033 2,782,000 108,495
Ameriquest Mort Sec Inc Asset Backed Pass Thr Cert 03 AR3, Floating Rate Note, 6/25/33 3.5304 06/25/2033 155,851 101,331
Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A) 1.1515 09/25/2037 1,905,250 481,207
JP Morgan Chase Commercial Mortgage Securities Corp., 4.878%, 1/15/42 4.878 01/15/2042 1,100,000 1,064,222
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/38 1.055 07/25/2038 6,812,000 396,381
Ventas Realty LP, 3.125%, 11/30/15 3.125 11/30/2015 500,000 517,683
HLSS Servicer Advance Receivables Trust, 1.2437%, 1/17/45 1.2437 01/17/2045 1,250,000 1,251,816
Merrill Lynch Mortgage Trust 2004-KEY2, Floating Rate Note, 8/12/39 4.947 08/12/2039 410,390 413,159
Federal Home Loan Mortgage Corp., 2.5%, 10/1/27 2.5 10/01/2027 1,247,958 1,018,741
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 0.655 03/25/2024 4,129,409 175,141
JP Morgan Mortgage Trust 2005-A4, Floating Rate Note, 7/25/35 2.2054 07/25/2035 1,935,000 305,897
Franklin Resources, Inc., 3.125%, 5/20/15 3.125 05/20/2015 940,000 965,980
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/31 2.375 11/01/2031 1,399,950 6,839
MortgageIT Trust 2004-2, Floating Rate Note, 12/25/34 0.895 12/25/2034 3,895,000 674,083
Iberdrola Finance Ireland, Ltd., 3.8%, 9/11/14 (144A) 3.8 09/11/2014 1,000,000 1,017,964
Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A) 0.4541 04/25/2022 500,000 425,325
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 6/25/33 5.5 06/25/2033 200,000 48,685
Home Equity Mortgage Trust, 5.821%, 4/25/35 (Step) 5.821 04/25/2035 1,000,000 302,380
Blue Danube II, Ltd., Floating Rate Note, 5/23/16 (Cat Bond) (144A) 4.2734 05/23/2016 500,000 508,205
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 0.615 03/25/2030 7,273,883 550,017
NSG Holdings LLC, New Term Loan, 12/11/19 3.75 11/15/2019 195,970 196,215
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 0.305 05/25/2036 704,088 224,566
Amgen, Inc., 2.5%, 11/15/16 2.5 11/15/2016 500,000 519,447
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 1.851 06/15/2029 650,000 650,689
Government National Mortgage Association, Floating Rate Note, 2/20/35 0.4062 02/20/2035 2,059,000 294,751
GSR Mortgage Loan Trust 2004-7, Floating Rate Note, 6/25/34 2.6667 06/25/2034 4,189,737 534,471
GE Equipment Transportation LLC Series 2013-1, 0.5%, 11/24/15 0.5 11/24/2015 165,000 64,887
TimberStar Trust 1 REMICS, 5.668%, 10/15/36 (144A) 5.668 10/15/2036 525,000 570,997
Sierra Timeshare 2013-2 Receivables Funding LLC, 2.92%, 11/20/25 2.92 11/20/2025 160,000 87,559
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.405 06/25/2037 4,600,000 378,587
Allegion US Holding Co, Inc., Tranche B Term Loan, 12/26/20 3.0 12/26/2020 497,500 498,744
American Credit Acceptance Receivables Trust 2013-2, 1.32%, 2/15/17 (144A) 1.32 02/15/2017 280,000 122,531
Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A) 1.55 11/15/2017 195,000 196,137
Equity One Mortgage Pass-Through Trust 2004-1, Floating Rate Note, 4/25/34 4.145 04/25/2034 1,840,000 471,231
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 3.5 08/16/2020 514,115 514,758
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 0.505 09/25/2036 1,275,000 194,335
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.385 04/25/2031 3,723,496 624,664
Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A2, Floating Rate Note, 2/25/35 2.4693 02/25/2035 500,000 111,466
SunTrust Bank, Floating Rate Note, 2/15/17 0.6639 02/15/2017 500,000 501,221
Canadian Natural Resources, Ltd., 1.45%, 11/14/14 1.45 11/14/2014 430,000 432,610
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 0.995 11/25/2034 7,155,000 416,458
GE Business Loan Trust 2004-2, Floating Rate Note, 12/15/32 (144A) 0.372 12/15/2032 2,533,274 542,671
Wells Fargo & Co., 1.5%, 7/1/15 1.5 07/01/2015 1,050,000 1,062,298
LB-UBS Commercial Mortgage Trust 2005-C7 REMICS, Floating Rate Note, 11/15/30 (144A) 5.197 11/15/2030 2,455,809 2,528,681
Alamo Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A)   06/07/2017 250,000 252,550
United Auto Credit Securitization Trust 2012-1, 1.87%, 9/15/15 (144A) 1.87 09/15/2015 750,000 48,063
Rialto Capital Management LLC, 2.85%, 5/15/24 2.85 05/15/2024 700,000 547,616
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 0.795 01/25/2029 6,366,000 384,395
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/33 0.462 04/15/2033 22,025,143 957,210
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 2/25/36 0.335 02/25/2036 5,047,000 1,088,704
SBI Home Equity Loan Trust 2006-1, Floating Rate Note, 8/25/36 (144A) 0.505 08/25/2036 1,350,000 448,957
Nissan Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 0.422 01/15/2016 240,000 221,988
Freddie Mac Strips, Floating Rate Note, 8/15/36 0.452 08/15/2036 6,894,664 407,533
Government National Mortgage Association II, 6.0%, 11/20/22 6.0 11/20/2022 1,986,670 282,939
RAMP Series 2003-RS9 Trust, Floating Rate Note, 10/25/33 5.06 10/25/2033 5,091,956 514,977
Capital One Financial Corp., Floating Rate Note, 11/6/15 0.8629 11/06/2015 750,000 755,310
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/36 0.432 12/15/2036 6,932,100 610,782
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35 5.0 10/25/2035 5,635,000 566,428
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 0.332 05/15/2036 4,000,000 332,687
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 0.705 12/25/2034 510,000 373,898
GE Business Loan Trust 2003-2 REMICS, Floating Rate Note, 11/15/31 (144A) 0.522 11/15/2031 1,409,576 156,159
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/34 0.505 01/25/2034 10,970,000 1,846,662
RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32 6.0 01/25/2032 11,000,000 488,106
Morgan Stanley Capital I Trust 2005-TOP19, 4.89%, 6/12/47 4.89 06/12/2047 1,940,000 1,965,201
RALI Series 2003-QS15 Trust, 5.5%, 8/25/33 5.5 08/25/2033 250,000 184,609
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 3.0 05/15/2018 585,000 344,252
Wachovia Bank Commercial Mortgage Trust Series 2005-C20 REMICS, Floating Rate Note, 7/15/42 5.118 07/15/2042 530,000 499,120
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 0.6111 01/30/2017 500,000 501,435
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.552 12/15/2032 2,900,000 262,995
Health Care Real Estate Investment Trust, Inc., 2.25%, 3/15/18 2.25 03/15/2018 500,000 508,814
Berkshire Hathaway Finance Corp., Floating Rate Note, 1/10/17 0.3836 01/10/2017 1,000,000 1,000,961
Federal National Mortgage Association, 4.5%, 8/25/27 4.5 08/25/2027 4,509,000 321,359
Queen Street V Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 8.5175 04/09/2015 750,000 767,259
Fly Funding II Sarl, Loan, 8/8/18 4.5 08/09/2018 390,000 393,413
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP20, Floating Rate Note, 10/12/42 5.2886 10/12/2042 1,125,000 1,172,171
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 7.4325 01/09/2017 750,000 768,546
General Electric Capital Corp., Floating Rate Note, 8/1/17 1.375 08/01/2017 500,000 500,272
Apple, Inc., Floating Rate Note, 5/3/16 0.2729 05/03/2016 400,000 400,273
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.995 01/25/2035 8,440,000 1,128,436
General Mills, Inc., 0.875%, 1/29/16 0.875 01/29/2016 250,000 250,534
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 0.6906 09/09/2016 500,000 503,227
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 4.59 11/25/2034 750,000 83,608
Honda Auto Receivables 2013-1 Owner Trust, 0.35%, 6/22/15 0.35 06/22/2015 500,000 42,002
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 5.167 06/10/2044 1,630,000 1,700,518
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25 0.525 10/25/2035 239,000 134,490
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 0.425 09/25/2035 9,387,000 872,140
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 0.955 10/25/2034 2,125,000 120,798
Devon Energy Corp., Floating Rate Note, 12/15/15 0.6806 12/15/2015 1,500,000 1,506,772
CHL Mortgage Pass-Through Trust 2004-14, Floating Rate Note, 8/25/34 2.3434 08/25/2034 1,250,000 174,527
NYSE Euronext, 2.0%, 10/5/17 2.0 10/05/2017 150,000 152,931
JP Morgan Chase Commercial Mortgage Securities Trust 2013-JWRZ, Floating Rate Note, 4/15/30 (144A) 0.932 04/15/2030 1,550,000 1,551,488
Federal National Mortgage Association, Floating Rate Note, 6/25/32 0.655 06/25/2032 20,421,000 600,021
Diamond Resorts Owner Trust 2013-2, 2.62%, 3/1/24 2.62 03/01/2024 750,000 543,140
U.S. Treasury Notes, 0.375%, 2/15/16 0.375 02/15/2016 4,500,000 4,511,475
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 0.5806 12/15/2016 250,000 249,616
PNC Bank NA, 1.125%, 1/27/17 1.125 01/27/2017 450,000 449,846
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/34 5.0 06/15/2034 401,000 44,817
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1.7703 01/07/2019 500,000 499,653
Belden Finance 2013 LP, Initial Term Loan, 9/9/20 3.25 09/09/2020 248,125 248,783
Origen Manufactured Housing Contract Trust 2005-A, Floating Rate Note, 6/15/36 5.41 06/15/2036 250,000 254,339
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 3.155 06/25/2028 1,923,500 150,109
Collateralized Mortgage Obligation Trust 44, Floating Rate Note, 7/1/18 1.2 07/01/2018 13,590,000 55,575
Bosphorus 1 Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 2.5304 05/03/2016 250,000 250,239
Seadrill Operating LP, Initial Term Loan, 2/14/21 4.0 02/14/2021 845,750 837,358
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 3.0836 07/15/2023 250,000 246,910
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19, Floating Rate Note, 2/12/49 5.8915 02/12/2049 475,000 127,440
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 0.307 05/15/2047 250,000 104,837
Prudential Covered Trust 2012-1, 2.997%, 9/30/15 (144A) 2.997 09/30/2015 500,000 413,680
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 1.152 03/15/2032 35,466,000 353,091
Bayview Financial Asset Trust 2003-A, Floating Rate Note, 2/25/33 (144A) 4.91 02/25/2033 7,852,000 251,716
Energy Transfer Partners LP, 5.95%, 2/1/15 5.95 02/01/2015 725,000 765,332
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 1.055 04/25/2032 10,133,000 646,716
Duke Energy Corp., 3.95%, 9/15/14 3.95 09/15/2014 395,000 402,491
Alterna Funding I LLC, 1.1639%, 2/15/21 (144A) 1.1639 02/15/2021 400,000 400,018
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 1.55%, 9/9/16 (144A) 1.55 09/09/2016 1,000,000 1,015,152
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/25/45 (144A) 0.355 11/25/2045 3,365,000 388,629
Prudential Financial, Inc., 3.875%, 1/14/15 3.875 01/14/2015 500,000 508,657
Structured Asset Securities Corp Mortgage Loan Trust 2005-2XS, 4.65%, 2/25/35 (Step) 4.65 02/25/2035 1,000,000 190,001
Citigroup Mortgage Loan Trust, Inc., 7.0%, 9/25/33 7.0 09/25/2033 7,340,000 101,370
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 3.5 04/23/2020 248,116 247,863
Aegis Asset Backed Securities Trust 2005-5, Floating Rate Note, 12/25/35 0.425 12/25/2035 1,000,000 264,379
Fannie Mae, Floating Rate Note, 1/1/25 2.599 01/01/2025 7,000,000 57,782
Credit Suisse First Boston Mortgage Securities Corp., 4.877%, 4/15/37 4.877 04/15/2037 500,000 507,575
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 3.4257 01/15/2017 250,000 256,429
RALI Series 2004-QS1 Trust, Floating Rate Note, 1/25/34 0.705 01/25/2034 2,884,000 37,573
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 0.7774 03/03/2017 500,000 502,042
Enbridge, Inc., Floating Rate Note, 10/1/16 0.8846 10/01/2016 500,000 503,051
American Home Mortgage Investment Trust 2005-1, Floating Rate Note, 6/25/45 2.3268 06/25/2045 1,500,000 215,401
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 0.355 01/25/2036 311,384 60,523
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 0.385 11/25/2037 9,516,000 531,959
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 0.7281 12/22/2054 250,000 249,243
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/38 0.655 06/25/2038 2,355,000 196,444
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/34 0.935 11/25/2034 4,839,000 152,927
Westpac Banking Corp., Floating Rate Note, 5/19/17 0.557 05/19/2017 1,000,000 1,001,663
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 1.6 06/19/2031 665,000 665,818
Fannie Mae, 5.5%, 12/1/35 5.5 12/01/2035 1,000,000 79,564
KeyBank NA Cleveland Ohio, 1.1%, 11/25/16 1.1 11/25/2016 500,000 501,685
Fannie Mae, Floating Rate Note, 11/1/24 2.548 11/01/2024 7,000,000 91,632
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 3.25 03/31/2021 200,000 198,250
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B, Floating Rate Note, 5/25/29 0.655 05/25/2029 4,636,150 268,874
Marathon Oil Corp., 0.9%, 11/1/15 0.9 11/01/2015 651,000 654,161
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 3.0 03/27/2024 550,000 506,593
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 0.505 08/25/2036 1,173,000 328,807
Bank of America Corp., Floating Rate Note, 1/15/15 0.6936 01/15/2015 750,000 751,166
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 1.82 09/15/2020 157,000 96,786
A10 Securitization 2013-1 LLC, 2.4%, 11/15/25 (144A) 2.4 11/15/2025 642,000 462,693
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.425 11/25/2035 3,786,000 502,349
Centerpoint Energy Transition Bond Co II LLC, 5.17%, 8/1/19 5.17 08/01/2019 720,000 773,022
JPMorgan Chase & Co., 1.875%, 3/20/15 1.875 03/20/2015 965,000 980,112
Government National Mortgage Association I, 6.5%, 10/15/37 6.5 10/15/2037 400,000 55,149
Capital One Financial Corp., 1.0%, 11/6/15 1.0 11/06/2015 475,000 477,490
Ford Motor Credit Co LLC, 1.724%, 12/6/17 1.724 12/06/2017 700,000 699,354
AmeriCredit Automobile Receivables Trust 2013-1, 1.57%, 1/8/19 1.57 01/08/2019 150,000 150,316
RALI Series 2004-QS1 Trust, 4.25%, 1/25/34 4.25 01/25/2034 14,997,000 136,930
The Bank of Nova Scotia, 1.45%, 4/25/18 1.45 04/25/2018 500,000 495,184
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 2.7 08/15/2018 125,000 128,302
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/42 0.702 02/15/2042 350,000 217,783
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 2.5515 10/15/2015 525,000 530,574
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 4.0 07/09/2018 1,000,000 1,010,056
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 1.0253 06/25/2028 9,455,006 377,879
Discover Card Execution Note Trust, Floating Rate Note, 10/15/18 0.332 10/15/2018 200,000 199,997
LB-UBS Commercial Mortgage Trust 2005-C2 REMICS, Floating Rate Note, 4/15/30 5.205 04/15/2030 1,455,000 1,496,751
NorthStar Realty Finance Corp., 3.0%, 9/30/14 3.0 09/30/2014 2,330,000 2,354,943
American Express Credit Corp., Floating Rate Note, 6/12/15 1.3303 06/12/2015 200,000 202,084
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 3.4246 01/17/2019 500,000 515,877
Federal National Mortgage Association REMICS, 1.5%, 11/25/20 1.5 11/25/2020 745,000 197,390
Ras Laffan Liquefied Natural Gas Co, Ltd. III, 5.5%, 9/30/14 (144A) 5.5 09/30/2014 250,000 256,409
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 3 0.605 03/25/2035 592,188 347,571
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 0.775 10/25/2028 8,393,000 484,176
RBS Greenwich Capital Mortgage Loan Trust, 3.686%, 4/15/24 (144A) 3.686 04/15/2024 2,440,000 1,743,608
TransCanada PipeLines, Ltd., 0.75%, 1/15/16 0.75 01/15/2016 650,000 650,886
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 0.415 11/25/2035 5,875,000 558,671
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 0.755 04/25/2034 1,761,729 101,867
Government National Mortgage Association I, 6.5%, 7/15/35 6.5 07/15/2035 328,670 21,671
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 0.555 07/25/2034 1,642,000 120,120
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 2.375 08/01/2031 500,000 1,509
Atlantic Power LP, Term Loan, 2/20/21 4.75 02/20/2021 1,101,525 1,113,917
Countrywide Asset-Backed Certificates, Floating Rate Note, 1/25/36 0.525 01/25/2036 330,000 51,461
Citigroup, Inc., Floating Rate Note, 7/25/16 1.1941 07/25/2016 750,000 757,991
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 0.452 02/15/2030 586,107 290,997
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 4.5 07/01/2019 1,467,130 186,172
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 1.095 12/25/2034 5,234,000 158,623
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 2.78 08/25/2034 590,000 74,808
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 0.505 02/25/2033 4,696,499 258,264
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WCW2, Floating Rate Note, 10/25/34 1.085 10/25/2034 1,076,819 112,345
Fannie Mae, 6.0%, 2/1/34 6.0 02/01/2034 1,400,000 38,292
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5.46 09/10/2045 1,000,000 1,057,271
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.432 11/15/2018 2,550,000 552,431
Federal National Mortgage Association REMICS, 3.0%, 4/25/40 3.0 04/25/2040 1,110,000 197,591
Fannie Mae, 2.5%, 6/1/23 2.5 06/01/2023 526,320 445,909
Banc of America Funding 2003-3 Trust, 5.5%, 10/25/33 5.5 10/25/2033 617,825 135,587
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 0.5274 11/23/2016 500,000 503,145
American Express Credit Account Secured Note Trust 2012-4, Floating Rate Note, 5/15/20 (144A) 0.952 05/15/2020 760,000 765,438
Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 6.2321 06/12/2015 500,000 515,650
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 6.5 08/15/2030 425,000 69,545
Volkswagen International Finance NV, 1.15%, 11/20/15 (144A) 1.15 11/20/2015 750,000 754,814
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 3.96 05/18/2016 250,000 254,081
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42 5.1695 08/15/2042 800,000 829,460
Express Scripts Holding Co., 2.1%, 2/12/15 2.1 02/12/2015 732,000 745,443
RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35 5.25 07/25/2035 300,770 175,836
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/28 0.652 07/15/2028 52,559,000 402,002
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 0.605 07/25/2034 2,600,000 266,106
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 11/25/33 2.5766 11/25/2033 1,400,000 78,915
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/36 0.975 05/25/2036 1,600,000 139,848
Volkswagen International Finance NV, 1.6%, 11/20/17 (144A) 1.6 11/20/2017 500,000 503,451
Verizon Communications, Inc., 3.0%, 4/1/16 3.0 04/01/2016 500,000 522,689
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.725 09/25/2037 679,000 97,592
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 0.6055 05/07/2024 200,000 141,373
Credit Acceptance Auto Loan Trust 2013-2, 1.5%, 4/15/21 (144A) 1.5 04/15/2021 1,000,000 1,005,417
CSMC Series 2014-ICE, Floating Rate Note, 12/15/29 1.45 12/15/2029 1,950,000 1,952,232
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 1.656 11/05/2030 175,000 175,660
Gracechurch Card Funding Plc, Floating Rate Note, 2/15/17 (144A) 0.855 02/15/2017 750,000 753,333
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 8.1046 01/07/2016 250,000 258,813
Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36 0.505 05/25/2036 1,300,000 441,072
Navitas Equipment Receivables LLC 2013-1, 3.63%, 2/15/17 3.63 02/15/2017 650,000 649,331
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 0.552 05/15/2041 638,000 131,501
SunTrust Banks, Inc., 3.5%, 1/20/17 3.5 01/20/2017 500,000 527,883
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 1.902 06/15/2034 1,110,000 1,110,774
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 4.75 04/25/2034 4,285,000 251,359
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/34 0.555 04/25/2034 644,866 85,741
Morgan Stanley, Floating Rate Note, 11/9/18 3.1 11/09/2018 275,000 291,007
Daimler Finance North America LLC, Floating Rate Note, 8/1/17 (144A) 0.5796 08/01/2017 617,000 617,183
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 3.75 12/04/2019 61,163 61,315
Banc of America Alternative Loan Trust 2004-4, 5.25%, 5/25/34 5.25 05/25/2034 1,363,000 174,571
AmeriCredit Automobile Receivables Trust 2011-5, 2.45%, 12/8/16 2.45 12/08/2016 500,000 503,911
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 0.4636 04/20/2021 500,000 433,225
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 0.572 06/15/2036 1,288,000 146,601
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 0.615 06/25/2034 13,470,000 648,319
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/17/31 (144A) 2.205 09/17/2031 750,000 750,000
COMM 2013-FL3 Mortgage Trust, Floating Rate Note, 10/13/28 (144A) 1.669 10/13/2028 1,000,000 799,427
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.605 09/25/2037 2,524,000 115,830
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/15/26 (144A) 1.452 03/15/2026 300,000 300,014
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 0.725 09/25/2036 3,447,000 255,963
Conseco Finance Corp., Floating Rate Note, 11/15/32 6.69 11/15/2032 800,000 4,074
McKesson Corp., Floating Rate Note, 9/10/15 0.6296 09/10/2015 235,000 235,625
Digital Realty Trust LP, 4.5%, 7/15/15 4.5 07/15/2015 650,000 668,193
GS Caltex Corp., 3.25%, 10/1/18 (144A) 3.25 10/01/2018 500,000 517,601
Branch Banking & Trust Co., 2.3%, 10/15/18 2.3 10/15/2018 500,000 510,135
Discovery Communications LLC, 3.7%, 6/1/15 3.7 06/01/2015 750,000 774,490
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 8/15/38 5.1 08/15/2038 1,900,440 1,802,621
Royal Bank of Canada, Floating Rate Note, 6/16/17 0.4706 06/16/2017 1,000,000 1,000,591
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 0.352 08/15/2026 370,000 149,550
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.5203 04/30/2018 350,000 349,151
Citigroup, Inc., Floating Rate Note, 11/15/16 0.9039 11/15/2016 750,000 754,899
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 0.5962 10/20/2017 256,000 256,591
Federal National Mortgage Association REMICS, 3.5%, 10/25/39 3.5 10/25/2039 490,000 321,351
Kane Flt% 12jun15   06/12/2015 600,000 536,100
Harley-Davidson Financial Services, Inc., 3.875%, 3/15/16 (144A) 3.875 03/15/2016 175,000 185,846
Covidien International Finance SA, 1.35%, 5/29/15 1.35 05/29/2015 750,000 756,953
Federal National Mortgage Association 2006-48-T, 5.5%, 12/25/34 5.5 12/25/2034 1,716,418 624,147
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/33 0.652 01/15/2033 40,000,000 1,902,177
Caterpillar Financial Services Corp., 1.0%, 11/25/16 1.0 11/25/2016 1,000,000 1,004,604
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 2.6336 06/25/2030 731,690 135,943
Waupaca Foundry, Inc., Term Loan, 6/29/17 4.0 06/29/2017 289,181 289,814
Bayview Commercial Asset Trust, Floating Rate Note, 4/25/34 (144A) 0.515 04/25/2034 4,150,000 431,829
Springleaf Mortgage Loan Trust 2012-2, Floating Rate Note, 10/25/57 (144A) 2.22 10/25/2057 424,000 233,570
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 1.8865 01/25/2029 3,592,000 53,232
Starwood Property Mortgage Trust 2013-FV1, Floating Rate Note, 8/11/28 (144A) 1.452 08/11/2028 640,000 627,190
COMM 2011-FL1 Mortgage Trust, Floating Rate Note, 7/19/28 (144A) 4.814 07/17/2028 200,000 64,713
Mastr Asset Backed Securities Trust 2005-WMC1, Floating Rate Note, 3/25/35 0.83 03/25/2035 215,000 75,805
Welk Resorts 2013-A LLC, 3.1%, 3/15/29 (144A) 3.1 03/15/2029 750,000 652,404
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 0.455 07/25/2035 750,000 175,616
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 1.7738 03/25/2044 2,950,000 226,396
Fannie Mae, 7.0%, 1/1/36 7.0 01/01/2036 1,000,000 40,927
Kizuna II Re, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A) 2.2703 04/06/2018 450,000 451,952
East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (Cat Bond) (144A) 2.783 03/14/2018 500,000 495,149
EQTY 2014-INNS Mortgage Trust, Floating Rate Note, 5/8/19 (144A) 1.354 05/08/2019 1,020,000 1,020,968
COMM 2007-FL14 Mortgage Trust, Floating Rate Note, 6/15/22 (144A) 0.452 06/15/2022 2,937,000 617,264
University of California, 0.966%, 5/15/17 0.966 05/15/2017 500,000 500,165
Ascentium Equipment Receivables 2014-1 LLC, 3.1%, 6/10/21 (144A) 3.1 06/10/2021 700,000 704,490
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 0.605 05/25/2018 11,040,000 506,048
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 4.568 01/15/2031 275,000 34,334
John Deere Capital Corp., Floating Rate Note, 9/22/14 0.7596 09/22/2014 1,800,000 1,803,033
Royal Bank of Canada, Floating Rate Note, 1/23/17 0.5631 01/23/2017 550,000 551,562
Government National Mortgage Association, 5.0%, 4/20/36 5.0 04/20/2036 850,000 128,562
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 10.2321 01/07/2015 400,000 413,929
SLM Student Loan Trust 2004-10, Floating Rate Note, 4/27/26 (144A) 0.9841 04/27/2026 380,000 381,512
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 0.405 02/25/2037 4,308,000 222,416
Sequoia Mortgage Trust 2004-12 REMICS, Floating Rate Note, 1/20/35 0.6154 01/20/2035 3,700,000 262,550
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 0.5972 05/27/2016 390,000 392,125
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/25/29 (144A) 1.3534 08/25/2029 490,818 346,111
Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A) 0.455 01/25/2036 3,644,114 306,158
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 4.2703 04/18/2017 250,000 247,843
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 2.551 08/01/2031 12,000,000 112,852
Government National Mortgage Association, Floating Rate Note, 4/16/32 0.702 04/16/2032 33,333,000 646,908
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.205 10/25/2037 466,904 406,948
Chrysler Group LLC, Tranche B Term Loan, 12/29/18 3.25 12/29/2018 598,500 596,734
ZIGGO BV, (USD) TLB3, 1/15/22   01/15/2022 476,177 468,694
Vita Capital IV, Ltd., Floating Rate Note, 1/15/16 (Cat Bond) (144A) 2.9257 01/15/2016 250,000 253,095
Chesapeake Funding LLC, Floating Rate Note, 3/7/26 0.5755 03/07/2026 750,000 750,498
John Deere Capital Corp., 1.05%, 10/11/16 1.05 10/11/2016 1,098,000 1,105,947
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 0.655 06/25/2035 278,355 187,422
Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/19/30 2.1 12/19/2030 750,000 749,397
Federal National Mortgage Association, 2.5%, 9/1/22 2.5 09/01/2022 2,000,000 1,430,980
Ascentium Equipment Receivables 2014-1 LLC, 1.04%, 1/10/17 1.04 01/10/2017 400,000 400,165
Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18 2.63 03/31/2018 399,000 396,506
Volkswagen Credit Auto Master Owner Trust, Floating Rate Note, 9/20/16 (144A) 0.8362 09/20/2016 100,000 100,089
Las Vegas Sands LLC, Term B Loan, 12/19/20 3.25 12/19/2020 248,750 248,478
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.502 11/15/2036 600,000 116,289
Capital Auto Receivables Asset Trust/ Ally, 2.19%, 9/20/21 2.19 09/20/2021 125,000 125,044
TransCanada PipeLines, Ltd., 0.875%, 3/2/15 0.875 03/02/2015 490,000 493,194
Bear Stearns Asset Backed Securities Trust 2003-SD2, Floating Rate Note, 6/25/43 4.5365 06/25/2043 3,896,100 292,167
Banc of America Alternative Loan Trust 2003-10, Floating Rate Note, 12/25/33 0.605 12/25/2033 2,600,000 165,941
Mack-Cali Realty LP, 5.125%, 1/15/15 5.125 01/15/2015 1,000,000 1,020,555
TAL Advantage V LLC, 1.7%, 5/20/39 (144A) 1.7 05/20/2039 400,000 383,422
Fannie Mae, Floating Rate Note, 4/1/28 2.587 04/01/2028 400,000 3,361
Thornburg Mortgage Securities Trust 2004-3, Floating Rate Note, 9/25/44 0.895 09/25/2044 11,309,309 1,095,758
Citigroup, Inc., Floating Rate Note, 4/1/16 1.0246 04/01/2016 500,000 503,432
Resi Flt% 12dec45 A1   12/12/2045 500,000 500,864
Morgan Stanley Capital I Trust 2005-HQ6 REMICS, Floating Rate Note, 8/13/42 5.073 08/13/2042 1,250,000 1,294,136
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 1.0351 10/28/2016 750,000 756,656
American Credit Acceptance Receivables Trust 2013-1, 1.45%, 4/16/18 (144A) 1.45 04/16/2018 41,000 16,987
Dell Equipment Finance Trust 2014-1, 2.68%, 6/22/20 (144A) 2.68 06/22/2020 750,000 750,447
Federal Home Loan Mortgage Corp., Floating Rate Note, 2/17/32 0.6042 02/17/2032 12,638,000 366,366
Orange Lake Timeshare Trust 2012-A, 4.87%, 3/10/27 (144A) 4.87 03/10/2027 600,000 330,633
Federal National Mortgage Association REMICS, 6.0%, 3/25/35 6.0 03/25/2035 1,000,000 50,674
John Deere Capital Corp., Floating Rate Note, 10/11/16 0.5241 10/11/2016 1,090,000 1,093,877
Citigroup Mortgage Loan Trust 2010-4 REMICS, 5.0%, 10/25/35 (144A) 5.0 10/25/2035 2,735,000 948,468
Jarden Corp., Tranche B1 Term Loan, 9/30/20 2.905 09/18/2020 248,125 249,054
AMRESCO Residential Securities Corp Mortgage Loan Trust 1997-3, Floating Rate Note, 9/25/27 0.71 09/25/2027 8,300,000 194,334
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 8.7804 06/06/2015 500,000 527,006
ARC Properties Operating Partnership LP, 2.0%, 2/6/17 (144A) 2.0 02/06/2017 500,000 505,187
Santander Drive Auto Receivables Trust 2014-3, 1.45%, 5/15/19 1.45 05/15/2019 1,000,000 998,367
Viacom, Inc., 2.5%, 9/1/18 2.5 09/01/2018 500,000 512,647
Home Loan Trust 2003-HI1, 5.77%, 4/25/28 (Step) 5.77 04/25/2028 1,500,000 106,558
Government National Mortgage Association, Floating Rate Note, 8/20/35 0.5562 08/20/2035 1,177,000 174,860
Assurant, Inc., 2.5%, 3/15/18 2.5 03/15/2018 300,000 304,829
Countrywide Asset-Backed Certificates, Floating Rate Note, 9/25/34 (144A) 0.705 09/25/2034 8,600,000 499,504
WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust, Floating Rate Note, 9/25/33 2.4102 09/25/2033 3,062,360 1,202,660
FHLMC Structured Pass Through Securities, Floating Rate Note, 12/25/29 0.455 12/25/2029 12,000,000 193,895
Express Scripts Holding Co., 2.75%, 11/21/14 2.75 11/21/2014 900,000 911,430
RASC Series 2006-KS1 Trust, Floating Rate Note, 2/25/36 0.375 02/25/2036 1,200,000 31,443
HSBC USA, Inc., 2.375%, 2/13/15 2.375 02/13/2015 780,000 797,022
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 2.6902 10/25/2033 1,500,000 180,563
General Electric Capital Corp., Floating Rate Note, 5/15/17 0.5039 05/15/2017 750,000 751,021
Loma Reinsurance, Ltd. Bermuda, Floating Rate Note, 1/8/18 (Cat Bond) (144A) 9.7625 01/08/2018 250,000 256,575
Government National Mortgage Association I, 6.0%, 12/15/31 6.0 12/15/2031 1,500,000 70,010
Precision Castparts Corp., 1.25%, 1/15/18 1.25 01/15/2018 500,000 495,181
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 0.6543 06/28/2044 750,000 724,985
Ally Auto Receivables Trust 2014-SN1, Floating Rate Note, 10/20/16 0.3562 10/20/2016 500,000 499,764
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 0.452 04/15/2036 728,000 163,241
Mastr Asset Backed Securities Trust 2005-WF1, Floating Rate Note, 6/25/35 0.525 06/25/2035 51,000 9,398
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 0.86 04/25/2035 159,800 134,313
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2.8589 03/25/2034 2,600,000 187,256
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38 1.375 10/25/2038 1,808,000 220,166
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 0.515 11/25/2036 2,248,000 340,534
Intesa Sanpaolo S.p.A., 3.125%, 1/15/16 3.125 01/15/2016 500,000 513,648
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 0.455 03/25/2035 1,201,850 184,281
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 0.4634 05/02/2017 500,000 500,722
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 1.7549 08/20/2034 5,000,000 261,215
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 0.935 11/25/2034 3,200,000 457,235
Intel Corp., 1.35%, 12/15/17 1.35 12/15/2017 700,000 700,193
Royal Bank of Canada, 1.45%, 9/9/16 1.45 09/09/2016 1,000,000 1,017,349
RASC Series 2005-KS7 Trust, Floating Rate Note, 8/25/35 0.595 08/25/2035 1,450,000 13,809
Bear Stearns Asset Backed Securities I Trust 2005-HE8, Floating Rate Note, 8/25/35 0.655 08/25/2035 1,233,951 67,243
Wachovia Bank Commercial Mortgage Trust Series 2006-C24, Floating Rate Note, 3/15/45 5.658 03/15/2045 272,000 280,510
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.512 11/15/2018 550,000 173,620
CPS Auto Receivables Trust 2013-A, 1.89%, 6/15/20 (144A) 1.89 06/15/2020 690,000 462,711
Nissan Motor Acceptance Corp., 2.65%, 9/26/18 (144A) 2.65 09/26/2018 1,000,000 1,030,233
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R6, Floating Rate Note, 8 0.355 08/25/2035 2,840,000 34,125
Equity One Mortgage Pass-Through Trust 2004-2, Floating Rate Note, 7/25/34 4.624 07/25/2034 1,925,000 497,917
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 10/10/45 5.115 10/10/2045 1,370,000 1,363,641
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33 0.655 09/25/2033 4,915,594 599,009
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 0.605 06/25/2036 2,317,493 264,457
First Horizon Mortgage Pass-Through Trust 2004-AR1, Floating Rate Note, 2/25/34 2.594 02/25/2034 1,500,000 60,636
Leaf Receivables Funding 8 LLC, 2.67%, 9/15/20 (144A) 2.67 09/15/2020 311,966 313,865
RAMP Series 2004-SL4 Trust, Floating Rate Note, 5/25/18 6.2759 05/25/2018 13,780,000 96,905
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/36 0.502 04/15/2036 4,003,000 750,121
Government National Mortgage Association II, 6.0%, 10/20/21 6.0 10/20/2021 3,113,223 535,080
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 5.116 06/10/2044 770,000 765,100
Structured Asset Mortgage Investments II Trust 2005-AR2, Floating Rate Note, 5/25/45 3.3443 05/25/2045 5,000,000 484,868
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 8.0325 07/09/2015 250,000 256,278
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 5.0 07/25/2018 600,000 41,646
AmeriCredit Automobile Receivables Trust 2010-2, 6.24%, 6/8/16 6.24 06/08/2016 567,000 511,070
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/15/30 (144A) 1.902 12/15/2030 410,000 410,953
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 4.985 09/11/2042 1,160,000 1,206,016
Global Container Assets 2013-1, Ltd., 2.2%, 11/5/28 (144A) 2.2 11/05/2028 750,000 576,253
PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29 1.44 05/15/2029 400,000 368,071
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 4.25 04/25/2034 4,541,000 216,855
Riverfront Re, Ltd., Floating Rate Note, 1/6/17 (Cat Bond) (144A) 4.0355 01/06/2017 320,000 312,530
Origen Manufactured Housing Contract Trust 2004-A, Floating Rate Note, 1/15/35 5.91 01/15/2035 600,000 272,565
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.552 12/15/2032 1,931,288 178,270
Wells Fargo & Co., 1.25%, 7/20/16 1.25 07/20/2016 500,000 504,425
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.375 04/25/2031 2,843,000 527,889
PSEG Power LLC, 2.75%, 9/15/16 2.75 09/15/2016 500,000 522,959
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 2/15/38 5.014 02/15/2038 855,000 705,076
John Deere Capital Corp., 2.95%, 3/9/15 2.95 03/09/2015 950,000 976,211
Soundview Home Loan Trust 2005-3, Floating Rate Note, 6/25/35 0.935 06/25/2035 600,000 101,498
Fannie Mae, Floating Rate Note, 10/1/29 2.57 10/01/2029 4,831,796 105,955
Sector Re V, Ltd., 0.0%, 3/30/19 (Cat Bond) (144A) 0.0 03/30/2019 300,000 308,910
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 0.5796 03/10/2017 750,000 751,394
Toyota Motor Credit Corp., 0.75%, 3/3/17 (Step) 0.75 03/03/2017 3,075,000 3,063,920
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/33 0.602 09/15/2033 2,647,000 222,751
Bella Vista Mortgage Trust 2004-1, Floating Rate Note, 11/20/34 0.8543 11/20/2034 12,618,000 381,641
MASTR Alternative Loan Trust 2004-13, 4.5%, 1/25/15 4.5 01/25/2015 2,000,000 2,167
United Technologies Corp., Floating Rate Note, 6/1/15 0.7274 06/01/2015 500,000 502,742
HLSS Servicer Advance Receivables Trust, 4.94%, 10/15/45 (144A) 4.94 10/15/2045 350,000 358,468
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 2.0055 05/07/2024 250,000 252,045
JP Morgan Chase Commercial Mortgage Securities Trust 2013-ALC, Floating Rate Note, 7/17/26 (144A) 3.005 07/17/2026 412,000 418,119
Cendant Mortgage Corp., 6.25%, 3/25/32 (144A) 6.25 03/25/2032 4,100,000 521,301
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 0.715 07/25/2029 10,014,000 496,653
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 0.5525 04/10/2028 300,000 300,230
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/25 2.599 04/01/2025 13,000,000 18,227
Armor Re, Ltd., Floating Rate Note, 12/15/16 (Cat Bond) (144A) 4.0304 12/15/2016 300,000 297,800
Bear Stearns Asset Backed Securities I Trust 2005-HE6, Floating Rate Note, 6/25/35 0.875 06/25/2035 1,350,000 58,528
Government National Mortgage Association, 3.0%, 12/20/38 3.0 12/20/2038 5,000,000 1,579,010
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 0.455 09/25/2036 1,226,000 190,143
US Renal Care, Inc., Tranche B-2 Term Loan (First Lien), 7/3/19 4.25 07/03/2019 552,218 551,701
Freddie Mac Strips, Floating Rate Note, 12/15/36 0.502 12/15/2036 2,327,000 167,985
Federal National Mortgage Association REMICS, 4.0%, 6/25/37 4.0 06/25/2037 900,000 54,701
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 1.47 05/15/2018 200,000 68,626
Alternative Loan Trust 2003-14T1, Floating Rate Note, 8/25/18 0.605 08/25/2018 3,200,000 137,762
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 (144A) 4.838 07/15/2041 637,677 136,048
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-1, Floating Rate Note, 2 0.455 02/25/2035 3,526,047 28,538
Wells Fargo Mortgage Backed Securities 2005-AR6 Trust, Floating Rate Note, 4/25/35 4.9237 04/25/2035 3,371,000 259,494
Capital Auto Receivables Asset Trust/ Ally, 1.74%, 10/22/18 1.74 10/22/2018 413,000 412,838
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 2.6468 07/25/2033 5,619,027 284,201
CDC Mortgage Capital Trust 2002-HE1, Floating Rate Note, 1/25/33 0.775 01/25/2033 19,484,513 411,724
GE Business Loan Trust 2006-2, Floating Rate Note, 11/15/34 (144A) 0.332 11/15/2034 1,920,423 814,671
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 0.7439 02/15/2017 500,000 502,811
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 2.4453 07/25/2033 7,700,000 988,310
Fannie Mae, Floating Rate Note, 2/1/33 2.895 02/01/2033 380,000 1,819
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 3.7703 04/24/2017 600,000 594,938
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 0.752 02/15/2019 750,000 751,463
The Bear Stearns Companies LLC, 5.7%, 11/15/14 5.7 11/15/2014 750,000 770,145
The Goldman Sachs Group, Inc., 5.0%, 10/1/14 5.0 10/01/2014 1,150,000 1,177,404
Oak Hill Advisors Residential Loan Trust 2014-NPL1, 2.8828%, 5/25/54 (Step) (144A) 2.8828 05/25/2054 520,000 490,755
Federal National Mortgage Association, Floating Rate Note, 6/25/36 0.555 06/25/2036 7,000,000 872,052
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MHQ, Floating Rate Note 1.28 12/25/2034 840,000 840,325
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.505 03/25/2037 9,250,000 328,001
AmeriCredit Automobile Receivables Trust 2012-4, 3.82%, 2/10/20 3.82 02/10/2020 500,000 521,891
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 (144A) 0.745 11/25/2035 2,175,000 94,671
Commonwealth Bank of Australia, Floating Rate Note, 9/18/15 (144A) 1.0306 09/18/2015 460,000 464,161
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 12/15/22 4.0 12/15/2022 890,000 23,140
Wachovia Corp., Floating Rate Note, 6/15/17 0.5006 06/15/2017 500,000 499,633
Fannie Mae, 3.0%, 11/1/27 3.0 11/01/2027 2,000,000 1,648,150
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 3.75 06/30/2019 98,258 98,092
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 2.25 06/25/2043 414,000 356,204
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 1.256 12/05/2031 200,000 200,076
IndyMac INDX Mortgage Loan Trust 2004-AR6, Floating Rate Note, 10/25/34 2.7022 10/25/2034 675,000 81,993
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 2.5 03/20/2025 250,000 126,241
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 0.615 01/25/2035 3,700,000 542,835
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 0.8055 01/18/2032 4,920,043 79,858
General Electric Capital Corp., Floating Rate Note, 7/12/16 0.8836 07/12/2016 296,000 298,707
AXIS Equipment Finance Receivables II LLC, 4.94%, 7/20/18 (144A) 4.94 07/20/2018 700,000 709,335
Baxter International, Inc., 0.95%, 6/1/16 0.95 06/01/2016 500,000 501,890
SACO I Trust 2005-8, Floating Rate Note, 11/25/35 0.915 11/25/2035 3,250,775 43,604
Government National Mortgage Association I, 5.0%, 8/15/19 5.0 08/15/2019 1,347,915 365,997
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 0.9253 01/25/2030 3,400,000 251,954
Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 6.5152 01/09/2017 600,000 597,272
Penn National Gaming, Inc., Term B Facility Loan, 10/25/20 3.25 10/25/2020 457,700 457,128
Wells Fargo Alternative Loan 2005-2 Trust, Floating Rate Note, 10/25/35 0.565 10/25/2035 453,135 449,256
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 1.1555 11/18/2032 24,329,000 505,423
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 0.402 06/15/2033 1,192,482 695,435
American Credit Acceptance Receivables Trust, 0.99%, 8/10/18 (144A) 0.99 08/10/2018 410,000 409,990
Svenska Handelsbanken New York NY, Floating Rate Note, 1/16/15 0.5226 01/16/2015 200,000 200,332
Government National Mortgage Association I, 7.5%, 10/15/36 7.5 10/15/2036 1,000,000 61,223
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 1.235 03/25/2035 311,000 133,018
RENT-A-CENTER, INC, Term Loan (2014), 2/6/21 3.75 02/06/2021 548,625 545,882
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 2.152 12/15/2028 945,000 951,030
ACA CLO 2006-2, Ltd., Floating Rate Note, 1/20/21 (144A) 0.9536 01/20/2021 250,000 244,809
General Electric Capital Corp., Floating Rate Note, 1/14/16 0.4636 01/14/2016 925,000 926,147
Federal National Mortgage Association REMICS, 6.0%, 6/25/29 6.0 06/25/2029 685,000 135,991
Federal National Mortgage Association, Floating Rate Note, 8/25/35 0.455 08/25/2035 2,868,000 383,078
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 0.6043 04/28/2039 425,000 419,504
HLSS Servicer Advance Receivables Trust, 1.7436%, 1/16/46 (144A) 1.7436 01/16/2046 250,000 249,519
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 3.75 08/20/2025 403,000 260,488
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 0.9016 07/19/2016 300,000 302,142
GreenPoint Mortgage Funding Trust 2005-HE1, Floating Rate Note, 9/25/34 0.83 09/25/2034 297,570 190,285
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 0.4786 07/20/2019 250,000 68,211
GMAC Commercial Mortgage Securities Inc Series 2004-C2 Trust, Floating Rate Note, 8/10/38 5.301 08/10/2038 1,465,000 264,938
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 0.455 12/25/2036 790,207 760,929
Hyundai Motor Manufacturing Czech sro, 4.5%, 4/15/15 (144A) 4.5 04/15/2015 1,000,000 1,036,987
United Auto Credit Securitization Trust 2012-1, 3.12%, 3/15/18 (144A) 3.12 03/15/2018 1,220,000 1,228,723
Federal National Mortgage Association REMICS, Floating Rate Note, 5/18/32 0.6555 05/18/2032 31,809,000 754,305
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 8.0304 06/06/2016 250,000 273,286
Popular ABS Mortgage Pass-Through Trust 2004-4, 4.85143%, 9/25/34 (Step) 4.8514 09/25/2034 1,325,000 483,923
ARI Fleet Lease Trust 2013-A, 0.7%, 12/15/15 (144A) 0.7 12/15/2015 260,000 173,081
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 1.055 12/25/2031 4,375,000 185,721
Altrl Flt% 30jun16   06/30/2016 350,000 364,455
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 0.552 07/15/2023 835,000 206,387
Bright Horizons Family Solutions, Inc., Term B Loan, 1/30/20 3.7501 01/14/2020 297,733 297,392
GE Equipment Small Ticket LLC Series 2013-1, 0.73%, 1/25/16 (144A) 0.73 01/25/2016 200,000 163,835
Bayview Commercial Asset Trust, 3.526662%, 9/25/37 (Step) (144A) 3.5267 09/25/2037 3,000,000 106,297
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 0.455 05/25/2036 5,518,315 531,068
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/40 0.455 08/25/2040 692,000 357,075
Fannie Mae, 6.5%, 7/1/32 6.5 07/01/2032 723,471 9,071
Conseco Finance Corp., 7.55%, 4/15/32 (Step) 7.55 04/15/2032 2,740,000 262,423
Flagstar Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/18 (144A) 0.615 06/25/2018 4,800,000 413,823
Ooredoo International Finance, Ltd., 3.375%, 10/14/16 (144A) 3.375 10/14/2016 500,000 526,841
Tengizchevroil Finance Co Sarl, 6.124%, 11/15/14 (144A) 6.124 11/15/2014 2,190,000 161,683
Wm Wrigley Jr Co., 2.0%, 10/20/17 (144A) 2.0 10/20/2017 1,000,000 1,016,588
Castle Garden Funding, Floating Rate Note, 10/27/20 (144A) 0.4874 10/27/2020 2,000,000 490,845
The Huntington National Bank, 1.3%, 11/20/16 1.3 11/20/2016 500,000 503,444
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 8.5262 01/05/2017 750,000 797,009
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 0.415 11/25/2046 2,393,000 458,233
Barclays Dryrock Issuance Trust, Floating Rate Note, 3/16/20 0.492 03/16/2020 500,000 500,116
Sinclair Television Group, Inc., New Tranche B Term Loan, 4/19/20 3.0 10/29/2016 441,652 437,648
Chase Funding Trust Series 2003-6, 4.277%, 11/27/34 (Step) 4.277 11/27/2034 1,400,000 214,262
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/41 0.582 06/15/2041 1,220,000 356,495
Banc of America Mortgage Trust 2004-7, 4.5%, 8/25/19 4.5 08/25/2019 181,000 14,604
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 0.355 12/25/2036 2,600,000 620,810
Altera Corp., 2.5%, 11/15/18 2.5 11/15/2018 500,000 507,159
MUFG Union Bank NA, 2.625%, 9/26/18 2.625 09/26/2018 1,000,000 1,032,705
ABN AMRO Bank NV, 1.375%, 1/22/16 (144A) 1.375 01/22/2016 500,000 503,501
Fannie Mae, 6.0%, 10/1/22 6.0 10/01/2022 973,454 330,981
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 2.49 02/25/2034 3,584,000 375,889
Banc of America Mortgage 2004-D Trust, Floating Rate Note, 5/25/34 2.6339 05/25/2034 4,920,000 567,117
Fannie Mae, 5.5%, 8/1/37 5.5 08/01/2037 2,000,000 413,893
CeramTec Service GmbH, Initial Dollar Term B-1 Loan, 8/30/20 4.25 07/30/2020 211,444 211,929
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 0.345 12/25/2035 350,623 124,317
Structured Asset Mortgage Investments II Trust 2004-AR5, Floating Rate Note, 10/19/34 0.8162 10/19/2034 8,100,000 396,352
Fannie Mae, Floating Rate Note, 12/1/36 4.379 12/01/2036 6,500,000 276,413
Morgan Stanley Home Equity Loan Trust 2005-4, Floating Rate Note, 9/25/35 0.475 09/25/2035 1,558,243 690,335
Alliant Techsystems, Inc., Term B Loan, 10/22/20 3.5 10/22/2020 198,750 199,023
Ford Motor Credit Co LLC, 3.875%, 1/15/15 3.875 01/15/2015 200,000 203,311
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 0.732 10/15/2037 3,873,000 319,154
NovaStar Mortgage Funding Trust Series 2003-1, Floating Rate Note, 5/25/33 0.915 05/25/2033 22,168,000 612,161
Structured Asset Sec Corp Mor Pass Thr Cer Ser 2003-35, Floating Rate Note, 12/25/33 0.655 12/25/2033 4,960,000 328,128
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 5.46 11/15/2035 460,000 411,186
America Movil SAB de CV, Floating Rate Note, 9/12/16 1.2303 09/12/2016 1,000,000 1,010,223
Federal National Mortgage Association, 5.0%, 8/25/22 5.0 08/25/2022 9,200,000 256,645
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 8/25/34 5.5 08/25/2034 18,567,000 60,539
GMAC Commercial Mortgage Securities Inc Series 2005-C1 Trust, 4.697%, 5/10/43 4.697 05/10/2043 1,019,000 1,041,925
Federal Home Loan Mortgage Corp., 5.75%, 2/15/34 5.75 02/15/2034 1,034,000 82,871
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/41 0.542 03/15/2041 2,498,000 951,769
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 0.465 11/25/2035 6,320,000 1,291,669
CGWF Commercial Mortgage Trust 2013-RKWH REMICS, Floating Rate Note, 11/15/30 (144A) 2.052 11/15/2030 1,720,000 1,736,018
Fannie Mae, 6.5%, 8/1/17 6.5 08/01/2017 667,089 20,748
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 4.1515 10/15/2015 487,000 491,520
Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35 5.5 05/25/2035 4,068,000 100,621
Wachovia Mortgage Loan Trust Series 2005-WMC1, Floating Rate Note, 10/25/35 0.895 10/25/2035 750,000 159,455
Santander Holdings USA, Inc. Pennsylvania, 3.45%, 8/27/18 3.45 08/27/2018 600,000 637,201
ANZ New Zealand Int'l, Ltd. London, 1.125%, 3/24/16 (144A) 1.125 03/24/2016 1,000,000 1,008,283
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 0.465 02/25/2035 603,000 200,658
BB&T Corp., 1.6%, 8/15/17 1.6 08/15/2017 103,000 104,251
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 2.405 03/25/2032 1,100,000 558,158
SunTrust Bank, Floating Rate Note, 4/1/15 0.5346 04/01/2015 430,000 430,145
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 1.1505 03/25/2028 10,213,000 402,952
Citibank Credit Card Issuance Trust, 4.85%, 3/10/17 4.85 03/10/2017 500,000 523,215
Santander Drive Auto Receivables Trust 2011-2, 3.28%, 6/15/16 3.28 06/15/2016 700,000 706,179
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 0.852 12/15/2039 666,000 294,359
Wachovia Bank Commercial Mortgage Trust Series 2005-C16, Floating Rate Note, 10/15/41 4.847 10/15/2041 465,000 289,917
Wells Fargo & Co., Floating Rate Note, 4/23/18 0.8631 04/23/2018 575,000 580,240
TMS International Corp., Term B Loan, 10/2/20 4.5 10/04/2020 149,250 150,088
Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 1.205 04/15/2032 1,480,000 1,480,099
Credit Suisse First Boston Mortgage Securities Corp., 4.829%, 11/15/37 4.829 11/15/2037 204,829 148,251
Federal National Mortgage Association, 2.75%, 6/25/20 2.75 06/25/2020 1,750,000 543,025
On Assignment, Inc., Initial Term B Loan, 5/15/20 3.5 05/16/2020 171,522 171,308
Fannie Mae, 6.0%, 4/1/38 6.0 04/01/2038 483,000 46,289
Government National Mortgage Association I, 6.0%, 3/15/17 6.0 03/15/2017 10,311,138 241,337
Adjustable Rate Mortgage Trust 2005-2, Floating Rate Note, 6/25/35 0.935 06/25/2035 345,151 274,151
GSAA Trust, Floating Rate Note, 6/25/35 0.585 06/25/2035 440,000 340,126
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 0.555 05/25/2037 6,826,000 285,206
Chase Issuance Trust, 0.79%, 6/15/17 0.79 06/15/2017 1,200,000 1,204,119
Federal Home Loan Mortgage Corp., 6.5%, 7/1/16 6.5 07/01/2016 2,000,000 10,073
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 9/15/16 0.502 09/15/2016 500,000 500,245
Home Equity Asset Trust 2005-3, Floating Rate Note, 8/25/35 0.815 08/25/2035 250,000 25,433
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 3.25 12/19/2020 523,688 523,517
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 0.345 01/25/2036 1,567,646 234,959
Federal National Mortgage Association, 4.0%, 3/1/21 4.0 03/01/2021 4,071,760 1,457,776
Shell International Finance BV, Floating Rate Note, 11/15/16 0.4339 11/15/2016 750,000 752,388
RREF 2013 LT2 LLC, 2.8331%, 5/22/28 (144A) 2.8331 05/22/2028 700,000 212,858
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 0.615 11/25/2035 471,000 461,798
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/9/21 0.6834 03/09/2021 800,000 404,737
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 0.5498 09/13/2016 500,000 499,053
Fannie Mae, 4.5%, 1/1/41 4.5 01/01/2041 580,000 311,773
Credit Suisse First Boston Mortgage Securities Corp., 7.5%, 5/25/32 7.5 05/25/2032 15,000,000 329,806
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 8/25/35 0.495 08/25/2035 7,750,000 490,699
Government National Mortgage Association, Floating Rate Note, 4/16/31 0.452 04/16/2031 12,627,242 270,749
Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A) 1.87 08/20/2029 1,400,000 551,627
Vantiv LLC, Term B Loan, 6/12/21 3.75 06/12/2021 340,000 341,700
Capital One Multi-Asset Execution Trust, Floating Rate Note, 2/15/19 0.332 02/15/2019 300,000 299,990
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2003-A3, 5.5%, 8/25/33 (Step) 5.5 08/25/2033 3,120,000 218,211
Steward Health Care System LLC, Term Loan, 4/10/20 6.75 04/12/2020 297,744 295,883
Morgan Stanley Capital I Trust 2004-HQ4 REMICS, 4.97%, 4/14/40 4.97 04/14/2040 1,474,144 260,525
Fannie Mae, Floating Rate Note, 11/1/25 2.245 11/01/2025 700,000 3,577
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.855 01/25/2035 5,395,000 668,270
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 0.4251 01/27/2017 500,000 500,641
Alternative Loan Trust 2003-J1, 4.75%, 10/25/33 4.75 10/25/2033 4,300,000 212,926
Caterpillar Financial Services Corp., 1.35%, 9/6/16 1.35 09/06/2016 1,125,000 1,141,597
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 1.055 05/28/2037 550,000 513,189
TORONTO-DOMINION BANK, Floating Rate Note, 11/6/15 0.4229 11/06/2015 500,000 501,323
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 3.9355 06/07/2017 650,000 646,165
Conseco Finance Home Equity Loan Trust 2002-C, Floating Rate Note, 5/15/32 1.652 05/15/2032 2,875,000 828,847
Ford Credit Auto Lease Trust 2014-B, Floating Rate Note, 3/15/17 0.3153 03/15/2017 600,000 600,016
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 0.905 12/25/2034 1,210,753 125,352
Lincoln National Corp., 4.3%, 6/15/15 4.3 06/15/2015 250,000 259,001
GATX Corp., 1.25%, 3/4/17 1.25 03/04/2017 750,000 748,925
Wachovia Bank Commercial Mortgage Trust Series 2005-C17, Floating Rate Note, 3/15/42 5.083 03/15/2042 1,965,000 1,915,693
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37 0.452 02/15/2037 2,840,000 196,276
MUFG Union Bank NA, Floating Rate Note, 9/26/16 0.9836 09/26/2016 1,450,000 1,465,914
DELOS FINANCE SARL, Loan, 2/27/21 3.5 02/27/2021 425,000 424,924
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 8.7229 05/07/2015 500,000 524,506
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3 REMICS, Floating Rate Note, 8/15/42 4.936 08/15/2042 440,000 392,516
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 0.355 02/25/2037 1,940,000 221,217
First Investors Auto Owner Trust 2013-1, 1.81%, 10/15/18 (144A) 1.81 10/15/2018 55,000 55,381
The Geo Group, Inc., Term Loan, 4/3/20 3.25 03/28/2020 496,231 496,851
State of Ohio, 3.0%, 6/15/15 3.0 06/15/2015 500,000 513,422
Federal Home Loan Mortgage Corp., 3.5%, 8/15/28 3.5 08/15/2028 500,000 189,198
Government National Mortgage Association, Floating Rate Note, 9/16/52 1.0659 09/16/2052 1,800,000 138,583
American Credit Acceptance Receivables Trust 2014-1, 1.14%, 3/12/18 (144A) 1.14 03/12/2018 520,000 354,283
Federal Home Loan Mortgage Corp., 5.0%, 2/1/21 5.0 02/01/2021 1,000,000 93,786
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.405 06/25/2037 1,010,000 106,360
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 4.0 11/08/2020 123,176 123,022
Sierra Timeshare 2013-1 Receivables Funding LLC, 2.39%, 11/20/29 (144A) 2.39 11/20/2029 160,000 71,581
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 (144A) 5.3272 07/10/2045 500,000 509,335
The Bank of Nova Scotia, Floating Rate Note, 1/12/15 1.2736 01/12/2015 1,000,000 1,005,483
Federal National Mortgage Association, 5.0%, 7/25/32 5.0 07/25/2032 7,363,000 344,398
Federal National Mortgage Association REMICS, 1.75%, 12/25/22 1.75 12/25/2022 1,000,000 335,453
County of Power Idaho, 5.625%, 10/1/14 5.625 10/01/2014 1,000,000 1,028,520
Marriott Vacation Club Owner Trust 2012-1, 3.5%, 5/20/30 (144A) 3.5 05/20/2030 845,000 489,198
Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20 3.5 09/23/2020 412,105 410,710
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 2.302 06/15/2016 1,000,000 1,009,607
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 0.505 06/25/2034 3,670,962 342,352
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 1.0109 11/25/2034 18,180,000 951,200
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 0.6091 03/30/2016 277,000 277,992
American Honda Finance Corp., 1.125%, 10/7/16 1.125 10/07/2016 500,000 504,645
Queen Street VIII Re, Ltd., Floating Rate Note, 6/8/16 (Cat Bond) (144A) 6.5175 06/08/2016 250,000 252,371
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 0.455 10/25/2035 1,878,000 206,113
JPMorgan Chase & Co., 1.1%, 10/15/15 1.1 10/15/2015 492,000 496,086
PNC Bank NA, Floating Rate Note, 4/29/16 0.5541 04/29/2016 1,111,000 1,111,540
Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Floating Rate Note, 10/17/44 5.4141 10/15/2044 625,364 542,952
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-11, Floating Rate Note, 1 0.895 12/25/2033 14,558,685 658,872
Government National Mortgage Association, 3.0%, 12/20/38 3.0 12/20/2038 1,000,000 165,988
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 0.632 06/15/2030 3,714,390 234,258
Government National Mortgage Association, Floating Rate Note, 4/16/32 0.652 04/16/2032 10,000,000 152,239
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 0.8472 02/26/2016 320,000 322,202
Federal National Mortgage Association 2004-T2, 3.339%, 7/25/43 3.3416 07/25/2043 6,750,000 1,001,341
Fannie Mae, 4.5%, 5/1/39 4.5 05/01/2039 1,350,000 548,800
Wells Fargo Mortgage Backed Securities 2006-16 Trust, 5.0%, 11/25/36 5.0 11/25/2036 550,000 33,344
Duke Energy Carolinas LLC, 1.75%, 12/15/16 1.75 12/15/2016 750,000 766,743
American Honda Finance Corp., 1.2%, 7/14/17 1.2 07/14/2017 750,000 748,583
Government National Mortgage Association, 5.0%, 5/20/35 5.0 05/20/2035 2,100,000 227,325
Ziggo Bv 1st Lien Tl-B2 L + 2.75% 15jan22 3.5 01/15/2022 289,532 284,982
Fannie Mae, 3.0%, 10/1/27 3.0 10/01/2027 2,000,000 1,402,411
Volvo Financial Equipment LLC Series 2014-1, 0.54%, 11/15/16 (144A) 0.54 11/15/2016 415,000 415,104
TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16 0.9141 06/30/2016 690,000 696,736
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/41 0.572 04/15/2041 2,446,437 539,849
SilverLeaf Finance XVII LLC, 2.71%, 3/16/26 (144A) 2.71 03/16/2026 750,000 532,431
General Electric Capital Corp., Floating Rate Note, 7/2/15 1.2607 07/02/2015 665,000 671,684
Nordea Bank Finland Plc New York, Floating Rate Note, 6/13/16 0.4098 06/13/2016 1,000,000 1,000,179
Foresight Energy LLC, Term Loan, 8/21/20 5.5 08/19/2020 132,083 133,404
Monsanto Co., 1.15%, 6/30/17 1.15 06/30/2017 1,000,000 997,429
Federal National Mortgage Association, Floating Rate Note, 11/25/27 0.455 11/25/2027 15,797,000 541,685
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 4.5304 12/06/2016 1,150,000 1,181,395
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36 0.575 08/25/2036 4,040,000 504,173
JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A) 1.406 04/15/2027 1,670,000 1,669,862
Federal National Mortgage Association, 4.5%, 3/25/37 4.5 03/25/2037 6,000,000 213,160
VOLT XXIV LLC, 3.25%, 11/25/53 (Step) 3.25 11/25/2053 600,000 580,030
Federal Home Loan Mortgage Corp., 4.0%, 5/15/37 4.0 05/15/2037 1,753,000 181,877
VOLT XXIII LLC, 3.625%, 11/25/53 (Step) 3.625 11/25/2053 475,000 461,014
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 0.895 03/25/2028 15,000,000 794,712
Vericrest Opportunity Loan Transferee 2014-NPL4 LLC, 3.125%, 4/27/54 (Step) (144A) 3.125 04/27/2054 1,700,000 1,696,056
Bank of Montreal, 0.8%, 11/6/15 0.8 11/06/2015 500,000 502,951
Sirius International Group, Ltd., 6.375%, 3/20/17 (144A) 6.375 03/20/2017 750,000 852,838
Countrywide Asset-Backed Certificates, Floating Rate Note, 2/25/36 5.069 02/25/2036 1,814,000 354,553
PVH Corp., Tranche B Term Loan, 2/13/20 3.25 12/19/2019 399,994 402,937
Citigroup, Inc., 5.5%, 10/15/14 5.5 10/15/2014 430,000 441,194
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/26/35 0.89 02/25/2035 1,496,373 397,391
Fannie Mae, Floating Rate Note, 11/1/40 1.522 11/01/2040 9,368,434 118,653
Irwin Home Equity Loan Trust 2005-1, 5.32%, 6/25/35 (Step) 5.32 06/25/2035 900,000 145,748
Allied Security Holdings LLC, Delayed Draw Term Loan (First Lien), 2/12/21 3.25 02/12/2021 511,570 509,972
Merrill Lynch Mortgage Trust 2005-CIP1, Floating Rate Note, 7/12/38 5.047 07/12/2038 630,000 649,471
The Goldman Sachs Group, Inc., Floating Rate Note, 11/21/14 1.227 11/21/2014 250,000 251,336
Commonwealth Edison Co., 1.95%, 9/1/16 1.95 09/01/2016 500,000 515,770
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2.58 09/15/2021 1,200,000 1,210,090
Federal National Mortgage Association REMICS, 5.0%, 9/25/39 5.0 09/25/2039 110,000 23,987
Residential Asset Securitization Trust 2004-A9, 5.75%, 12/25/34 5.75 12/25/2034 870,000 378,527
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 0.4736 04/19/2021 500,000 325,224
Hyundai Auto Receivables Trust 2014-B, 2.1%, 11/15/19 2.1 11/15/2019 500,000 498,009
Pfizer, Inc., Floating Rate Note, 5/15/17 0.3739 05/15/2017 750,000 750,811
Tradewynd Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 6.2703 01/08/2015 250,000 250,470
RALI Series 2003-QR24 Trust REMICS, 4.0%, 7/25/33 4.0 07/25/2033 950,000 330,270
Government National Mortgage Association II, 6.0%, 4/20/22 6.0 04/20/2022 1,262,566 194,957
Bank of America Corp., Floating Rate Note, 3/22/16 1.0496 03/22/2016 2,000,000 2,016,972
Government National Mortgage Association, Floating Rate Note, 1/16/35 0.402 01/16/2035 2,563,000 291,318
Manufacturers & Traders Trust Co., Floating Rate Note, 7/25/17 0.5341 07/25/2017 1,000,000 999,495
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 1.155 04/25/2032 50,000,000 697,567
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 1.0562 05/19/2033 7,644,000 405,909
American Express Credit Corp., 5.125%, 8/25/14 5.125 08/25/2014 553,000 566,778
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 0.555 07/25/2018 2,444,000 80,635
UnitedHealth Group, Inc., 1.875%, 11/15/16 1.875 11/15/2016 500,000 512,964
The Bank of New York Mellon Corp., 3.1%, 1/15/15 3.1 01/15/2015 220,000 222,959
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/15/19 0.452 08/15/2019 6,831,666 260,523
NCUA Guaranteed Notes Trust REMICS, 1.6%, 10/29/20 1.6 10/29/2020 500,000 208,146
Dartmouth Zero% 31dec14 0.0 12/31/2014 700,000 677,810
MALLINCKRODT INTERNATIONAL FINANCE SA, Initial Term B Loan, 3/6/21 3.5 03/06/2021 299,250 298,128
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 5.2855 03/07/2016 500,000 505,060
Federal National Mortgage Association, 2.832%, 7/25/42 2.8347 07/25/2042 11,000,000 961,698
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2 REMICS, 4.738%, 7/15/42 4.738 07/15/2042 960,000 984,159
Bayview Opportunity Master Fund Trust IIIa 2014-12RPL, 3.6225%, 7/28/19 (Step) (144A) 3.6225 07/28/2019 465,000 465,000
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 0.875 09/25/2034 12,500,000 527,430
Equity One Mortgage Pass-Through Trust 2004-3, Floating Rate Note, 7/25/34 0.475 07/25/2034 3,011,000 184,447
Tyco Electronics Group SA, 1.6%, 2/3/15 1.6 02/03/2015 640,000 648,602
United Auto Credit Securitization Trust 2014-1, 2.38%, 10/15/18 (144A) 2.38 10/15/2018 700,000 700,001
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1.805 03/25/2035 1,457,000 1,429,936
Morgan Stanley Capital I, Inc., Floating Rate Note, 10/15/20 (144A) 0.282 10/15/2020 425,000 423,830
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A) 0.6396 03/10/2017 500,000 500,333
Garda World Security Corp., Term B Loan, 11/1/20 4.0 11/01/2020 481,508 480,906
North American Development Bank, 2.3%, 10/10/18 2.3 10/10/2018 650,000 660,915
Structured Asset Mortgage Investments II Trust 2005-F1 REMICS, Floating Rate Note, 8/26/35 0.655 08/26/2035 6,100,000 149,130
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 1.21 08/15/2018 200,000 173,710
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 4.894 08/10/2042 1,000,000 1,018,421
Citigroup, Inc., 5.0%, 9/15/14 5.0 09/15/2014 2,250,000 2,303,878
NovaStar Mortgage Funding Trust Series 2004-3, Floating Rate Note, 12/25/34 1.73 12/25/2034 560,000 527,810
Credit Suisse First Boston Mortgage Securities Corp., 4.686%, 7/15/37 4.686 07/15/2037 890,000 890,771
Arysta Lifescience SPC LLC, Initial Term Loan (First Lien), 5/29/20 4.5 05/22/2020 705,683 705,978
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 0.555 03/25/2034 4,612,000 301,129
General Electric Capital Corp., Floating Rate Note, 5/11/16 0.4234 05/11/2016 350,000 350,230
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 1.255 09/25/2034 881,754 172,915
Gracechurch Card Funding Plc, Floating Rate Note, 6/15/17 (144A) 0.855 06/15/2017 300,000 301,561
Georgia Power Co., Floating Rate Note, 3/15/16 0.5506 03/15/2016 827,000 826,944
Gentiva Health Services, Inc., Initial Term B Loan, 10/10/19 6.5 10/10/2019 223,813 224,336
Fannie Mae, 5.0%, 10/1/41 5.0 10/01/2041 1,736,000 864,150
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 9.2804 06/06/2017 250,000 263,922
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 0.6796 03/22/2016 475,000 475,377
Spirit AeroSystems, Inc., Term Loan B, 9/30/20 3.25 09/30/2020 532,962 530,897
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 1.355 08/25/2034 389,000 73,569
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 0.555 07/25/2035 240,000 231,505
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 0.405 09/25/2030 3,264,773 574,181
CG-CCRE Commercial Mortgage Trust 2014-FL1, Floating Rate Note, 6/15/31 (144A) 1.102 06/15/2031 1,630,000 1,630,522
Government National Mortgage Association, Floating Rate Note, 2/16/53 1.0154 02/16/2053 2,000,000 148,583
JP Morgan Mortgage Trust 2005-A3, Floating Rate Note, 6/25/35 5.0365 06/25/2035 6,041,179 654,332
Federal National Mortgage Association, Floating Rate Note, 7/25/27 0.755 07/25/2027 1,402,000 83,134
Fannie Mae, Floating Rate Note, 12/1/28 2.445 12/01/2028 1,112,489 53,162
Milacron LLC, Term Loan, 3/28/20 4.0 03/12/2020 498,750 498,594
Government National Mortgage Association, Floating Rate Note, 2/20/38 0.6562 02/20/2038 2,477,000 241,135
Nissan Motor Acceptance Corp., 4.5%, 1/30/15 (144A) 4.5 01/30/2015 600,000 611,555
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/27 0.702 04/15/2027 22,817,000 272,587
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 0.555 05/25/2033 34,300,000 1,322,740
Fannie Mae, 6.5%, 6/1/16 6.5 06/01/2016 700,000 2,441
Federal National Mortgage Association, 3.5%, 7/25/24 3.5 07/25/2024 1,250,000 323,292
Fannie Mae, 7.0%, 10/1/19 7.0 10/01/2019 19,053,741 150,057
Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A) 2.38 03/20/2029 1,500,000 500,679
Commercial Mortgage Trust 2005-GG5, Floating Rate Note, 4/10/37 5.277 04/10/2037 2,075,000 2,176,029
Acosta, Inc., Term B Loan (2013), 3/2/18 4.25 03/02/2018 248,126 248,669
Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A) 3.5355 06/06/2018 250,000 250,300
The Huntington National Bank, Floating Rate Note, 4/24/17 0.6576 04/24/2017 500,000 500,406
JPMorgan Chase & Co., Floating Rate Note, 2/25/21 4.127 02/25/2021 500,000 522,744
Boston Scientific Corp., 2.65%, 10/1/18 2.65 10/01/2018 500,000 512,369
Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43 2.1537 06/25/2043 3,857,000 135,636
Morgan Stanley Capital I Trust 2004-IQ8, Floating Rate Note, 6/15/40 5.3 06/15/2040 1,200,000 1,206,520
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 0.4243 04/28/2036 603,000 48,431
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 2.2844 08/25/2033 4,000,000 277,113
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25 0.402 08/15/2025 970,000 336,802
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 0.895 11/25/2034 1,905,000 103,720
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/15/26 (144A) 2.102 03/15/2026 399,000 398,020
Fifth Third Bank Cincinnati Ohio, 1.15%, 11/18/16 1.15 11/18/2016 750,000 752,767
US Bancorp, 2.45%, 7/27/15 2.45 07/27/2015 755,000 770,813
Bear Stearns ARM Trust 2004-9, Floating Rate Note, 11/25/34 3.121 11/25/2034 1,014,658 133,923
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.995 01/25/2035 3,280,000 380,357
Bayview Opportunity Master Fund IIa Trust 2012-4NPL, 3.9496%, 1/28/34 (Step) 3.9496 01/28/2034 695,000 504,249
Structured Asset Securities Corp Mortgage Loan Trust 2005-WF4, Floating Rate Note, 11/25/35 0.515 11/25/2035 475,000 76,364
Credit Suisse First Boston Mortgage Securities Corp., 4.832%, 4/15/37 4.832 04/15/2037 1,080,143 1,104,398
Sequoia Mortgage Trust 2004-12 REMICS, Floating Rate Note, 1/20/35 0.4262 01/20/2035 13,677,000 1,579,978
Global SC Finance II SRL, 4.11%, 7/19/27 (144A) 4.11 07/19/2027 250,000 200,528
NorthStar 2013-1, Floating Rate Note, 8/27/29 (144A) 2.005 08/25/2029 778,000 777,417
Navistar Financial Dealer Note Master Trust, Floating Rate Note, 1/25/18 (144A) 0.825 01/25/2018 510,000 510,639
Telecom Italia Capital SA, 4.95%, 9/30/14 4.95 09/30/2014 750,000 765,478
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 2.25 08/20/2025 1,490,000 954,882
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 2.02 01/15/2019 200,000 200,001
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 1.23 03/15/2019 1,048,000 712,898
Federal National Mortgage Association REMICS, Floating Rate Note, 12/18/32 0.5555 12/18/2032 6,330,000 107,396
Merrill Lynch Mortgage Investors Trust Series 2005-A3, Floating Rate Note, 4/25/35 0.425