Pioneer Investments: Pioneer Short Term Income Fund


Mutual Funds
Funds Directory
Balanced / Flexible Funds
Equity Funds
International Equity Funds
Fixed Income Funds
Asset Allocation Series
Alternatives
Daily Pricing
Performance
Distributions
Historical Distributions
Morningstar Ratings
Historical Pricing
Holdings
Money Market Information
Proxy Voting
Fund Commentaries
Sector Allocations
Home Funds & Products Mutual Funds Printable Version
Pioneer Short Term Income Fund

Monthly Portfolio Holdings as of 4/29/2016

Security Name Coupon Maturity Date Par / Shares Market Value($)
Government National Mortgage Association I, 5.0%, 8/15/19 5.0 08/15/2019 1,347,915 225,497
Albertsons LLC, Term B-2 Loan, 3/21/19 5.5 03/21/2019 640,287 642,059
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/27 0.9828 04/15/2027 22,817,000 188,830
Citibank Credit Card Issuance Trust, 1.02%, 2/22/19 1.02 02/22/2019 600,000 601,645
U.S. Treasury Notes, 0.875%, 2/28/17 0.875 02/28/2017 1,500,000 1,505,575
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 2.4389 10/25/2023 1,244,000 653,247
CHL Mortgage Pass-Through Trust 2004-14, Floating Rate Note, 8/25/34 2.5844 08/25/2034 1,810,000 156,885
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 1.2789 01/25/2035 8,440,000 744,748
GCAT 2015-1 LLC, 3.625%, 5/26/20 (Step) (144A) 3.625 05/26/2020 300,000 196,591
Sierra Timeshare 2013-2 Receivables Funding LLC, 4.75%, 11/20/25 (144A) 4.75 11/20/2025 900,000 190,315
Hess Corp., 1.3%, 6/15/17 1.3 06/15/2017 750,000 746,987
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 1.4389 04/25/2032 50,000,000 464,083
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 0.8889 06/25/2036 2,317,493 164,224
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/35 0.7889 03/25/2035 1,278,000 154,074
Progress Residential 2014-SFR1 Trust, Floating Rate Note, 10/17/31 (144A) 2.683 10/17/2031 1,000,000 992,663
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 3.4389 06/25/2028 3,923,500 179,283
MacDermid, Inc., Tranche B Term Loan (First Lien), 6/7/20 5.5 06/07/2020 1,232,262 1,211,950
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 1.3889 07/25/2037 583,530 124,897
Golden State RE II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A) 2.4238 01/08/2019 750,000 739,308
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 1.3389 05/26/2037 550,000 181,209
American Honda Finance Corp., 1.125%, 10/7/16 1.125 10/07/2016 500,000 501,595
Merrill Lynch Mortgage Trust 2006-C2, Floating Rate Note, 8/12/43 5.782 08/12/2043 1,150,000 1,159,935
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-4, 5.0%, 7/25/20 5.0 07/25/2020 4,375,000 53,597
Bank of America Corp., 3.875%, 3/22/17 3.875 03/22/2017 600,000 615,725
Bfcm 2% 12apr19 144a 2.0 04/12/2019 625,000 627,910
Government National Mortgage Association, Floating Rate Note, 4/16/32 0.9863 04/16/2032 37,883,000 543,678
Fannie Mae, 4.0%, 8/25/28 4.0 08/25/2028 2,600,000 92,694
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 1.5189 03/25/2035 311,000 19,355
West Corp., Term B-11 Loan, 11/20/21 4.25 11/20/2021 324,188 325,201
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 1.0389 06/25/2034 10,699,000 597,303
Calpine Corp., Term Loan, 10/9/19 4.0 10/09/2019 740,409 740,949
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 12/25/35 0.6189 12/26/2035 5,047,000 695,274
Rialto Capital Management LLC, 2.85%, 5/15/24 (144A) 2.85 05/15/2024 700,000 77,566
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 0.9881 05/23/2016 1,050,000 1,050,568
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A) 2.283 05/19/2031 700,000 686,779
Hilton Grand Vacations Trust 2014-A, 2.07%, 11/25/26 (144A) 2.07 11/25/2026 750,000 437,795
Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 6.4836 01/09/2017 600,000 583,415
Vizient, Inc., Initial Term Loan, 2/9/23 6.25 02/09/2023 300,000 302,875
John Deere Capital Corp., 1.05%, 12/15/16 1.05 12/15/2016 750,000 754,438
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 0.6289 12/25/2035 450,623 72,890
CDC Mortgage Capital Trust 2002-HE1, Floating Rate Note, 1/25/33 1.0589 01/25/2033 19,484,513 318,329
Altera Corp., 2.5%, 11/15/18 2.5 11/15/2018 500,000 521,380
A10 Term Asset Financing 2014-1 LLC, 1.72%, 4/15/33 (144A) 1.72 04/15/2033 993,000 632,261
Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A) 0.8839 06/15/2020 500,000 9,948
UnitedHealth Group, Inc., 1.875%, 11/15/16 1.875 11/15/2016 500,000 507,242
Flt% 31mar19   03/31/2019 300,000 300,000
Level 3 Financing, Inc., Tranche B-II 2022 Term Loan, 5/31/22   05/31/2022 225,000 225,680
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 0.7328 09/15/2026 385,000 170,453
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.7189 11/25/2035 4,441,000 404,184
National Oilwell Varco, Inc., 1.35%, 12/1/17 1.35 12/01/2017 775,000 771,128
Fannie Mae, 5.5%, 12/1/35 5.5 12/01/2035 1,000,000 49,509
United States Treasury Floating Rate Note, Floating Rate Note, 1/31/18 0.5222 01/31/2018 2,500,000 2,508,710
Queen City Re, Floating Rate Note, 1/6/17 (Cat Bond) (144A) 3.7696 01/06/2017 500,000 493,319
Volkswagen International Finance NV, 1.6%, 11/20/17 (144A) 1.6 11/20/2017 500,000 500,298
U.S. Treasury Notes, 0.875%, 1/15/18 0.875 01/15/2018 4,000,000 4,019,100
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/33 0.9328 01/15/2033 41,300,000 1,251,766
American Credit Acceptance Receivables Trust 2014-1, 5.2%, 4/12/21 (144A) 5.2 04/12/2021 700,000 696,948
Royal Bank of Canada, Floating Rate Note, 6/16/17 0.8796 06/16/2017 1,000,000 999,726
EQTY 2014-INNS Mortgage Trust REMICS, Floating Rate Note, 5/8/31 (144A) 2.04 05/08/2031 540,000 523,070
SunTrust Bank, 1.35%, 2/15/17 1.35 02/15/2017 500,000 501,852
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 0.7389 09/25/2036 1,226,000 108,790
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25 0.8089 10/25/2035 239,000 69,290
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 3.4784 07/15/2023 700,000 482,647
RAMP Series 2003-RS9 Trust, Floating Rate Note, 10/25/33 5.06 10/25/2033 5,091,956 157,447
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 2.4365 12/10/2027 600,000 596,635
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/9/21 0.8526 03/09/2021 800,000 263,091
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/18 1.0328 08/15/2018 600,000 52,253
MVW Owner Trust 2014-1, 2.7%, 9/22/31 (144A) 2.7 09/22/2031 750,000 503,722
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 3.0639 08/25/2034 590,000 61,219
US Renal Care, Inc., Initial Term Loan (First Lien), 11/16/22 5.25 11/16/2022 648,375 651,009
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 0.8889 07/25/2034 2,600,000 149,887
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 2.9934 05/25/2033 9,158,341 223,153
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 0.5489 03/25/2037 1,394,318 158,385
CGGS Commercial Mortgage Trust 2016-RND, Floating Rate Note, 2/9/33 (144A) 2.1 02/09/2033 850,000 853,414
Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16 1.482 06/17/2016 560,000 561,214
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 0.9489 09/25/2035 1,100,000 233,366
Citigroup Commercial Mortgage Trust 2015-SSHP REMICS, Floating Rate Note, 9/15/27 (144A) 2.5328 09/15/2027 1,500,000 1,464,188
Leaf Receivables Funding 8 LLC, 2.67%, 9/15/20 (144A) 2.67 09/15/2020 311,966 21,852
FREMF Mortgage Trust 2014-KF05 REMICS, Floating Rate Note, 9/25/21 (144A) 4.4373 09/25/2021 1,300,000 1,111,026
Cendant Mortgage Corp., 6.25%, 3/25/32 (144A) 6.25 03/25/2032 4,100,000 369,078
Credit Suisse Commercial Mortgage Trust Series 2007-C3, Floating Rate Note, 6/15/39 5.8882 06/15/2039 1,300,000 975,006
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 4.1096 06/07/2017 650,000 655,135
United Auto Credit Securitization Trust 2016-1, 3.55%, 8/15/19 (144A) 3.55 08/15/2019 500,000 499,228
GMAT 2015-1 Trust, 4.25%, 9/25/20 (Step) (144A) 4.25 09/25/2020 1,000,000 839,029
Daimler Finance North America LLC, 1.45%, 8/1/16 (144A) 1.45 08/01/2016 1,000,000 1,004,725
Royal Bank of Canada, Floating Rate Note, 1/23/17 0.9681 01/23/2017 550,000 550,605
Berkshire Hathaway Finance Corp., Floating Rate Note, 8/14/17 0.7432 08/14/2017 1,000,000 999,908
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.6889 03/25/2037 960,000 92,861
Berkshire Hathaway Finance Corp., Floating Rate Note, 1/10/17 0.7788 01/10/2017 1,000,000 1,000,974
Precision Castparts Corp., 1.25%, 1/15/18 1.25 01/15/2018 500,000 503,389
Dominion Resources, Inc. Virginia, 1.25%, 3/15/17 1.25 03/15/2017 1,021,000 1,022,826
Trafigura Securitisation Finance Plc. 2014-1, Floating Rate Note, 4/16/18 (144A) 1.3828 04/16/2018 700,000 692,122
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 1.3389 12/25/2031 4,375,000 102,391
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 2.183 06/15/2034 1,110,000 1,088,300
Fannie Mae, 6.0%, 2/1/34 6.0 02/01/2034 1,400,000 36,876
BBCMS Trust 2014-BXO REMICS, Floating Rate Note, 8/16/27 (144A) 2.0328 08/16/2027 1,100,000 529,176
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 0.9924 03/13/2017 650,000 651,049
US Residential Opportunity Fund III Trust 2015-1, 3.7213%, 1/29/35 (144A) 3.7213 01/29/2035 700,000 479,522
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/35 0.7528 12/15/2035 2,232,000 271,545
Altrl Zero% 30jun17 0.0 06/30/2017 347,880 56,600
JP Morgan Mortgage Trust 2005-A3, Floating Rate Note, 6/25/35 2.4698 06/25/2035 6,041,179 418,826
ICBCIL Finance Co, Ltd., Floating Rate Note, 11/13/18 (144A) 2.2882 11/13/2018 750,000 757,998
Thomson Reuters Corp., 0.875%, 5/23/16 0.875 05/23/2016 250,000 250,954
Federal National Mortgage Association, Floating Rate Note, 8/25/35 0.7389 08/25/2035 2,868,000 267,219
Collateralized Mortgage Obligation Trust 44, Floating Rate Note, 7/1/18 1.3885 07/01/2018 13,590,000 19,555
Morgan Stanley Capital I Trust 2006-TOP23, Floating Rate Note, 8/12/41 6.1201 08/12/2041 650,000 132,160
Irwin Whole Loan Home Equity Trust 2003-D, Floating Rate Note, 11/25/28 4.9389 11/25/2028 2,250,000 91,033
PFS Financing Corp., Floating Rate Note, 2/18/20 (144A) 2.1828 02/18/2020 750,000 749,719
Countrywide Asset-Backed Certificates, Floating Rate Note, 10/25/34 0.6189 10/25/2034 984,000 116,884
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.9825 04/30/2018 650,000 652,487
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/31 2.561 11/01/2031 1,399,950 4,945
LSTAR Securities Investment Trust 2015-4, Floating Rate Note, 4/1/20 (144A) 2.434 04/01/2020 1,000,000 832,431
Navitas Equipment Receivables LLC 2013-1, 3.63%, 2/15/17 3.63 02/15/2017 650,000 651,486
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 1.0788 11/20/2034 1,990,836 153,861
Thermo Fisher Scientific, Inc., 2.4%, 2/1/19 2.4 02/01/2019 1,000,000 1,019,597
AmeriCredit Automobile Receivables Trust 2013-4, 3.31%, 10/8/19 3.31 10/08/2019 550,000 560,930
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 13.0196 12/06/2016 250,000 258,081
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 1.1382 02/15/2017 500,000 501,341
Ford Motor Credit Co LLC, Floating Rate Note, 9/8/17 1.1535 09/08/2017 750,000 748,072
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A) 1.0452 03/10/2017 500,000 501,091
Branch Banking & Trust Co., 2.3%, 10/15/18 2.3 10/15/2018 500,000 510,360
Shell International Finance BV, Floating Rate Note, 11/15/16 0.8282 11/15/2016 750,000 751,481
Valeant Pharmaceuticals International, Inc., Series F-1 Tranche B Term Loan, 3/13/22 5.0 03/13/2022 489,560 480,381
Government National Mortgage Association, Floating Rate Note, 4/16/32 0.9363 04/16/2032 10,000,000 115,687
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 0.7077 04/28/2036 603,000 16,928
Oracle Corp., Floating Rate Note, 7/7/17 0.8266 07/07/2017 575,000 575,761
Oscar US Funding Trust IV, Floating Rate Note, 7/15/20 (144A)   07/15/2020 500,000 500,947
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 1.3589 06/25/2034 13,470,000 134,525
Selene Non-Performing Loans LLC, 2.9814%, 5/25/54 (Step) (144A) 2.9814 05/25/2054 1,020,000 413,647
LB-UBS Commercial Mortgage Trust 2006-C4, Floating Rate Note, 6/15/38 6.1155 06/15/2038 1,250,000 1,252,276
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 2.036 02/13/2032 1,850,000 1,827,073
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 2.02 01/15/2019 200,000 199,355
Ooredoo International Finance, Ltd., 3.375%, 10/14/16 (144A) 3.375 10/14/2016 500,000 505,185
Tribune Media Co., Term B Loan, 12/27/20 4.1023 12/27/2020 547,609 546,326
Pstat Flt% 21jun24 16-2a-A2 2.7381 06/21/2024 500,000 500,000
TransCanada PipeLines, Ltd., 1.875%, 1/12/18 1.875 01/12/2018 375,000 377,432
First Franklin Mortgage Loan Trust 2002-FFA, Floating Rate Note, 9/25/32 1.9389 09/25/2032 5,500,000 168,234
Navistar, Inc., Tranche B Term Loan, 8/17/17 6.5 08/17/2017 399,000 379,382
Chesapeake Funding LLC, Floating Rate Note, 3/9/26 (144A) 0.8585 03/09/2026 650,000 427,153
Conn's Receivables Funding 2016-A LLC, 4.68%, 4/16/18 (144A) 4.68 04/16/2018 600,000 485,183
Kinder Morgan, Inc. Delaware, 2.0%, 12/1/17 2.0 12/01/2017 700,000 699,699
Mastr Asset Backed Securities Trust 2006-AB1 REMICS, Floating Rate Note, 2/25/36 0.6689 02/25/2036 3,670,545 360,016
Nomura Resecuritization Trust 2014-1R, Floating Rate Note, 10/26/36 (144A) 0.5858 10/26/2036 700,000 326,481
Volkswagen International Finance NV, 1.125%, 11/18/16 (144A) 1.125 11/18/2016 750,000 753,606
Express Scripts Holding Co., 2.25%, 6/15/19 2.25 06/15/2019 750,000 765,060
VOLT XXXVIII LLC, 3.875%, 9/25/45 (Step) (144A) 3.875 09/25/2045 1,127,000 1,016,475
PURCHASING POWER FUNDING 2015-A LLC, 3.5%, 12/15/19 (144A) 3.5 12/15/2019 750,000 476,422
NSG Holdings LLC, New Term Loan, 12/11/19 3.75 12/11/2019 179,872 177,174
Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36 0.9289 06/25/2036 412,000 139,245
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 1.1389 01/25/2035 9,210,000 747,564
Conseco Finance Home Equity Loan Trust 2002-C, Floating Rate Note, 4/15/32 1.9328 04/15/2032 2,875,000 648,596
Zero% 31aug16 0.0 08/31/2016 100,000 113,880
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 3 1.1139 03/25/2035 592,188 134,643
Fannie Mae, Floating Rate Note, 12/1/28 2.585 12/01/2028 1,112,489 48,960
VOLT XXV LLC, 3.5%, 6/26/45 (Step) (144A) 3.5 06/26/2045 1,200,000 967,694
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 0.8889 05/25/2018 11,040,000 178,834
Orange Lake Timeshare Trust 2012-A, 4.87%, 3/10/27 (144A) 4.87 03/10/2027 600,000 173,259
The Huntington National Bank, 1.3%, 11/20/16 1.3 11/20/2016 500,000 503,405
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 2.748 07/25/2033 6,462,027 216,921
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 0.6889 02/25/2037 4,099,889 250,061
Nsany Cp Zero% 20may16 Usd 0.0 05/20/2016 750,000 749,781
Navitas Equipment Receivables LLC 2015-1, 3.4%, 11/15/18 (144A) 3.4 11/15/2018 500,000 498,608
Bank of America NA, 1.25%, 2/14/17 1.25 02/14/2017 500,000 502,330
NovaStar Mortgage Funding Trust Series 2004-3, Floating Rate Note, 12/25/34 2.0139 12/25/2034 560,000 529,733
Party City Holdings, Inc., Term Loan, 8/6/22 4.25 08/06/2022 497,472 496,726
Fifth Third Bancorp, Floating Rate Note, 12/20/16 1.0434 12/20/2016 1,440,000 1,437,830
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/1/28 2.617 01/01/2028 500,000 3,743
NextEra Energy Capital Holdings, Inc., 2.056%, 9/1/17 2.056 09/01/2017 750,000 758,021
Federal National Mortgage Association, Floating Rate Note, 2/25/23 1.2889 02/25/2023 77,000,000 291,032
Kilimanjaro Re, Ltd., Floating Rate Note, 12/6/19 (Cat Bond) (144A) 6.9585 12/06/2019 250,000 252,319
Fannie Mae, 6.0%, 10/1/22 6.0 10/01/2022 2,473,454 415,251
Granite Acquisition, Inc., Term B Loan (First Lien), 10/15/21 5.0 10/15/2021 945,881 916,914
Huntsman International LLC, 2014-1 Incremental Term Loan, 9/30/21 3.75 09/30/2021 543,125 543,122
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 1.4389 02/25/2024 485,000 300,289
Centerpoint Energy Transition Bond Co II LLC, 5.17%, 8/1/19 5.17 08/01/2019 720,000 283,939
Fannie Mae, 6.5%, 8/1/17 6.5 08/01/2017 667,089 6,704
Freddie Mac, 4.5%, 3/15/19 4.5 03/15/2019 875,000 280,220
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 1.9389 06/25/2028 2,350,000 311,710
Southwire Co., Initial Term Loan, 1/31/21 3.0 01/31/2021 390,741 384,147
Green Tree Agency Advance Funding Trust I Series 2015-T1, 2.3019%, 10/15/46 (144A) 2.3019 10/15/2046 300,000 299,943
RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32 6.0 01/25/2032 11,000,000 329,838
GSAA Trust, Floating Rate Note, 6/25/35 0.8689 06/25/2035 440,000 241,466
Federal Home Loan Mortgage Corp., 2.75%, 11/15/25 2.75 11/15/2025 1,000,000 323,392
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 0.9389 05/25/2033 4,068,000 75,227
Electricite de France SA, Floating Rate Note, 1/20/17 (144A) 1.0944 01/20/2017 750,000 748,690
BB&T Corp., 1.6%, 8/15/17 1.6 08/15/2017 103,000 103,830
Alamo Re, Ltd., Floating Rate Note, 6/7/18 (Cat Bond) (144A) 6.2001 06/07/2018 350,000 362,136
CHS, Incremental 2018 Term F Loan, 12/31/18 3.7832 12/31/2018 87,274 86,967
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.8328 12/15/2032 2,900,000 126,006
Citibank Credit Card Issuance Trust, Floating Rate Note, 1/23/20 1.5889 01/23/2020 500,000 507,910
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/25 2.946 04/01/2025 13,000,000 15,858
Kinetic Concepts, Inc., Dollar Term E-1 Loan, 5/4/18 4.5 05/04/2018 740,530 741,178
FCA US LLC, Term Loan B, 5/24/17 3.5 05/24/2017 520,309 521,005
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 3.0 06/25/2043 160,000 118,174
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 1.1389 01/25/2035 4,956,000 454,463
Carefree Portfolio Trust 2014-CARE, Floating Rate Note, 11/15/29 (144A) 3.0167 11/15/2029 500,000 470,024
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 1.3528 06/15/2029 900,000 889,780
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 1.0389 07/25/2035 240,000 115,594
Aapl Flt% 22feb19 1.4382 02/22/2019 650,000 659,498
Vitality Re VII, Ltd., Floating Rate Note, 1/7/20 (Cat Bond) (144A) 0.0 01/07/2020 250,000 250,459
TMS International Corp., Term B Loan, 10/2/20 4.5 10/02/2020 144,329 131,340
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 0.6389 02/25/2037 1,940,000 140,510
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 0.8389 07/25/2034 1,642,000 83,534
FREMF Mortgage Trust 2014-KS02 REMICS, Floating Rate Note, 8/25/23 (144A) 5.4373 08/25/2023 1,050,000 1,020,176
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 2.25 06/25/2043 414,000 258,226
Commonwealth Edison Co., 1.95%, 9/1/16 1.95 09/01/2016 500,000 502,903
Fly Funding II Sarl, Loan, 8/9/19 3.5 08/09/2019 355,000 354,279
Tidewater Auto Receivables Trust 2016-A, 2.3%, 9/15/19 (144A) 2.3 09/15/2019 300,000 300,275
Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A) 3.721 11/16/2044 850,000 360,144
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 0.8089 09/25/2035 1,793,831 273,064
LSTAR Securities Investment 2016-1, Floating Rate Note, 1/1/21 (144A) 2.4385 01/01/2021 1,350,000 1,056,363
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 0.7889 02/25/2033 4,696,499 170,610
PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29 1.44 05/15/2029 1,130,000 486,754
Government National Mortgage Association, Floating Rate Note, 2/20/38 0.9388 02/20/2038 2,477,000 152,653
AmeriCredit Automobile Receivables Trust 2012-4, 3.82%, 2/10/20 (144A) 3.82 02/10/2020 500,000 506,202
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 1.3491 02/20/2035 8,223,000 529,691
On Assignment, Inc., Initial Term B Loan, 6/5/22 3.75 06/05/2022 109,869 110,349
Acorn Re, Ltd., Floating Rate Note, 7/17/18 (Cat Bond) (144A) 4.0491 07/17/2018 300,000 303,139
TimberStar Trust I REMICS, 5.668%, 10/15/36 (144A) 5.668 10/15/2036 525,000 534,324
SilverLeaf Finance XVII LLC, 2.71%, 3/16/26 (144A) 2.71 03/16/2026 750,000 216,132
Citigroup Mortgage Loan Trust 2010-4 REMICS, 5.0%, 10/25/35 (144A) 5.0 10/25/2035 2,735,000 311,599
Costco Wholesale Corp., 1.125%, 12/15/17 1.125 12/15/2017 740,000 745,708
NSTAR Electric Co., Floating Rate Note, 5/17/16 0.8582 05/17/2016 341,000 341,615
Ford Motor Credit Co LLC, Floating Rate Note, 3/27/17 1.2601 03/27/2017 500,000 499,278
KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A) 2.0682 05/15/2021 375,000 372,064
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 2.658 08/01/2031 12,000,000 85,671
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/33 0.7428 04/15/2033 22,025,143 787,455
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 1.3363 05/19/2033 7,644,000 299,772
Resi Flt% 12dec45 A1 1.3339 12/12/2045 500,000 315,166
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/42 0.9828 02/15/2042 350,000 147,665
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 0.8328 07/15/2023 835,000 120,692
Toyota Auto Receivables 2014-A Owner Trust, 0.67%, 12/15/17 0.67 12/15/2017 870,000 499,654
Freddie Mac REMICS, Floating Rate Note, 2/15/32 1.3828 02/15/2032 14,441,000 649,957
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 0.8389 07/25/2018 2,444,000 33,840
Federal Home Loan Mortgage Corp., 4.0%, 1/15/34 4.0 01/15/2034 5,000,000 176,701
BXHTL 2015-JWRZ Mortgage Trust, Floating Rate Note, 5/15/29 (144A) 3.2828 05/15/2029 800,000 768,000
Silverstone Master Issuer Plc, Floating Rate Note, 1/21/55 (144A) 2.2849 01/21/2055 290,000 293,097
Flt% 31mar19   03/31/2019 600,000 600,960
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 3/25/32 (144A) 1.5639 03/25/2032 1,370,736 80,753
Government National Mortgage Association, Floating Rate Note, 12/16/26 0.9863 12/16/2026 48,900,000 680,640
Federal National Mortgage Association REMICS, 6.0%, 6/25/29 6.0 06/25/2029 685,000 92,085
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 3/26/35 2.6973 03/26/2035 1,750,000 129,827
Fannie Mae, 7.0%, 1/1/36 7.0 01/01/2036 1,000,000 15,593
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.7828 11/15/2036 1,229,000 155,374
Citigroup, Inc., Floating Rate Note, 7/25/16 1.5981 07/25/2016 750,000 751,337
Cinedigm Digital Funding 1 LLC, Term Loan, 2/28/18 3.75 02/28/2018 58,993 58,551
RAMP Series 2004-SL4 Trust, Floating Rate Note, 5/25/18 6.3545 05/25/2018 13,780,000 21,950
CHS, Incremental 2019 Term G Loan, 12/31/19 3.3809 12/31/2019 92,330 91,079
Federal National Mortgage Association REMICS, 3.0%, 4/25/40 3.0 04/25/2040 1,110,000 86,789
PNC Bank NA, Floating Rate Note, 8/1/17 0.9156 08/01/2017 750,000 749,490
BAMLL Commercial Mortgage Securities Trust 2014-FL1, Floating Rate Note, 12/17/31 (144A) 2.6328 12/17/2031 800,000 797,160
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/16/30 (144A) 2.1828 12/16/2030 410,000 339,594
Amgen, Inc., 2.125%, 5/15/17 2.125 05/15/2017 300,000 306,036
JPMorgan Chase Bank NA, Floating Rate Note, 6/13/16 0.9624 06/13/2016 610,000 610,944
Federal Home Loan Mortgage Corp., Floating Rate Note, 2/17/32 0.8863 02/17/2032 12,638,000 261,733
Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18 2.91 03/31/2018 392,000 387,590
Chase Funding Trust Series 2003-6, 4.277%, 11/27/34 (Step) 4.277 11/27/2034 1,680,000 184,166
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.8328 12/15/2032 1,931,288 84,108
Banc of America Mortgage 2004-D Trust, Floating Rate Note, 5/25/34 3.0935 05/25/2034 4,920,000 345,834
Abbey National Treasury Services Plc, Floating Rate Note, 9/29/17 1.0401 09/29/2017 750,000 746,890
Entercom Radio LLC, Term B-2 Loan, 11/23/18 4.0007 11/23/2018 453,336 453,525
Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/19/30 (144A) 2.283 12/19/2030 750,000 738,129
Fannie Mae, 4.5%, 9/25/35 4.5 09/25/2035 4,690,000 200,062
McKesson Corp., 1.292%, 3/10/17 1.292 03/10/2017 1,450,000 1,455,119
The EW Scripps Co., Term Loan, 11/26/20 3.5 11/26/2020 272,233 271,949
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/17 0.8389 05/25/2017 20,000,000 47
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/38 0.9389 06/25/2038 2,355,000 73,462
DR Horton, Inc., 4.0%, 2/15/20 4.0 02/15/2020 650,000 679,792
Silverton RE, Ltd., 0.0%, 9/18/17 (Cat Bond) (144A) 0.0 09/18/2017 400,000 16,480
Fannie Mae, 6.0%, 4/1/38 6.0 04/01/2038 483,000 26,342
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 0.9389 06/25/2035 1,526,722 318,930
Federal Home Loan Mortgage Corp., 5.0%, 2/1/21 5.0 02/01/2021 1,000,000 49,292
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 0.9524 09/13/2016 1,575,000 1,577,171
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 0.8989 11/25/2035 471,000 265,596
Wachovia Corp., Floating Rate Note, 6/15/17 0.9039 06/15/2017 1,077,000 1,075,908
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7, Floating Rate Note, 2/11/41 5.214 02/11/2041 550,000 526,503
Federal National Mortgage Association REMICS, 1.75%, 12/25/22 1.75 12/25/2022 1,000,000 199,034
Duke Energy Progress LLC, Floating Rate Note, 3/6/17 0.8356 03/06/2017 411,000 410,924
Federal National Mortgage Association, 4.0%, 1/1/20 4.0 01/01/2020 7,280,000 669,622
Federal National Mortgage Association REMICS, 3.0%, 1/25/21 3.0 01/25/2021 4,450,000 431,458
Federal National Mortgage Association, 2.5%, 9/1/22 2.5 09/01/2022 3,000,000 1,393,557
PNC Bank NA, 1.125%, 1/27/17 1.125 01/27/2017 450,000 452,126
Chase Funding Trust Series 2003-3, Floating Rate Note, 4/25/33 0.9789 04/25/2033 13,029,694 55,518
Freddie Mac, 3.5%, 10/15/28 3.5 10/15/2028 8,520,000 937,663
SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A) 2.0 09/20/2029 1,600,000 541,579
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34 1.4589 11/25/2034 900,000 49,396
Pricoa Global Funding I, Floating Rate Note, 6/24/16 (144A) 0.8384 06/24/2016 500,000 500,470
Texas Instruments, Inc., 0.875%, 3/12/17 0.875 03/12/2017 500,000 500,659
Fannie Mae, 6.5%, 7/1/32 6.5 07/01/2032 723,471 6,239
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 1.1584 07/15/2016 300,000 300,423
Federal Home Loan Mortgage Corp., 6.5%, 7/1/16 6.5 07/01/2016 2,000,000 562
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 1.4328 03/15/2032 35,466,000 222,116
NN, Inc., Initial Term Loan, 10/2/22   10/02/2022 497,500 495,013
Fannie Mae, 3.0%, 11/25/18 3.0 11/25/2018 6,300,000 485,933
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/27/45 (144A) 0.6389 11/27/2045 4,965,000 321,978
NewStar Commercial Loan Trust 2007-1, Floating Rate Note, 9/30/22 (144A) 0.8756 09/30/2022 10,500,000 530,332
Wm Wrigley Jr Co., 2.0%, 10/20/17 (144A) 2.0 10/20/2017 1,000,000 1,011,259
Ford Motor Credit Co LLC, 2.875%, 10/1/18 2.875 10/01/2018 1,000,000 1,026,898
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 6.0225 12/06/2016 250,000 252,431
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 2.1328 06/15/2029 650,000 635,490
Government National Mortgage Association, 3.5%, 5/20/39 3.5 05/20/2039 1,550,000 463,164
Federal Home Loan Mortgage Corp., 3.0%, 12/15/24 3.0 12/15/2024 7,415,000 890,187
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 1.7828 06/19/2031 665,000 652,328
Starbucks Corp., 0.875%, 12/5/16 0.875 12/05/2016 605,000 608,078
Credit Suisse Mortgage Capital Certificates REMICS, Floating Rate Note, 7/27/36 (144A) 2.9727 07/27/2036 3,494,698 172,689
Equity One Mortgage Pass-Through Trust 2004-2, Floating Rate Note, 7/25/34 4.624 07/25/2034 1,925,000 493,064
Zero% 01feb18 0.0 02/01/2018 300,000 305,190
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 2.0889 03/25/2035 1,457,000 1,376,067
IndyMac INDX Mortgage Loan Trust 2004-AR6, Floating Rate Note, 10/25/34 2.9384 10/25/2034 1,275,000 96,793
SunTrust Banks, Inc., 3.5%, 1/20/17 3.5 01/20/2017 500,000 511,987
Freddie Mac, 1.4%, 7/15/23 1.4 07/15/2023 1,250,000 674,444
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 0.7389 03/25/2036 11,585,646 954,205
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 1.4549 11/25/2034 18,180,000 736,613
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.7828 11/15/2036 600,000 74,258
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C REMICS, Floating Rate Note, 6/25/28 1.0989 06/25/2028 13,450,000 439,364
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/32 1.0028 03/15/2032 33,450,000 270,418
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 2/1/21 1.8786 02/01/2021 800,000 821,664
GS Caltex Corp., 3.25%, 10/1/18 (144A) 3.25 10/01/2018 500,000 513,327
Fannie Mae, 2.5%, 3/1/28 2.5 03/01/2028 2,075,000 1,460,390
Access Point Funding I 2015-A LLC, 2.61%, 4/15/20 (144A) 2.61 04/15/2020 500,000 238,944
KeyBank NA Cleveland Ohio, 1.1%, 11/25/16 1.1 11/25/2016 500,000 502,802
Federal National Mortgage Association, Floating Rate Note, 3/25/36 0.7889 03/25/2036 2,108,510 324,425
Fannie Mae, 4.0%, 12/1/19 4.0 12/01/2019 3,570,319 407,392
Bayview Opportunity Master Fund IIA Trust 2012-4NPL Series III, Floating Rate Note, 2/28/35 (144A) 3.721 02/28/2035 400,000 182,254
Wells Fargo & Co., Floating Rate Note, 4/23/18 1.2681 04/23/2018 575,000 575,369
Irwin Home Equity Loan Trust 2005-1, 5.32%, 6/25/35 (Step) 5.82 06/25/2035 900,000 21,443
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 1.0289 11/25/2035 2,175,000 44,430
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5.46 09/10/2045 1,000,000 246,453
Manufacturers & Traders Trust Co., Floating Rate Note, 7/25/17 0.9381 07/25/2017 1,000,000 998,348
GTP Acquisition Partners I LLC, 2.35%, 6/15/45 (144A) 2.35 06/15/2045 1,000,000 998,579
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL6, Floating Rate Note, 11/17/31 (144A) 1.8328 11/17/2031 1,170,000 1,086,745
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 0.9389 03/25/2024 4,129,409 122,792
Bayview Financial Asset Trust 2003-A, Floating Rate Note, 2/25/33 (144A) 4.91 02/25/2033 14,852,000 259,336
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.6789 06/25/2037 2,134,162 192,574
Westlake Automobile Receivables Trust 2016-1, 3.29%, 9/15/21 (144A) 3.29 09/15/2021 600,000 602,923
Bmo Flt% 16mar18 1.339 03/16/2018 1,250,000 1,251,405
JP Morgan Chase Commercial Mortgage Securities Trust 2015-SGP, Floating Rate Note, 7/15/36 (144A) 3.183 07/15/2036 500,000 498,510
Private Export Funding Corp., 2.125%, 7/15/16 2.125 07/15/2016 500,000 504,881
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 0.7489 02/25/2035 603,000 160,777
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 0.8328 03/15/2041 3,243,333 452,627
The Korea Development Bank, Floating Rate Note, 1/22/17 1.2601 01/22/2017 750,000 750,220
John Deere Capital Corp., 1.05%, 10/11/16 1.05 10/11/2016 1,098,000 1,100,419
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 0.6828 08/15/2036 5,044,000 168,219
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/34 0.8389 04/25/2034 644,866 54,059
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-AR3, Floating Rate Note, 4.1889 06/25/2033 155,851 28,149
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.7989 03/25/2037 4,100,000 157,366
Becton Dickinson and Co., 1.8%, 12/15/17 1.8 12/15/2017 750,000 759,026
Aviation Capital Group Corp., 2.875%, 9/17/18 (144A) 2.875 09/17/2018 750,000 751,248
Kizuna Re II, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A) 2.55 04/06/2018 450,000 449,286
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37 1.0589 12/25/2037 5,672,000 124,539
Federal National Mortgage Association, Floating Rate Note, 11/25/27 0.7389 11/25/2027 15,797,000 393,482
FREMF Mortgage Trust 2011-K703, Floating Rate Note, 7/25/44 (144A) 5.0454 07/25/2044 1,000,000 1,048,586
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 1.4389 12/25/2023 9,600,000 472,528
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 0.8877 04/28/2039 950,000 310,282
Government National Mortgage Association II, 6.0%, 10/20/21 6.0 10/20/2021 3,113,223 204,973
U.S. Treasury Bills, 0.0%, 8/18/16 0.0 08/18/2016 2,900,000 2,897,811
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 1.5389 09/25/2034 881,754 83,352
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 1.2789 01/25/2035 3,280,000 258,751
Equity One Mortgage Pass-Through Trust 2003-1, Floating Rate Note, 8/25/33 1.1789 08/25/2033 11,389,000 203,545
BAMLL Commercial Mortgage Securities Trust 2014-INLD, Floating Rate Note, 12/17/29 (144A) 2.9616 12/17/2029 775,000 695,141
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/19 0.5828 07/15/2019 1,500,000 41,786
ML-CFC Commercial Mortgage Trust 2006-2, Floating Rate Note, 6/12/46 6.1028 06/12/2046 800,000 805,073
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 1.1889 12/25/2034 1,210,753 90,345
Axis Equipment Finance Receivables III LLC, 5.27%, 5/20/20 (144A) 5.27 05/20/2020 783,000 749,024
SpringCastle America Funding LLC, 2.7%, 5/25/23 (144A) 2.7 05/25/2023 1,020,000 517,381
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 1.3389 04/25/2032 10,133,000 467,277
Flt% 15jun16 0.0 06/15/2016 250,000 252,675
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 4.2085 05/05/2017 750,000 748,517
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 0.9389 06/25/2033 13,610,000 463,038
Wells Fargo & Co., 1.15%, 6/2/17 1.15 06/02/2017 600,000 603,266
Ford Credit Floorplan Master Owner Trust A, 1.92%, 1/15/19 1.92 01/15/2019 1,065,000 1,071,164
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 0.5889 05/25/2036 1,766,116 236,105
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 0.7328 01/15/2036 400,312 51,921
MA FinanceCo LLC, Initial Tranche B Term Loan, 10/7/21 5.25 10/07/2021 348,941 349,028
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 1.1889 06/25/2035 278,355 17,387
Home Partners of America 2016-1 Trust, Floating Rate Note, 3/18/33 (144A) 3.7413 03/18/2033 400,000 395,936
First Investors Auto Owner Trust 2013-1, 1.81%, 10/15/18 (144A) 1.81 10/15/2018 55,000 53,263
The Dayton Power & Light Co., 1.875%, 9/15/16 1.875 09/15/2016 750,000 753,693
Diamond Resorts Owner Trust 2013-2, 2.62%, 5/20/26 (144A) 2.62 05/20/2026 750,000 246,306
JP Morgan Mortgage Trust 2004-S1, 5.0%, 9/25/34 5.0 09/25/2034 3,504,124 98,135
Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A) 3.8001 06/06/2018 250,000 251,362
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25 0.6828 08/15/2025 970,000 205,500
U.S. Treasury Notes, 0.5%, 8/31/16 0.5 08/31/2016 23,000,000 23,029,252
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 0.8989 03/25/2030 7,567,883 336,338
Federal National Mortgage Association, 3.0%, 6/25/39 3.0 06/25/2039 5,000,000 264,226
Aberdeen Loan Funding, Ltd., Floating Rate Note, 11/1/18 (144A) 1.2656 11/01/2018 1,800,000 394,071
Principal Life Global Funding II, 1.2%, 5/19/17 (144A) 1.2 05/19/2017 750,000 753,352
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5 REMICS, Floating Rate Note, 7/15/31 (1 2.5328 07/15/2031 650,000 641,311
NCF Dealer Floorplan Master Trust, Floating Rate Note, 10/20/20 (144A) 1.9388 10/20/2020 750,000 750,403
Fannie Mae, 2.0%, 11/1/23 2.0 11/01/2023 2,236,000 1,448,836
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 1.0789 09/25/2034 32,445,000 1,103,997
Credit Suisse First Boston Mortgage Securities Corp., 4.877%, 4/15/37 4.877 04/15/2037 500,000 152,216
Credit Acceptance Auto Loan Trust 2013-2, 1.5%, 4/15/21 (144A) 1.5 04/15/2021 1,000,000 328,071
Ford Motor Credit Co LLC, 1.724%, 12/6/17 1.724 12/06/2017 700,000 705,874
CDW LLC, Term Loan, 4/29/20 3.25 04/29/2020 397,949 398,260
Structured Asset Securities Corp Mortgage Loan Trust 2005-2XS, 4.65%, 2/25/35 (Step) 4.65 02/25/2035 1,000,000 40,226
BAMLL Commercial Mortgage Securities Trust 2014-INLD REMICS, Floating Rate Note, 12/17/29 (144A) 3.0328 12/17/2029 930,000 915,668
Federal National Mortgage Association, Floating Rate Note, 4/25/35 2.8082 04/25/2035 1,250,000 196,740
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 1.0588 09/20/2033 22,606,000 821,197
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 2.75 01/23/2021 118,103 117,690
The Toronto-Dominion Bank, 1.4%, 4/30/18 1.4 04/30/2018 500,000 503,792
Wells Fargo Mortgage Backed Securities 2005-4 Trust, Floating Rate Note, 4/25/35 1.0389 04/25/2035 7,173,466 133,933
Blue Danube II, Ltd., Floating Rate Note, 5/23/16 (Cat Bond) (144A) 4.5618 05/23/2016 800,000 807,192
Alternative Loan Trust 2003-14T1, Floating Rate Note, 8/25/18 0.8889 08/25/2018 3,200,000 67,195
Capital One NA, 1.65%, 2/5/18 1.65 02/05/2018 750,000 749,841
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 (144A) 1.21 08/15/2018 200,000 41,467
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 0.6689 11/25/2037 9,516,000 198,333
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 1.0128 10/15/2037 3,873,000 188,993
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 0.7328 02/15/2039 288,000 103,549
Zero% 30nov20 0.0 11/30/2020 250,000 255,025
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.6689 04/25/2031 3,723,496 256,516
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 3.5 09/06/2019 261,457 262,111
Colony Mortgage Capital Series 2015-FL3, Ltd., Floating Rate Note, 9/5/32 (144A) 2.3905 09/05/2032 500,000 412,426
Fannie Mae, 3.0%, 6/25/22 3.0 06/25/2022 7,135,000 2,518,268
Asset Backed Securities Corp Home Equity Loan Trust Series 2003-HE1, Floating Rate Note, 1/15/33 3.9578 01/15/2033 3,082,000 366,123
TAL Advantage V LLC, 1.7%, 5/20/39 (144A) 1.7 05/20/2039 400,000 201,868
Home Equity Mortgage Trust, 5.821%, 4/25/35 (Step) 5.821 04/25/2035 1,000,000 192,192
BBCMS Trust 2015-SLP, Floating Rate Note, 2/15/28 (144A) 2.4328 02/15/2028 750,000 736,212
Velocity Commercial Capital Loan Trust 2014-1, Floating Rate Note, 9/25/44 (144A) 2.4389 09/25/2044 800,000 389,280
Credit Acceptance Auto Loan Trust 2014-2, 2.67%, 9/15/22 (144A) 2.67 09/15/2022 1,000,000 1,002,799
Federal National Mortgage Association, Floating Rate Note, 3/25/18 0.7389 03/25/2018 8,811,000 105,973
Freddie Mac, 2.0%, 2/15/25 2.0 02/15/2025 8,900,000 1,750,097
Structured Asset Securities Corp Mortgage Pass Through Ctfs Series 2003-35, Floating Rate Note, 12/2 0.9389 12/25/2033 5,293,000 134,194
Alamo Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 6.665 06/07/2017 250,000 255,249
Government National Mortgage Association I, 7.5%, 10/15/36 7.5 10/15/2036 1,000,000 59,955
Kindred Healthcare, Inc., New Term Loan, 4/10/21 4.25 04/10/2021 271,545 270,866
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45 2.4489 06/25/2045 1,600,000 204,923
The Bank of Nova Scotia, 1.1%, 12/13/16 1.1 12/13/2016 500,000 502,833
American Express Credit Corp., 1.3%, 7/29/16 1.3 07/29/2016 500,000 502,387
Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/17/26 (144A) 2.183 08/17/2026 1,100,000 1,101,493
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 0.6989 12/25/2035 815,490 141,204
Mgm Growth Properties Operating Pa 1st Lien Tl-B L + 3.25% 07apr23 4.0 04/07/2023 315,000 317,363
Fannie Mae, 5.0%, 6/25/34 5.0 06/25/2034 1,270,000 62,266
Fannie Mae, 4.5%, 5/1/39 4.5 05/01/2039 2,100,000 659,929
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 4.568 01/15/2031 275,000 16,060
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 0.8289 11/25/2035 7,136,000 966,377
Federal National Mortgage Association, 3.0%, 12/1/21 3.0 12/01/2021 2,000,000 604,980
Pangaea Zero% 01jul18 0.0 07/01/2018 700,000 12,600
Enbridge, Inc., Floating Rate Note, 10/1/16 1.2751 10/01/2016 1,000,000 993,929
Nordea Bank AB, 3.125%, 3/20/17 (144A) 3.125 03/20/2017 600,000 612,783
ConocoPhillips Co., 1.05%, 12/15/17 1.05 12/15/2017 1,000,000 995,834
WPX Energy, Inc., 7.5%, 8/1/20 7.5 08/01/2020 800,000 776,833
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 3.1878 03/25/2034 2,600,000 112,801
GO Financial Auto Securitization Trust 2015-2, 3.27%, 11/15/18 (144A) 3.27 11/15/2018 750,000 505,241
Terex Corporation 1st Lien Tl-B L + 3.75% 15dec22 4.5 12/15/2022 255,103 251,914
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 2.5 08/01/2031 500,000 848
BAMLL Re-REMIC Trust 2014-FRR7, Floating Rate Note, 10/26/44 (144A) 2.6889 10/26/2044 950,000 928,790
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.7889 03/25/2037 9,250,000 207,737
Unifrax I LLC, New Term Dollar Loan, 11/28/18 4.25 11/28/2018 401,052 380,999
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 0.7389 12/25/2036 790,207 778,937
GATX Corp., 1.25%, 3/4/17 1.25 03/04/2017 750,000 747,828
Fannie Mae, 5.5%, 8/1/37 5.5 08/01/2037 2,000,000 255,826
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 9.5225 06/06/2017 250,000 261,869
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1.9585 01/07/2019 500,000 494,955
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 0.9389 12/25/2032 34,313,143 525,586
Tronox Pigments Holland BV, New Term Loan, 3/19/20 4.5 03/19/2020 444,289 431,308
Citigroup, Inc., Floating Rate Note, 4/27/18 1.3239 04/27/2018 600,000 596,755
Emdeon, Inc., Term B-3 Loan, 11/2/18 3.75 11/02/2018 394,000 392,194
TPF II Power LLC, Term Loan, 9/24/21 5.5 09/24/2021 735,875 735,647
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 1.7011 03/25/2028 10,213,000 237,288
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 0.7889 05/25/2036 6,641,000 103,066
Federal Home Loan Mortgage Corp., 3.0%, 6/15/38 3.0 06/15/2038 2,000,000 124,509
Celgene Corp., 2.125%, 8/15/18 2.125 08/15/2018 600,000 610,758
Federal National Mortgage Association, Floating Rate Note, 9/25/22 1.48 09/25/2022 3,000,000 76,090
Caterpillar Financial Services Corp., 1.0%, 11/25/16 1.0 11/25/2016 1,000,000 1,005,751
Eco Services Operations LLC, Initial Term Loan, 10/10/21 4.75 10/10/2021 518,438 506,125
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/33 0.8828 09/15/2033 2,647,000 90,553
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.4889 10/25/2037 466,904 178,553
Gray Television, Inc., Initial Term Loan, 6/10/21 3.9375 06/10/2021 801,032 802,935
Fannie Mae, 6.5%, 4/1/29 6.5 04/01/2029 9,050,000 253,088
CGWF Commercial Mortgage Trust 2013-RKWH REMICS, Floating Rate Note, 11/15/30 (144A) 2.3328 11/15/2030 1,720,000 1,716,331
Government National Mortgage Association, Floating Rate Note, 5/16/33 0.7363 05/16/2033 15,642,835 583,346
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/39 1.1389 11/25/2039 2,750,000 311,854
Small Business Administration Participation Certificates, 2.24%, 4/15/43 (144A) 2.24 04/15/2043 630,000 626,812
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 0.8389 10/25/2036 11,844,000 324,242
Oracle Corp., 2.25%, 10/8/19 2.25 10/08/2019 300,000 309,681
AT&T, Inc., 2.4%, 8/15/16 2.4 08/15/2016 1,000,000 1,009,736
Milacron LLC, Term Loan, 9/28/20 4.5 09/28/2020 326,836 327,653
COMM 2014-KYO Mortgage Trust, Floating Rate Note, 6/11/27 (144A) 2.087 06/11/2027 1,630,000 1,615,393
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/25/23 1.883 11/25/2023 750,000 353,737
JBS USA LLC, Incremental Term Loan, 9/18/20 3.75 09/18/2020 195,000 195,082
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 0.7389 03/25/2035 1,201,850 126,185
Irwin Whole Loan Home Equity Trust 2005-B, Floating Rate Note, 12/25/29 1.1439 12/25/2029 1,775,000 532,743
MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35 0.7889 02/25/2035 6,760,000 298,138
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 1.0589 09/25/2034 14,479,489 494,624
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 0.6389 01/25/2036 311,384 38,424
Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A) 0.8581 04/25/2022 500,000 182,153
Zero% 30nov20 0.0 11/30/2020 800,000 810,480
Wells Fargo Commercial Mortgage Trust 2014-TISH, Floating Rate Note, 1/15/27 (144A) 3.9328 01/15/2027 800,000 772,039
FREMF Mortgage Trust 2014-KF04 REMICS, Floating Rate Note, 6/25/21 (144A) 3.6889 06/25/2021 1,850,000 1,235,919
HSBC USA, Inc., Floating Rate Note, 6/23/17 0.9246 06/23/2017 750,000 748,284
Government National Mortgage Association, Floating Rate Note, 2/20/35 0.6888 02/20/2035 2,059,000 205,647
La Hipotecaria Panamanian Mortgage Trust 2007-1, Floating Rate Note, 12/23/36 (144A) 4.7725 12/23/2036 1,400,000 520,314
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 1.2189 11/25/2034 6,767,000 677,087
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 2.8284 10/15/2054 250,000 256,344
Federal National Mortgage Association REMICS, 3.5%, 10/25/39 3.5 10/25/2039 490,000 209,404
Sumitomo Mitsui Banking Corp., Floating Rate Note, 1/10/17 1.0588 01/10/2017 750,000 749,981
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.6889 06/25/2037 4,600,000 218,381
Reckitt Benckiser Treasury Services Plc, 2.125%, 9/21/18 (144A) 2.125 09/21/2018 500,000 503,731
Fannie Mae, 3.0%, 5/1/21 3.0 05/01/2021 2,775,000 665,184
Aplp Holdings Lp 1st Lien Tl L + 5% 12apr23   04/12/2023 998,572 996,075
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/35 0.6828 01/15/2035 1,635,000 151,864
Aircastle, Ltd., 6.75%, 4/15/17 6.75 04/15/2017 1,100,000 1,139,064
Citigroup Mortgage Loan Trust, Inc., 7.0%, 10/25/19 7.0 10/25/2019 7,340,000 29,389
The Bank of Nova Scotia, 1.45%, 4/25/18 1.45 04/25/2018 500,000 500,210
Branch Banking & Trust Co., Floating Rate Note, 5/23/17 0.9182 05/23/2017 250,000 249,701
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 0.6989 11/25/2035 5,875,000 256,028
FREMF Mortgage Trust 2012-K501, Floating Rate Note, 11/26/46 (144A) 3.4798 11/26/2046 409,000 412,117
WaMu Mortgage Pass-Through Certificates Series 2003-S12 Trust, 5.0%, 11/25/18 5.0 11/25/2018 10,000,000 214,035
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 8.2725 06/06/2016 250,000 253,550
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/45 0.6589 03/25/2045 6,100,000 705,560
Oscar US Funding Trust 2014-1, 1.0%, 8/15/17 (144A) 1.0 08/15/2017 700,000 103,612
Quebecor Media, Inc., Facility B-1 Tranche, 8/17/20 3.25 08/17/2020 196,474 195,328
IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36 1.1189 02/25/2036 250,000 19,554
Wesco Aircraft Hardware Corp., Tranche B Term Loan, 2/24/21 3.25 02/24/2021 792,604 780,715
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/1/18 2.885 07/01/2018 2,100,000 1,957
Belden Finance 2013 LP, Initial Term Loan, 9/9/20 3.4135 09/09/2020 243,750 243,293
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 3.25 12/19/2020 514,500 515,619
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1.7956 05/27/2016 1,000,000 1,000,543
American Credit Acceptance Receivables Trust 2014-2, 4.96%, 5/10/21 (144A) 4.96 05/10/2021 750,000 760,665
Fannie Mae, Floating Rate Note, 10/1/29 2.405 10/01/2029 10,892,567 79,398
Terwin Mortgage Trust Series TMTS 2005-14HE, 4.8492%, 8/25/36 (Step) 4.8492 08/25/2036 630,000 95,810
Volkswagen Group of America Finance LLC, 1.65%, 5/22/18 (144A) 1.65 05/22/2018 500,000 498,989
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 1.1789 11/25/2034 2,473,000 92,102
Georgia Power Co., Floating Rate Note, 8/15/16 1.0182 08/15/2016 500,000 501,036
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A REMICS, Floating Rate Note, 4/25/29 0.8989 04/25/2029 14,857,948 580,231
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38 1.6589 10/25/2038 1,808,000 133,431
Banc of America Alternative Loan Trust 2003-10, Floating Rate Note, 12/25/33 0.8889 12/25/2033 2,600,000 11,483
Freddie Mac, 2.0%, 8/15/20 2.0 08/15/2020 1,130,000 208,972
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 0.6328 08/15/2026 370,000 93,604
The Bank of New York Mellon Corp., 1.969%, 6/20/17 (Step) 1.969 06/20/2017 750,000 763,430
United Technologies Corp., 1.778%, 5/4/18 (Step) 1.778 05/04/2018 500,000 505,393
Home Loan Trust 2003-HI1, 5.77%, 4/25/28 (Step) 5.77 04/25/2028 1,500,000 54,238
Virgin Media Investment Holdings, Ltd., F Facility, 6/30/23 3.6492 06/30/2023 235,662 235,552
Diamond Resorts Owner Trust 2014-1, 2.54%, 5/20/27 (144A) 2.54 05/20/2027 500,000 227,318
MPG Holdco I, Inc., Tranche B-1 Term Loan (2015), 10/20/21 3.75 10/20/2021 464,190 462,201
US Bancorp, Floating Rate Note, 4/25/19 1.0381 04/25/2019 750,000 743,478
Fannie Mae, Floating Rate Note, 2/1/27 2.575 02/01/2027 4,000,000 6,150
Enterprise Products Operating LLC, 1.65%, 5/7/18 1.65 05/07/2018 750,000 756,446
Citibank Credit Card Issuance Trust, 1.32%, 9/7/18 1.32 09/07/2018 700,000 702,701
ConAgra Foods, Inc., Floating Rate Note, 7/21/16 1.0049 07/21/2016 750,000 750,146
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 4.5 07/01/2019 1,467,130 86,718
Kane Sac Zero% 15jun16 0.0 06/15/2016 100,000 99,990
PNC Bank NA, 1.3%, 10/3/16 1.3 10/03/2016 550,000 551,247
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/39 0.9889 09/25/2039 683,053 66,937
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33 0.9389 09/25/2033 4,915,594 380,237
Fannie Mae, Floating Rate Note, 4/1/29 2.909 04/01/2029 400,000 2,676
Bank of America Corp., Floating Rate Note, 8/25/17 1.2391 08/25/2017 408,000 407,724
WaMu Mortgage Pass-Through Certificates Series 2002-AR6 Trust, Floating Rate Note, 6/25/42 1.7758 06/25/2042 38,340,000 380,547
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 1.2789 11/25/2034 7,155,000 234,975
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 1.0328 08/15/2019 525,000 525,070
Springleaf Funding Trust 2014-A, 2.41%, 12/15/22 (144A) 2.41 12/15/2022 1,000,000 864,381
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 4.0 04/30/2020 243,750 245,197
14112z Zero% 01feb19 0.0 02/01/2019 1,000,000 29,900
L-3 Communications Corp., 1.5%, 5/28/17 1.5 05/28/2017 586,000 589,592
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 1.0863 01/18/2032 4,920,043 53,240
First Franklin Mortgage Loan Trust 2003-FFC, Floating Rate Note, 11/25/32 1.7389 11/25/2032 8,000,000 319,290
Morgan Stanley Capital I Trust 2006-HQ9, Floating Rate Note, 7/12/44 5.793 07/12/2044 600,000 605,192
Nissan Motor Acceptance Corp., 2.65%, 9/26/18 (144A) 2.65 09/26/2018 1,000,000 1,025,833
Phillips 66, 2.95%, 5/1/17 2.95 05/01/2017 750,000 775,011
RALI Series 2005-QA1 Trust, Floating Rate Note, 1/25/35 0.7389 01/25/2035 8,661,000 607,940
Terex Corp., U.S. Term Loan, 8/13/21 3.5 08/13/2021 254,457 248,732
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 0.7989 11/25/2036 2,248,000 235,064
Barclays Bank Plc, Floating Rate Note, 2/17/17 1.1982 02/17/2017 229,000 229,740
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 0.8389 05/25/2033 34,300,000 967,093
LSTAR Securities Investment Trust 2014-2, Floating Rate Note, 11/1/19 (144A) 2.434 11/01/2019 1,851,000 1,468,365
Morgan Stanley, Floating Rate Note, 11/9/18 3.1 11/09/2018 275,000 282,246
Federal National Mortgage Association REMICS, 1.5%, 11/25/20 1.5 11/25/2020 745,000 103,088
Endo Luxembourg Finance I Co Sarl, 2015 Incremental Term B Loan, 6/24/22 3.75 06/24/2022 243,390 242,984
FCA US LLC, Tranche B Term Loan, 12/29/18 3.25 12/29/2018 345,386 345,688
CSMC 2015-TWNI Trust, Floating Rate Note, 3/15/28 (144A) 2.683 03/15/2028 400,000 389,941
Government National Mortgage Association I, 6.0%, 3/15/17 6.0 03/15/2017 10,311,138 38,802
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 1.037 10/25/2028 8,975,000 237,585
JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2, 3.6159%, 11/15/43 (144A) 3.6159 11/15/2043 1,200,000 1,230,411
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-B, Floating Rate Note, 4/25/28 1.1189 04/25/2028 9,700,000 344,020
Federal Home Loan Mortgage Corp., 2.5%, 10/1/27 2.5 10/01/2027 1,247,958 796,176
Massachusetts Port Authority, 5.0%, 7/1/16 5.0 07/01/2016 475,000 486,361
CHS, Incremental 2021 Term H Loan, 1/27/21 4.0 01/27/2021 169,884 167,612
FDIC 2010-R1 Trust, 2.184%, 5/25/50 (144A) 2.184 05/25/2050 2,410,000 583,921
Zero% 30nov19 0.0 11/30/2019 1,000,000 1,150,100
Fannie Mae, 2.5%, 3/25/24 2.5 03/25/2024 1,500,000 224,961
Eix 1.125% 01may17 1.125 05/01/2017 289,000 290,149
Exeter Automobile Receivables Trust 2014-2, 1.06%, 8/15/18 (144A) 1.06 08/15/2018 400,000 42,391
Progreso Receivables Funding IV LLC, 3.0%, 7/8/20 (144A) 3.0 07/08/2020 350,000 348,918
Citigroup, Inc., 1.35%, 3/10/17 1.35 03/10/2017 600,000 601,908
Morgan Stanley Capital I Trust 2007-TOP27 REMICS, Floating Rate Note, 6/11/42 5.6447 06/11/2042 1,000,000 1,017,821
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 0.8239 01/27/2017 500,000 499,724
Federal Home Loan Mortgage Corp., 5.5%, 8/1/23 5.5 08/01/2023 1,563,938 35,213
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 1.0089 09/25/2036 3,447,000 115,474
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 1.0389 04/25/2034 14,790,618 352,126
Steward Health Care System LLC, Term Loan, 4/10/20 6.75 04/10/2020 292,481 288,094
STORE Master Funding LLC, 5.77%, 8/20/42 (144A) 5.77 08/20/2042 344,000 343,379
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 0.8889 06/25/2036 199,992 68,496
PNC Bank NA, 1.6%, 6/1/18 1.6 06/01/2018 600,000 607,011
Bank of Montreal, Floating Rate Note, 7/14/17 0.8796 07/14/2017 470,000 469,628
Fannie Mae, 3.0%, 10/1/27 3.0 10/01/2027 2,000,000 1,037,364
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/37 0.7328 01/15/2037 16,831,292 673,527
Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 (144A) 1.4828 04/15/2032 1,480,000 1,045,284
Zero% 30nov20 0.0 11/30/2020 600,000 614,940
Wells Fargo Bank NA, Floating Rate Note, 5/16/16 0.8282 05/16/2016 250,000 250,448
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 0.7389 07/25/2035 750,000 127,860
Fannie Mae, Floating Rate Note, 7/1/36 2.559 07/01/2036 500,000 43,041
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 0.6089 08/25/2036 253,896 29,898
Johnson Controls, Inc., 1.4%, 11/2/17 1.4 11/02/2017 700,000 703,753
Credit Suisse First Boston Mortgage Securities Corp., 7.5%, 5/25/32 7.5 05/25/2032 15,000,000 257,235
Avago Technologies Cayman Finance 1st Lien Tl-B L + 3.5% 13nov22 4.25 11/13/2022 350,000 350,851
Silverton RE, Ltd., 0.0%, 9/16/16 (Cat Bond) (144A) 0.0 09/16/2016 250,000 1,150
CPS Auto Receivables Trust 2013-A, 1.89%, 6/15/20 (144A) 1.89 06/15/2020 690,000 184,580
Consumer Credit Origination Loan Trust 2015-1, 2.82%, 3/15/21 (144A) 2.82 03/15/2021 750,000 244,087
U.S. Treasury Notes, 1.0%, 3/31/17 1.0 03/31/2017 3,050,000 3,064,175
Eden Re II, Ltd., 0.0%, 4/19/18 (Cat Bond) (144A) 0.0 04/19/2018 7,000 59,122
RREF 2014-LT6 LLC, 2.75%, 9/15/24 (144A) 2.75 09/15/2024 1,280,000 174,650
Toyota Motor Credit Corp., 1.125%, 5/16/17 1.125 05/16/2017 750,000 755,738
Federal National Mortgage Association, 3.5%, 7/25/24 3.5 07/25/2024 1,250,000 95,400
Activision Blizzard, Inc., Term Loan, 7/26/20 3.25 07/26/2020 343,215 345,432
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 0.8328 05/15/2041 638,000 72,274
Becton Dickinson and Co., Floating Rate Note, 6/15/16 1.0839 06/15/2016 750,000 751,309
Marriott Vacation Club Owner Trust 2012-1, 3.5%, 5/20/30 (144A) 3.5 05/20/2030 845,000 303,693
Federal National Mortgage Association, 4.0%, 3/1/21 4.0 03/01/2021 4,071,760 770,933
Pfizer, Inc., Floating Rate Note, 5/15/17 0.7682 05/15/2017 750,000 751,718
Credit Suisse Commercial Mortgage Trust Series 2006-C3 REMICS, Floating Rate Note, 6/15/38 6.2437 06/15/2038 950,000 955,025
Federal National Mortgage Association, Floating Rate Note, 6/25/32 0.9389 06/25/2032 21,270,000 451,268
Royal Bank of Canada, 1.45%, 9/9/16 1.45 09/09/2016 1,000,000 1,004,580
Toyota Motor Credit Corp., Floating Rate Note, 2/19/19 1.4394 02/19/2019 600,000 607,457
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 3.25 03/31/2021 196,500 196,574
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 1.0789 01/25/2029 6,910,000 307,754
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 4.25 06/30/2019 53,999 51,103
Structured Asset Mortgage Investments II Trust 2005-AR2, Floating Rate Note, 5/25/45 3.212 05/25/2045 5,000,000 420,243
Silverton RE, Ltd., 0.0%, 9/18/18 (Cat Bond) (144A) 0.0 09/18/2018 250,000 260,225
Queen Street X RE, Ltd., Floating Rate Note, 6/8/18 (Cat Bond) (144A) 6.0501 06/08/2018 500,000 502,265
Vcc Flt% 25apr46 16-1-Afl 3.136 04/25/2046 350,000 350,140
Morgan Stanley Capital I Trust 2015-XLF1, Floating Rate Note, 8/17/26 (144A) 3.1828 08/17/2026 600,000 600,796
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 1.1816 03/03/2017 500,000 501,065
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/28 0.9328 04/15/2028 16,175,365 183,903
Ziggo BV, US$ B2 Facility, 1/15/22 3.6478 01/15/2022 289,532 288,921
Federal National Mortgage Association, 2.5%, 4/25/36 2.5 04/25/2036 635,000 128,324
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 7/25/24 1.6389 07/25/2024 2,040,000 1,086,945
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 4.8052 06/28/2016 250,000 253,031
Exxon Mobil Corp., Floating Rate Note, 2/28/18 1.2316 02/28/2018 1,000,000 1,010,304
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/16/27 (144A) 1.7328 02/16/2027 1,000,000 985,371
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 1.0089 09/25/2037 679,000 62,215
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-E, Floating Rate Note, 11/25/29 1.6331 11/25/2029 13,874,000 479,065
Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43 2.3731 06/25/2043 3,857,000 88,764
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 0.8885 05/07/2024 200,000 12,668
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 0.9182 11/23/2016 500,000 501,402
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 0.7328 02/15/2036 1,133,000 150,566
Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19 4.0 04/23/2019 700,070 567,057
Energy Transfer Equity LP, Loan (2015), 12/2/19 4.0 12/02/2019 278,824 267,671
CSFB Mortgage-Backed Trust Series 2004-7, 5.25%, 10/25/19 5.25 10/25/2019 1,196,000 30,195
AMRESCO Residential Securities Corp Mortgage Loan Trust 1997-3, Floating Rate Note, 9/25/27 0.9939 09/25/2027 8,940,000 109,858
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 7/25/35 0.7089 07/25/2035 6,305,000 532,061
Morgan Stanley Capital I Trust 2007-HQ13, 5.569%, 12/15/44 5.569 12/15/2044 500,000 471,034
Ally Financial, Inc., 3.6%, 5/21/18 3.6 05/21/2018 500,000 510,450
Government National Mortgage Association, 3.0%, 12/20/38 3.0 12/20/2038 1,000,000 62,800
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 2.4828 09/18/2031 750,000 727,136
Fannie Mae, 5.0%, 11/1/20 5.0 11/01/2020 3,800,000 169,433
CNH Equipment Trust 2013-A, 0.69%, 6/15/18 0.69 06/15/2018 450,000 17,276
NewStar Commercial Lease Funding 2015-1 LLC, 3.27%, 4/15/19 (144A) 3.27 04/15/2019 1,200,000 684,510
VOLT XXXIX LLC, 4.125%, 10/25/45 (Step) (144A) 4.125 10/25/2045 1,300,000 1,247,562
Verizon Communications, Inc., Floating Rate Note, 9/15/16 2.1639 09/15/2016 2,515,000 2,533,757
The GEO Group, Inc., Term Loan, 4/3/20 3.25 04/03/2020 487,437 486,828
Sector Re V, Ltd., 0.0%, 3/1/20 (Cat Bond) (144A) 0.0 03/01/2020 300,000 340,230
American Honda Finance Corp., 1.2%, 7/14/17 1.2 07/14/2017 750,000 754,884
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 0.8365 04/10/2028 300,000 158,075
Freddie Mac, 3.5%, 7/15/23 3.5 07/15/2023 8,000,000 135,502
SunTrust Bank, Floating Rate Note, 2/15/17 1.0582 02/15/2017 805,000 805,655
WaMu Mortgage Pass-Through Certificates Series 2003-S10, 5.0%, 10/25/18 5.0 10/25/2018 17,361,049 270,238
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 0.7089 04/25/2032 10,483,000 583,250
Freddie Mac Strips, Floating Rate Note, 8/15/36 0.7328 08/15/2036 6,894,664 222,473
Banco Nacional de Desenvolvimento Economico e Social, 3.375%, 9/26/16 (144A) 3.375 09/26/2016 1,000,000 1,001,938
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 3.75 12/12/2019 61,163 61,354
American Airlines, Inc., 2015 Term Loan, 10/10/21 3.5 10/10/2021 742,500 742,906
Government National Mortgage Association II, 6.0%, 4/20/22 6.0 04/20/2022 1,262,566 148,690
JPMorgan Chase & Co., Floating Rate Note, 2/25/21 3.018 02/25/2021 500,000 495,210
Federal Home Loan Banks, 2.9%, 4/20/17 2.9 04/20/2017 1,370,000 179,251
MassMutual Global Funding II, 2.0%, 4/5/17 (144A) 2.0 04/05/2017 625,000 632,361
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 2.4 11/17/2025 642,000 7,306
SNAAC Auto Receivables Trust 2013-1, 4.56%, 4/15/20 (144A) 4.56 04/15/2020 450,000 451,450
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 1.4344 10/28/2016 750,000 751,339
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2.3 04/07/2017 650,000 648,548
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/41 0.9328 02/15/2041 1,878,046 230,560
Banc of America Commercial Mortgage Trust 2006-4 REMICS, 5.634%, 7/10/46 5.634 07/10/2046 1,960,000 428,746
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 9/25/28 2.585 09/25/2028 500,000 502,763
Oracle Corp., 2.375%, 1/15/19 2.375 01/15/2019 500,000 520,558
CarMax Auto Owner Trust 2013-3, 2.15%, 5/15/19 2.15 05/15/2019 540,000 543,075
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 1.9685 08/20/2034 5,250,000 174,499
Federal National Mortgage Association REMICS, Floating Rate Note, 12/18/32 0.8363 12/18/2032 18,035,000 217,814
LSTAR Securities Investment Trust 2015-3, Floating Rate Note, 3/2/20 (144A) 2.434 03/02/2020 1,150,000 953,024
Skopos Auto Receivables Trust 2015-2, 3.55%, 2/17/20 (144A) 3.55 02/17/2020 500,000 388,084
DT Auto Owner Trust 2014-1, 2.64%, 10/15/19 (144A) 2.64 10/15/2019 35,000 21,988
TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16 1.3086 06/30/2016 690,000 691,056
AT&T, Inc., 1.7%, 6/1/17 1.7 06/01/2017 650,000 657,782
CNH Equipment Trust 2013-B, 0.99%, 11/15/18 0.99 11/15/2018 170,000 169,495
Federal National Mortgage Association 2004-T2, Floating Rate Note, 7/25/43 3.5828 07/25/2043 6,750,000 784,025
KeyBank NA Cleveland Ohio, 1.65%, 2/1/18 1.65 02/01/2018 1,000,000 1,005,328
BWAY Holding Co., Initial Term Loan, 8/8/20 5.5 08/08/2020 98,250 98,078
Alternative Loan Trust 2004-6CB, Floating Rate Note, 4/25/34 1.0189 04/25/2034 4,791,000 260,052
Bayview Commercial Asset Trust 2007-2, 0.0%, 7/27/37 (Step) (144A) 0.0 07/27/2037 4,500,000 0
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 0.6828 08/15/2035 462,000 66,914
Bayview Opportunity Master Fund IIa Trust 2014-20NPL, 3.721%, 8/28/44 (Step) (144A) 3.721 08/28/2044 420,000 174,246
The Boeing Co., 0.95%, 5/15/18 0.95 05/15/2018 1,050,000 1,054,553
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 1.82 09/15/2020 192,000 49,377
Total Capital International SA, 1.0%, 8/12/16 1.0 08/12/2016 500,000 501,539
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 1.1789 03/25/2028 15,000,000 480,436
Branch Banking & Trust Co., 1.45%, 10/3/16 1.45 10/03/2016 720,000 722,414
Dell Equipment Finance Trust 2014-1, 2.68%, 6/22/20 (144A) 2.68 06/22/2020 750,000 748,361
CSMC Trust 2015-SAND, Floating Rate Note, 8/15/30 (144A) 5.13 08/15/2030 1,150,000 1,069,433
COMM 2014-FL5 Mortgage Trust, Floating Rate Note, 10/17/31 (144A) 2.5828 10/17/2031 1,410,000 1,396,674
The Bank of Nova Scotia, 1.375%, 7/15/16 1.375 07/15/2016 500,000 502,725
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 1.1589 07/25/2035 719,331 380,048
JP Morgan Seasoned Mortgage Trust 2014-1, Floating Rate Note, 5/25/33 (144A) 0.9389 05/25/2033 1,475,000 1,217,413
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 4.0038 11/08/2020 121,315 119,444
CRG Issuer 2015-1, 4.07%, 7/11/22 (144A) 4.07 07/11/2022 500,000 497,381
Fannie Mae, Floating Rate Note, 11/1/40 1.776 11/01/2040 9,368,434 29,445
321 Henderson Receivables I LLC, Floating Rate Note, 6/15/41 (144A) 0.6328 06/15/2041 2,000,000 491,681
Federal National Mortgage Association, Floating Rate Note, 4/25/33 0.9389 04/25/2033 36,000,000 709,865
Lehman ABS Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 6/15/33 0.8828 06/15/2033 19,804,000 528,344
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 0.8632 02/22/2021 500,000 29,683
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/36 0.7828 04/15/2036 4,003,000 466,672
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 1.3031 07/19/2016 300,000 300,361
Tnote 0.75% 30apr18 0.75 04/30/2018 1,500,000 1,499,299
Intel Corp., 1.35%, 12/15/17 1.35 12/15/2017 700,000 708,238
Freddie Mac Strips, Floating Rate Note, 12/15/36 0.7828 12/15/2036 2,327,000 90,542
ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A) 3.081 09/25/2025 430,000 9,237
GAHR Commercial Mortgage Trust 2015-NRF, Floating Rate Note, 12/15/16 (144A) 1.7328 12/15/2016 470,000 464,244
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 1.1182 12/22/2054 250,000 198,929
Fannie Mae, 4.5%, 5/1/39 4.5 05/01/2039 1,350,000 394,720
Vers 2015-A Zero% 31dec17 0.0 12/31/2017 800,000 11,680
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/28 0.9328 07/15/2028 52,559,000 271,510
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 0.6889 02/25/2037 4,308,000 109,994
Morgan Stanley, Floating Rate Note, 2/1/19 1.9963 02/01/2019 500,000 508,245
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 2.6548 02/25/2034 3,584,000 234,333
Garda World Security Corp., Term B Loan, 11/1/20 4.0038 11/01/2020 474,230 466,919
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/36 0.6889 04/25/2036 1,737,000 235,974
Countrywide Asset-Backed Certificates, Floating Rate Note, 3/25/35 1.3389 03/25/2035 1,300,000 381,471
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 10/15/18 3.5 10/15/2018 500,000 41,584
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/15/19 0.7328 08/15/2019 6,831,666 96,062
North American Development Bank, 2.3%, 10/10/18 2.3 10/10/2018 650,000 663,885
VFC 2015-3 LLC, 2.75%, 12/20/31 (144A) 2.75 12/20/2031 800,000 14,200
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.6889 06/25/2037 1,010,000 70,030
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 1.0789 01/25/2029 3,360,000 149,438
FNA 2015-1 Trust, 3.24%, 12/10/23 (144A) 3.24 12/10/2023 750,000 564,013
Volkswagen Group of America Finance LLC, Floating Rate Note, 5/23/16 (144A) 0.8382 05/23/2016 1,000,000 1,001,205
Prestige Brands, Inc., Term B-3 Loan, 9/3/21 3.5218 09/03/2021 249,513 250,501
Colony American Homes 2014-2, Floating Rate Note, 7/19/31 (144A) 2.3328 07/19/2031 600,000 588,996
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 3.25 10/18/2018 97,727 98,094
Micron Semiconductor Asia Pte, Ltd., 1.258%, 1/15/19 1.258 01/15/2019 500,000 300,404
Zero% 01feb18 0.0 02/01/2018 300,000 308,010
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 1.0328 02/15/2019 575,000 573,349
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 1.0589 10/25/2028 8,393,000 302,303
VOLT XXXVII LLC, 3.625%, 7/25/45 (Step) (144A) 3.625 07/25/2045 400,000 348,041
Ford Motor Credit Co LLC, 2.375%, 1/16/18 2.375 01/16/2018 250,000 254,760
United States Treasury Floating Rate Note, Floating Rate Note, 10/31/17 0.4182 10/31/2017 10,000,000 10,020,780
Federal Home Loan Mortgage Corp., 5.0%, 12/1/39 5.0 12/01/2039 265,000 88,333
Bright Horizons Family Solutions, Inc., Term B Loan, 1/30/20 3.75 01/30/2020 390,917 392,138
Mizuho Flt% 12oct17 1.4808 10/12/2017 600,000 600,436
Kilimanjaro Re, Ltd., Floating Rate Note, 12/6/19 (Cat Bond) (144A) 9.4585 12/06/2019 250,000 254,395
Federal National Mortgage Association, 1.233%, 3/25/18 1.2334 03/25/2018 500,000 362,208
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 3.0 05/15/2018 585,000 47,799
New York Life Global Funding, Floating Rate Note, 12/15/17 (144A) 0.9139 12/15/2017 750,000 752,532
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/31 2.732 10/01/2031 19,044,336 319,346
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 0.9989 07/25/2029 11,317,000 424,342
Commonwealth Bank of Australia, Floating Rate Note, 9/8/17 (144A) 0.9035 09/08/2017 750,000 748,696
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 0.8526 05/02/2017 500,000 500,603
AXIS Equipment Finance Receivables II LLC, 4.94%, 7/20/18 (144A) 4.94 07/20/2018 700,000 710,597
MetroCat Re, Ltd., Floating Rate Note, 8/5/16 (Cat Bond) (144A) 4.7187 08/05/2016 400,000 400,990
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.7325 04/30/2018 350,000 350,394
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 1.0082 11/21/2016 1,500,000 1,502,639
On Semiconductor Corporation 1st Lien Tl-B L + 4.5% 31mar23 5.25 03/31/2023 200,000 201,325
Caterpillar Financial Services Corp., 1.35%, 9/6/16 1.35 09/06/2016 1,125,000 1,129,854
American Electric Power Co, Inc., 1.65%, 12/15/17 1.65 12/15/2017 500,000 502,569
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 1.4275 01/25/2030 5,058,000 206,802
RAIT 2014-FL3 Trust, Floating Rate Note, 12/15/31 (144A) 1.684 12/15/2031 1,150,000 656,821
Structured Asset Mortgage Investments II Trust 2005-F1 REMICS, Floating Rate Note, 8/26/35 0.9389 08/26/2035 6,100,000 65,489
Citigroup, Inc., Floating Rate Note, 11/15/16 1.2982 11/15/2016 750,000 752,617
Government National Mortgage Association, Floating Rate Note, 1/16/40 0.9863 01/16/2040 2,000,000 528,543
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 0.7328 04/15/2036 728,000 96,432
Fannie Mae, 4.5%, 1/1/41 4.5 01/01/2041 580,000 247,915
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 3.9669 08/25/2053 1,505,000 643,633
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 4.75 04/25/2034 6,125,000 145,075
Aozora Re, Ltd., Floating Rate Note, 4/7/23 (Cat Bond) (144A)   04/07/2023 250,000 251,306
FHLMC Structured Pass Through Securities, Floating Rate Note, 12/25/29 0.7389 12/25/2029 12,000,000 168,355
Citigroup Commercial Mortgage Trust 2014-388G REMICS, Floating Rate Note, 6/16/33 (144A) 1.486 06/16/2033 1,140,000 1,139,999
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 2.8451 06/25/2030 731,690 81,403
Eden Re II, Ltd., 0.0%, 4/23/19 (Cat Bond) (144A) 0.0 04/23/2019 600,000 610,680
Amgen, Inc., Floating Rate Note, 5/22/17 0.9982 05/22/2017 600,000 599,851
First Investors Auto Owner Trust 2013-3, 2.32%, 10/15/19 (144A) 2.32 10/15/2019 300,000 300,498
Ascentium Equipment Receivables 2015-1 LLC, 3.24%, 1/10/22 (144A) 3.24 01/10/2022 510,000 514,316
Countrywide Asset-Backed Certificates, Floating Rate Note, 9/25/34 (144A) 1.5389 09/25/2034 8,600,000 412,438
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 (144A) 4.838 07/15/2041 637,677 69,754
JP Morgan Mortgage Trust 2006-S3, 6.0%, 8/25/36 6.0 08/25/2036 1,036,158 52
Galileo Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 7.62 01/09/2017 500,000 504,703
Government National Mortgage Association I, 6.5%, 7/15/35 6.5 07/15/2035 328,670 8,124
Fosse Master Issuer Plc, Floating Rate Note, 10/18/54 (144A) 2.1329 10/18/2054 100,000 47,624
Velocity Commercial Capital Loan Trust 2015-1, Floating Rate Note, 6/25/45 (144A) 2.8689 06/25/2045 1,000,000 817,531
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 1.884 08/15/2031 700,000 694,550
Apple, Inc., Floating Rate Note, 5/3/16 0.6686 05/03/2016 400,000 400,646
Federal National Mortgage Association, Floating Rate Note, 6/25/36 0.8389 06/25/2036 7,000,000 571,725
Delos Finance Sarl, Loan, 3/6/21 3.5 03/06/2021 425,000 427,191
Calpine Construction Finance Co LP, Term B-2 Loan, 1/3/22 3.25 01/03/2022 659,781 649,884
GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34 1.2189 06/25/2034 15,032,940 295,848
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 1.1389 06/25/2034 3,670,962 198,657
HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36 0.6788 03/20/2036 1,905,000 687,481
Fannie Mae, 5.0%, 10/1/41