Pioneer Investments: Pioneer Short Term Income Fund


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Pioneer Short Term Income Fund

Monthly Portfolio Holdings as of 8/29/2014

Security Name Coupon Maturity Date Par / Shares Market Value($)
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 0.405 08/15/2036 5,044,000 296,238
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.855 01/25/2035 5,395,000 660,993
Banco Nacional de Desenvolvimento Economico e Social, 3.375%, 9/26/16 (144A) 3.375 09/26/2016 1,000,000 1,042,531
IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36 0.495 02/25/2036 250,000 46,262
Texas Instruments, Inc., 0.875%, 3/12/17 0.875 03/12/2017 500,000 501,772
Centerpoint Energy Transition Bond Co II LLC, 5.17%, 8/1/19 5.17 08/01/2019 720,000 663,991
Hyundai Capital America, 1.875%, 8/9/16 (144A) 1.875 08/09/2016 500,000 507,461
Sequoia Mortgage Trust 2004-12 REMICS, Floating Rate Note, 1/20/35 0.6154 01/20/2035 3,700,000 262,378
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/34 0.555 04/25/2034 644,866 83,870
Government National Mortgage Association, 5.0%, 7/20/31 5.0 07/20/2031 3,300,000 66,080
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 3.9853 05/18/2016 250,000 254,483
Starwood Property Mortgage Trust 2013-FV1, Floating Rate Note, 8/11/28 (144A) 1.456 08/11/2028 640,000 612,075
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 0.6906 09/09/2016 500,000 504,021
Springleaf Mortgage Loan Trust 2012-2, Floating Rate Note, 10/25/57 (144A) 2.22 10/25/2057 424,000 226,211
Government National Mortgage Association, Floating Rate Note, 2/16/53 1.0108 02/16/2053 2,000,000 146,818
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.385 04/25/2031 3,723,496 613,701
Federal National Mortgage Association REMICS, 4.0%, 5/25/29 4.0 05/25/2029 2,000,000 2,119,231
Vita Capital IV, Ltd., Floating Rate Note, 1/15/16 (Cat Bond) (144A) 2.9257 01/15/2016 250,000 253,575
Telefonica Emisiones SAU, 3.992%, 2/16/16 3.992 02/16/2016 500,000 522,784
Fannie Mae, Floating Rate Note, 7/1/36 2.331 07/01/2036 500,000 53,807
COMM 2014-KYO Mortgage Trust, Floating Rate Note, 6/11/27 (144A) 1.807 06/11/2027 1,630,000 1,629,544
First Franklin Mortgage Loan Trust 2002-FFA, Floating Rate Note, 9/25/32 1.655 09/25/2032 5,500,000 315,450
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 10.2321 01/07/2015 400,000 416,333
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 0.665 09/25/2035 1,100,000 589,384
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 1.055 12/25/2031 4,375,000 182,822
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 0.705 10/25/2017 11,475,000 224,224
Government National Mortgage Association, Floating Rate Note, 3/16/53 1.0181 03/16/2053 1,200,000 83,367
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 5.46 11/15/2035 460,000 405,228
COMM 2013-FL3 Mortgage Trust, Floating Rate Note, 10/13/28 (144A) 1.672 10/13/2028 1,000,000 799,698
Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Floating Rate Note, 10/17/44 5.4141 10/15/2044 625,364 539,625
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 0.5796 03/10/2017 750,000 751,752
IndyMac INDX Mortgage Loan Trust 2004-AR6, Floating Rate Note, 10/25/34 2.7022 10/25/2034 675,000 81,748
Duke Energy Corp., 3.95%, 9/15/14 3.95 09/15/2014 395,000 402,633
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 2.63 12/25/2034 500,000 125,961
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 0.405 02/25/2030 4,631,000 683,099
American Home Mortgage Investment Trust 2004-3, 5.01%, 10/25/34 (Step) 5.01 10/25/2034 4,000,000 232,039
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 0.455 09/15/2026 385,000 239,005
American Credit Acceptance Receivables Trust, 1.64%, 11/15/16 (144A) 1.64 11/15/2016 378,000 71,671
Origen Manufactured Housing Contract Trust 2004-A, Floating Rate Note, 1/15/35 5.91 01/15/2035 600,000 268,066
Cardinal Health, Inc., 4.0%, 6/15/15 4.0 06/15/2015 500,000 517,569
JOHN DEERE CAPITAL Corp., Floating Rate Note, 2/25/16 0.3349 02/25/2016 500,000 499,876
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 0.4251 01/27/2017 500,000 501,048
TD Ameritrade Holding Corp., 4.15%, 12/1/14 4.15 12/01/2014 705,000 718,657
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.105 10/25/2037 785,400 225,075
Federal Home Loan Mortgage Corp., 3.5%, 8/15/28 3.5 08/15/2028 500,000 185,791
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 0.655 03/25/2024 4,129,409 173,353
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 12/25/35 0.335 02/25/2036 5,047,000 1,067,788
AmeriCredit Automobile Receivables Trust 2010-4, 6.4%, 4/9/18 (144A) 6.4 04/09/2018 100,000 101,694
Mastr Asset Backed Securities Trust 2005-WF1, Floating Rate Note, 6/25/35 0.525 06/25/2035 51,000 8,232
American Express Credit Corp., Floating Rate Note, 6/12/15 1.3303 06/12/2015 200,000 202,158
RALI Series 2003-QS6 Trust, Floating Rate Note, 3/25/33 0.805 03/25/2033 6,865,000 431,146
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 1.455 03/15/2026 300,000 300,065
General Electric Capital Corp., Floating Rate Note, 5/15/17 0.5136 05/15/2017 750,000 751,571
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 0.745 11/25/2035 2,175,000 90,785
Health Care Real Estate Investment Trust, Inc., 2.25%, 3/15/18 2.25 03/15/2018 500,000 511,764
Volkswagen International Finance NV, 1.125%, 11/18/16 (144A) 1.125 11/18/2016 750,000 755,250
Prudential Financial, Inc., 3.875%, 1/14/15 3.875 01/14/2015 500,000 508,521
General Electric Capital Corp., Floating Rate Note, 7/12/16 0.8836 07/12/2016 296,000 299,155
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 9/15/16 0.505 09/15/2016 500,000 500,181
Santander Holdings USA, Inc. Pennsylvania, 3.0%, 9/24/15 3.0 09/24/2015 2,899,000 2,999,530
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP4, Floating Rate Note, 10/15/42 5.04 10/15/2042 500,000 513,795
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 0.325 04/16/2035 1,150,000 507,431
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 1.235 03/25/2035 311,000 130,956
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 9/10/47 5.3492 09/10/2047 1,780,000 1,844,354
WaMu Mortgage Pass-Through Certificates Series 2003-S10, 5.0%, 10/25/18 5.0 10/25/2018 17,361,049 666,248
Government National Mortgage Association, Floating Rate Note, 4/16/32 0.655 04/16/2032 10,000,000 151,051
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.855 01/25/2035 3,695,000 492,680
Castle Garden Funding, Floating Rate Note, 10/27/20 (144A) 0.4874 10/27/2020 2,000,000 490,935
Devon Energy Corp., 1.2%, 12/15/16 1.2 12/15/2016 500,000 503,275
MetLife Institutional Funding II, Floating Rate Note, 1/6/15 (144A) 0.6021 01/06/2015 500,000 501,131
Structured Asset Sec Corp Mor Pass Thr Cer Ser 2003-35, Floating Rate Note, 12/25/33 0.655 12/25/2033 4,960,000 326,696
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 0.795 09/25/2034 32,445,000 1,373,542
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 2.7 08/15/2018 125,000 128,128
American Home Mortgage Investment Trust 2005-1, Floating Rate Note, 6/25/45 2.3288 06/25/2045 1,500,000 205,725
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 0.456 04/28/2036 1,207,803 320,144
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 3.0 05/15/2018 585,000 310,411
Federal National Mortgage Association REMICS, Floating Rate Note, 5/18/32 0.655 05/18/2032 31,809,000 742,727
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/24 1.005 01/25/2024 51,985,111 326,674
CD 2005-CD1 Commercial Mortgage Trust, Floating Rate Note, 7/15/44 5.2264 07/15/2044 940,000 929,462
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 0.405 09/25/2030 3,264,773 574,964
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 2.7703 01/09/2017 500,000 513,930
Honda Auto Receivables 2012-4 Owner Trust, 0.52%, 8/18/16 0.52 08/18/2016 1,000,000 825,392
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 0.405 06/15/2033 1,192,482 673,207
EQTY 2014-INNS Mortgage Trust, Floating Rate Note, 5/8/31 (144A) 1.359 05/08/2031 1,020,000 1,011,980
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 0.305 05/25/2036 704,088 215,965
Covidien International Finance SA, 1.35%, 5/29/15 1.35 05/29/2015 750,000 757,563
MetLife Institutional Funding II, 1.625%, 4/2/15 (144A) 1.625 04/02/2015 1,170,000 1,186,274
Structured Asset Securities Corp Mortgage Loan Trust 2005-WF4, Floating Rate Note, 11/25/35 0.515 11/25/2035 475,000 65,593
AmeriCredit Automobile Receivables Trust 2013-4, 0.74%, 11/8/16 0.74 11/08/2016 500,000 270,299
American Honda Finance Corp., 1.85%, 9/19/14 (144A) 1.85 09/19/2014 200,000 201,793
Hyundai Auto Receivables Trust 2014-B, 2.1%, 11/15/19 2.1 11/15/2019 500,000 500,248
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/38 1.055 07/25/2038 6,812,000 381,242
Government National Mortgage Association I, 6.0%, 11/15/36 6.0 11/15/2036 2,000,000 181,452
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 0.86 04/25/2035 159,800 128,856
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 2.35 10/25/2035 1,543,473 398,844
Banc of America Alternative Loan Trust 2004-2, 5.5%, 3/25/19 5.5 03/25/2019 954,266 119,029
Principal Life Global Funding II, 1.2%, 5/19/17 (144A) 1.2 05/19/2017 750,000 749,761
First Investors Auto Owner Trust 2013-3, 2.32%, 10/15/19 (144A) 2.32 10/15/2019 300,000 303,647
Ziggo Bv 1st Lien Tl-B1 L + 2.75% 15jan22   01/15/2022 449,291 441,078
U.S. Treasury Notes, 1.5%, 8/31/18 1.5 08/31/2018 3,500,000 3,541,435
Nissan Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 0.425 01/15/2016 240,000 208,270
Fannie Mae, 6.0%, 4/1/38 6.0 04/01/2038 483,000 45,245
Branch Banking & Trust Co., 1.35%, 10/1/17 1.35 10/01/2017 500,000 499,282
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 3.75 12/04/2019 61,163 61,239
Fifth Third Bank Cincinnati Ohio, 1.15%, 11/18/16 1.15 11/18/2016 750,000 755,876
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/25 2.599 04/01/2025 13,000,000 18,106
British Telecommunications Plc, 2.0%, 6/22/15 2.0 06/22/2015 1,004,000 1,019,125
Fannie Mae, Floating Rate Note, 4/1/28 2.587 04/01/2028 400,000 3,338
Wells Fargo & Co., Floating Rate Note, 4/23/18 0.8631 04/23/2018 575,000 580,966
Alternative Loan Trust 2004-6CB, Floating Rate Note, 4/25/34 0.735 05/25/2034 4,500,000 341,974
Quest Trust REMICS, Floating Rate Note, 3/25/34 (144A) 0.815 03/25/2034 24,804,330 1,027,936
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 3.25 11/05/2020 498,750 496,919
Thomson Reuters Corp., 0.875%, 5/23/16 0.875 05/23/2016 250,000 250,441
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 2.7257 01/15/2017 750,000 772,976
Morgan Stanley Capital I Trust 2005-HQ6 REMICS, Floating Rate Note, 8/13/42 5.073 08/13/2042 1,250,000 1,287,463
Fresenius US Finance I, Inc., Tranche B Term Loan, 8/7/19 2.2341 08/06/2019 496,250 496,560
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 3.9669 08/25/2053 1,505,000 1,423,126
Citigroup, Inc., 5.0%, 9/15/14 5.0 09/15/2014 2,250,000 2,305,045
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/39 0.855 11/25/2039 2,750,000 535,380
Equity One Mortgage Pass-Through Trust 2004-2, Floating Rate Note, 7/25/34 4.624 07/25/2034 1,925,000 497,716
Home Loan Trust 2003-HI1, 5.77%, 4/25/28 (Step) 5.77 04/25/2028 1,500,000 103,048
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.605 09/25/2037 2,524,000 114,440
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 96,925
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 0.555 07/15/2023 835,000 202,258
ABN AMRO Bank NV, 1.375%, 1/22/16 (144A) 1.375 01/22/2016 500,000 504,288
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1.7703 01/07/2019 500,000 502,507
Thermo Fisher Scientific, Inc., 2.4%, 2/1/19 2.4 02/01/2019 1,000,000 1,012,315
Ford Motor Credit Co LLC, 1.724%, 12/6/17 1.724 12/06/2017 700,000 701,636
Navitas Equipment Receivables LLC 2013-1, 3.63%, 2/15/17 3.63 02/15/2017 650,000 650,195
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 0.6091 03/30/2016 277,000 278,100
Citibank Credit Card Issuance Trust, 4.85%, 3/10/17 4.85 03/10/2017 500,000 523,345
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 2.155 10/25/2023 544,000 486,147
AmeriCredit Automobile Receivables Trust 2012-4, 3.82%, 2/10/20 3.82 02/10/2020 500,000 517,580
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 0.555 05/15/2036 2,159,000 168,560
American Credit Acceptance Receivables Trust 2014-1, 1.14%, 3/12/18 (144A) 1.14 03/12/2018 520,000 324,100
Sierra Timeshare 2013-2 Receivables Funding LLC, 2.92%, 11/20/25 (144A) 2.92 11/20/2025 160,000 83,449
Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A) 1.1558 09/25/2037 1,905,250 442,264
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 0.935 11/25/2034 3,200,000 448,563
Bayview Opportunity Master Fund IIa Trust 2014-20NPL, Floating Rate Note, 8/28/44 (144A) 3.721 08/28/2044 420,000 420,130
Walgreen Co., 1.0%, 3/13/15 1.0 03/13/2015 1,000,000 1,007,127
The Goldman Sachs Group, Inc., 5.0%, 10/1/14 5.0 10/01/2014 1,150,000 1,178,164
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 0.5498 09/13/2016 500,000 499,313
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 9.0304 06/06/2015 500,000 531,125
JPMorgan Chase & Co., 3.4%, 6/24/15 3.4 06/24/2015 265,000 272,759
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR8, 4.75%, 6/11/41 4.75 06/11/2041 415,000 425,503
ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A) 3.081 09/25/2025 430,000 229,268
Steward Health Care System LLC, Term Loan, 4/10/20 6.75 04/12/2020 297,744 295,883
Terwin Mortgage Trust Series TMTS 2005-14HE, 4.8492%, 8/25/36 (Step) 4.8492 08/25/2036 630,000 134,801
Credit Suisse First Boston Mortgage Securities Corp., 7.5%, 5/25/32 7.5 05/25/2032 15,000,000 328,654
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 (144A) 0.425 04/25/2032 8,633,000 853,989
Branch Banking & Trust Co., 2.3%, 10/15/18 2.3 10/15/2018 500,000 513,762
The Korea Development Bank, Floating Rate Note, 1/22/17 0.8566 01/22/2017 750,000 752,959
Citibank Credit Card Issuance Trust, 5.1%, 11/20/17 5.1 11/20/2017 500,000 534,529
SilverLeaf Finance XVII LLC, 2.71%, 3/16/26 (144A) 2.71 03/16/2026 750,000 512,468
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 3.5 09/06/2019 261,457 261,196
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 1.155 03/15/2032 15,667,000 202,704
Government National Mortgage Association, 3.5%, 8/20/38 3.5 08/20/2038 1,115,000 489,379
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 0.505 06/25/2034 3,670,962 332,943
Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36 0.505 05/25/2036 1,300,000 441,466
ZIGGO BV, (USD) TLB3, 1/15/22   01/15/2022 476,177 467,472
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 0.655 07/15/2036 3,107,000 269,759
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25 0.455 08/15/2025 8,280,485 724,346
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 0.345 01/25/2036 1,567,646 226,942
Canadian Natural Resources, Ltd., 1.45%, 11/14/14 1.45 11/14/2014 430,000 432,736
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.5203 04/30/2018 350,000 352,923
Leaf Receivables Funding 8 LLC, 2.67%, 9/15/20 (144A) 2.67 09/15/2020 311,966 314,027
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/28 0.655 07/15/2028 52,559,000 394,529
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 1.255 09/25/2034 881,754 169,137
Extended Stay America Trust 2013-ESH, 1.2783%, 12/5/31 (144A) 1.2783 12/05/2031 723,000 719,143
Federal National Mortgage Association REMICS, 3.0%, 4/25/40 3.0 04/25/2040 1,110,000 193,781
NCUA Guaranteed Notes Trust REMICS, 1.6%, 10/29/20 1.6 10/29/2020 500,000 204,426
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1.235 03/25/2035 300,000 144,736
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 0.505 05/25/2036 6,641,000 246,823
WCP Wireless Site Funding, 6.829%, 11/15/15 (144A) 6.829 11/15/2015 1,155,000 1,200,378
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 2.49 02/25/2034 3,584,000 374,435
Hologic, Inc., Refinancing Tranche B Term Loan, 8/1/19 3.25 08/01/2019 495,169 492,900
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 2.408 08/01/2031 12,000,000 93,850
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 1.095 12/25/2034 5,234,000 158,622
WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21 1.2341 01/23/2021 72,296 72,168
HomeBanc Mortgage Trust 2005-2, Floating Rate Note, 5/25/25 0.575 05/25/2025 6,015,011 247,909
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 2.105 03/15/2026 399,000 398,230
Amgen, Inc., 2.5%, 11/15/16 2.5 11/15/2016 500,000 519,978
Southwire Co., Initial Term Loan, 1/31/21 3.25 01/31/2021 404,238 402,553
RBS Greenwich Capital Mortgage Loan Trust, 3.686%, 4/15/24 (144A) 3.686 04/15/2024 2,440,000 1,738,222
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 0.775 10/25/2028 8,393,000 476,604
Gentiva Health Services, Inc., Initial Term B Loan, 10/10/19 6.5 10/10/2019 223,813 224,267
ACIS CLO 2014-4, Ltd., Floating Rate Note, 5/1/26 1.2274 05/01/2026 700,000 700,021
Fannie Mae, 6.5%, 4/1/29 6.5 04/01/2029 9,050,000 316,277
TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16 0.9141 06/30/2016 690,000 697,016
LB-UBS Commercial Mortgage Trust 2005-C7 REMICS, Floating Rate Note, 11/15/30 (144A) 5.197 11/15/2030 2,455,809 2,519,805
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 0.415 11/25/2035 5,875,000 547,088
DELOS FINANCE SARL, Loan, 2/27/21 3.5 02/27/2021 425,000 423,725
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 1.6357 03/25/2044 4,537,000 746,862
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 4.75 04/25/2034 4,285,000 242,182
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 4.025 06/28/2016 500,000 508,372
Government National Mortgage Association, 3.0%, 12/20/38 3.0 12/20/2038 1,000,000 157,404
Spirit AeroSystems, Inc., Term Loan B, 9/30/20 3.25 09/30/2020 532,962 530,353
Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A2, Floating Rate Note, 2/25/35 2.4693 02/25/2035 500,000 110,885
Government National Mortgage Association, Floating Rate Note, 9/20/33 0.4555 09/20/2033 704,000 97,418
Barclays Bank Plc, Floating Rate Note, 2/17/17 0.8111 02/17/2017 229,000 230,186
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 0.355 10/15/2020 9,083,556 189,071
Federal Home Loan Mortgage Corp., 4.0%, 5/15/37 4.0 05/15/2037 1,753,000 177,060
RAMP Series 2005-RS5 Trust, Floating Rate Note, 5/25/35 0.495 05/25/2035 360,000 7,302
Direct Capital Funding V LLC, 4.83%, 11/20/20 (144A) 4.83 11/20/2020 750,000 764,670
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 2.78 08/25/2034 590,000 71,553
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 0.635 06/15/2030 3,714,390 232,973
CAM Mortgage Trust 2014-1, 3.3515%, 12/15/53 (Step) (144A) 3.3515 12/15/2053 660,000 114,608
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 0.405 07/25/2035 3,227,000 413,050
COMM 2007-FL14 Mortgage Trust, Floating Rate Note, 6/15/22 (144A) 0.455 06/15/2022 2,937,000 605,502
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 2.305 06/15/2016 1,000,000 1,009,178
Origen Manufactured Housing Contract Trust 2005-A, Floating Rate Note, 6/15/36 5.41 06/15/2036 250,000 251,106
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/34 0.505 01/25/2034 10,970,000 1,810,469
Bway Holding Co 1st Lien Tl-B L + 4.5% 08aug20 5.5 08/08/2020 100,000 100,938
Government National Mortgage Association, Floating Rate Note, 8/16/52 1.0569 08/16/2052 2,000,000 123,950
LB-UBS Commercial Mortgage Trust 2008-C1, Floating Rate Note, 4/15/41 6.3198 04/15/2041 210,000 100,909
Federal National Mortgage Association, 4.5%, 3/25/37 4.5 03/25/2037 9,900,000 279,324
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 5.25 04/25/2032 795,156 250,103
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 0.555 03/25/2034 4,612,000 298,084
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 3.0795 11/25/2034 750,000 79,145
Credit Suisse First Boston Mortgage Securities Corp., 4.877%, 4/15/37 4.877 04/15/2037 500,000 506,517
JP Morgan Mortgage Trust 2005-A4, Floating Rate Note, 7/25/35 2.2054 07/25/2035 1,935,000 301,440
Government National Mortgage Association, 4.5%, 6/16/34 4.5 06/16/2034 1,387,000 30,337
Svenska Handelsbanken New York NY, Floating Rate Note, 11/17/14 0.4011 11/17/2014 350,000 350,115
Federal Home Loan Banks, 2.9%, 4/20/17 2.9 04/20/2017 1,370,000 278,474
PARTY CITY HOLDINGS INC, 2014 Replacement Term Loan, 7/27/19 4.0 07/27/2019 950,225 941,673
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1.3984 05/27/2016 1,000,000 1,005,747
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 0.856 12/05/2031 200,000 200,027
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 60,050
Milacron LLC, Term Loan, 3/28/20 4.0 03/12/2020 498,750 497,503
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 0.775 09/25/2034 14,479,489 617,949
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 1.905 06/15/2034 1,110,000 1,111,276
Hyperion Insurance Group, Ltd., Term Loan, 10/4/19 5.75 10/03/2019 398,000 397,503
United Technologies Corp., Floating Rate Note, 6/1/15 0.7274 06/01/2015 500,000 502,778
Daimler Finance North America LLC, 1.45%, 8/1/16 (144A) 1.45 08/01/2016 1,000,000 1,010,806
Federal National Mortgage Association 2004-T2, Floating Rate Note, 7/25/43 3.3416 07/25/2043 6,750,000 996,985
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 2.02 01/15/2019 200,000 200,550
Fannie Mae, Floating Rate Note, 1/1/25 2.599 01/01/2025 7,000,000 57,390
Ally Auto Receivables Trust 2014-SN1, Floating Rate Note, 10/20/16 0.3555 10/20/2016 500,000 499,798
SMART Trust/Australia, Floating Rate Note, 8/15/16 0.456 08/15/2016 750,000 750,216
WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust, Floating Rate Note, 9/25/33 2.4078 09/25/2033 3,062,360 1,211,302
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 0.4791 05/02/2017 500,000 500,309
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A) 2.1 05/19/2031 700,000 687,351
Volvo Financial Equipment LLC Series 2014-1, 0.54%, 11/15/16 (144A) 0.54 11/15/2016 415,000 415,154
GE Business Loan Trust 2004-2, Floating Rate Note, 12/15/32 (144A) 0.375 12/15/2032 2,533,274 512,542
Bank of America Corp., 1.25%, 1/11/16 1.25 01/11/2016 575,000 578,997
Hilton Grand Vacations Trust 2014-A, 2.07%, 11/25/26 (144A) 2.07 11/25/2026 750,000 713,680
GLC Trust 2013-1, 3.0%, 7/15/21 (144A) 3.0 07/15/2021 1,000,000 955,954
BPCE SA, Floating Rate Note, 4/25/16 1.4841 04/25/2016 550,000 559,414
Sierra Timeshare 2013-1 Receivables Funding LLC, 2.39%, 11/20/29 (144A) 2.39 11/20/2029 160,000 68,510
Impac CMB Trust Series 2004-5, Floating Rate Note, 10/25/34 0.875 10/25/2034 5,941,000 353,369
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 2.375 08/01/2031 500,000 1,503
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/33 0.465 04/15/2033 22,025,143 953,690
Home Equity Mortgage Trust, 5.821%, 4/25/35 (Step) 5.821 04/25/2035 1,000,000 293,944
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 1.256 12/05/2031 200,000 200,047
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 5.23 12/15/2040 2,730,000 2,000,441
Federal National Mortgage Association, 3.0%, 6/25/39 3.0 06/25/2039 2,000,000 284,660
Fannie Mae, 4.5%, 1/1/41 4.5 01/01/2041 580,000 300,842
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 3/18/16 0.7106 03/18/2016 500,000 503,202
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.405 11/15/2036 994,698 52,867
Armor Re, Ltd., Floating Rate Note, 12/15/16 (Cat Bond) (144A) 4.0304 12/15/2016 300,000 301,743
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 0.605 05/25/2018 11,040,000 468,118
Bear Stearns Asset Backed Securities I Trust 2005-HE6, Floating Rate Note, 6/25/35 0.875 06/25/2035 1,350,000 48,843
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5.372 09/10/2045 1,450,000 1,523,385
Federal National Mortgage Association REMICS, 6.0%, 6/25/29 6.0 06/25/2029 685,000 134,598
Express Scripts Holding Co., 2.75%, 11/21/14 2.75 11/21/2014 900,000 911,348
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 1.18 08/15/2017 329,000 105,810
Navios Maritime Partners LP, Term Loan, 6/27/18 5.25 06/27/2018 461,513 467,474
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 3.5304 01/06/2019 500,000 500,925
Commonwealth Edison Co., 1.95%, 9/1/16 1.95 09/01/2016 500,000 516,502
RALI Series 2004-QR1 Trust, 5.25%, 10/25/34 5.25 10/25/2034 21,545,000 538,515
Nationstar Mortgage Loan Trust 2013-A, Floating Rate Note, 12/25/52 (144A) 3.75 12/25/2052 13,980 14,353
HLSS Servicer Advance Receivables Trust, 1.4953%, 1/16/46 (144A) 1.4953 01/16/2046 1,706,000 1,709,863
Bank of America Corp., Floating Rate Note, 3/22/16 1.0496 03/22/2016 2,000,000 2,018,650
Oracle Corp., 2.25%, 10/8/19 2.25 10/08/2019 300,000 302,244
CeramTec Acquisition Corp., Initial Dollar Term B-2 Loan, 8/30/20 4.25 08/30/2020 20,902 20,933
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 0.755 10/25/2028 8,975,000 301,784
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 0.595 10/25/2030 1,000,000 92,031
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 1.605 08/15/2031 700,000 700,529
Federal National Mortgage Association, 2.5%, 4/25/36 2.5 04/25/2036 635,000 248,984
Ras Laffan Liquefied Natural Gas Co, Ltd. III, 5.5%, 9/30/14 (144A) 5.5 09/30/2014 250,000 256,705
Arysta Lifescience SPC LLC, Initial Term Loan (First Lien), 5/29/20 4.5 05/22/2020 705,683 706,654
PACCAR Financial Corp., Floating Rate Note, 6/6/17 0.4195 06/06/2017 485,000 485,757
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 11/25/33 2.5733 11/25/2033 1,400,000 78,652
Huntsman International LLC, 2014-1 Incremental Term Loan, 9/30/21   09/30/2021 550,000 547,250
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 1.155 02/25/2024 485,000 462,492
Federal Home Loan Mortgage Corp., 5.5%, 8/1/23 5.5 08/01/2023 1,563,938 68,263
Federal Home Loan Mortgage Corp., 5.0%, 4/15/32 5.0 04/15/2032 3,500,000 205,178
Credit Suisse First Boston Mortgage Securities Corp., 4.832%, 4/15/37 4.832 04/15/2037 1,080,143 1,101,023
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 0.4636 04/20/2021 500,000 434,950
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 1.55%, 9/9/16 (144A) 1.55 09/09/2016 1,000,000 1,017,320
Bayview Opportunity Master Fund IIa Trust 2012-4NPL, 3.9496%, 1/28/34 (Step) 3.9496 01/28/2034 695,000 431,090
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/35 0.505 03/25/2035 1,278,000 280,542
Government National Mortgage Association, Floating Rate Note, 1/16/40 0.705 01/16/2040 2,000,000 732,962
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2 REMICS, 4.738%, 7/15/42 4.738 07/15/2042 960,000 979,491
Government National Mortgage Association REMICS, 2.0%, 1/16/46 2.0 01/16/2046 3,000,000 2,986,568
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 7.5175 04/09/2015 750,000 769,656
Honda Auto Receivables 2012-2 Owner Trust, 0.7%, 2/16/16 0.7 02/16/2016 350,000 158,955
AMRESCO Residential Securities Corp Mortgage Loan Trust 1997-3, Floating Rate Note, 9/25/27 0.71 09/25/2027 8,300,000 193,736
RALI Series 2004-QS1 Trust, Floating Rate Note, 1/25/34 0.705 01/25/2034 2,884,000 32,389
Merrill Lynch Mortgage Investors Trust Series 2005-A3, Floating Rate Note, 4/25/35 0.425 04/25/2035 10,415,000 1,300,460
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 2.125 09/15/2015 189,000 193,767
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 0.415 12/25/2035 815,490 227,806
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 1.075 06/15/2029 900,000 899,911
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 0.9016 07/19/2016 300,000 302,627
Honda Auto Receivables 2013-2 Owner Trust, 0.53%, 2/16/17 0.53 02/16/2017 285,000 285,271
Merrill Lynch Mortgage Trust 2004-KEY2, Floating Rate Note, 8/12/39 4.947 08/12/2039 410,390 411,661
Credit Suisse First Boston Mortgage Securities Corp., 5.25%, 10/25/19 5.25 10/25/2019 1,196,000 56,466
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 0.555 09/25/2035 3,362,996 1,345,739
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 3.5 10/18/2018 99,495 98,660
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 6.8855 04/07/2017 750,000 791,855
Colony American Homes 2014-2, Floating Rate Note, 7/19/31 (144A) 2.055 07/19/2031 600,000 590,909
Government National Mortgage Association, Floating Rate Note, 4/16/32 0.705 04/16/2032 33,333,000 638,818
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 0.6244 11/21/2016 1,500,000 1,502,617
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/36 0.435 12/15/2036 6,932,100 601,955
Duke Energy Florida, Inc., 0.65%, 11/15/15 0.65 11/15/2015 500,000 501,694
Franklin Resources, Inc., 3.125%, 5/20/15 3.125 05/20/2015 940,000 965,926
Polarpak, Inc., USD Term Loan (U.S. Borrower Portion), 6/7/20 4.5 06/07/2020 81,881 81,744
RBSSP Resecuritization Trust 2009-5, Floating Rate Note, 8/26/37 (144A) 0.652 08/26/2037 2,550,000 870,289
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 3/26/35 2.6742 04/25/2035 1,750,000 165,623
Conseco Finance Home Equity Loan Trust 2002-C, Floating Rate Note, 4/15/32 1.655 05/15/2032 2,875,000 819,971
ANZ New Zealand Int'l, Ltd. London, 1.125%, 3/24/16 (144A) 1.125 03/24/2016 1,000,000 1,009,879
Federal National Mortgage Association, Floating Rate Note, 3/25/18 0.455 03/25/2018 8,811,000 301,419
PNC Bank NA, 1.125%, 1/27/17 1.125 01/27/2017 450,000 451,261
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 0.605 06/25/2036 199,992 165,075
NovaStar Mortgage Funding Trust Series 2004-3, Floating Rate Note, 12/25/34 1.73 12/25/2034 560,000 527,906
CGBAM Commercial Mortgage Trust 2014-HD, Floating Rate Note, 2/15/31 1.352 02/15/2031 310,000 310,371
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 8/25/35 0.495 08/25/2035 7,750,000 479,529
The Bank of Nova Scotia, 1.45%, 4/25/18 1.45 04/25/2018 500,000 497,642
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/15 5.0 12/15/2015 500,000 533,933
Adjustable Rate Mortgage Trust 2005-2, Floating Rate Note, 6/25/35 0.935 06/25/2035 345,151 271,319
Banc of America Alternative Loan Trust 2004-4, 5.25%, 5/25/19 5.25 05/25/2034 1,363,000 171,230
Alternative Loan Trust 2003-J1, 4.75%, 10/25/33 4.75 10/25/2033 4,300,000 208,293
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 10/10/45 5.115 10/10/2045 1,370,000 1,355,541
The Huntington National Bank, Floating Rate Note, 4/24/17 0.6576 04/24/2017 500,000 500,685
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 0.615 01/25/2035 3,700,000 510,173
Gracechurch Card Funding Plc, Floating Rate Note, 5/15/19 (144A) 1.005 05/15/2019 500,000 507,362
FHLMC Structured Pass Through Securities, Floating Rate Note, 12/25/29 0.455 12/25/2029 12,000,000 192,885
Gracechurch Card Funding Plc, Floating Rate Note, 6/15/17 (144A) 0.855 06/15/2017 300,000 301,561
SunTrust Banks, Inc., 3.5%, 1/20/17 3.5 01/20/2017 500,000 528,520
Federal National Mortgage Association, Floating Rate Note, 10/18/32 0.505 10/18/2032 11,398,000 389,568
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1.805 03/25/2035 1,457,000 1,429,450
Quebecor Media, Inc., Facility B-1 Tranche, 8/17/20 3.25 08/01/2020 199,496 196,317
SNAAC Auto Receivables Trust 2013-1, 1.14%, 7/16/18 (144A) 1.14 07/16/2018 404,000 93,443
CGWF Commercial Mortgage Trust 2013-RKWH REMICS, Floating Rate Note, 11/15/30 (144A) 2.055 11/15/2030 1,720,000 1,733,212
Wesco Aircraft Hardware Corp., Tranche B Term Loan, 2/24/21 3.25 02/24/2021 857,500 849,997
Freddie Mac Strips, Floating Rate Note, 12/15/36 0.505 12/15/2036 2,327,000 163,071
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 2.5 03/20/2025 250,000 120,943
AmeriCredit Automobile Receivables Trust 2014-2, Floating Rate Note, 10/10/17 0.4388 10/10/2017 380,000 380,020
Express Scripts Holding Co., 3.125%, 5/15/16 3.125 05/15/2016 1,000,000 1,047,427
Ford Credit Auto Lease Trust 2014-B, Floating Rate Note, 3/15/17 0.315 03/15/2017 600,000 600,109
Westgate Resorts 2012-2 LLC, 3.0%, 1/21/25 (144A) 3.0 01/20/2025 350,000 140,007
Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33 2.6979 09/25/2033 13,410,000 1,137,663
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.505 11/15/2036 1,229,000 248,237
HSBC Bank Middle East, Ltd., 3.0%, 10/21/15 3.0 10/21/2015 750,000 775,327
Federal Home Loan Mortgage Corp., 2.5%, 10/1/27 2.5 10/01/2027 1,247,958 1,015,125
Asset Backed Securities Corp Home Equity Loan Trust Series 2003-HE1, Floating Rate Note, 1/15/33 3.68 01/15/2033 3,082,000 731,084
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 0.795 03/25/2034 23,493,000 1,440,704
Garda World Security Corp., Term B Loan, 11/1/20 4.0 11/01/2020 481,508 479,702
77 Energy 1st Lien Tl-B L + 3% 17jun21   06/17/2021 350,000 350,766
Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A) 0.4806 06/15/2020 500,000 266,989
Navistar, Inc., Tranche B Term Loan, 8/17/17 5.75 07/31/2017 400,000 403,913
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 8.7804 06/06/2015 500,000 532,023
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 0.5806 12/15/2016 250,000 249,467
JP Morgan Mortgage Trust 2004-S1, 5.0%, 9/25/34 5.0 09/25/2034 2,489,124 157,008
Federal National Mortgage Association, 4.5%, 10/25/38 4.5 10/25/2038 5,000,000 317,416
Jarden Corp., Tranche B1 Term Loan, 9/30/20 2.9067 09/18/2020 248,125 248,332
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 0.7349 12/22/2054 250,000 240,866
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 0.675 09/25/2030 750,000 242,980
Discover Card Execution Note Trust, 0.81%, 8/15/17 0.81 08/15/2017 500,000 501,249
Government National Mortgage Association I, 5.0%, 8/15/19 5.0 08/15/2019 1,347,915 360,279
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 9/25/14 (144A) 1.28 09/25/2014 1,370,736 283,971
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 1.505 06/25/2033 393,823 248,297
RREF 2013 LT2 LLC, 2.8331%, 5/22/28 (144A) 2.8331 05/22/2028 700,000 194,998
ARI Fleet Lease Trust 2012-A, Floating Rate Note, 3/15/20 (144A) 0.705 03/15/2020 810,000 185,596
Starbucks Corp., 0.875%, 12/5/16 0.875 12/05/2016 605,000 607,020
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 8.0325 07/09/2015 250,000 260,500
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 0.555 05/15/2041 638,000 128,198
Fannie Mae Grantor Trust 2001-T1, Floating Rate Note, 10/25/25 3.7365 10/25/2040 51,205,518 3,263,542
Fannie Mae, 6.0%, 10/1/22 6.0 10/01/2022 973,454 323,107
Ford Motor Credit Co LLC, 2.75%, 5/15/15 2.75 05/15/2015 950,000 972,062
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 1.8865 01/25/2029 3,592,000 52,939
United Auto Credit Securitization Trust 2012-1, 3.12%, 3/15/18 (144A) 3.12 03/15/2018 1,220,000 1,227,005
Ascentium Equipment Receivables 2014-1 LLC, 3.1%, 6/10/21 (144A) 3.1 06/10/2021 700,000 705,818
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/35 0.595 07/25/2035 1,554,000 150,199
Bear Stearns Asset Backed Securities I Trust 2005-HE8, Floating Rate Note, 8/25/35 0.655 08/25/2035 1,233,951 20,603
FDIC 2010-R1 Trust, 2.184%, 5/25/50 (144A) 2.184 05/25/2050 2,060,000 819,076
ConocoPhillips Co., 1.05%, 12/15/17 1.05 12/15/2017 1,000,000 992,657
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 8/25/34 5.5 08/25/2034 18,567,000 17,796
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38 1.375 10/25/2038 1,808,000 214,699
The Goldman Sachs Group, Inc., Floating Rate Note, 11/21/14 1.2344 11/21/2014 250,000 250,591
The Huntington National Bank, 1.3%, 11/20/16 1.3 11/20/2016 500,000 503,878
ARI Fleet Lease Trust 2013-A, 0.7%, 12/15/15 (144A) 0.7 12/15/2015 960,000 581,296
Flagstar Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/18 (144A) 0.615 06/25/2018 4,800,000 402,277
Bank of America Corp., Floating Rate Note, 8/25/17 0.8449 08/25/2017 408,000 409,135
Nissan Motor Acceptance Corp., 2.65%, 9/26/18 (144A) 2.65 09/26/2018 1,000,000 1,034,934
Federal National Mortgage Association, 2.5%, 9/1/22 2.5 09/01/2022 2,000,000 1,413,377
KeyBank NA Cleveland Ohio, 1.65%, 2/1/18 1.65 02/01/2018 1,000,000 1,002,915
Toyota Motor Credit Corp., 0.75%, 3/3/17 (Step) 0.75 03/03/2017 3,075,000 3,069,624
RAMP Series 2004-RS11 Trust, Floating Rate Note, 11/25/34 1.085 11/25/2034 895,000 295,962
GE Equipment Transportation LLC Series 2013-1, 0.5%, 11/24/15 0.5 11/24/2015 180,000 51,159
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 1.055 04/25/2032 10,133,000 633,950
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 0.555 07/25/2035 240,000 231,466
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 8/25/24 1.502 08/25/2024 1,430,000 1,432,482
NSTAR Electric Co., Floating Rate Note, 5/17/16 0.4711 05/17/2016 341,000 340,688
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 2.906 11/05/2030 500,000 501,722
Credit Suisse Mortgage Capital Certificates REMICS, Floating Rate Note, 7/27/36 (144A) 2.6221 07/27/2036 3,494,698 765,641
Sumiycd 0.22% 03oct14 0.22 10/03/2014 750,000 750,432
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 0.455 02/15/2036 909,000 174,122
Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 (144A) 1.204 04/15/2032 1,480,000 1,480,842
Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40 5.361 02/15/2040 1,300,000 1,047,020
Honda Auto Receivables 2011-2 Owner Trust, 1.55%, 8/18/17 1.55 08/18/2017 350,000 242,982
Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16 1.0721 06/17/2016 560,000 566,657
KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A) 1.6836 05/15/2021 375,000 368,234
Bayview Commercial Asset Trust, Floating Rate Note, 1/25/35 (144A) 0.525 01/25/2035 4,600,000 733,051
Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A) 1.155 03/25/2037 1,130,000 237,785
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/30 0.505 03/15/2030 1,147,667 514,338
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 1.355 08/25/2034 389,000 75,340
Fannie Mae, 5.5%, 8/1/37 5.5 08/01/2037 2,000,000 404,638
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 0.655 05/25/2033 4,068,000 113,451
Government National Mortgage Association II, 6.0%, 4/20/22 6.0 04/20/2022 1,262,566 193,190
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 0.557 04/10/2028 300,000 300,222
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 4.985 09/11/2042 1,160,000 1,199,304
East Lane Re, Ltd., Floating Rate Note, 3/13/15 (Cat Bond) (144A) 6.6804 03/13/2015 500,000 514,969
Massachusetts Port Authority, 5.0%, 7/1/16 5.0 07/01/2016 475,000 516,844
RFSC Series 2004-RP1 Trust, Floating Rate Note, 11/25/42 (144A) 2.405 11/25/2042 250,000 157,035
GS Caltex Corp., 3.25%, 10/1/18 (144A) 3.25 10/01/2018 500,000 521,928
Gracechurch Card Funding Plc, Floating Rate Note, 2/15/17 (144A) 0.855 02/15/2017 750,000 753,280
General Mills, Inc., Floating Rate Note, 1/28/16 0.4351 01/28/2016 565,000 565,719
The PNC Financial Services Group, Inc., Floating Rate Note (Perpetual) 4.4544 05/29/2049 600,000 601,267
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/26/35 0.89 02/25/2035 1,496,373 380,689
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 0.405 02/25/2037 4,099,889 410,370
Arlington Flt% 01aug15 0.0 08/01/2015 250,000 256,200
Queen Street VIII Re, Ltd., Floating Rate Note, 6/8/16 (Cat Bond) (144A) 6.5175 06/08/2016 250,000 255,020
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 0.4736 04/19/2021 500,000 325,436
Direct Capital Funding V LLC, 1.673%, 12/20/17 (144A) 1.673 12/20/2017 175,000 45,612
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.515 11/15/2018 550,000 174,391
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 8.5262 01/05/2017 750,000 812,491
Sector Re V, Ltd., 0.0%, 3/30/19 (Cat Bond) (144A) 0.0 03/30/2019 300,000 313,890
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 1.656 11/05/2030 175,000 175,328
Volkswagen International Finance NV, 1.15%, 11/20/15 (144A) 1.15 11/20/2015 750,000 757,454
Federal National Mortgage Association, Floating Rate Note, 6/25/36 0.555 06/25/2036 6,118,000 1,102,282
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 0.455 07/25/2035 750,000 173,650
Federal National Mortgage Association REMICS, Floating Rate Note, 12/18/32 0.555 12/18/2032 6,330,000 105,810
First Horizon Mortgage Pass-Through Trust 2004-AR5, Floating Rate Note, 10/25/34 2.5681 10/25/2034 940,000 62,185
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/27/23 1.605 11/27/2023 750,000 647,506
U.S. Treasury Notes, 0.25%, 7/15/15 0.25 07/15/2015 8,200,000 8,213,564
Federal National Mortgage Association, Floating Rate Note, 3/25/36 0.505 03/25/2036 2,108,510 493,151
Charter Communications 1st Lien Tl-B L + 3.5% 12aug21   08/12/2021 360,000 362,841
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 0.605 02/25/2038 624,000 188,664
Banc of America Alternative Loan Trust 2003-10, Floating Rate Note, 12/25/33 0.605 12/25/2033 2,600,000 159,715
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.725 09/25/2037 2,706,000 355,586
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 0.555 07/25/2018 2,444,000 77,161
St Jude Medical, Inc., 2.5%, 1/15/16 2.5 01/15/2016 510,000 524,751
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 0.555 05/25/2033 34,300,000 1,317,943
Hercules Capital Funding Trust 2012-1, 3.32%, 12/16/17 (144A) 3.32 12/16/2017 250,000 56,690
Bank of America Corp., 4.5%, 4/1/15 4.5 04/01/2015 210,000 218,738
Fannie Mae, Floating Rate Note, 11/1/25 2.245 11/01/2025 700,000 3,528
Cronos Containers Program, Ltd., 3.81%, 9/18/27 (144A) 3.81 09/18/2027 500,000 405,010
John Deere Capital Corp., 2.95%, 3/9/15 2.95 03/09/2015 950,000 976,254
Iberdrola Finance Ireland, Ltd., 3.8%, 9/11/14 (144A) 3.8 09/11/2014 1,000,000 1,018,545
GSAA Trust, Floating Rate Note, 6/25/35 0.585 06/25/2035 440,000 332,135
Federal National Mortgage Association REMICS, 3.0%, 1/25/21 3.0 01/25/2021 4,450,000 942,344
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 0.755 06/25/2034 10,699,000 901,594
Commonwealth of Massachusetts, Floating Rate Note, 11/1/25 0.701 11/01/2025 1,000,000 989,354
Fannie Mae, 2.5%, 6/1/23 2.5 06/01/2023 526,320 444,481
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 4.838 07/15/2041 637,677 80,724
Foundation Re III, Ltd., Floating Rate Note, 2/25/15 (Cat Bond) (144A) 5.03 02/25/2015 750,000 758,863
Caterpillar Financial Services Corp., 1.35%, 9/6/16 1.35 09/06/2016 1,125,000 1,145,092
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.505 11/15/2036 600,000 113,926
Countrywide Asset-Backed Certificates, Floating Rate Note, 2/25/33 5.147 02/25/2033 244,000 51,186
Government National Mortgage Association, Floating Rate Note, 2/20/38 0.6555 02/20/2038 2,477,000 235,132
Ziggo Bv 1st Lien Tl-B2 L + 2.75% 15jan22 3.5 01/15/2022 289,532 284,239
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 0.355 12/25/2036 2,600,000 605,703
Morgan Stanley, Floating Rate Note, 6/6/16 1.25 06/06/2016 500,000 498,710
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.505 03/25/2037 9,250,000 319,606
GE Equipment Transportation LLC Series 2013-2, 0.61%, 6/24/16 0.61 06/24/2016 480,000 405,958
First Investors Auto Owner Trust 2014-2, 0.86%, 8/15/18 (144A) 0.86 08/15/2018 600,000 600,154
Resi Flt% 12dec45 A1 0.9274 12/12/2045 500,000 501,270
Wells Fargo & Co., Floating Rate Note, 6/26/15 1.1536 06/26/2015 585,000 590,484
Federal National Mortgage Association, Floating Rate Note, 6/25/32 0.655 06/25/2032 21,270,000 610,819
Electricite de France SA, Floating Rate Note, 1/20/17 (144A) 0.6936 01/20/2017 750,000 752,602
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 9.2804 06/06/2017 250,000 269,439
Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 6.5152 01/09/2017 600,000 610,950
ASG Resecuritization Trust 2010-3, Floating Rate Note, 12/29/45 (144A) 0.4598 12/28/2045 1,642,839 776,468
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 0.606 04/28/2039 425,000 419,622
Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A) 3.5355 06/06/2018 250,000 251,475
Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20 3.5 09/23/2020 412,105 409,873
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/42 0.705 02/15/2042 350,000 216,437
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 2.4336 10/15/2054 250,000 264,360
Government National Mortgage Association I, 6.5%, 5/15/31 6.5 05/15/2031 3,183,996 42,932
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.515 03/25/2037 4,100,000 299,874
JPMorgan Chase & Co., Floating Rate Note, 2/25/21 4.072 02/25/2021 500,000 524,039
AXIS Equipment Finance Receivables II LLC, 3.81%, 12/20/16 3.81 12/20/2016 400,000 400,601
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 0.405 10/25/2035 1,022,000 168,787
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC17, 5.45%, 12/12/43 5.45 12/12/2043 435,000 73,470
JBS USA LLC, Incremental Term Loan, 9/18/20 3.75 09/13/2020 198,500 196,763
Wachovia Mortgage Loan Trust Series 2005-WMC1, Floating Rate Note, 10/25/35 0.895 10/25/2035 750,000 148,284
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 0.655 06/25/2035 1,526,722 585,181
Residential Asset Securitization Trust 2004-A9, 5.75%, 12/25/34 5.75 12/25/2034 870,000 362,049
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 1.6 06/19/2031 665,000 654,909
U.S. Treasury Notes, 0.375%, 2/15/16 0.375 02/15/2016 10,000,000 10,013,452
Selene Non-Performing Loans LLC, 2.9814%, 5/25/54 (Step) (144A) 2.9814 05/25/2054 1,020,000 1,020,420
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/27/29 (144A) 4.402 08/25/2029 200,000 202,352
HLSS Servicer Advance Receivables Trust, 1.7436%, 1/16/46 (144A) 1.7436 01/16/2046 250,000 249,719
Southern Pacific Secured Asset Corp., Floating Rate Note, 3/25/28 0.555 03/25/2028 32,000,000 292,926
Federal National Mortgage Association, 5.0%, 7/25/32 5.0 07/25/2032 7,363,000 319,444
John Deere Capital Corp., Floating Rate Note, 9/22/14 0.7596 09/22/2014 1,800,000 1,803,292
US Renal Care, Inc., Tranche B-2 Term Loan (First Lien), 7/3/19 4.25 07/03/2019 552,218 552,736
Federal Home Loan Mortgage Corp., 4.0%, 1/15/34 4.0 01/15/2034 5,000,000 329,125
VOLT XXIII LLC, 3.625%, 11/25/53 (Step) 3.625 11/25/2053 475,000 409,669
Tribune Media Co., Initial Term Loan, 11/20/20 4.0 11/20/2020 806,849 807,349
MUFG Union Bank NA, Floating Rate Note, 9/26/16 0.9836 09/26/2016 1,450,000 1,466,613
Csfb Flt% 25jul35 05-6-1a2 0.425 07/25/2035 2,850,000 327,977
VOLT XXIV LLC, 3.25%, 11/25/53 (Step) 3.25 11/25/2053 600,000 493,218
Ford Credit Auto Owner Trust 2014-A, 0.48%, 11/15/16 0.48 11/15/2016 260,000 205,964
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU REMICS, Floating Rate Note, 12/15/28 1.655 12/15/2028 1,030,000 1,031,479
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/25/33 1.505 12/25/2033 700,000 33,214
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 1.596 03/25/2044 20,000,000 229,196
Shell International Finance BV, Floating Rate Note, 11/15/16 0.4436 11/15/2016 750,000 752,780
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 2/15/38 5.014 02/15/2038 855,000 646,801
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/17 0.555 05/25/2017 20,000,000 172,075
United Auto Credit Securitization Trust 2014-1, 2.38%, 10/15/18 (144A) 2.38 10/15/2018 700,000 700,695
Government National Mortgage Association II, 6.0%, 8/20/19 6.0 08/20/2019 2,911,151 184,381
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2.58 09/15/2021 1,200,000 1,210,174
Volkswagen Group of America Finance LLC, Floating Rate Note, 5/23/16 (144A) 0.4549 05/23/2016 1,000,000 1,000,574
GATX Corp., 1.25%, 3/4/17 1.25 03/04/2017 750,000 750,414
Total Capital Canada, Ltd., Floating Rate Note, 1/15/16 0.6136 01/15/2016 1,115,000 1,121,173
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.425 11/25/2035 3,786,000 497,003
Telecom Italia Capital SA, 4.95%, 9/30/14 4.95 09/30/2014 750,000 768,159
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 4.5304 12/06/2016 1,150,000 1,192,751
Federal National Mortgage Association, 4.0%, 1/1/20 4.0 01/01/2020 7,280,000 1,381,213
Firstmac Mortgage Funding Trust Series 1A-2014, Floating Rate Note, 6/26/15 (144A) 0.505 06/26/2015 750,000 749,810
Morgan Stanley Dean Witter Capital I Trust 2001-TOP3, 6.79%, 7/15/33 6.79 07/15/2033 460,000 117,340
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 0.7774 03/03/2017 500,000 502,334
Fannie Mae, Floating Rate Note, 11/1/24 2.548 11/01/2024 7,000,000 91,010
Barclays Dryrock Issuance Trust, Floating Rate Note, 3/16/20 0.495 03/16/2020 500,000 500,117
Citigroup, Inc., Floating Rate Note, 11/15/16 0.9136 11/15/2016 750,000 753,406
GS Mortgage Securities Corp II Series 2005-GG4 REMICS, 4.782%, 7/10/39 4.782 07/10/2039 1,145,000 1,167,592
Marathon Oil Corp., 0.9%, 11/1/15 0.9 11/01/2015 651,000 654,593
Fannie Mae, 4.5%, 5/1/39 4.5 05/01/2039 2,100,000 913,759
The Bank of New York Mellon Corp., Floating Rate Note, 10/23/15 0.4631 10/23/2015 595,000 596,319
Enbridge, Inc., Floating Rate Note, 10/1/16 0.8846 10/01/2016 500,000 503,334
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 0.705 05/25/2040 761,373 364,467
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 0.505 08/25/2036 1,173,000 315,030
Hess Corp., 1.3%, 6/15/17 1.3 06/15/2017 750,000 751,224
GE Business Loan Trust 2003-1, Floating Rate Note, 4/15/31 (144A) 0.585 04/15/2031 4,997,000 252,379
Williams Partners LP, 3.8%, 2/15/15 3.8 02/15/2015 750,000 761,336
VOLT XX LLC, 3.625%, 2/1/39 (Step) (144A) 3.625 02/01/2039 550,000 382,685
Santander Holdings USA, Inc. Pennsylvania, 3.45%, 8/27/18 3.45 08/27/2018 600,000 629,991
Mastr Asset Backed Securities Trust 2005-WMC1, Floating Rate Note, 3/25/35 0.83 03/25/2035 215,000 70,098
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 4.894 08/10/2042 1,000,000 1,015,752
Government National Mortgage Association REMICS, 4.0%, 9/20/37 4.0 09/20/2037 4,000,000 3,084,351
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 2.405 03/25/2032 1,100,000 518,542
Banc of America Mortgage Trust 2004-7, 4.5%, 8/25/19 4.5 08/25/2019 181,000 14,387
CPS Auto Receivables Trust 2013-A, 1.89%, 6/15/20 (144A) 1.89 06/15/2020 690,000 445,772
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 3.25 03/31/2021 200,000 198,438
Raymond James Financial, Inc., 4.25%, 4/15/16 4.25 04/15/2016 283,000 302,083
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.405 03/25/2037 960,000 150,795
TransCanada PipeLines, Ltd., 0.875%, 3/2/15 0.875 03/02/2015 490,000 493,370
Federal Home Loan Mortgage Corp., 5.0%, 12/1/39 5.0 12/01/2039 265,000 125,421
Wells Fargo & Co., 1.25%, 7/20/16 1.25 07/20/2016 500,000 504,744
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/32 0.725 03/15/2032 26,000,000 341,752
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36 0.575 08/25/2036 4,040,000 494,454
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 3.0 06/25/2043 160,000 145,495
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 2.25 08/20/2025 1,490,000 923,437
Riverfront Re, Ltd., Floating Rate Note, 1/6/17 (Cat Bond) (144A) 4.0355 01/06/2017 320,000 317,024
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 0.895 11/25/2034 1,905,000 102,574
Dell Equipment Finance Trust 2014-1, 2.68%, 6/22/20 (144A) 2.68 06/22/2020 750,000 750,167
Marriott Vacation Club Owner Trust 2012-1, 3.5%, 5/20/30 (144A) 3.5 05/20/2030 845,000 478,345
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 1.0109 11/25/2034 18,180,000 949,957
La Hipotecaria Panamanian Mortgage Trust 2007-1, Floating Rate Note, 12/23/36 (144A) 4.5 12/23/2036 1,400,000 731,594
Fannie Mae, 5.0%, 7/1/15 5.0 07/01/2015 1,000,000 17,666
Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A) 1.55 11/15/2017 195,000 196,014
Federal National Mortgage Association, 0.75%, 8/16/17 0.75 08/16/2017 410,000 409,973
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-5, Floating Rate Note, 1 0.405 12/25/2035 600,000 65,492
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 2.7412 07/25/2034 2,481,203 93,083
Fannie Mae, Floating Rate Note, 2/1/33 2.895 02/01/2033 380,000 1,808
RENT-A-CENTER, INC, Term Loan (2014), 2/6/21 3.75 02/06/2021 548,625 545,882
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 10/15/18 3.5 10/15/2018 500,000 105,575
General Mills, Inc., 0.875%, 1/29/16 0.875 01/29/2016 250,000 250,834
AmeriCredit Automobile Receivables Trust 2013-1, 1.57%, 1/8/19 1.57 01/08/2019 150,000 149,664
Capital Auto Receivables Asset Trust/ Ally, 1.74%, 10/22/18 1.74 10/22/2018 413,000 412,933
Banc of America Merrill Lynch Commercial Mortgage, Inc. REMICS, Floating Rate Note, 7/10/43 4.857 07/10/2043 645,000 621,121
Las Vegas Sands LLC, Term B Loan, 12/19/20 3.25 12/19/2020 248,750 248,420
United Auto Credit Securitization Trust 2013-1, 1.74%, 4/15/16 (144A) 1.74 04/15/2016 825,000 828,453
Massachusetts Development Finance Agency, Floating Rate Note, 2/15/36 3.0 02/15/2036 250,000 260,156
Federal National Mortgage Association, 4.0%, 10/1/20 4.0 10/01/2020 4,317,004 1,400,717
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 5.0 07/25/2018 600,000 40,257
Boston Scientific Corp., 2.65%, 10/1/18 2.65 10/01/2018 500,000 515,059
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-1, Floating Rate Note, 2 0.455 02/25/2035 3,526,047 23,841
Chrysler Group LLC, Term Loan B, 5/24/17 3.5 05/24/2017 902,100 902,664
Wachovia Bank Commercial Mortgage Trust Series 2005-C20 REMICS, Floating Rate Note, 7/15/42 5.118 07/15/2042 2,414,000 2,257,500
Norcraft Companies LP, Initial Loan, 11/12/20 5.25 11/12/2020 248,750 249,061
Navistar Financial Dealer Note Master Trust, Floating Rate Note, 1/25/18 (144A) 0.825 01/25/2018 510,000 510,548
Bayview Commercial Asset Trust, 3.526662%, 9/25/37 (Step) (144A) 3.5183 09/25/2037 3,000,000 95,604
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 0.655 06/25/2035 278,355 178,323
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37 0.455 02/15/2037 2,840,000 193,296
Costco Wholesale Corp., 1.125%, 12/15/17 1.125 12/15/2017 740,000 736,222
CDC Mortgage Capital Trust 2002-HE1, Floating Rate Note, 1/25/33 0.775 01/25/2033 19,484,513 406,094
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/32 1.155 02/15/2032 15,205,000 270,577
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 0.505 02/25/2033 4,696,499 252,716
BB&T Corp., 1.6%, 8/15/17 1.6 08/15/2017 103,000 103,624
General Electric Capital Corp., Floating Rate Note, 1/14/16 0.4636 01/14/2016 925,000 926,472
Thomson Reuters Corp., 1.3%, 2/23/17 1.3 02/23/2017 500,000 500,643
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45 2.2005 06/25/2035 1,600,000 264,099
GE Equipment Small Ticket LLC Series 2013-1, 0.73%, 1/25/16 (144A) 0.73 01/25/2016 200,000 143,320
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 3.75 08/20/2025 403,000 252,060
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/38 0.555 03/15/2038 2,600,000 973,787
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/1/28 2.482 01/01/2028 500,000 3,128
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 0.355 02/25/2037 1,940,000 213,902
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 3.0836 07/15/2023 250,000 247,524
Chase Funding Trust Series 2003-6, 4.277%, 11/27/34 (Step) 4.277 11/27/2034 1,400,000 212,546
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 4.974 07/10/2045 490,000 504,089
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 0.7755 09/20/2033 4,626,000 220,442
General Electric Capital Corp., Floating Rate Note, 1/8/16 0.8331 01/08/2016 915,000 922,010
Fannie Mae, 4.5%, 5/1/39 4.5 05/01/2039 1,350,000 541,933
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 1.7738 03/25/2044 2,950,000 224,744
Morgan Stanley ABS Capital I Inc Trust 2005-NC2, Floating Rate Note, 3/25/35 0.785 03/25/2035 627,000 384,527
GE Business Loan Trust 2004-1, Floating Rate Note, 5/15/32 (144A) 0.445 05/15/2032 4,436,203 464,711
Chase Issuance Trust, Floating Rate Note, 8/15/17 0.285 08/15/2017 750,000 749,954
Apple, Inc., Floating Rate Note, 5/3/16 0.2891 05/03/2016 400,000 400,251
Federal National Mortgage Association, Floating Rate Note, 6/25/36 0.555 06/25/2036 7,000,000 855,585
American Credit Acceptance Receivables Trust 2014-2, 0.99%, 10/10/17 (144A) 0.99 10/10/2017 500,000 406,246
JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A) 1.406 04/15/2027 1,670,000 1,671,272
Hyundai Capital Auto Funding VIII, Ltd., Floating Rate Note, 9/20/16 (144A) 1.155 09/20/2016 1,200,000 158,417
Government National Mortgage Association, Floating Rate Note, 9/16/52 1.0657 09/16/2052 1,800,000 137,684
Fannie Mae, 6.5%, 7/1/32 6.5 07/01/2032 723,471 9,023
Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 6.2321 06/12/2015 500,000 518,383
Energy Transfer Partners LP, 5.95%, 2/1/15 5.95 02/01/2015 725,000 744,552
Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18 2.63 03/31/2018 399,000 394,013
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 3.25 12/19/2020 523,688 523,851
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/35 0.455 06/25/2035 7,977,000 718,390
GE Capital Commercial Mortgage Corp., Floating Rate Note, 6/10/48 4.772 06/10/2048 1,340,000 1,358,556
RALI Series 2003-QR24 Trust REMICS, 4.0%, 7/25/33 4.0 07/25/2033 6,880,000 771,326
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 3.9355 06/07/2017 650,000 653,900
Westlake Automobile Receivables Trust 2013-1, 1.12%, 1/15/18 (144A) 1.12 01/15/2018 150,000 119,474
CeramTec Service GmbH, Initial Dollar Term B-1 Loan, 8/30/20 4.25 07/30/2020 210,809 211,117
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 2.4983 05/25/2033 9,158,341 290,161
Digital Realty Trust LP, 4.5%, 7/15/15 4.5 07/15/2015 650,000 668,271
Government National Mortgage Association I, 6.0%, 12/15/31 6.0 12/15/2031 1,500,000 69,870
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C REMICS, Floating Rate Note, 6/25/28 0.815 06/25/2028 10,150,000 483,541
Metropolitan Life Insurance Co., 7.7%, 11/1/15 (144A) 7.7 11/01/2015 1,250,000 1,377,796
Fannie Mae, 7.0%, 10/1/19 7.0 10/01/2019 19,053,741 149,344
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 1.149 03/25/2028 10,213,000 397,621
RASC Series 2005-EMX2 Trust, Floating Rate Note, 7/25/35 0.635 07/25/2035 40,280 10,710
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 3.0 01/23/2021 201,924 201,566
Penn National Gaming, Inc., Term B Facility Loan, 10/25/20 3.25 10/25/2020 457,700 456,352
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 4.5 07/01/2019 1,467,130 181,986
Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A) 1.87 08/20/2029 1,400,000 527,999
Prudential Covered Trust 2012-1, 2.997%, 9/30/15 (144A) 2.997 09/30/2015 500,000 413,988
Home Equity Asset Trust 2005-3, Floating Rate Note, 8/25/35 0.815 08/25/2035 250,000 23,440
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.435 11/15/2018 2,550,000 544,971
Federal National Mortgage Association 2006-48-T, 5.5%, 12/25/34 5.5 12/25/2034 1,716,418 573,932
KeyBank NA Cleveland Ohio, 1.1%, 11/25/16 1.1 11/25/2016 500,000 502,829
Government National Mortgage Association I, 6.0%, 3/15/17 6.0 03/15/2017 10,311,138 232,361
Assurant, Inc., 2.5%, 3/15/18 2.5 03/15/2018 300,000 306,364
Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A) 2.38 03/20/2029 1,500,000 478,957
CarMax Auto Owner Trust 2012-1, 0.89%, 9/15/16 0.89 09/15/2016 745,000 309,521
Discovery Communications LLC, 3.7%, 6/1/15 3.7 06/01/2015 750,000 774,770
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 0.455 05/25/2036 5,518,315 506,175
Alternative Loan Trust 2003-14T1, Floating Rate Note, 8/25/18 0.605 08/25/2018 3,200,000 135,340
Intesa Sanpaolo S.p.A., 3.125%, 1/15/16 3.125 01/15/2016 500,000 514,966
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 2.25 06/25/2043 414,000 352,677
On Assignment, Inc., Initial Term B Loan, 5/15/20 3.5 05/16/2020 171,522 170,879
Fannie Mae, Floating Rate Note, 10/1/36 2.021 10/01/2036 1,877,185 317,747
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 0.455 12/25/2036 790,207 760,940
Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A) 0.4541 04/25/2022 500,000 426,874
Bayview Financial Acquisition Trust, Floating Rate Note, 5/28/44 0.786 05/28/2044 7,600,000 128,174
Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44 1.9513 12/25/2044 1,225,000 247,610
Enterprise Products Operating LLC, 3.7%, 6/1/15 3.7 06/01/2015 1,010,000 1,042,563
Volkswagen Credit Auto Master Owner Trust, Floating Rate Note, 9/20/16 (144A) 0.8355 09/20/2016 100,000 100,057
AmeriCredit Automobile Receivables Trust 2011-5, 2.45%, 12/8/16 2.45 12/08/2016 500,000 503,245
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 1.155 03/15/2032 35,466,000 340,376
Equity One Mortgage Pass-Through Trust 2003-1, Floating Rate Note, 8/25/33 0.895 08/25/2033 11,389,000 383,694
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 3 0.605 03/25/2035 592,188 339,141
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/34 1.055 11/25/2034 4,100,000 210,149
State Street Bank & Trust Co., Floating Rate Note, 12/8/15 0.4306 12/08/2015 550,000 550,772
Aflac, Inc., 3.45%, 8/15/15 3.45 08/15/2015 500,000 515,316
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP20, Floating Rate Note, 10/12/42 5.2886 10/12/2042 1,905,000 1,975,232
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 0.455 09/25/2036 1,226,000 185,388
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/35 0.475 12/15/2035 2,232,000 394,955
Canadian National Railway Co., Floating Rate Note, 11/6/15 0.4371 11/06/2015 730,000 731,096
RALI Series 2003-QR24 Trust REMICS, 4.0%, 7/25/33 4.0 07/25/2033 950,000 304,442
Commonwealth Bank of Australia, Floating Rate Note, 9/18/15 (144A) 1.0306 09/18/2015 460,000 464,703
SBI Home Equity Loan Trust 2006-1, Floating Rate Note, 8/25/36 (144A) 0.505 08/25/2036 1,350,000 439,378
Toyota Motor Credit Corp., 1.125%, 5/16/17 1.125 05/16/2017 750,000 751,985
Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35 0.535 12/25/2035 200,000 67,167
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP18, Floating Rate Note, 2/13/42 4.933 02/13/2042 1,150,000 993,367
Wachovia Bank Commercial Mortgage Trust Series 2005-C16, Floating Rate Note, 10/15/41 4.847 10/15/2041 465,000 148,069
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 0.755 04/25/2034 1,761,729 98,218
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 0.995 11/25/2034 7,155,000 400,224
Orange Lake Timeshare Trust 2012-A, 4.87%, 3/10/27 (144A) 4.87 03/10/2027 600,000 320,402
Anheuser-Busch Companies LLC, 5.0%, 1/15/15 5.0 01/15/2015 225,000 230,314
The Toronto-Dominion Bank, 1.4%, 4/30/18 1.4 04/30/2018 500,000 497,266
John Deere Capital Corp., Floating Rate Note, 10/11/16 0.5241 10/11/2016 1,090,000 1,094,928
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 0.6938 05/13/2016 250,000 251,381
Fannie Mae, 7.0%, 7/1/17 7.0 07/01/2017 3,768,412 50,208
Government National Mortgage Association, Floating Rate Note, 8/20/40 0.4555 08/20/2040 1,000,000 643,503
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/27/29 (144A) 1.357 08/25/2029 490,818 346,185
Wells Fargo Alternative Loan 2005-2 Trust, Floating Rate Note, 10/25/35 0.975 10/25/2035 453,135 449,715
Intel Corp., 1.35%, 12/15/17 1.35 12/15/2017 700,000 701,571
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 0.7536 02/15/2017 500,000 502,861
Terex 1st Lien Tl L + 2.75% 13aug21   08/13/2021 258,332 258,441
Alamo Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A)   06/07/2017 250,000 255,950
John Deere Capital Corp., 1.05%, 10/11/16 1.05 10/11/2016 1,098,000 1,107,250
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/41 0.585 06/15/2041 1,220,000 348,992
Bank of America Corp., 1.35%, 11/21/16 1.35 11/21/2016 500,000 503,494
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 3.5 04/23/2020 248,116 247,451
Encore Credit Receivables Trust 2005-3, Floating Rate Note, 10/25/35 0.625 10/25/2035 1,000,000 346,801
JP Morgan Chase Commercial Mortgage Securities Trust 2004-C3, 4.878%, 1/15/42 4.878 01/15/2042 1,100,000 1,000,295
Structured Asset Mortgage Investments II Trust 2005-F1 REMICS, Floating Rate Note, 8/26/35 0.655 08/26/2035 6,100,000 143,228
CNH Equipment Trust 2012-C, 0.57%, 12/15/17 0.57 12/15/2017 75,000 54,106
HSBC USA, Inc., 2.375%, 2/13/15 2.375 02/13/2015 1,280,000 1,293,217
First Horizon Mortgage Pass-Through Trust 2004-AR1, Floating Rate Note, 2/25/34 2.594 02/25/2034 1,500,000 60,423
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 0.605 06/25/2036 2,317,493 259,432
General Electric Capital Corp., Floating Rate Note, 8/1/17 1.375 08/01/2017 500,000 499,747
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-11, Floating Rate Note, 1 0.895 12/25/2033 14,558,685 656,379
Merrill Lynch Mortgage Trust 2005-LC1, Floating Rate Note, 1/12/44 5.291 01/12/2044 1,670,000 1,584,351
MGM Resorts International, Term B Loan, 12/20/19 3.5 12/13/2019 344,750 343,206
CarMax Auto Owner Trust 2013-3, 2.15%, 5/15/19 2.15 05/15/2019 540,000 545,535
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 0.4755 11/20/2034 1,990,836 214,501
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 0.805 06/25/2035 995,000 242,322
Fannie Mae, Floating Rate Note, 4/1/29 2.36 04/01/2029 400,000 2,905
Federal National Mortgage Association, 2.75%, 6/25/20 2.75 06/25/2020 1,750,000 527,926
Bosphorus 1 Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 2.5304 05/03/2016 250,000 250,802
Wells Fargo Mortgage Backed Securities 2005-AR6 Trust, Floating Rate Note, 4/25/35 4.9237 04/25/2035 3,371,000 255,278
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 0.465 11/25/2035 6,320,000 1,274,189
Royal Bank of Canada, 1.45%, 9/9/16 1.45 09/09/2016 1,000,000 1,019,863
Morgan Stanley Home Equity Loan Trust 2005-4, Floating Rate Note, 9/25/35 0.475 09/25/2035 1,558,243 691,848
Federal National Mortgage Association, 3.5%, 1/25/24 3.5 01/25/2024 7,225,000 513,389
A10 Term Asset Financing 2013-2 LLC, 2.62%, 11/15/27 (144A) 2.62 11/15/2027 1,085,000 1,081,729
Viacom, Inc., 2.5%, 9/1/18 2.5 09/01/2018 500,000 515,058
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 1.21 08/15/2018 200,000 167,579
Verizon Communications, Inc., Floating Rate Note, 9/15/16 1.7606 09/15/2016 535,000 551,521
GSR Mortgage Loan Trust 2004-7, Floating Rate Note, 6/25/34 2.6876 06/25/2034 4,189,737 533,310
Citigroup, Inc., Floating Rate Note, 4/1/16 1.0246 04/01/2016 500,000 504,272
Morgan Stanley Capital I Trust 2005-TOP17, 4.78%, 12/13/41 4.78 12/13/2041 660,000 342,504
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 7.275 07/05/2016 500,000 526,243
First Investors Auto Owner Trust 2013-1, 1.81%, 10/15/18 (144A) 1.81 10/15/2018 55,000 55,487
Bayview Opportunity Master Fund Trust IIIa 2014-12RPL, 3.6225%, 7/28/19 (Step) (144A) 3.6225 07/28/2019 465,000 466,946
John Deere Capital Corp., 1.05%, 12/15/16 1.05 12/15/2016 750,000 755,191
Kizuna II Re, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A) 2.2703 04/06/2018 450,000 452,824
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/27 0.705 04/15/2027 22,817,000 268,225
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 4.5 07/01/2019 1,381,464 210,568
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/37 0.53 11/15/2037 3,358,000 584,882
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 2.447 07/25/2033 7,700,000 985,266
Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36 0.645 06/25/2036 412,000 235,123
Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34 0.895 11/25/2034 1,233,000 83,854
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 0.515 11/25/2036 2,248,000 333,739
Government National Mortgage Association, Floating Rate Note, 2/20/35 0.4055 02/20/2035 2,059,000 288,266
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 1.7549 08/20/2034 5,000,000 258,095
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 0.5898 03/13/2017 650,000 651,666
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 6/15/28 3.5 06/15/2028 1,119,000 164,846
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 0.505 09/25/2036 1,275,000 191,362
Altera Corp., 2.5%, 11/15/18 2.5 11/15/2018 500,000 509,590
Ford Motor Credit Co LLC, 2.875%, 10/1/18 2.875 10/01/2018 500,000 520,782
JP Morgan Mortgage Trust 2005-A3, Floating Rate Note, 6/25/35 5.0365 06/25/2035 6,041,179 651,678
UnitedHealth Group, Inc., 1.875%, 11/15/16 1.875 11/15/2016 500,000 513,657
Small Business Administration Participation Certificates, 2.24%, 4/15/43 (144A) 2.24 04/15/2043 630,000 624,267
Government National Mortgage Association II, 6.0%, 10/20/21 6.0 10/20/2021 3,113,223 530,250
SMART Trust/Australia, Floating Rate Note, 1/17/17 0.586 01/14/2017 500,000 500,738
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP1 REMICS, Floating Rate Note, 3/15/46 5.038 03/15/2046 985,000 764,477
Fifth Third Bank Cincinnati Ohio, 4.75%, 2/1/15 4.75 02/01/2015 1,250,000 1,276,370
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 1.47 05/15/2018 200,000 63,135
Foresight Energy LLC, Term Loan, 8/21/20 5.5 08/19/2020 132,083 133,320
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/2/21 0.6869 03/09/2021 800,000 396,493
Activision Blizzard, Inc., Term Loan, 7/26/20 3.25 07/26/2020 450,000 450,625
Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A) 2.0851 01/26/2020 553,000 528,063
Standard Chartered Plc, 3.85%, 4/27/15 (144A) 3.85 04/27/2015 500,000 517,139
AmeriCredit Automobile Receivables Trust 2010-2, 6.24%, 6/8/16 6.24 06/08/2016 567,000 465,423
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 0.6084 05/27/2016 390,000 391,650
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 0.555 03/15/2041 3,243,333 823,011
Silverstone Master Issuer Plc, Floating Rate Note, 1/21/55 (144A) 1.8836 01/21/2055 290,000 299,007
WaMu Mortgage Pass-Through Certificates Series 2002-AR6 Trust, Floating Rate Note, 6/25/42 1.5183 06/25/2042 29,950,000 387,699
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 2.155 12/15/2028 945,000 948,048
Ford Motor Credit Co LLC, 2.375%, 1/16/18 2.375 01/16/2018 250,000 254,896
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 1.82 09/15/2020 157,000 93,470
RASC Series 2006-KS1 Trust, Floating Rate Note, 4/25/35 0.375 02/25/2036 1,200,000 17,726
Merrill Lynch Mortgage Trust 2005-CKI1, Floating Rate Note, 11/12/37 5.4616 11/12/2037 2,360,000 2,079,643
Thornburg Mortgage Securities Trust 2004-3, Floating Rate Note, 9/25/34 0.895 09/25/2044 11,309,309 1,080,502
AmeriCredit Automobile Receivables Trust 2013-4, 3.31%, 10/8/19 3.31 10/08/2019 500,000 510,616
Nationstar Agency Advance Funding Trust 2013-T1A, 0.997%, 2/15/45 (144A) 0.997 02/15/2045 550,000 549,611
Ventas Realty LP, 3.125%, 11/30/15 3.125 11/30/2015 500,000 518,555
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 5.167 06/10/2044 1,880,000 1,953,331
Fannie Mae, 5.0%, 10/1/41 5.0 10/01/2041 1,736,000 849,057
GMAC Commercial Mortgage Securities Inc Series 2005-C1 Trust, 4.697%, 5/10/43 4.697 05/10/2043 1,019,000 1,039,011
American Honda Finance Corp., 1.2%, 7/14/17 1.2 07/14/2017 750,000 750,858
RBS Greenwich Capital Mortgage Loan Trust, Floating Rate Note, 4/15/24 (144A) 5.0079 04/15/2024 250,000 254,805
Bank of America Corp., Floating Rate Note, 1/15/15 0.6936 01/15/2015 750,000 751,446
Federal Home Loan Mortgage Corp. REMICS, 5.5%, 10/15/35 5.5 10/15/2035 1,625,000 85,546
Federal National Mortgage Association REMICS, 5.0%, 9/25/39 5.0 09/25/2039 110,000 23,194
CeramTec GmbH, Dollar Term B-3 Loan, 8/30/20 4.25 08/30/2020 63,461 63,553
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 2.4 11/15/2025 642,000 463,057
Bayview Commercial Asset Trust, Floating Rate Note, 4/25/34 (144A) 0.515 04/25/2034 4,150,000 422,981
Fly Funding II Sarl, Loan, 8/8/18 4.5 08/09/2018 385,000 387,406
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 3.4246 01/17/2019 500,000 517,151
Federal National Mortgage Association, 5.0%, 6/25/32 5.0 06/25/2032 18,817,000 300,958
Fannie Mae, 6.0%, 2/1/34 6.0 02/01/2034 1,400,000 38,341
MASTR Alternative Loan Trust 2004-13, 4.5%, 1/25/15 4.5 01/25/2015 2,000,000 1,136
JPMorgan Chase & Co., 1.1%, 10/15/15 1.1 10/15/2015 492,000 496,244
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 0.4586 01/20/2021 1,000,000 328,531
Federal Home Loan Mortgage Corp., Floating Rate Note, 12/1/31 2.533 12/01/2031 49,986,196 270,640
Federal National Mortgage Association REMICS, 6.0%, 3/25/35 6.0 03/25/2035 1,000,000 44,211
Structured Asset Securities Corp Mortgage Loan Trust 2005-2XS, 4.65%, 2/25/35 (Step) 4.65 02/25/2035 1,000,000 180,421
Nn Inc 1st Lien Tl-B L + 5% 18jul21 6.0 07/18/2021 400,000 398,000
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.205 10/25/2037 466,904 392,412
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/36