Pioneer Investments: Pioneer Short Term Income Fund


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Pioneer Short Term Income Fund

Monthly Portfolio Holdings as of 3/31/2015

Security Name Coupon Maturity Date Par / Shares Market Value($)
BAMLL Commercial Mortgage Securities Trust 2014-FL1, Floating Rate Note, 12/17/31 (144A) 2.3745 12/17/2031 800,000 803,566
NorthStar 2013-1, Floating Rate Note, 8/27/29 (144A) 2.0238 08/27/2029 778,000 735,314
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 0.5338 11/25/2036 2,248,000 296,812
Fannie Mae, Floating Rate Note, 11/1/40 1.528 11/01/2040 9,368,434 113,537
Bright Horizons Family Solutions, Inc., Term B Loan, 1/30/20 4.0 01/30/2020 394,957 396,356
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 0.5738 03/25/2034 763,500 193,405
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 0.8138 09/25/2034 32,445,000 1,318,700
Phillips 66, 2.95%, 5/1/17 2.95 05/01/2017 750,000 784,927
Government National Mortgage Association, Floating Rate Note, 2/16/30 0.8245 02/16/2030 14,415,492 209,092
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 2.49 02/25/2034 3,584,000 314,158
Wells Fargo Alternative Loan 2005-2 Trust, Floating Rate Note, 10/25/35 0.9938 10/25/2035 453,135 450,984
AXIS Equipment Finance Receivables II LLC, 4.94%, 7/20/18 (144A) 4.94 07/20/2018 700,000 709,251
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 0.4038 11/25/2037 9,516,000 388,285
Costco Wholesale Corp., 1.125%, 12/15/17 1.125 12/15/2017 740,000 743,165
Alterna Funding I LLC, 1.639%, 2/15/21 (144A) 1.639 02/15/2021 400,000 321,863
East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (Cat Bond) (144A) 2.7551 03/14/2018 500,000 498,728
Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34 0.9138 11/25/2034 19,122,000 1,186,866
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 0.5738 07/25/2034 1,642,000 106,503
American Airlines Inc 1st Lien Tl-B L + 3.5% 08oct21 4.25 10/08/2021 750,000 756,250
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.7652 04/30/2018 650,000 665,649
Bayview Opportunity Master Fund Trust IIIa 2014-12RPL, 3.6225%, 7/28/19 (Step) (144A) 3.6225 07/28/2019 465,000 235,908
RAMP Series 2004-RS11 Trust, Floating Rate Note, 11/25/34 1.1038 11/25/2034 1,085,000 275,888
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 0.4245 08/15/2035 462,000 88,182
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 3.5 08/17/2020 510,230 509,061
Sequoia Mortgage Trust 2004-12 REMICS, Floating Rate Note, 1/20/35 0.6336 01/20/2035 3,700,000 252,003
Ciena Corporation 1st Lien Tl-B L + 3% 08jul19 3.75 07/08/2019 348,250 348,685
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 0.8745 12/15/2039 666,000 261,518
Wells Fargo Bank NA, Floating Rate Note, 5/16/16 0.4671 05/16/2016 250,000 249,582
Raymond James Financial, Inc., 4.25%, 4/15/16 4.25 04/15/2016 2,108,000 2,230,138
Norcraft Companies LP, Initial Loan, 11/12/20 5.25 11/12/2020 246,875 247,801
ARI Fleet Lease Trust 2012-A, Floating Rate Note, 3/15/20 (144A) 0.7245 03/15/2020 810,000 112,874
TAL Advantage V LLC, 1.7%, 5/20/39 (144A) 1.7 05/20/2039 400,000 313,007
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25 0.5438 10/25/2035 239,000 117,449
La Hipotecaria Panamanian Mortgage Trust 2007-1, Floating Rate Note, 12/23/36 (144A) 4.25 12/23/2036 1,400,000 638,498
TimberStar Trust I REMICS, 5.668%, 10/15/36 (144A) 5.668 10/15/2036 525,000 558,107
LB-UBS Commercial Mortgage Trust 2006-C1 REMICS, 5.156%, 2/15/31 5.156 02/15/2031 1,615,000 1,583,815
GE Business Loan Trust 2003-2 REMICS, Floating Rate Note, 11/15/31 (144A) 0.5445 11/15/2031 1,409,576 121,347
Monsanto Co., 1.15%, 6/30/17 1.15 06/30/2017 1,000,000 1,006,891
COMM 2014-PAT Mortgage Trust, Floating Rate Note, 8/13/27 (144A) 1.7675 08/13/2027 820,000 817,321
WaMu Mortgage Pass-Through Certificates Series 2003-S10, 5.0%, 10/25/18 5.0 10/25/2018 17,361,049 510,659
Citigroup, Inc., 1.8%, 2/5/18 1.8 02/05/2018 750,000 753,666
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 0.3638 12/25/2035 450,623 128,827
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/28 0.6745 07/15/2028 52,559,000 345,190
Federal National Mortgage Association REMICS, 6.0%, 6/25/29 6.0 06/25/2029 685,000 122,438
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 0.6738 06/25/2035 278,355 123,904
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 0.7771 02/15/2017 500,000 501,090
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/17 0.5738 05/25/2017 20,000,000 93,986
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 (144A) 5.3243 07/10/2045 500,000 504,744
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 0.3638 01/25/2036 1,567,646 157,375
Fannie Mae, 6.5%, 7/1/32 6.5 07/01/2032 723,471 8,055
Aecom Technology Corp 1st Lien Tl-B L + 3% 17sep21 3.75 09/17/2021 319,903 322,969
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 0.5738 07/25/2018 2,444,000 62,091
NYSE Holdings LLC, 2.0%, 10/5/17 2.0 10/05/2017 150,000 153,565
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 7/25/24 1.3738 07/25/2024 1,540,000 1,322,960
BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A) 2.7797 09/26/2035 2,765,000 622,007
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 0.6338 03/25/2030 7,567,883 437,041
Morgan Stanley ABS Capital I Inc Trust 2005-NC2, Floating Rate Note, 3/25/35 0.8038 03/25/2035 627,000 377,649
Residential Asset Securitization Trust 2004-A9, 5.75%, 12/25/34 5.75 12/25/2034 1,130,000 386,721
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/39 0.7238 09/25/2039 683,053 99,917
Baxter International, Inc., 0.95%, 6/1/16 0.95 06/01/2016 500,000 502,394
BCMSC Trust 1998-A, 6.65%, 4/15/28 6.65 04/15/2028 2,750,000 19,797
Pricoa Global Funding I, Floating Rate Note, 6/24/16 (144A) 0.4768 06/24/2016 500,000 500,125
Federal National Mortgage Association REMICS, Floating Rate Note, 12/18/32 0.577 12/18/2032 16,085,000 239,986
Calpine Corp., Term Loan (10/12), 10/9/19 4.0 10/09/2019 748,082 751,095
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 2.5167 10/25/2033 1,500,000 156,140
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 0.7833 07/15/2016 300,000 301,983
Kinetic Concepts, Inc., Dollar Term E-1 Loan, 5/4/18 4.5 05/04/2018 750,000 753,750
Bway Holding Co 1st Lien Tl-B L + 4.5% 08aug20 5.5 08/08/2020 99,250 100,180
Cendant Mortgage Corp., 6.25%, 3/25/32 (144A) 6.25 03/25/2032 4,100,000 510,596
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 3.1033 07/15/2023 700,000 669,777
Sierra Timeshare 2013-1 Receivables Funding LLC, 2.39%, 11/20/29 (144A) 2.39 11/20/2029 160,000 51,423
CPS Auto Receivables Trust 2013-A, 1.89%, 6/15/20 (144A) 1.89 06/15/2020 690,000 341,711
CSMC Series 2014-ICE, Floating Rate Note, 4/15/27 (144A) 1.45 04/15/2027 1,950,000 1,943,075
Credit Acceptance Auto Loan Trust 2014-2, 2.67%, 9/15/22 (144A) 2.67 09/15/2022 1,000,000 1,006,173
Federal National Mortgage Association, Floating Rate Note, 10/18/32 0.527 10/18/2032 11,398,000 362,942
JPMorgan Chase & Co., 3.4%, 6/24/15 3.4 06/24/2015 265,000 269,143
RALI Series 2003-QS15 Trust, 5.5%, 8/25/33 5.5 08/25/2033 250,000 149,280
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/34 0.5238 01/25/2034 10,970,000 1,618,012
New York Life Global Funding, 1.125%, 3/1/17 (144A) 1.125 03/01/2017 500,000 502,414
MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35 0.5238 02/25/2035 6,760,000 509,344
Oracle Corp., 2.375%, 1/15/19 2.375 01/15/2019 500,000 516,238
Chase Funding Trust Series 2003-3, Floating Rate Note, 4/25/33 0.7138 04/25/2033 13,029,694 92,700
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 1.6738 06/25/2028 2,350,000 537,853
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 0.9138 03/25/2028 15,000,000 634,044
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 1.6 06/19/2031 665,000 659,352
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 8.02 07/09/2015 700,000 722,486
Schaeffler (Aka Ina Beteiligungsge 1st Lien Tl-B L + 3.5% 15may20 4.25 05/15/2020 500,000 504,141
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R9, 5.444%, 11/25/35 (Ste 5.444 11/25/2035 590,000 469,992
Sinclair Television Group, Inc., New Tranche B Term Loan, 4/19/20 3.0 04/19/2020 438,304 436,042
Freddie Mac Strips, Floating Rate Note, 12/15/36 0.5245 12/15/2036 2,327,000 131,673
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 0.4461 01/27/2017 500,000 499,392
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 0.5745 07/15/2023 835,000 168,959
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 0.6738 05/25/2033 4,068,000 102,194
BPCE SA, Floating Rate Note, 4/25/16 1.5061 04/25/2016 550,000 556,443
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 0.6296 01/30/2017 500,000 500,027
Federal National Mortgage Association 2006-48-T, 5.5%, 12/25/34 5.5 12/25/2034 1,716,418 295,169
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 2.6488 12/25/2034 500,000 59,133
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 0.7238 12/25/2034 510,000 331,439
Federal National Mortgage Association REMICS, Floating Rate Note, 5/18/32 0.677 05/18/2032 31,809,000 609,976
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/42 0.7245 02/15/2042 350,000 194,721
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3 REMICS, Floating Rate Note, 8/15/42 4.936 08/15/2042 440,000 341,112
Popular ABS Mortgage Pass-Through Trust 2004-4, 5.181%, 9/25/34 (Step) 5.181 09/25/2034 1,415,000 496,495
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 0.7338 07/25/2029 10,014,000 463,455
MetroCat Re, Ltd., Floating Rate Note, 8/5/16 (Cat Bond) (144A) 4.5253 08/05/2016 400,000 409,080
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 0.6545 06/15/2030 3,714,390 203,086
Aflac, Inc., 3.45%, 8/15/15 3.45 08/15/2015 500,000 507,283
ZIGGO BV, (USD) TLB3, 1/15/22 3.5 01/15/2022 476,177 473,647
Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A) 0.5206 06/15/2020 500,000 167,117
United Auto Credit Securitization Trust 2014-1, 2.38%, 10/15/18 (144A) 2.38 10/15/2018 700,000 696,568
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 0.873 12/05/2031 200,000 199,308
Bayview Commercial Asset Trust 2004-1, Floating Rate Note, 4/25/34 (144A) 0.7138 04/25/2034 4,150,000 370,858
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 9.26 06/06/2017 250,000 264,620
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 0.6338 01/25/2035 3,700,000 317,941
First Horizon Mortgage Pass-Through Trust 2004-AR5, Floating Rate Note, 10/25/34 2.5767 10/25/2034 940,000 49,883
Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A) 1.55 11/15/2017 195,000 137,106
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 0.7146 03/22/2016 475,000 474,959
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 0.5231 09/30/2016 500,000 500,061
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.7438 09/25/2037 679,000 82,934
LB-UBS Commercial Mortgage Trust 2005-C3, 4.739%, 7/15/30 4.739 07/15/2030 825,000 47,059
BBCMS Trust 2015-SLP, Floating Rate Note, 2/15/28 (144A) 2.1778 02/15/2028 750,000 749,992
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/31 2.406 10/01/2031 19,044,336 336,127
BB&T Corp., 1.6%, 8/15/17 1.6 08/15/2017 103,000 103,870
Pangaea Zero% 01jul18 0.0 07/01/2018 700,000 763,140
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 2.125 03/16/2026 399,000 398,844
Banc of America Funding 2004-B Trust, Floating Rate Note, 12/20/34 0.536 12/20/2034 6,667,000 468,661
CarMax Auto Owner Trust 2013-3, 2.15%, 5/15/19 2.15 05/15/2019 540,000 545,764
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 8.9051 06/06/2017 500,000 509,114
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/38 0.6738 06/25/2038 2,355,000 138,002
AmeriCredit Automobile Receivables Trust 2013-4, 0.74%, 11/8/16 0.74 11/08/2016 500,000 43,217
Ford Credit Auto Owner Trust 2014-A, 0.48%, 11/15/16 0.48 11/15/2016 260,000 72,305
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5.372 09/10/2045 1,450,000 1,477,645
Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 6.7003 01/09/2017 600,000 563,103
Morgan Stanley ABS Capital I Inc Trust 2005-WMC5, Floating Rate Note, 6/25/35 0.9088 06/25/2035 820,000 176,244
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 0.5745 05/15/2036 2,159,000 143,730
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 4.25 04/25/2034 4,541,000 102,610
American Honda Finance Corp., 1.125%, 10/7/16 1.125 10/07/2016 500,000 505,457
Federal National Mortgage Association REMICS, 5.0%, 9/25/39 5.0 09/25/2039 110,000 16,829
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 (144A) 2.175 12/15/2028 945,000 946,885
Federal Home Loan Mortgage Corp., Floating Rate Note, 2/17/32 0.6265 02/17/2032 12,638,000 326,521
Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A) 3.5051 06/06/2018 250,000 252,407
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 2.7%, 9/9/18 (144A) 2.7 09/09/2018 305,000 313,903
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/33 0.4845 04/15/2033 22,025,143 887,522
Government National Mortgage Association, Floating Rate Note, 9/20/33 0.476 09/20/2033 704,000 47,065
Express Scripts Holding Co., 3.125%, 5/15/16 3.125 05/15/2016 1,000,000 1,036,136
Castle Garden Funding, Floating Rate Note, 10/27/20 (144A) 0.5216 10/27/2020 2,000,000 293,854
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/35 0.3938 03/25/2035 6,100,000 894,319
Valeant Pharmaceuticals Internatio 1st Lien Bf2-Dd L + 3.25% 13mar22 4.0 03/13/2022 216,867 218,121
U.S. Treasury Notes, 0.5%, 11/30/16 0.5 11/30/2016 2,500,000 2,512,065
Federal National Mortgage Association, Floating Rate Note, 3/25/18 0.4738 03/25/2018 8,811,000 224,375
Activision Blizzard, Inc., Term Loan, 7/26/20 3.25 07/26/2020 573,304 576,529
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37 0.4745 02/15/2037 2,840,000 162,885
National Oilwell Varco, Inc., 1.35%, 12/1/17 1.35 12/01/2017 775,000 771,699
Ventas Realty LP, 3.125%, 11/30/15 3.125 11/30/2015 500,000 512,352
Bayview Commercial Asset Trust 2007-4, 3.494017%, 9/25/37 (Step) (144A) 3.494 09/25/2037 3,000,000 63,669
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 0.6738 06/25/2035 1,526,722 507,771
Exeter Automobile Receivables Trust 2014-2, 1.06%, 8/15/18 1.06 08/15/2018 400,000 226,430
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 0.5238 05/25/2036 6,641,000 190,441
Gci Holdings Inc 1st Lien Tl-B L + 3.75% 22dec21 4.75 12/22/2021 375,000 376,875
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 0.9238 02/25/2035 5,848,300 58,620
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 4.5 07/01/2019 1,467,130 151,648
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 0.6238 05/25/2018 11,040,000 366,600
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5.46 09/10/2045 1,000,000 1,029,559
Freddie Mac Strips, Floating Rate Note, 8/15/36 0.4745 08/15/2036 6,894,664 321,137
Federal National Mortgage Association, Floating Rate Note, 11/25/27 0.4738 11/25/2027 15,797,000 480,180
Navios Maritime Partners LP, Term Loan, 6/27/18 5.25 06/27/2018 436,937 440,761
Citibank Credit Card Issuance Trust, 5.1%, 11/20/17 5.1 11/20/2017 500,000 523,421
Government National Mortgage Association, Floating Rate Note, 8/20/40 0.476 08/20/2040 1,000,000 535,122
GE Equipment Small Ticket LLC Series 2013-1, 0.73%, 1/25/16 (144A) 0.73 01/25/2016 200,000 24,121
Trade MAPS 1, Ltd., Floating Rate Note, 12/10/18 (144A) 1.425 12/10/2018 250,000 250,292
CGBAM Commercial Mortgage Trust 2014-HD, Floating Rate Note, 2/18/31 (144A) 1.375 02/18/2031 310,000 309,478
CAM Mortgage Trust 2014-2, 2.6%, 12/15/53 (Step) (144A) 2.6 12/15/2053 610,000 49,151
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 1.7813 08/20/2034 5,250,000 222,934
CHS, 2021 Term D Loan, 1/27/21 4.25 01/27/2021 264,196 265,792
American Credit Acceptance Receivables Trust, 1.64%, 11/15/16 (144A) 1.64 11/15/2016 378,000 8,348
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.4438 11/25/2035 3,786,000 372,516
Federal Home Loan Mortgage Corp., 6.5%, 7/1/16 6.5 07/01/2016 2,000,000 5,742
Valeant Pharmaceuticals Internatio 1st Lien Tl-Bf1 L + 3.25% 13mar22 4.0 03/13/2022 283,133 284,769
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 0.7615 12/22/2054 250,000 226,825
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 8.1252 01/07/2016 250,000 258,822
Vodafone Group Plc, Floating Rate Note, 2/19/16 0.6417 02/19/2016 275,000 275,405
The Toronto-Dominion Bank, 1.4%, 4/30/18 1.4 04/30/2018 500,000 503,103
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 7.5 04/09/2015 750,000 763,750
The Bank of New York Mellon Corp., 1.969%, 6/20/17 (Step) 1.969 06/20/2017 750,000 768,179
AXIS Equipment Finance Receivables II LLC, 3.81%, 12/20/16 3.81 12/20/2016 400,000 402,953
Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Floating Rate Note, 10/17/44 5.2416 10/17/2044 625,364 443,539
Massachusetts Development Finance Agency, Floating Rate Note, 2/15/36 3.0 02/15/2036 250,000 256,991
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 0.3745 08/15/2026 370,000 125,857
Welk Resorts 2013-A LLC, 3.1%, 3/15/29 (144A) 3.1 03/15/2029 750,000 531,360
Fannie Mae, 5.0%, 7/1/15 5.0 07/01/2015 1,000,000 3,376
American Credit Acceptance Receivables Trust 2013-1, 1.45%, 4/16/18 (144A) 1.45 04/16/2018 41,000 7,500
Daimler Finance North America LLC, 1.45%, 8/1/16 (144A) 1.45 08/01/2016 1,000,000 1,009,119
Level 3 Financing Inc 1st Lien Tl-B5 L + 3.5% 31jan22 4.5 01/31/2022 225,000 226,467
Aircastle, Ltd., 6.75%, 4/15/17 6.75 04/15/2017 1,100,000 1,219,488
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 0.6309 05/27/2016 390,000 391,066
PFS Financing Corp., Floating Rate Note, 2/15/18 (144A) 0.7245 02/15/2018 800,000 800,266
Fannie Mae, Floating Rate Note, 2/1/27 2.45 02/01/2027 4,000,000 12,718
AmeriCredit Automobile Receivables Trust 2011-5, 2.45%, 12/8/16 2.45 12/08/2016 500,000 21,929
Fannie Mae, Floating Rate Note, 12/1/36 4.36 12/01/2036 6,500,000 235,062
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5, Floating Rate Note, 7/15/31 (144A) 1.525 07/15/2031 490,000 488,941
Federal Home Loan Mortgage Corp., 3.0%, 6/15/38 3.0 06/15/2038 2,000,000 383,473
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1.7652 01/07/2019 500,000 503,588
HLSS Servicer Advance Receivables Trust, 1.4953%, 1/16/46 (144A) 1.4953 01/16/2046 1,706,000 1,697,751
Conseco Finance Corp., 7.55%, 4/15/32 (Step) 7.55 04/15/2032 2,740,000 142,415
Countrywide Asset-Backed Certificates, Floating Rate Note, 3/25/35 1.0738 03/25/2035 1,300,000 381,511
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 0.5738 10/25/2036 11,844,000 434,127
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 1.2538 03/25/2035 311,000 101,361
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.6238 09/25/2037 2,524,000 107,595
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 8.7551 12/06/2016 500,000 508,760
Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A) 2.1061 01/26/2020 553,000 536,334
DR Horton, Inc., 4.0%, 2/15/20 4.0 02/15/2020 650,000 662,856
Foresight Energy LLC, Term Loan, 8/21/20 5.5 08/21/2020 67,011 66,257
Collateralized Mortgage Obligation Trust 44, Floating Rate Note, 7/1/18 1.2 07/01/2018 13,590,000 38,818
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 8.0051 06/06/2016 250,000 265,119
Structured Asset Mortgage Investments II Trust 2005-F1 REMICS, Floating Rate Note, 8/26/35 0.6738 08/26/2035 6,100,000 108,206
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/24 1.0238 01/25/2024 51,985,111 193,720
CWABS Asset-Backed Certificates Trust 2005-1, Floating Rate Note, 2/25/33 5.147 02/25/2033 244,000 24,199
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 0.4238 09/25/2030 3,264,773 504,883
GS Mortgage Securities Trust 2006-GG6 REMICS, Floating Rate Note, 4/10/38 5.553 04/10/2038 1,020,000 1,041,251
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 0.9738 10/25/2034 2,125,000 106,461
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 3.25 03/31/2021 198,500 197,738
Banco Nacional de Desenvolvimento Economico e Social, 3.375%, 9/26/16 (144A) 3.375 09/26/2016 1,000,000 1,004,219
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 3.9152 06/07/2017 650,000 652,308
Morgan Stanley Capital I Trust 2005-TOP19, 4.89%, 6/12/47 4.89 06/12/2047 1,940,000 987,907
Navitas Equipment Receivables LLC 2013-1, 3.63%, 2/15/17 3.63 02/15/2017 650,000 652,724
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 0.321 05/25/2036 704,088 175,652
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 10.7904 04/10/2015 650,000 665,405
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2.0203 04/07/2017 650,000 650,816
Sirius International Group, Ltd., 6.375%, 3/20/17 (144A) 6.375 03/20/2017 600,000 649,831
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 0.4338 11/25/2035 5,875,000 417,881
Blue Danube II, Ltd., Floating Rate Note, 5/23/18 (Cat Bond) (144A) 4.2787 05/23/2018 800,000 803,758
Federal National Mortgage Association, 3.5%, 3/25/28 3.5 03/25/2028 2,344,102 185,717
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45 2.2365 06/25/2045 1,600,000 236,842
Federal National Mortgage Association, 3.0%, 12/1/21 3.0 12/01/2021 2,000,000 867,198
Post Holdings Inc 1st Lien Tl-B L + 3% 23may21 3.75 05/23/2021 750,000 752,969
Enbridge, Inc., Floating Rate Note, 10/1/16 0.9052 10/01/2016 500,000 499,060
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 10/25/24 1.5738 10/25/2024 700,000 682,146
McKesson Corp., Floating Rate Note, 9/10/15 0.6646 09/10/2015 235,000 235,172
Daimler Finance North America LLC, Floating Rate Note, 8/1/17 (144A) 0.5946 08/01/2017 617,000 616,427
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 0.8788 04/25/2035 159,800 105,981
Credit Suisse First Boston Mortgage Securities Corp., 7.5%, 5/25/32 7.5 05/25/2032 15,000,000 301,466
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 3/25/32 (144A) 1.2988 03/25/2032 1,370,736 209,066
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 10/10/45 5.115 10/10/2045 1,370,000 936,107
Resi Flt% 12dec45 A1 0.9677 12/12/2045 500,000 423,522
Home Equity Mortgage Trust 2005-2, Floating Rate Note, 7/25/35 1.3138 07/25/2035 1,113,955 170,703
Wachovia Bank Commercial Mortgage Trust Series 2006-C23 REMICS, Floating Rate Note, 1/15/45 5.418 01/15/2045 1,590,000 1,257,384
Cent CLO 16 LP, 2.52%, 8/1/24 (144A) 2.52 08/01/2024 1,000,000 1,003,676
Armor Re, Ltd., Floating Rate Note, 12/15/16 (Cat Bond) (144A) 4.0152 12/15/2016 300,000 298,990
Fannie Mae, Floating Rate Note, 10/1/29 2.28 10/01/2029 10,892,567 84,544
Alternative Loan Trust 2003-14T1, Floating Rate Note, 8/25/18 0.6238 08/25/2018 3,200,000 114,988
Fannie Mae, 6.0%, 4/1/38 6.0 04/01/2038 483,000 36,319
JP Morgan Mortgage Trust 2005-A3, Floating Rate Note, 6/25/35 4.3227 06/25/2035 6,041,179 558,655
First Franklin Mortgage Loan Trust 2002-FFA, Floating Rate Note, 9/25/32 1.6738 09/25/2032 5,500,000 260,306
America Movil SAB de CV, Floating Rate Note, 9/12/16 1.2677 09/12/2016 1,000,000 1,004,610
American Express Credit Account Secured Note Trust 2012-4, Floating Rate Note, 5/15/20 (144A) 0.9745 05/15/2020 760,000 765,228
American Credit Acceptance Receivables Trust 2014-2, 0.99%, 10/10/17 (144A) 0.99 10/10/2017 500,000 191,297
American Express Credit Corp., Floating Rate Note, 9/22/17 0.5646 09/22/2017 1,000,000 997,608
Flagstar Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/18 (144A) 0.6338 06/25/2018 4,800,000 248,908
Steward Health Care System LLC, Term Loan, 4/10/20 6.75 04/10/2020 295,489 295,023
Countrywide Asset-Backed Certificates, Floating Rate Note, 12/25/35 4.9583 12/25/2035 1,814,000 361,768
Federal National Mortgage Association REMICS, 1.5%, 11/25/20 1.5 11/25/2020 745,000 158,508
Selene Non-Performing Loans LLC, 2.9814%, 5/25/54 (Step) (144A) 2.9814 05/25/2054 1,020,000 945,182
ASG Resecuritization Trust 2010-3, Floating Rate Note, 12/29/45 (144A) 0.4303 12/29/2045 1,642,839 674,605
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 2.623 07/25/2033 6,462,027 276,638
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 1.776 02/13/2032 1,850,000 1,851,854
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP5, Floating Rate Note, 12/15/44 5.2269 12/15/2044 1,920,000 1,312,520
Ascentium Equipment Receivables 2015-1 LLC, 3.24%, 1/10/22 (144A) 3.24 01/10/2022 510,000 513,570
SunGard Data Systems, Inc., Tranche C Term Loan, 2/28/17 3.925 02/28/2017 155,698 155,940
Honda Auto Receivables 2012-2 Owner Trust, 0.7%, 2/16/16 0.7 02/16/2016 350,000 25,695
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/25 2.599 04/01/2025 13,000,000 17,549
GSAA Trust, Floating Rate Note, 6/25/35 0.6038 06/25/2035 440,000 302,288
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 7.2652 07/05/2016 500,000 522,763
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 3.9669 08/25/2053 1,505,000 1,072,736
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 0.6156 10/25/2030 1,000,000 82,521
ConocoPhillips Co., 1.05%, 12/15/17 1.05 12/15/2017 1,000,000 999,415
Morgan Stanley Home Equity Loan Trust 2005-4, Floating Rate Note, 9/25/35 0.4938 09/25/2035 1,558,243 629,128
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/19 0.3245 07/15/2019 1,500,000 86,659
Duke Energy Indiana, Inc., Floating Rate Note, 7/11/16 0.6021 07/11/2016 303,000 303,710
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 0.4245 06/15/2033 1,692,482 725,998
Silverton RE, Ltd., 0.0%, 9/16/16 (Cat Bond) (144A) 0.0 09/16/2016 250,000 15,950
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 0.4738 12/25/2036 790,207 765,694
Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/19/30 (144A) 2.1 12/19/2030 750,000 749,392
ABN AMRO Bank NV, 1.375%, 1/22/16 (144A) 1.375 01/22/2016 500,000 503,608
Rialto Capital Management LLC, 2.85%, 5/15/24 (144A) 2.85 05/15/2024 700,000 180,352
CGWF Commercial Mortgage Trust 2013-RKWH REMICS, Floating Rate Note, 11/15/30 (144A) 2.0745 11/15/2030 1,720,000 1,723,319
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/38 0.5745 03/15/2038 2,600,000 794,300
Wachovia Bank Commercial Mortgage Trust Series 2006-C24, Floating Rate Note, 3/15/45 5.658 03/15/2045 272,000 277,930
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 3.25 11/05/2020 495,000 496,052
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 4.838 07/15/2041 637,677 70,362
GLC Trust 2013-1, 3.0%, 7/15/21 (144A) 3.0 07/15/2021 1,000,000 716,344
Diamond Resorts Owner Trust 2013-2, 2.62%, 5/20/26 (144A) 2.62 05/20/2026 750,000 394,573
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 1.1738 04/25/2032 50,000,000 599,069
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 10/15/18 3.5 10/15/2018 500,000 79,859
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 3.4576 01/15/2017 250,000 256,550
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 1.475 03/16/2026 300,000 299,786
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 2.7988 08/25/2034 590,000 66,577
Government National Mortgage Association II, 6.0%, 11/20/22 6.0 11/20/2022 1,986,670 250,179
SMART Trust/Australia, Floating Rate Note, 1/17/17 0.6045 01/17/2017 500,000 356,458
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 0.5238 09/25/2036 1,275,000 162,765
Wachovia Bank Commercial Mortgage Trust Series 2005-C22 REMICS, Floating Rate Note, 12/15/44 5.2707 12/15/2044 1,000,000 900,705
Principal Life Global Funding II, 1.2%, 5/19/17 (144A) 1.2 05/19/2017 750,000 754,722
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 0.796 09/20/2033 14,606,000 613,568
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 3.9752 05/18/2016 750,000 757,448
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 8.6049 01/05/2017 500,000 535,366
Fannie Mae, 6.5%, 4/1/29 6.5 04/01/2029 9,050,000 298,992
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 0.6738 03/25/2024 4,129,409 152,088
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 1.8866 01/25/2029 3,592,000 50,800
Silverton RE, Ltd., 0.0%, 9/18/17 (Cat Bond) (144A) 0.0 09/18/2017 400,000 420,640
Merrill Lynch Mortgage Investors Trust Series 2005-A3, Floating Rate Note, 4/25/35 0.4438 04/25/2035 10,415,000 1,165,887
Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A) 1.1738 03/25/2037 1,130,000 213,485
PARTY CITY HOLDINGS INC, 2014 Replacement Term Loan, 7/27/19 4.0033 07/27/2019 945,450 945,112
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2, 4.78%, 7/15/42 4.78 07/15/2042 1,150,000 1,156,295
Bank of America NA, 1.25%, 2/14/17 1.25 02/14/2017 500,000 501,791
Structured Asset Securities Corp Mortgage Pass Through Ctfs Series 2003-35, Floating Rate Note, 12/2 0.6738 12/25/2033 4,960,000 273,159
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 0.9238 12/25/2034 1,210,753 89,236
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 2.025 05/07/2024 250,000 251,018
Starwood Property Trust, Inc., Term Loan (First Lien), 4/17/20 3.5 04/17/2020 196,985 195,384
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.4138 06/25/2037 2,134,162 255,523
Vantiv LLC, Term B Loan, 6/12/21 3.75 06/12/2021 288,879 290,501
Altrl Zero% 30jun16 0.0 06/30/2016 218,850 157,200
Wells Fargo & Co., 1.5%, 7/1/15 1.5 07/01/2015 1,050,000 1,056,699
Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A) 1.1719 09/25/2037 1,905,250 239,920
PHH Mortgage Capital LLC, 7.0%, 12/25/27 (Step) (144A) 7.0 12/25/2027 3,250,000 164,928
JPMorgan Chase & Co., Floating Rate Note, 2/25/21 1.911 02/25/2021 500,000 499,159
Federal National Mortgage Association, 4.5%, 8/25/27 4.5 08/25/2027 4,509,000 91,363
Government National Mortgage Association I, 6.0%, 11/15/36 6.0 11/15/2036 2,000,000 181,284
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 2.125 09/15/2015 189,000 190,337
Fannie Mae, 2.5%, 6/1/23 2.5 06/01/2023 526,320 397,985
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 8.5125 05/09/2016 250,000 257,608
Discover Card Execution Note Trust, Floating Rate Note, 10/15/18 0.3545 10/15/2018 600,000 599,892
Jarden Corp., Tranche B1 Term Loan, 9/30/20 2.928 09/30/2020 246,250 248,128
Fannie Mae, Floating Rate Note, 4/1/28 2.712 04/01/2028 400,000 3,203
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 4.0 07/09/2018 1,000,000 1,008,806
Bayview Financial Asset Trust 2003-A, Floating Rate Note, 2/25/33 (144A) 4.91 02/25/2033 7,852,000 193,860
Dell Equipment Finance Trust 2014-1, 2.68%, 6/22/20 (144A) 2.68 06/22/2020 750,000 753,556
Small Business Administration Participation Certificates, 2.24%, 4/15/43 (144A) 2.24 04/15/2043 630,000 630,116
Verizon Communications, Inc., Floating Rate Note, 9/15/16 1.8006 09/15/2016 1,285,000 1,306,802
Fannie Mae, 7.0%, 1/1/36 7.0 01/01/2036 1,000,000 22,038
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 0.5738 09/25/2035 3,362,996 660,126
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 3.5 04/30/2020 246,231 246,447
Federal National Mortgage Association, Floating Rate Note, 3/25/36 0.5238 03/25/2036 2,108,510 431,016
Commonwealth Bank of Australia, Floating Rate Note, 9/18/15 (144A) 1.0702 09/18/2015 460,000 461,858
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 0.4238 02/25/2030 4,631,000 604,127
RALI Series 2005-QA1 Trust, Floating Rate Note, 1/25/35 0.4738 01/25/2035 8,661,000 845,388
Becton Dickinson and Co., 1.8%, 12/15/17 1.8 12/15/2017 750,000 759,722
Scientific Games International Inc 1st Lien Tl-B2 L + 5% 17sep21 6.0 09/17/2021 922,688 926,019
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 0.4738 10/25/2035 1,878,000 177,822
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1.2538 03/25/2035 300,000 89,949
ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A) 3.081 09/25/2025 430,000 145,629
Albertsons LLC, Term B-2 Loan, 3/21/19 5.375 03/21/2019 646,754 651,504
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 0.6838 09/25/2035 1,100,000 465,310
Irwin Home Equity Loan Trust 2005-1, 5.32%, 6/25/35 (Step) 5.32 06/25/2035 900,000 97,769
Federal National Mortgage Association, Floating Rate Note, 7/25/27 0.7738 07/25/2027 1,402,000 16,439
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 0.4438 09/25/2035 9,387,000 721,377
VOLT XIX LLC, 3.875%, 4/26/55 (Step) 3.875 04/26/2055 800,000 664,488
Federal National Mortgage Association, 4.0%, 3/1/21 4.0 03/01/2021 4,071,760 1,158,393
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 3.0 05/15/2018 585,000 204,886
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 0.7745 08/15/2019 525,000 526,151
Citigroup Mortgage Loan Trust 2010-4 REMICS, 5.0%, 10/25/35 (144A) 5.0 10/25/2035 2,735,000 725,243
COMM 2014-FL5 Mortgage Trust, Floating Rate Note, 10/15/31 (144A) 2.322 10/15/2031 1,370,000 1,367,032
General Electric Capital Corp., Floating Rate Note, 7/12/16 0.9021 07/12/2016 296,000 298,545
Harley-Davidson Financial Services, Inc., 3.875%, 3/15/16 (144A) 3.875 03/15/2016 175,000 180,232
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 1.2738 09/25/2034 881,754 138,187
RAIT 2014-FL3 Trust, Floating Rate Note, 12/15/31 (144A) 1.4219 12/15/2031 1,000,000 986,907
Halyard Health Inc 1st Lien Tl-B L + 3.25% 03oct21 4.0 10/03/2021 299,250 302,664
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 7/25/35 0.4438 07/25/2035 3,555,000 392,215
PSEG Power LLC, 2.75%, 9/15/16 2.75 09/15/2016 500,000 512,774
GMAC Commercial Mortgage Securities Inc Series 2004-C2 Trust, Floating Rate Note, 8/10/38 5.301 08/10/2038 1,465,000 10,413
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 0.4538 09/25/2035 3,300,000 274,871
Nations Equipment Finance Funding II LLC, 3.276%, 1/22/19 (144A) 3.276 01/22/2019 500,000 478,707
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 3.1738 06/25/2028 1,923,500 125,804
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 2.7652 01/09/2017 500,000 513,349
GTP Acquisition Partners I LLC, 4.347%, 6/15/41 (144A) 4.347 06/15/2041 614,000 626,384
Eden Re II, Ltd., 0.0%, 4/19/18 (Cat Bond) (144A) 0.0 04/19/2018 700,000 705,250
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 0.6146 03/10/2017 750,000 750,942
Berkshire Hathaway Finance Corp., Floating Rate Note, 8/14/17 0.3821 08/14/2017 1,000,000 999,840
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 0.6238 06/25/2036 199,992 135,755
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 1.3738 08/25/2034 389,000 57,277
Centex Home Equity Loan Trust 2005-B, 4.893%, 3/25/33 (Step) 4.893 03/25/2033 3,300,000 360,226
TMS International Corp., Term B Loan, 10/2/20 4.5 10/02/2020 148,500 146,180
Leaf Receivables Funding 8 LLC, 2.67%, 9/15/20 (144A) 2.67 09/15/2020 311,966 314,077
Franklin Resources, Inc., 3.125%, 5/20/15 3.125 05/20/2015 940,000 953,734
Capella Healthcare Inc 1st Lien Tl-B L + 4.25% 31dec21 5.25 12/31/2021 105,000 105,919
Motor 2013-1 Plc, Floating Rate Note, 2/25/21 (144A) 0.6738 02/25/2021 466,000 62,187
Ziggo Bv Us 1st Lien Tl-B2 L + 2.75% 15jan22 3.385 01/15/2022 289,532 287,994
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 0.816 11/20/2034 1,990,836 199,545
Fannie Mae, 6.5%, 8/1/17 6.5 08/01/2017 667,089 15,667
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 2.7536 07/25/2034 2,481,203 85,705
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 0.7738 06/25/2034 10,699,000 811,080
Wachovia Bank Commercial Mortgage Trust Series 2005-C20 REMICS, Floating Rate Note, 7/15/42 5.118 07/15/2042 2,414,000 1,196,516
Invitation Homes 2014-SFR2 Trust, Floating Rate Note, 9/18/31 (144A) 1.7745 09/18/2031 600,000 599,933
First Investors Auto Owner Trust 2013-3, 2.32%, 10/15/19 (144A) 2.32 10/15/2019 300,000 303,498
Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36 0.6638 06/25/2036 412,000 206,899
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 2.4472 11/25/2034 1,259,000 119,951
Terex Corp., U.S. Term Loan, 8/13/21 3.5 08/13/2021 257,041 257,844
Fannie Mae, 6.5%, 6/1/16 6.5 06/01/2016 700,000 1,251
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 1.47 05/15/2018 200,000 31,749
Enterprise Products Operating LLC, 3.7%, 6/1/15 3.7 06/01/2015 1,010,000 1,026,926
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 (144A) 0.4438 04/25/2032 8,633,000 713,261
Home Equity Mortgage Trust, 5.821%, 4/25/35 (Step) 5.821 04/25/2035 1,000,000 257,587
Morgan Stanley Capital I Trust 2006-TOP21, Floating Rate Note, 10/12/52 5.162 10/12/2052 1,435,000 1,460,825
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP20, Floating Rate Note, 10/12/42 5.1415 10/12/2042 1,905,000 1,807,741
On Assignment, Inc., Initial Term B Loan, 5/15/20 3.5 05/15/2020 171,522 171,594
AmeriCredit Automobile Receivables Trust 2014-2, Floating Rate Note, 10/10/17 0.455 10/10/2017 380,000 285,291
STORE Master Funding LLC, 5.77%, 8/20/42 (144A) 5.77 08/20/2042 344,000 360,050
DT Auto Owner Trust 2013-1, 1.67%, 2/15/19 (144A) 1.67 02/15/2019 629,000 19,458
KeyBank NA Cleveland Ohio, 1.1%, 11/25/16 1.1 11/25/2016 500,000 502,398
HSBC USA, Inc., Floating Rate Note, 6/23/17 0.5646 06/23/2017 750,000 748,527
Government National Mortgage Association I, 6.5%, 5/15/31 6.5 05/15/2031 3,183,996 40,400
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 5.167 06/10/2044 1,880,000 1,902,836
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 3.25 12/19/2020 519,750 519,204
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/32 1.1745 02/15/2032 15,205,000 234,371
John Deere Capital Corp., Floating Rate Note, 10/11/16 0.5421 10/11/2016 1,090,000 1,094,236
HSBC Bank Middle East, Ltd., 3.0%, 10/21/15 3.0 10/21/2015 750,000 766,600
Bayview Commercial Asset Trust 2004-3, Floating Rate Note, 1/25/35 (144A) 0.5438 01/25/2035 4,600,000 671,242
Equity One Mortgage Pass-Through Trust 2003-1, Floating Rate Note, 8/25/33 0.911 08/25/2033 11,389,000 336,225
Fannie Mae, 4.5%, 5/1/39 4.5 05/01/2039 1,350,000 494,909
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 0.7545 10/15/2037 3,873,000 255,287
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 0.471 05/25/2036 5,518,315 367,131
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 0.5065 02/22/2021 500,000 216,649
Gray Television Inc. 1st Lien Tl L + 3% 10jun21 3.75 06/10/2021 801,032 801,433
Government National Mortgage Association, 3.0%, 12/20/38 3.0 12/20/2038 1,000,000 119,225
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 1.0267 11/25/2034 18,180,000 870,512
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 2.3704 08/25/2033 4,000,000 246,871
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/41 0.6745 02/15/2041 1,878,046 336,377
Government National Mortgage Association, 3.0%, 4/20/41 3.0 04/20/2041 300,000 243,722
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/34 0.5738 04/25/2034 644,866 73,238
Ascentium Equipment Receivables 2014-1 LLC, 3.1%, 6/10/21 (144A) 3.1 06/10/2021 700,000 714,034
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 5.0 07/25/2018 600,000 31,658
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 0.5238 02/25/2033 4,696,499 219,079
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 1.177 11/18/2032 24,329,000 436,898
Marathon Oil Corp., 0.9%, 11/1/15 0.9 11/01/2015 1,496,000 1,501,921
Royal Bank of Canada, 1.45%, 9/9/16 1.45 09/09/2016 1,000,000 1,011,656
Navitas Equipment Receivables LLC 2015-1, 3.4%, 11/15/18 (144A) 3.4 11/15/2018 500,000 500,127
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 0.3845 04/15/2022 580,444 579,875
CD 2006-CD2 Mortgage Trust, Floating Rate Note, 1/15/46 5.3036 01/15/2046 2,084,000 2,056,178
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 0.8738 03/25/2035 2,101,000 334,694
Telefonica Emisiones SAU, 3.992%, 2/16/16 3.992 02/16/2016 500,000 515,222
American Credit Acceptance Receivables Trust 2013-2, 1.32%, 2/15/17 (144A) 1.32 02/15/2017 280,000 26,413
Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A) 2.38 03/20/2029 1,500,000 369,582
Government National Mortgage Association I, 6.5%, 7/15/35 6.5 07/15/2035 328,670 8,370
Caterpillar Financial Services Corp., 1.35%, 9/6/16 1.35 09/06/2016 1,125,000 1,136,995
Fannie Mae, 4.5%, 1/1/41 4.5 01/01/2041 580,000 286,372
Southwire Co., Initial Term Loan, 1/31/21 3.2538 01/31/2021 402,211 398,441
First Horizon Mortgage Pass-Through Trust 2004-AR1, Floating Rate Note, 2/25/34 2.594 02/25/2034 1,500,000 58,592
Wesco Aircraft Hardware Corp., Tranche B Term Loan, 2/24/21 3.25 02/24/2021 850,938 842,295
Seadrill Operating LP, Initial Term Loan, 2/14/21 4.0 02/14/2021 839,375 669,177
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 1.0138 01/25/2035 3,280,000 339,494
Government National Mortgage Association, Floating Rate Note, 4/16/31 0.4745 04/16/2031 12,627,242 247,557
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 2/26/16 0.6711 02/26/2016 500,000 501,784
Countrywide Asset-Backed Certificates, Floating Rate Note, 10/25/34 0.3538 10/25/2034 984,000 184,623
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 0.7938 06/25/2033 900,000 867,869
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 0.6738 06/25/2033 13,610,000 585,870
Enterprise Products Operating LLC, 3.2%, 2/1/16 3.2 02/01/2016 1,000,000 1,023,052
Federal National Mortgage Association, 3.5%, 1/25/24 3.5 01/25/2024 7,225,000 222,708
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 2.4432 07/25/2033 7,700,000 905,069
RALI Series 2003-QR24 Trust REMICS, 4.0%, 7/25/33 4.0 07/25/2033 6,880,000 755,142
CG-CCRE Commercial Mortgage Trust 2014-FL1, Floating Rate Note, 6/16/31 (144A) 1.1245 06/16/2031 1,630,000 1,629,195
Freddie Mac REMICS, Floating Rate Note, 2/15/32 1.1245 02/15/2032 14,441,000 896,779
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/28 0.6745 04/15/2028 16,175,365 236,835
Kinder Morgan, Inc. Delaware, 2.0%, 12/1/17 2.0 12/01/2017 700,000 703,771
Prestige Brands, Inc., Term B-2 Loan, 8/18/21 4.5 08/18/2021 330,000 331,733
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.4238 03/25/2037 960,000 129,913
Gracechurch Card Funding Plc, Floating Rate Note, 6/15/17 (144A) 0.8745 06/15/2017 300,000 300,314
Federal National Mortgage Association 2004-T2, Floating Rate Note, 7/25/43 3.3886 07/25/2043 6,750,000 917,582
Federal Home Loan Mortgage Corp., 2.75%, 11/15/25 2.75 11/15/2025 1,000,000 433,717
Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Floating Rate Note, 5/15/43 5.7153 05/15/2043 1,200,000 1,004,299
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 3.75 12/12/2019 61,163 61,341
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 0.4738 07/25/2035 750,000 156,484
EQTY 2014-INNS Mortgage Trust REMICS, Floating Rate Note, 5/8/31 (144A) 1.771 05/08/2031 540,000 535,501
Federal National Mortgage Association, Floating Rate Note, 4/25/33 0.6738 04/25/2033 36,000,000 907,397
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/15 5.0 12/15/2015 500,000 521,776
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 1.0738 12/25/2031 4,375,000 141,010
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 1.1738 02/25/2024 485,000 440,626
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 10/25/35 5.5 10/25/2035 1,471,464 10,524
Mastr Asset Backed Securities Trust 2005-WF1, Floating Rate Note, 6/25/35 0.5438 06/25/2035 51,000 1,383
Hilton Grand Vacations Trust 2014-A, 2.07%, 11/25/26 (144A) 2.07 11/25/2026 750,000 621,383
The PNC Financial Services Group, Inc., Floating Rate Note (Perpetual) 4.4815 02/21/2049 600,000 604,113
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 0.6238 06/25/2036 2,317,493 222,448
WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21 2.75 01/23/2021 72,115 72,225
Ford Motor Credit Co LLC, 2.875%, 10/1/18 2.875 10/01/2018 1,000,000 1,045,270
Westpac Banking Corp., Floating Rate Note, 5/19/17 0.5867 05/19/2017 1,000,000 1,000,791
Federal Home Loan Banks, 2.9%, 4/20/17 2.9 04/20/2017 1,370,000 241,493
Fannie Mae, 7.0%, 7/1/17 7.0 07/01/2017 3,768,412 37,803
Federal Home Loan Mortgage Corp., 4.0%, 5/15/37 4.0 05/15/2037 1,753,000 98,089
Royal Bank of Canada, Floating Rate Note, 1/23/17 0.5871 01/23/2017 550,000 551,683
Barclays Dryrock Issuance Trust, Floating Rate Note, 3/16/20 0.5145 03/16/2020 500,000 499,558
Zoetis, Inc., 1.15%, 2/1/16 1.15 02/01/2016 500,000 501,096
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 0.4245 08/15/2036 5,044,000 241,123
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 1.9245 06/15/2034 1,110,000 1,108,418
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35 5.0 10/25/2035 5,635,000 377,566
Georgia Power Co., Floating Rate Note, 3/15/16 0.5906 03/15/2016 827,000 826,747
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.4238 06/25/2037 1,010,000 86,621
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 2.1738 10/25/2023 1,244,000 971,032
Senior Housing Properties Trust, 4.3%, 1/15/16 4.3 01/15/2016 290,000 296,997
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/15/19 0.4745 08/15/2019 6,831,666 188,862
Federal National Mortgage Association, 3.0%, 6/25/39 3.0 06/25/2039 5,000,000 505,652
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 9/8/17 (144A) 0.5736 09/08/2017 500,000 498,466
Nn Inc 1st Lien Tl-B L + 5% 18jul21 6.0 07/18/2021 389,286 390,989
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 1.21 08/15/2018 200,000 122,563
AmeriCredit Automobile Receivables Trust 2013-1, 1.57%, 1/8/19 1.57 01/08/2019 150,000 150,109
Credit Acceptance Auto Loan Trust 2012-2, 1.52%, 3/16/20 (144A) 1.52 03/16/2020 400,000 149,532
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 1.0138 01/25/2035 8,440,000 994,155
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 7.42 01/09/2019 500,000 520,778
GreenPoint Mortgage Funding Trust 2005-HE1, Floating Rate Note, 9/25/34 0.8488 09/25/2034 297,570 57,099
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/20 (Cat Bond) (144A) 6.8703 04/07/2020 750,000 786,986
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 0.4745 04/15/2036 728,000 135,758
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 2.2245 09/18/2031 750,000 752,307
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 0.6064 02/20/2035 7,738,000 698,251
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 4.5051 12/06/2016 1,150,000 1,177,888
John Deere Capital Corp., 1.05%, 12/15/16 1.05 12/15/2016 750,000 754,097
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/30 0.5245 03/15/2030 1,147,667 443,077
Lincoln National Corp., 4.3%, 6/15/15 4.3 06/15/2015 250,000 254,815
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 0.7438 09/25/2036 3,447,000 209,080
Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44 1.8463 12/25/2044 1,225,000 177,650
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 0.3738 12/25/2036 2,600,000 514,230
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 2.25 08/20/2025 1,490,000 709,754
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 0.6071 05/23/2016 1,050,000 1,054,157
LPL Holdings, Inc., 2013 Incremental Tranche B Term Loan, 3/29/19 3.25 03/29/2019 145,530 145,680
Sumitomo Mitsui Banking Corp., Floating Rate Note, 1/10/17 0.6841 01/10/2017 750,000 751,544
Chase Issuance Trust, Floating Rate Note, 8/15/17 0.3045 08/15/2017 750,000 750,044
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 0.4478 04/28/2036 603,000 33,399
GE Business Loan Trust 2004-1, Floating Rate Note, 5/15/32 (144A) 0.4645 05/15/2032 4,436,203 350,891
Barclays Bank Plc, Floating Rate Note, 2/17/17 0.8371 02/17/2017 229,000 229,632
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 1.875 06/15/2029 650,000 647,397
Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36 0.5238 05/25/2036 1,300,000 412,711
Sequoia Mortgage Trust 2004-9, Floating Rate Note, 10/20/34 0.856 10/20/2034 6,074,000 548,001
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 1.55%, 9/9/16 (144A) 1.55 09/09/2016 1,000,000 1,006,937
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 0.8575 05/19/2035 24,300,000 1,204,080
FREMF Mortgage Trust 2012-K501, Floating Rate Note, 11/26/46 (144A) 3.4432 11/26/2046 409,000 422,014
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 2/25/35 1.0338 02/25/2035 4,622,000 1,201,613
Government National Mortgage Association, 3.5%, 8/20/38 3.5 08/20/2038 1,115,000 356,932
Hyundai Capital America, 3.75%, 4/6/16 (144A) 3.75 04/06/2016 1,375,000 1,434,650
Volkswagen Group of America Finance LLC, Floating Rate Note, 5/23/16 (144A) 0.4815 05/23/2016 1,000,000 999,271
Quest Trust REMICS, Floating Rate Note, 3/25/34 (144A) 0.8338 03/25/2034 24,804,330 895,936
Cinedigm Digital Funding I LLC, Term Loan, 2/28/18 3.75 02/28/2018 125,393 125,863
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 0.5899 09/13/2016 500,000 498,335
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 0.8811 02/26/2016 320,000 321,095
International Equipment Solutions LLC, Initial Loan, 8/16/19 6.75 08/16/2019 89,868 90,149
Terwin Mortgage Trust Series TMTS 2005-14HE, 4.8492%, 8/25/36 (Step) 4.8492 08/25/2036 630,000 123,952
Federal National Mortgage Association REMICS, 1.75%, 12/25/22 1.75 12/25/2022 1,000,000 274,625
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.4038 04/25/2031 3,723,496 470,343
RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35 5.25 07/25/2035 300,770 152,604
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 1.0738 04/25/2032 10,133,000 570,390
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 5.25 04/25/2032 795,156 222,410
Tronox Pigments BV, New Term Loan, 3/19/20 4.0 03/19/2020 450,000 450,647
Federal National Mortgage Association, Floating Rate Note, 6/25/32 0.6738 06/25/2032 21,270,000 554,266
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 12/25/35 0.3538 12/25/2035 5,047,000 969,374
Mastr Asset Backed Securities Trust 2005-WMC1, Floating Rate Note, 3/25/35 0.8488 03/25/2035 215,000 44,013
DELOS FINANCE SARL, Loan, 2/27/21 3.5 03/06/2021 425,000 426,169
JP Morgan Chase Commercial Mortgage Securities Trust 2013-JWRZ, Floating Rate Note, 4/15/30 (144A) 0.955 04/15/2030 1,550,000 1,550,368
RAMP Series 2004-SL4 Trust, Floating Rate Note, 5/25/18 6.2954 05/25/2018 13,780,000 59,856
Morgan Stanley, Floating Rate Note, 1/5/18 0.9749 01/05/2018 750,000 754,151
Morgan Stanley, Floating Rate Note, 6/6/16 1.1136 06/06/2016 500,000 502,585
Springleaf Funding Trust 2014-A, 2.41%, 12/15/22 (144A) 2.41 12/15/2022 1,000,000 1,001,481
COMM 2013-FL3 Mortgage Trust, Floating Rate Note, 10/13/28 (144A) 1.692 10/13/2028 1,000,000 798,121
A10 Term Asset Financing 2013-2 LLC, 2.62%, 11/15/27 (144A) 2.62 11/15/2027 1,085,000 976,123
Wheelabrator 1st Lien Tl-C L + 4% 15oct21 5.0 10/15/2021 42,146 42,672
RFSC Series 2004-RP1 Trust, Floating Rate Note, 11/25/42 2.421 11/25/2042 250,000 126,103
Federal Home Loan Mortgage Corp., 5.0%, 2/1/21 5.0 02/01/2021 1,000,000 78,481
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/18 0.7745 08/15/2018 600,000 99,557
Government National Mortgage Association, Floating Rate Note, 8/20/35 0.576 08/20/2035 1,177,000 81,499
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 5.7551 12/06/2016 250,000 257,688
Government National Mortgage Association, 5.25%, 5/20/31 5.25 05/20/2031 14,313,000 173,328
Zebra Technologies Corporation 1st Lien Tl-B L + 4% 30sep21 4.75 09/30/2021 488,636 494,948
Sector Re V, Ltd., 0.0%, 3/30/19 (Cat Bond) (144A) 0.0 03/30/2019 300,000 374,310
Fannie Mae, Floating Rate Note, 7/1/36 2.331 07/01/2036 500,000 52,896
Volkswagen International Finance NV, 1.125%, 11/18/16 (144A) 1.125 11/18/2016 750,000 755,708
Intesa Sanpaolo S.p.A., 3.125%, 1/15/16 3.125 01/15/2016 500,000 510,109
Credit Suisse Commercial Mortgage Trust Series 2006-C2 REMICS, Floating Rate Note, 3/15/39 5.6484 03/15/2039 1,970,000 1,947,287
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 0.3438 08/25/2036 253,896 59,273
Banc of America Alternative Loan Trust 2004-4, 5.25%, 5/25/19 5.25 05/25/2019 1,363,000 133,094
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.4238 06/25/2037 4,600,000 295,497
Government National Mortgage Association I, 6.5%, 10/15/37 6.5 10/15/2037 400,000 39,366
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 8.0424 05/07/2015 1,750,000 1,775,098
Dubai Electricity & Water Authority, 8.5%, 4/22/15 (144A) 8.5 04/22/2015 1,375,000 1,432,477
Emdeon Inc 1st Lien Tl-B3 L + 2.5% 02nov18 3.75 11/02/2018 398,000 398,746
Sensata Technologies Bv 1st Lien Tl-B2 L + 2.75% 08oct21 3.5 10/08/2021 646,750 651,358
First Investors Auto Owner Trust 2013-1, 1.81%, 10/15/18 (144A) 1.81 10/15/2018 55,000 55,321
Health Care Real Estate Investment Trust, Inc., 2.25%, 3/15/18 2.25 03/15/2018 500,000 507,293
Fannie Mae, Floating Rate Note, 11/1/25 2.245 11/01/2025 700,000 2,383
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.4538 11/25/2035 2,941,000 413,316
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-B, Floating Rate Note, 4/25/28 0.8538 04/25/2028 9,700,000 426,759
Quebecor Media, Inc., Facility B-1 Tranche, 8/17/20 3.25 08/17/2020 198,489 196,318
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 0.471 09/25/2036 1,226,000 154,024
Mastr Asset Backed Securities Trust 2006-AB1 REMICS, Floating Rate Note, 2/25/36 0.4038 02/25/2036 3,670,545 590,913
Polarpak, Inc., USD Term Loan (Canadian Borrower Portion), 6/7/20 4.5025 06/07/2020 157,165 156,576
Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33 2.7245 09/25/2033 13,410,000 1,032,179
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 0.6278 04/28/2039 425,000 377,022
Thermo Fisher Scientific, Inc., 2.4%, 2/1/19 2.4 02/01/2019 1,000,000 1,018,044
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 0.2838 03/25/2037 1,394,318 342,087
Caterpillar Financial Services Corp., 1.0%, 11/25/16 1.0 11/25/2016 1,000,000 1,007,652
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 4.75 04/25/2034 4,285,000 198,828
Digital Realty Trust LP, 4.5%, 7/15/15 4.5 07/15/2015 650,000 657,790
Kizuna Re II, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A) 2.2652 04/06/2018 450,000 453,836
HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36 0.416 03/20/2036 1,905,000 1,415,285
Appvion, Inc., Term Commitment, 6/28/19 5.75 06/28/2019 500,000 468,125
The Huntington National Bank, 1.3%, 11/20/16 1.3 11/20/2016 500,000 502,857
Ford Credit Auto Owner Trust 2013-D, 1.54%, 3/15/19 1.54 03/15/2019 100,000 100,146
US Renal Care, Inc., Tranche B-2 Term Loan (First Lien), 7/3/19 4.25 07/03/2019 647,289 649,110
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 0.5745 02/15/2033 20,000,000 265,134
BLCP Hotel Trust, Floating Rate Note, 8/15/29 (144A) 1.525 08/15/2029 1,610,000 1,592,692
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.5345 11/15/2018 550,000 177,661
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 0.5278 02/28/2041 1,639,000 90,311
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/25/23 1.6238 11/25/2023 750,000 559,060
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.5745 12/15/2032 1,931,288 142,560
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/27 0.7245 04/15/2027 22,817,000 233,292
Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A) 1.87 08/20/2029 1,400,000 412,828
MUFG Union Bank NA, Floating Rate Note, 9/26/16 1.0194 09/26/2016 1,450,000 1,457,768
Wells Fargo & Co., Floating Rate Note, 4/23/18 0.8871 04/23/2018 575,000 579,603
Thomson Reuters Corp., 0.875%, 5/23/16 0.875 05/23/2016 250,000 250,682
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 1.2047 03/25/2028 10,213,000 314,378
Volkswagen International Finance NV, 1.15%, 11/20/15 (144A) 1.15 11/20/2015 750,000 756,146
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP4, Floating Rate Note, 10/15/42 5.04 10/15/2042 500,000 505,802
Government National Mortgage Association, Floating Rate Note, 1/16/40 0.7245 01/16/2040 2,000,000 641,944
GS Caltex Corp., 3.25%, 10/1/18 (144A) 3.25 10/01/2018 500,000 520,273
Hyundai Capital America, 1.875%, 8/9/16 (144A) 1.875 08/09/2016 500,000 505,681
JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A) 1.425 04/15/2027 1,670,000 1,669,635
SilverLeaf Finance XVII LLC, 2.71%, 3/16/26 (144A) 2.71 03/16/2026 750,000 383,233
Government National Mortgage Association, Floating Rate Note, 4/16/32 0.6745 04/16/2032 10,000,000 138,892
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 2.25 06/25/2043 414,000 339,870
Tpf Ii Power Llc 1st Lien Tl-B L + 4.5% 24sep21 5.5 09/24/2021 750,000 760,313
Federal National Mortgage Association, 3.5%, 7/25/24 3.5 07/25/2024 1,250,000 236,017
Government National Mortgage Association I, 6.0%, 3/15/17 6.0 03/15/2017 10,311,138 143,744
Toyota Motor Credit Corp., 0.75%, 3/3/17 (Step) 0.75 03/03/2017 3,150,000 3,152,324
Morgan Stanley, Floating Rate Note, 11/9/18 3.1 11/09/2018 275,000 291,350
Vericrest Opportunity Loan Transferee 2014-NPL4 LLC, 3.125%, 4/27/54 (Step) (144A) 3.125 04/27/2054 1,700,000 1,239,183
Citigroup, Inc., Floating Rate Note, 4/1/16 1.0452 04/01/2016 500,000 502,638
American Honda Finance Corp., Floating Rate Note, 12/11/17 0.5766 12/11/2017 750,000 751,390
SWAY Residential 2014-1 Trust, Floating Rate Note, 1/20/32 (144A) 1.4745 01/20/2032 700,000 693,382
FDIC 2010-R1 Trust, 2.184%, 5/25/50 (144A) 2.184 05/25/2050 2,060,000 707,832
Westgate Resorts 2014-1 LLC, 2.15%, 12/20/26 (144A) 2.15 12/20/2026 1,000,000 833,197
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/1/18 2.747 07/01/2018 2,100,000 3,902
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/38 1.0738 07/25/2038 6,812,000 344,426
Government National Mortgage Association, 5.0%, 4/20/36 5.0 04/20/2036 850,000 95,936
The Bank of New York Mellon Corp., 2.95%, 6/18/15 2.95 06/18/2015 750,000 760,454
SLM Student Loan Trust 2004-10, Floating Rate Note, 4/27/26 (144A) 1.0061 04/27/2026 380,000 378,021
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 0.4745 02/15/2030 586,107 253,124
Bank of America Corp., 1.35%, 11/21/16 1.35 11/21/2016 500,000 502,448
JPMorgan Chase & Co., 1.1%, 10/15/15 1.1 10/15/2015 492,000 495,738
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 0.8238 06/25/2035 995,000 108,556
American Electric Power Co, Inc., 1.65%, 12/15/17 1.65 12/15/2017 500,000 505,332
Fannie Mae, Floating Rate Note, 2/1/33 3.04 02/01/2033 380,000 1,364
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 0.4778 04/28/2036 1,207,803 238,260
Encore Credit Receivables Trust 2005-3, Floating Rate Note, 10/25/35 0.6438 10/25/2035 1,000,000 177,717
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 1.0738 05/26/2037 550,000 439,087
Intel Corp., 1.35%, 12/15/17 1.35 12/15/2017 700,000 706,311
Fannie Mae, Floating Rate Note, 12/1/28 2.45 12/01/2028 1,112,489 52,687
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 2.5 03/20/2025 250,000 84,097
NCF Dealer Floorplan Master Trust, Floating Rate Note, 10/20/20 (144A) 1.676 10/20/2020 750,000 750,418
Marriott Vacation Club Owner Trust 2012-1, 3.5%, 5/20/30 (144A) 3.5 05/20/2030 845,000 410,322
Nord Anglia Education Finance Llc 1st Lien Tl-B L + 3.5% 21mar21 4.5 03/21/2021 750,000 750,938
Capital One Multi-Asset Execution Trust, Floating Rate Note, 2/15/19 0.3545 02/15/2019 300,000 300,100
CNL Commercial Mortgage Loan Trust 2003-1, Floating Rate Note, 5/15/31 (144A) 0.6745 05/15/2031 5,443,000 414,983
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 0.4816 01/20/2021 1,000,000 284,057
Citigroup, Inc., Floating Rate Note, 11/15/16 0.9371 11/15/2016 750,000 752,183
RALI Series 2004-QR1 Trust, 5.25%, 10/25/34 5.25 10/25/2034 21,545,000 205,338
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 0.4745 02/15/2039 288,000 140,849
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.8738 01/25/2035 9,210,000 1,027,119
Duke Energy Carolinas LLC, 1.75%, 12/15/16 1.75 12/15/2016 750,000 765,848
Government National Mortgage Association II, 6.0%, 10/20/21 6.0 10/20/2021 3,113,223 384,937
New York Life Global Funding, Floating Rate Note, 10/29/15 (144A) 0.2526 10/29/2015 750,000 750,137
Crown Castle Towers LLC, 3.214%, 8/15/15 (144A) 3.214 08/15/2015 500,000 504,317
SunTrust Bank, 1.35%, 2/15/17 1.35 02/15/2017 500,000 502,435
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 3.0 06/25/2043 160,000 140,494
Volkswagen International Finance NV, 1.6%, 11/20/17 (144A) 1.6 11/20/2017 500,000 506,400
American Express Credit Corp., 1.3%, 7/29/16 1.3 07/29/2016 500,000 503,992
Fannie Mae, 3.0%, 5/1/21 3.0 05/01/2021 2,775,000 1,026,345
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-AR3, Floating Rate Note, 3.9238 06/25/2033 155,851 74,160
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 1.5238 06/25/2033 393,823 210,328
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 0.7238 05/25/2040 761,373 313,173
Citigroup, Inc., Floating Rate Note, 7/25/16 1.2161 07/25/2016 750,000 755,621
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 1.0775 05/19/2033 7,644,000 369,249
Hess Corp., 1.3%, 6/15/17 1.3 06/15/2017 750,000 746,455
Remy International, Inc., Term B Loan 2013, 3/5/20 4.25 03/05/2020 997,449 1,001,189
Federal National Mortgage Association, 4.0%, 10/1/20 4.0 10/01/2020 4,317,004 1,138,603
SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35 0.7338 04/25/2035 8,945,588 116,107
GE Business Loan Trust 2003-1, Floating Rate Note, 4/15/31 (144A) 0.6045 04/15/2031 10,972,000 447,478
State of Ohio, 3.0%, 6/15/15 3.0 06/15/2015 500,000 507,177
Ooredoo International Finance, Ltd., 3.375%, 10/14/16 (144A) 3.375 10/14/2016 500,000 521,583
Federal National Mortgage Association, 4.5%, 10/25/38 4.5 10/25/2038 5,000,000 105,709
Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40 5.361 02/15/2040 1,300,000 928,032
Bear Stearns ARM Trust 2004-10 REMICS, Floating Rate Note, 1/25/35 2.7553 01/25/2035 720,000 91,549
American Honda Finance Corp., 1.2%, 7/14/17 1.2 07/14/2017 750,000 753,868
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 0.5016 07/20/2019 250,000 53,446
SMART Trust/Australia, Floating Rate Note, 8/15/16 0.4745 08/15/2016 750,000 407,408
Oracle Corp., Floating Rate Note, 7/7/17 0.4536 07/07/2017 575,000 576,251
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 1.1745 03/15/2032 35,466,000 299,883
PACCAR Financial Corp., Floating Rate Note, 6/6/17 0.4536 06/06/2017 485,000 485,111
Banc of America Alternative Loan Trust 2003-10, Floating Rate Note, 12/25/33 0.6238 12/25/2033 2,600,000 106,398
Duke Energy Florida, Inc., 0.65%, 11/15/15 0.65 11/15/2015 695,000 697,642
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 0.6338 06/25/2034 13,470,000 443,668
Georgia Power Co., Floating Rate Note, 8/15/16 0.6571 08/15/2016 500,000 500,165
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-4, 5.0%, 7/25/20 5.0 07/25/2020 4,375,000 134,617
East Lane Re VI, Ltd., Floating Rate Note, 3/13/20 (Cat Bond) (144A)   03/13/2020 350,000 349,230
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.1512 04/30/2018 350,000 355,408
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 0.6206 12/15/2016 250,000 249,156
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 0.6238 07/25/2034 2,600,000 215,005
Government National Mortgage Association, Floating Rate Note, 2/20/38 0.676 02/20/2038 2,477,000 198,829
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.8738 01/25/2035 4,956,000 586,464
NSG Holdings LLC, New Term Loan, 12/11/19 3.75 12/11/2019 191,883 191,643
MortgageIT Trust 2004-2, Floating Rate Note, 12/25/34 0.9138 12/25/2034 5,310,000 783,897
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 0.6481 03/30/2016 277,000 277,049
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 0.9938 05/25/2035 1,600,000 64,957
Fannie Mae, 2.0%, 11/1/23 2.0 11/01/2023 2,236,000 1,817,855
RBSSP Resecuritization Trust 2009-5, Floating Rate Note, 8/25/37 (144A) 0.6682 08/25/2037 2,550,000 779,274
FCA US LLC, Tranche B Term Loan, 12/29/18 3.25 12/29/2018 595,500 595,376
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/1/28 2.482 01/01/2028 500,000 2,678
MGM Resorts International, Term B Loan, 12/20/19 3.5 12/20/2019 342,125 341,519
North American Development Bank, 2.3%, 10/10/18 2.3 10/10/2018 650,000 670,675
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 0.4745 01/15/2036 400,312 73,936
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 5.23 12/17/2040 2,730,000 1,813,638
AmeriCredit Automobile Receivables Trust 2011-3, 4.04%, 7/10/17 4.04 07/10/2017 100,000 102,014
L-3 Communications Corp., 1.5%, 5/28/17 1.5 05/28/2017 586,000 585,331
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 0.4238 02/25/2037 4,308,000 167,986
Merrill Lynch Mortgage Trust 2005-MCP1, Floating Rate Note, 6/12/43 4.747 06/12/2043 470,000 125,740
Banc of America Mortgage 2004-D Trust, Floating Rate Note, 5/25/34 2.6703 05/25/2034 4,920,000 500,611
The Charles Schwab Corp., 0.85%, 12/4/15 0.85 12/04/2015 250,000 251,260
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 4.974 07/10/2045 490,000 492,658
ACIS CLO 2014-4, Ltd., Floating Rate Note, 5/1/26 (144A) 1.2546 05/01/2026 700,000 350,243
Westlake Automobile Receivables Trust 2013-1, 1.12%, 1/15/18 (144A) 1.12 01/15/2018 150,000 45,438
PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29 1.44 05/15/2029 400,000 292,249
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25 0.4245 08/15/2025 970,000 282,782
Bayer US Finance LLC, 1.5%, 10/6/17 (144A) 1.5 10/06/2017 750,000 760,226
Government National Mortgage Association, 3.5%, 5/20/39 3.5 05/20/2039 1,025,000 510,513
Morgan Stanley Capital I Trust 2006-HQ9, Floating Rate Note, 7/12/44 5.793 07/12/2044 600,000 632,021
Centerpoint Energy Transition Bond Co II LLC, 5.17%, 8/1/19 5.17 08/01/2019 720,000 530,706
TransCanada PipeLines, Ltd., 1.875%, 1/12/18 1.875 01/12/2018 375,000 380,095
MALLINCKRODT INTERNATIONAL FINANCE SA, Initial Term B Loan, 3/6/21 3.25 03/06/2021 297,000 296,655
The Goldman Sachs Group, Inc., 3.7%, 8/1/15 3.7 08/01/2015 340,000 345,432
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 210,250 211,154
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42 5.0064 08/15/2042 800,000 811,906
The Bank of New York Mellon Corp., Floating Rate Note, 10/23/15 0.4871 10/23/2015 595,000 596,144
EQTY 2014-INNS Mortgage Trust, Floating Rate Note, 5/8/31 (144A) 1.371 05/08/2031 1,020,000 1,009,390
CDGJ Commercial Mortgage Trust 2014-BXCH, Floating Rate Note, 12/15/27 (144A) 2.6745 12/15/2027 1,340,000 1,343,567
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/35 0.4245 01/15/2035 1,635,000 213,375
Wells Fargo Commercial Mortgage Trust 2014-TISH, Floating Rate Note, 2/16/27 (144A) 1.205 02/16/2027 690,000 688,287
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 4.894 08/10/2042 1,000,000 140,320
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 0.5738 03/25/2034 4,612,000 280,982
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 0.5738 05/25/2033 34,300,000 1,263,474
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 0.4838 11/25/2035 7,189,000 1,279,998
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/41 0.6045 06/15/2041 1,220,000 300,856
Citigroup, Inc., 1.3%, 4/1/16 1.3 04/01/2016 500,000 504,998
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/39 0.8738 11/25/2039 2,750,000 452,748
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.5745 12/15/2032 2,900,000 208,305
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.4545 11/15/2018 2,550,000 494,052
Consumer Credit Origination Loan Trust 2015-1, 2.82%, 3/15/21 (144A) 2.82 03/15/2021 750,000 716,735
Federal Home Loan Mortgage Corp., 5.5%, 8/1/23 5.5 08/01/2023 1,563,938 58,573
Ford Motor Credit Co LLC, 1.724%, 12/6/17 1.724 12/06/2017 700,000 702,305
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 0.9266 07/19/2016 300,000 301,653
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 4.0253 05/05/2017 750,000 750,825
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C REMICS, Floating Rate Note, 6/25/28 0.8338 06/25/2028 10,150,000 451,107
Pfizer, Inc., Floating Rate Note, 5/15/17 0.4071 05/15/2017 750,000 750,320
Federal Home Loan Mortgage Corp., 2.5%, 10/1/27 2.5 10/01/2027 1,247,958 947,775
Eco Services Operations Llc 1st Lien Tl-B L + 3.75% 10oct21 4.75 10/10/2021 523,688 526,961
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 0.4745 09/15/2026 385,000 216,109
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 0.3295 05/15/2047 250,000 92,648
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 3.5 09/06/2019 261,457 261,620
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 0.4866 04/20/2021 500,000 367,013
JP Morgan Mortgage Trust 2004-S1, 5.0%, 9/25/34 5.0 09/25/2034 3,504,124 178,864
SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A) 2.0 09/20/2029 1,600,000 750,801
Standard Chartered Plc, 3.85%, 4/27/15 (144A) 3.85 04/27/2015 500,000 509,291
RALI Series 2004-QS1 Trust, Floating Rate Note, 1/25/34 0.7238 01/25/2034 2,884,000 1,783
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 0.5738 07/25/2035 240,000 235,586
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 2.4533 10/15/2054 250,000 262,483
Tradewynd Re, Ltd., Floating Rate Note, 1/8/18 (Cat Bond) (144A) 5.025 01/08/2018 250,000 250,917
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 0.7745 02/15/2019 430,000 428,960
Federal National Mortgage Association, 2.5%, 4/25/36 2.5 04/25/2036 635,000 207,871
FHLMC Structured Pass Through Securities, Floating Rate Note, 12/25/29 0.4738 12/25/2029 12,000,000 185,564
14112z Zero% 01feb19 0.0 02/01/2019 1,000,000 1,042,400
Hologic, Inc., Refinancing Tranche B Term Loan, 8/1/19 3.25 08/01/2019 362,187 363,008
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1.4209 05/27/2016 1,000,000 1,004,682
Federal Home Loan Mortgage Corp. REMICS, 5.5%, 10/15/35 5.5 10/15/2035 1,625,000 40,230
General Mills, Inc., 0.875%, 1/29/16 0.875 01/29/2016 250,000 250,991
Government National Mortgage Association REMICS, 2.0%, 1/16/46 2.0 01/16/2046 3,000,000 2,954,721
Fifth Third Bank Cincinnati Ohio, 1.15%, 11/18/16 1.15 11/18/2016 750,000 754,275
Altrl Zero% 30jun17 0.0 06/30/2017 300,000 304,440
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A) 2.1 05/19/2031 700,000 698,474
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 2.75 01/23/2021 200,406 200,710
Chase Issuance Trust, Floating Rate Note, 4/16/18 0.3833 04/16/2018 750,000 750,222
Honda Auto Receivables 2013-2 Owner Trust, 0.53%, 2/16/17 0.53 02/16/2017 285,000 221,299
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 0.7236 09/09/2016 500,000 502,135
Capital One Financial Corp., 1.0%, 11/6/15 1.0 11/06/2015 975,000 980,102
Government National Mortgage Association, Floating Rate Note, 4/16/32 0.7245 04/16/2032 33,333,000 584,882
CeramTec Acquisition Corp., Initial Dollar Term B-2 Loan, 8/30/20 4.25 08/30/2020 20,797 20,862
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 2.7576 01/15/2017 750,000 766,816
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 1.0561 10/28/2016 750,000 756,389
JP Morgan Chase Commercial Mortgage Securities Trust 2014-PHH, Floating Rate Note, 8/16/27 (144A) 1.775 08/16/2027 1,100,000 1,100,547
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 3 0.8488 03/25/2035 592,188 271,421
BAMLL Commercial Mortgage Securities Trust 2014-ICTS, Floating Rate Note, 6/15/28 (144A) 1.2745 06/15/2028 580,000 578,159
Equity One Mortgage Pass-Through Trust 2004-1, Floating Rate Note, 4/25/34 4.145 04/25/2034 1,840,000 468,432
Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 (144A) 1.2265 04/15/2032 1,480,000 1,472,153
Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 6.015 06/12/2015 900,000 909,330
RASC Series 2005-EMX2 Trust, Floating Rate Note, 7/25/35 0.6538 07/25/2035 40,280 1,721
Fannie Mae, 4.5%, 5/1/39 4.5 05/01/2039 2,100,000 837,495
Virgin Media Investment Holdings, Ltd., B Facility, 6/8/20 3.5 06/08/2020 299,183 299,204
SunTrust Bank, Floating Rate Note, 2/15/17 0.6971 02/15/2017 805,000 804,796
CHL Mortgage Pass-Through Trust 2004-14, Floating Rate Note, 8/25/34 2.4336 08/25/2034 1,810,000 198,294
CHS, Incremental 2018 Term F Loans, 12/31/18 3.425 12/31/2018 99,374 99,507
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 0.5038 01/25/2036 962,222 584,127
Abbey National Treasury Services Plc London, Floating Rate Note, 9/29/17 0.6831 09/29/2017 750,000 749,188
Starbucks Corp., 0.875%, 12/5/16 0.875 12/05/2016 605,000 607,970
LB-UBS Commercial Mortgage Trust 2005-C7 REMICS, Floating Rate Note, 11/15/30 5.197 11/15/2030 2,455,809 1,344,264
Reckitt Benckiser Treasury Services Plc, 2.125%, 9/21/18 (144A) 2.125 09/21/2018 500,000 508,453
Countrywide Asset-Backed Certificates, Floating Rate Note, 9/25/34 (144A) 0.7238 09/25/2034 8,600,000 460,940
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 3.1042 06/25/2030 731,690 110,315
Federal National Mortgage Association, 4.0%, 8/1/19 4.0 08/01/2019 2,761,217 399,632
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 4.5 07/01/2019 1,381,464 175,674
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 3.25 10/18/2018 98,737 98,843
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 1.5433