Pioneer Investments: Pioneer Short Term Income Fund


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Pioneer Short Term Income Fund

Monthly Portfolio Holdings as of 5/30/2014

Security Name Coupon Maturity Date Par / Shares Market Value($)
Merrill Lynch Mortgage Trust 2005-CIP1, Floating Rate Note, 7/12/38 5.047 07/12/2038 630,000 656,716
Silverton RE, Ltd., 0.0%, 9/16/16 (Cat Bond) (144A) 0.0 09/16/2016 250,000 283,625
JPMorgan Chase & Co., 3.4%, 6/24/15 3.4 06/24/2015 265,000 276,733
RREF 2013 LT2 LLC, 2.8331%, 5/22/28 (144A) 2.8331 05/22/2028 700,000 288,026
Stanwich Mortgage Loan Trust, 2.9814%, 2/16/43 (144A) 2.9814 02/16/2043 1,325,000 714,780
Bbt Flt% 23may17 0.5274 05/23/2017 250,000 248,145
The Goldman Sachs Group, Inc., 5.0%, 10/1/14 5.0 10/01/2014 800,000 818,548
Hyundai Capital Auto Funding VIII, Ltd., Floating Rate Note, 9/20/16 (144A) 1.1493 09/20/2016 800,000 164,901
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 1.7424 08/20/2034 5,000,000 276,771
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 0.4011 06/15/2033 1,192,482 710,063
Gnma 3.5% 20aug38 12-31-Ga 3.5 08/20/2038 1,115,000 544,909
FDIC 2010-R1 Trust, 2.184%, 5/25/50 (144A) 2.184 05/25/2050 2,060,000 868,164
KeyCorp, 3.75%, 8/13/15 3.75 08/13/2015 931,000 975,014
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 0.5511 05/15/2041 638,000 141,268
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 2.299 08/25/2033 4,000,000 270,525
A10 Term Asset Financing 2013-2 LLC, 2.62%, 11/15/27 (144A) 2.62 11/15/2027 1,085,000 1,088,592
Citigroup, Inc., Floating Rate Note, 4/1/16 1.0234 04/01/2016 500,000 503,692
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 3 0.6 03/25/2035 592,188 363,149
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/25/23 1.6 11/25/2023 750,000 696,214
Ascentium Equipment Receivables 2012-1 LLC, 1.83%, 9/15/19 (144A) 1.83 09/15/2019 822,000 232,303
Credit Suisse First Boston Mortgage Securities Corp., 4.832%, 4/15/37 4.832 04/15/2037 1,080,143 1,110,876
JPMorgan Chase & Co., Floating Rate Note, 3/31/16 0.94 03/31/2016 500,000 499,490
Nissan Motor Acceptance Corp., 2.65%, 9/26/18 (144A) 2.65 09/26/2018 1,000,000 1,035,369
JP Morgan Chase Commercial Mortgage Securities Corp., Floating Rate Note, 10/15/25 (144A) 2.0161 10/15/2025 650,000 651,666
The Bank of New York Mellon Corp., Floating Rate Note, 7/28/14 0.4979 07/28/2014 110,000 110,103
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 0.7693 09/20/2033 4,626,000 242,146
SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A) 2.0 09/20/2029 1,600,000 968,289
Fannie Mae, Floating Rate Note, 10/1/36 2.021 10/01/2036 1,877,185 320,059
Structured Asset Mortgage Investments II Trust 2005-F1, Floating Rate Note, 8/26/35 0.65 08/26/2035 6,100,000 168,286
Oracle Corp., 2.375%, 1/15/19 2.375 01/15/2019 500,000 516,546
Alternative Loan Trust 2004-18CB, Floating Rate Note, 9/25/34 0.6 09/25/2034 19,958,000 110,828
Morgan Stanley Capital I Trust 2005-HQ6, Floating Rate Note, 8/13/42 5.073 08/13/2042 900,000 935,532
Fannie Mae, Floating Rate Note, 12/1/36 4.376 12/01/2036 6,500,000 291,581
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 4.985 09/11/2042 1,160,000 1,208,582
Alternative Loan Trust 2005-J4, Floating Rate Note, 7/25/35 0.59 07/25/2035 1,322,801 1,279,314
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.72 09/25/2037 679,000 101,698
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 0.5893 10/20/2017 256,000 256,646
Electricite de France, Floating Rate Note, 1/20/17 (144A) 0.6879 01/20/2017 750,000 753,738
Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A2, Floating Rate Note, 2/25/35 2.4756 02/25/2035 500,000 115,500
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 0.6951 09/09/2016 500,000 503,505
Walgreen Co., 1.0%, 3/13/15 1.0 03/13/2015 1,000,000 1,006,586
Fnma Flt% 25jun32 02-36-Fs 0.65 06/25/2032 15,865,000 479,587
Amcar 2.45% 08dec16 11-5-B 2.45 12/08/2016 500,000 505,277
Allegion US Holding Co, Inc., 12/26/20 3.0 12/26/2020 498,750 497,503
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 0.8511 12/15/2039 666,000 301,084
GE Business Loan Trust 2003-2, Floating Rate Note, 11/15/31 (144A) 0.5211 11/15/2031 1,409,576 158,297
AES Corp. Virginia, 6/1/18 3.75 05/27/2018 12,239 12,270
GMACM Mortgage Loan Trust 2003-AR1, Floating Rate Note, 10/19/33 3.3617 10/19/2033 1,226,000 182,276
RASC Series 2006-KS1 Trust, Floating Rate Note, 2/25/36 0.37 02/25/2036 1,200,000 59,387
Metropolitan Life Insurance Co., 7.7%, 11/1/15 (144A) 7.7 11/01/2015 1,250,000 1,375,057
Banc of America Funding 2003-3 Trust, 5.5%, 10/25/33 5.5 10/25/2033 617,825 142,797
Bank of America Corp., Floating Rate Note, 3/22/16 1.0536 03/22/2016 2,000,000 2,017,679
LB-UBS Commercial Mortgage Trust 2004-C6, Floating Rate Note, 8/15/29 5.02 08/15/2029 1,910,977 412,381
NCUA Guaranteed Notes Trust REMICS, 1.6%, 10/29/20 1.6 10/29/2020 500,000 215,665
AmeriCredit Automobile Receivables Trust 2011-3, 4.04%, 7/10/17 4.04 07/10/2017 100,000 104,008
Svenska Handelsbanken New York NY, Floating Rate Note, 1/16/15 0.5187 01/16/2015 200,000 200,510
Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16 1.0734 06/17/2016 560,000 566,829
Bosphorus 1 Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 2.5456 05/03/2016 250,000 250,727
Nomura Resecuritization Trust 2011-3R, Floating Rate Note, 7/26/37 (144A) 0.3423 07/26/2037 1,000,000 953,523
COMM 2006-FL12 Mortgage Trust, Floating Rate Note, 12/15/20 (144A) 0.3211 12/15/2020 785,000 506,351
Government National Mortgage Association, Floating Rate Note, 2/16/53 1.026 02/16/2053 2,000,000 152,306
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/24/16 0.5 10/24/2016 1,000,000 1,001,230
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/34 5.0 06/15/2034 401,000 61,021
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 11.0765 04/10/2015 650,000 685,839
ARC Properties Operating Partnership LP, 2.0%, 2/6/17 (144A) 2.0 02/06/2017 500,000 506,600
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 0.55 05/25/2033 34,300,000 1,335,784
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 0.7565 07/15/2016 300,000 302,583
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 4.25 04/25/2034 4,541,000 238,458
Toyota Motor Credit Corp., 0.75%, 3/5/17 (Step) 0.75 03/05/2017 1,500,000 1,497,540
Fremont Home Loan Trust 2005-2, Floating Rate Note, 6/25/35 0.61 06/25/2035 1,700,000 15,506
Fannie Mae, 6.0%, 4/1/38 6.0 04/01/2038 483,000 50,050
Structured Asset Securities Corp Mortgage Loan Trust 2005-2XS, 4.65%, 2/25/35 (Step) 4.65 02/25/2035 1,000,000 214,850
Fannie Mae Grantor Trust 2001-T1, Floating Rate Note, 10/25/40 3.7498 10/25/2040 51,205,518 3,503,543
KeyBank NA Cleveland Ohio, 1.1%, 11/25/16 1.1 11/25/2016 500,000 502,003
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 0.41 11/25/2046 2,393,000 476,223
Federal National Mortgage Association, 4.0%, 1/1/20 4.0 01/01/2020 7,280,000 1,517,784
Fannie Mae, Floating Rate Note, 4/1/28 2.588 04/01/2028 400,000 3,395
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 6/15/28 3.5 06/15/2028 1,119,000 196,693
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.73 09/25/2037 3,700,000 407,586
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 8.7229 05/07/2015 500,000 520,802
Morgan Stanley Capital I, Inc., Floating Rate Note, 10/15/20 (144A) 0.282 10/15/2020 425,000 422,833
Federal National Mortgage Association REMICS, 1.75%, 12/25/22 1.75 12/25/2022 1,000,000 356,118
RAMP Series 2004-SL4 Trust, Floating Rate Note, 5/25/18 6.2705 05/25/2018 13,780,000 104,207
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 0.4529 01/20/2021 1,000,000 390,769
HLSS Servicer Advance Receivables Trust, 1.2437%, 1/17/45 1.2437 01/17/2045 1,250,000 1,252,566
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R9, 4.8035%, 11/25/35 (St 4.6568 11/25/2035 590,000 549,166
Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A) 0.45 01/25/2036 3,644,114 322,709
Diamond Resorts Owner Trust 2013-2, 2.62%, 3/1/24 2.62 03/01/2024 750,000 594,444
Credit Acceptance Auto Loan Trust 2013-2, 1.5%, 4/15/21 (144A) 1.5 04/15/2021 1,000,000 1,009,084
CeramTec Acquisition Corp., 8/30/20 4.25 08/30/2020 20,955 20,999
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 1.47 05/15/2018 200,000 81,421
RREF 2012 LT1 LLC, 2.85%, 5/15/24 2.85 05/15/2024 700,000 701,296
Thomson Reuters Corp., 0.875%, 5/23/16 0.875 05/23/2016 250,000 250,326
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 0.3 05/25/2036 604,088 210,309
International Equipment Solutions LLC, 8/16/19 6.75 07/25/2019 146,396 147,403
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.39 06/25/2037 2,134,162 315,039
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 3.0 05/15/2018 585,000 420,828
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 0.5 02/25/2033 4,696,499 281,612
Loma Reinsurance, Ltd. Bermuda, Floating Rate Note, 1/8/18 (Cat Bond) (144A) 9.7804 01/08/2018 250,000 260,206
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.1 10/25/2037 785,400 239,088
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 5.46 11/15/2035 260,000 238,756
Government National Mortgage Association, Floating Rate Note, 2/20/35 0.3993 02/20/2035 2,059,000 305,375
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 2.49 02/25/2034 3,584,000 378,882
Balta Flt% 25jan35 04-12-1a2 0.99 01/25/2035 3,280,000 387,764
Mastr Asset Backed Securities Trust 2005-WF1, Floating Rate Note, 6/25/35 0.52 06/25/2035 51,000 10,800
SNAAC Auto Receivables Trust 2013-1, 1.14%, 7/16/18 (144A) 1.14 07/16/2018 404,000 143,325
Santander Drive Auto Receivables Trust 2011-2, 2.66%, 1/15/16 2.66 01/15/2016 285,000 54,424
HomeBanc Mortgage Trust 2005-2, Floating Rate Note, 5/25/25 0.57 05/25/2025 6,015,011 268,067
Fannie Mae, Floating Rate Note, 12/1/28 2.445 12/01/2028 1,112,489 53,693
Fannie Mae, 7.0%, 7/1/17 7.0 07/01/2017 3,768,412 56,007
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 0.5999 01/30/2017 500,000 501,665
Soundview Home Loan Trust 2005-3, Floating Rate Note, 6/25/35 0.93 06/25/2035 600,000 118,459
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 0.38 11/25/2037 9,516,000 561,746
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.5011 11/15/2036 1,229,000 263,734
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 0.3211 04/16/2035 1,150,000 525,568
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 1.7511 02/13/2032 1,850,000 1,852,452
Federal National Mortgage Association REMICS, 3.5%, 10/25/39 3.5 10/25/2039 490,000 333,537
Penske Truck Leasing Co Lp, 2.5%, 7/11/14 (144A) 2.5 07/11/2014 969,000 980,277
GMAC Commercial Mortgage Securities Inc Series 2005-C1 Trust, 4.697%, 5/10/43 4.697 05/10/2043 1,019,000 1,048,045
Federal National Mortgage Association REMICS, Floating Rate Note, 5/18/32 0.651 05/18/2032 31,809,000 773,599
Hyundai Motor Manufacturing Czech sro, 4.5%, 4/15/15 (144A) 4.5 04/15/2015 1,000,000 1,037,690
Mack-Cali Realty LP, 5.125%, 1/15/15 5.125 01/15/2015 1,000,000 1,044,795
Conseco Finance Home Equity Loan Trust 2002-C, Floating Rate Note, 5/15/32 1.6511 05/15/2032 2,875,000 847,679
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/41 0.6511 02/15/2041 1,878,046 440,403
Banc of America Alternative Loan Trust 2004-4, 5.25%, 5/25/34 5.25 05/25/2034 1,363,000 181,101
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 0.4836 09/30/2016 500,000 501,002
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 0.8472 02/26/2016 320,000 321,741
Federal National Mortgage Association, 5.0%, 6/25/32 5.0 06/25/2032 18,817,000 458,701
Equity One Mortgage Pass-Through Trust 2004-2, Floating Rate Note, 7/25/34 4.624 07/25/2034 1,925,000 498,378
BB&T Corp., 1.6%, 8/15/17 1.6 08/15/2017 103,000 104,369
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 7/27/36 (144A) 2.6536 07/27/2036 3,494,698 882,006
Fieldwood Energy LLC, 9/25/18 3.875 09/25/2018 996,248 998,295
DT Auto Owner Trust 2013-1, 1.67%, 2/15/19 (144A) 1.67 02/15/2019 629,000 632,396
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 0.8 06/25/2035 995,000 325,068
RAMP Series 2005-RS5 Trust, Floating Rate Note, 5/25/35 0.49 05/25/2035 360,000 29,342
SunGard Data Systems, Inc., 2/28/17 3.9005 02/28/2017 155,698 156,281
Morgan Stanley, Floating Rate Note, 2/25/16 1.4772 02/25/2016 500,000 508,904
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 0.5846 02/20/2035 4,960,000 487,279
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 0.79 03/25/2034 16,068,000 1,026,984
Jefferies Resecuritization Trust 2009-R2, Floating Rate Note, 5/26/37 (144A) 2.5666 05/26/2037 300,000 76,499
Anheuser-Busch InBev Worldwide, Inc., 1.5%, 7/14/14 1.5 07/14/2014 500,000 503,644
Government National Mortgage Association, 5.0%, 5/20/35 5.0 05/20/2035 2,100,000 300,003
General Electric Capital Corp., Floating Rate Note, 8/1/17 1.375 08/01/2017 500,000 502,518
Massachusetts Port Authority, 5.0%, 7/1/14 5.0 07/01/2014 300,000 307,483
Pricoa Global Funding I, Floating Rate Note, 6/24/16 (144A) 0.4436 06/24/2016 500,000 497,479
Wstp Flt% 19may17 0.557 05/19/2017 1,000,000 1,001,056
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 2.15 10/25/2023 544,000 516,394
GS Caltex Corp., 3.25%, 10/1/18 (144A) 3.25 10/01/2018 500,000 514,935
Nationstar Mortgage Advance Receivables Trust 2013-T2, 2.19%, 6/20/46 (144A) 2.19 06/20/2046 160,000 159,275
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 0.7505 10/25/2028 8,975,000 305,663
CHL Mortgage Pass-Through Trust 2005-19, 5.5%, 8/25/35 5.5 08/25/2035 1,610,000 125,380
Motor 2013-1 Plc, Floating Rate Note, 2/25/21 (144A) 0.65 02/25/2021 466,000 333,887
FHLMC Structured Pass Through Securities, Floating Rate Note, 12/25/29 0.45 12/25/2029 12,000,000 201,329
Tribune Co., 11/20/20 4.0 11/20/2020 872,813 873,222
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 0.72 09/25/2036 3,447,000 279,349
Raymond James Financial, Inc., 4.25%, 4/15/16 4.25 04/15/2016 283,000 301,325
Delta Air Lines, Inc., 10/18/18 3.5 10/18/2018 99,747 99,676
NSG Holdings LLC, 12/11/19 3.75 11/15/2019 197,670 198,411
Alternative Loan Trust 2003-14T1, Floating Rate Note, 8/25/18 0.6 08/25/2018 3,200,000 151,169
Government National Mortgage Association II, 6.0%, 10/20/21 6.0 10/20/2021 3,113,223 620,445
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 0.7439 02/15/2017 500,000 501,391
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 0.85 03/25/2035 2,101,000 327,376
Ameriquest Mort Sec Inc Asset Backed Pass Thr Cert 03 AR3, Floating Rate Note, 6/25/33 3.9 06/25/2033 155,851 104,895
Merrill Lynch Mortgage Trust 2004-KEY2, Floating Rate Note, 8/12/39 4.864 08/12/2039 375,000 249,963
Bank of America Corp., 4.5%, 4/1/15 4.5 04/01/2015 210,000 216,840
Precision Castparts Corp., 1.25%, 1/15/18 1.25 01/15/2018 500,000 499,948
Fannie Mae, 6.5%, 8/1/14 6.5 08/01/2014 234,988 8
WR Grace & Co., 1/23/21 3.0 01/23/2021 202,430 201,848
Marriott Vacation Club Owner Trust 2012-1, 3.5%, 5/20/30 (144A) 3.5 05/20/2030 845,000 516,450
Gracechurch Card Funding Plc, Floating Rate Note, 5/15/19 (144A) 1.0011 05/15/2019 500,000 507,361
Bayview Commercial Asset Trust, 3.855%, 9/25/37 (Step) (144A) 3.5269 09/25/2037 3,000,000 110,998
Cinedigm Digital Funding I LLC, 2/28/18 3.75 03/31/2016 183,129 183,587
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19, Floating Rate Note, 2/12/49 5.703 02/12/2049 475,000 127,598
Riverfront Re, Ltd., Floating Rate Note, 1/6/17 (Cat Bond) (144A)   01/06/2017 320,000 313,792
Sumitomo Mitsui Banking Corp., Floating Rate Note, 1/10/17 0.6573 01/10/2017 750,000 752,850
Federal National Mortgage Association, 5.0%, 8/25/22 5.0 08/25/2022 9,200,000 316,114
Bush Truck Leasing LLC, 5.0%, 9/25/18 (144A) 5.0 09/25/2018 100,000 11,250
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 0.99 11/25/2034 7,155,000 429,595
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/28 0.6511 04/15/2028 10,000,000 171,469
Federal National Mortgage Association, 3.5%, 1/25/24 3.5 01/25/2024 7,225,000 675,425
Banco Nacional de Desenvolvimento Economico e Social, 3.375%, 9/26/16 (144A) 3.375 09/26/2016 1,000,000 1,034,594
Government National Mortgage Association I, 6.0%, 12/15/31 6.0 12/15/2031 1,500,000 73,255
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 0.48 01/25/2036 962,222 717,348
SMART Trust/Australia, Floating Rate Note, 7/14/16 0.4511 07/14/2016 750,000 750,169
Capital Auto Receivables Asset Trust/ Ally, 1.74%, 10/22/18 1.74 10/22/2018 413,000 414,394
Amgen, Inc., 2.5%, 11/15/16 2.5 11/15/2016 500,000 519,652
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 0.43 09/25/2035 3,300,000 309,280
Nationstar Mortgage Advance Receivables Trust 2013-T2, 1.679%, 6/20/46 (144A) 1.679 06/20/2046 464,000 464,006
ConocoPhillips Co., 1.05%, 12/15/17 1.05 12/15/2017 700,000 699,585
COMM 2007-FL14 Mortgage Trust, Floating Rate Note, 6/15/22 (144A) 0.3311 06/15/2022 650,000 145,412
Duke Energy Florida, Inc., 0.65%, 11/15/15 0.65 11/15/2015 500,000 501,744
Calpine Construction Finance Co LP, 1/3/22 0.2354 01/03/2022 673,309 665,398
The Korea Development Bank, Floating Rate Note, 1/22/17 0.8529 01/22/2017 750,000 751,607
Direct Capital Funding V LLC, 4.83%, 11/20/20 (144A) 4.83 11/20/2020 750,000 768,881
Total Capital Canada, Ltd., Floating Rate Note, 1/15/16 0.6065 01/15/2016 1,115,000 1,122,083
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 0.46 02/25/2035 603,000 210,857
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42 4.936 08/15/2042 440,000 443,932
Bank of Nova Scotia, 1.1%, 12/13/16 1.1 12/13/2016 500,000 504,707
Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A) 2.0779 01/26/2020 553,000 525,146
Queen Street III Capital, Ltd., Floating Rate Note, 7/28/14 (144A) 4.805 07/28/2014 500,000 506,616
Countrywide Asset-Backed Certificates, Floating Rate Note, 2/25/36 5.069 02/25/2036 1,814,000 354,973
Home Equity Asset Trust 2005-3, Floating Rate Note, 8/25/35 0.81 08/25/2035 250,000 35,156
COMM 2013-FL3 Mortgage Trust, Floating Rate Note, 10/13/28 (144A) 1.6681 10/13/2028 1,000,000 1,003,239
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 2.722 01/15/2017 750,000 765,431
Jarden Corp., 9/30/20 2.9 09/18/2020 248,750 249,708
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-1, Floating Rate Note, 2 0.45 02/25/2035 3,526,047 31,902
CHS, 1/27/21 4.25 01/27/2021 266,871 268,706
Ryder System, Inc., 3.15%, 3/2/15 3.15 03/02/2015 500,000 513,889
Federal Home Loan Mortgage Corp., 4.0%, 5/15/37 4.0 05/15/2037 1,753,000 216,784
Belden Finance 2013 LP, 9/9/20 3.25 09/09/2020 248,750 249,176
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 6/15/22 4.0 06/15/2022 2,000,000 11,624
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 0.5503 04/10/2028 300,000 300,092
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 8.5304 05/09/2016 250,000 265,559
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/34 0.93 11/25/2034 4,839,000 149,936
Vwmt Flt% 20sep16 11-1a-Note 0.8293 09/20/2016 100,000 100,165
Fannie Mae, Floating Rate Note, 11/1/25 2.245 11/01/2025 700,000 3,677
Federal National Mortgage Association, 2.5%, 9/1/22 2.5 09/01/2022 2,000,000 1,497,174
GSR Mortgage Loan Trust 2004-7, Floating Rate Note, 6/25/34 2.6469 06/25/2034 4,189,737 549,207
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 0.4 02/25/2030 1,425,000 209,303
Branch Banking & Trust Co., 2.3%, 10/15/18 2.3 10/15/2018 500,000 511,572
GreenPoint Mortgage Funding Trust 2005-HE1, Floating Rate Note, 9/25/34 0.825 09/25/2034 297,570 219,904
RESI Finance LP, Floating Rate Note, 9/10/35 (144A) 1.5503 09/10/2035 2,618,783 530,694
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 0.7 10/25/2017 11,475,000 252,318
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37 0.4511 02/15/2037 2,840,000 205,272
First Horizon Mortgage Pass-Through Trust 2004-AR1, Floating Rate Note, 2/25/34 2.594 02/25/2034 1,500,000 61,075
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 1.65 06/25/2028 1,050,000 318,880
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/18 0.7511 08/15/2018 600,000 138,260
The Geo Group, Inc., 4/3/20 3.25 03/28/2020 497,487 497,177
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 4.894 08/10/2042 1,000,000 1,022,209
JPMorgan Chase & Co., 1.1%, 10/15/15 1.1 10/15/2015 492,000 495,638
TimberStar Trust 1, 5.668%, 10/15/36 (144A) 5.668 10/15/2036 525,000 581,176
Eart Flt% 15aug18 14-2a-A 1.42 08/15/2018 400,000 400,020
Federal National Mortgage Association, Floating Rate Note, 6/25/36 0.55 06/25/2036 6,118,000 1,177,914
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 0.4205 04/28/2036 603,000 50,778
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 2.125 09/15/2015 189,000 193,085
Fannie Mae, 6.5%, 6/1/15 6.5 06/01/2015 3,819,656 2,216
Bella Vista Mortgage Trust 2004-1, Floating Rate Note, 11/20/34 0.8493 11/20/2034 12,618,000 382,273
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 1.6505 11/05/2030 175,000 175,438
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/1/18 2.353 07/01/2018 2,100,000 5,153
Afin Flt% 20nov15 13-3-A1b 0.5793 11/20/2015 250,000 250,253
New York Life Global Funding, 1.125%, 3/1/17 (144A) 1.125 03/01/2017 500,000 504,105
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/33 0.6511 01/15/2033 40,000,000 1,993,111
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 0.5 06/25/2034 3,670,962 374,576
Capital One Financial Corp., 2.15%, 3/23/15 2.15 03/23/2015 1,000,000 1,017,738
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 4.799 08/10/2042 485,000 492,598
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 8/25/34 5.5 08/25/2034 18,567,000 66,803
Springleaf Funding Trust 2014-A, 2.41%, 12/25/22 (144A) 2.41 12/25/2022 500,000 501,590
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A)   04/24/2017 600,000 587,400
Garda World Security Corp., 11/1/20 4.0 11/01/2020 482,721 481,665
United Auto Credit Securitization Trust 2013-1, 1.74%, 4/15/16 (144A) 1.74 04/15/2016 825,000 829,388
Merrill Lynch Mortgage Investors Trust Series 2005-A3, Floating Rate Note, 4/25/35 0.42 04/25/2035 10,415,000 1,341,571
Structured Asset Mortgage Investments II Trust 2005-AR2, Floating Rate Note, 5/25/45 3.442 05/25/2045 5,000,000 486,414
Springleaf Mortgage Loan Trust 2012-2, Floating Rate Note, 10/25/57 (144A) 2.22 10/25/2057 424,000 249,716
Citigroup, Inc., Floating Rate Note, 7/25/16 1.1888 07/25/2016 750,000 758,436
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 2.1511 12/15/2028 945,000 951,503
Nationstar Agency Advance Funding Trust 2013-T1A, 0.997%, 2/15/45 (144A) 0.997 02/15/2045 550,000 549,281
Fannie Mae, 4.5%, 5/1/39 4.5 05/01/2039 2,100,000 956,772
Wachovia Corp., 5.25%, 8/1/14 5.25 08/01/2014 1,185,000 1,214,924
AmeriCredit Automobile Receivables Trust 2013-1, 1.57%, 1/8/19 1.57 01/08/2019 150,000 150,711
Terwin Mortgage Trust Series TMTS 2005-14HE, 4.8492%, 8/25/36 (Step) 4.8492 08/25/2036 630,000 138,745
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 0.65 06/25/2033 13,610,000 703,412
RALI Series 2004-QR1 Trust, 5.25%, 10/25/34 5.25 10/25/2034 21,545,000 742,934
Fhlmc Flt% 15apr33 2602-Fh 0.4611 04/15/2033 22,025,143 971,461
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 2.5511 10/15/2015 425,000 430,144
Government National Mortgage Association, Floating Rate Note, 8/20/35 0.5493 08/20/2035 1,177,000 200,928
First Horizon Mortgage Pass-Through Trust 2004-AR5, Floating Rate Note, 10/25/34 2.5716 10/25/2034 940,000 65,323
Structured Asset Sec Corp Mor Pass Thr Cer Ser 2003-35, Floating Rate Note, 12/25/33 0.65 12/25/2033 4,960,000 350,950
VOLT XX LLC, 3.625%, 2/1/39 (Step) (144A) 3.625 02/01/2039 550,000 536,567
Federal National Mortgage Association 2006-48-T, 5.5%, 12/25/34 5.5 12/25/2034 1,716,418 728,622
Boston Scientific Corp., 2.65%, 10/1/18 2.65 10/01/2018 500,000 512,945
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25 0.52 10/25/2035 239,000 145,824
Ras Laffan Liquefied Natural Gas Co, Ltd. III, 5.5%, 9/30/14 (144A) 5.5 09/30/2014 250,000 256,030
ZIGGO BV, (USD) TLB3, 1/15/22   01/15/2022 476,177 469,728
BMW Vehicle Owner Trust 2011-A, 0.76%, 8/25/15 0.76 08/25/2015 100,000 10,876
Drock Flt% 16mar20 14-2-A 0.4905 03/16/2020 500,000 500,027
Polarpak, Inc., 6/7/20 4.5 06/07/2020 157,665 158,158
GE Business Loan Trust 2003-1, Floating Rate Note, 4/15/31 (144A) 0.5811 04/15/2031 4,997,000 267,470
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 0.5851 03/10/2017 750,000 751,835
South Carolina State Public Service Authority, Floating Rate Note, 6/1/15 1.026 06/01/2015 890,000 894,449
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/26/36 (144A) 2.6749 05/26/2036 500,000 418,600
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MHQ, Floating Rate Note 1.275 12/25/2034 660,000 654,597
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 0.89 11/25/2034 1,905,000 105,611
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP18, Floating Rate Note, 2/13/42 4.933 02/13/2042 1,150,000 1,028,334
Wells Fargo Mortgage Backed Securities 2005-AR6 Trust, Floating Rate Note, 4/25/35 4.9772 04/25/2035 3,371,000 282,824
RALI Series 2003-QR24 Trust, 4.0%, 7/25/33 4.0 07/25/2033 6,880,000 779,723
Fannie Mae, 6.0%, 2/1/34 6.0 02/01/2034 1,400,000 38,468
RASC Series 2005-EMX2 Trust, Floating Rate Note, 7/25/35 0.63 07/25/2035 40,280 15,308
Standard Chartered Plc, 3.85%, 4/27/15 (144A) 3.85 04/27/2015 500,000 515,823
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 0.65 06/25/2035 278,355 205,712
MetLife Institutional Funding II, 1.625%, 4/2/15 (144A) 1.625 04/02/2015 500,000 506,321
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/41 0.5711 04/15/2041 2,446,437 567,667
Jpmcc Flt% 15dec28 14-Fblu-B 1.6511 12/15/2028 1,030,000 1,031,726
Ziggo Bv 1st Lien Tl-B1 L + 2.75% 15jan22   01/15/2022 449,291 443,207
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 0.5972 05/27/2016 390,000 391,879
Government National Mortgage Association I, 6.5%, 7/15/35 6.5 07/15/2035 328,670 21,767
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 0.4179 01/27/2017 500,000 500,865
Alternative Loan Trust 2003-J1, 4.75%, 10/25/33 4.75 10/25/2033 4,300,000 226,932
JP Morgan Chase Commercial Mortgage Securities Trust 2013-JWRZ, Floating Rate Note, 4/15/30 (144A) 0.9311 04/15/2030 1,550,000 1,539,892
SilverLeaf Finance XVII LLC, 2.71%, 3/16/26 (144A) 2.71 03/16/2026 750,000 587,199
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/25/29 (144A) 4.395 08/25/2029 200,000 202,983
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 0.4 09/25/2030 3,264,773 586,211
Vita Capital IV, Ltd., Floating Rate Note, 1/15/16 (Cat Bond) (144A) 2.922 01/15/2016 250,000 253,984
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 0.4511 04/15/2036 728,000 172,145
American Home Mortgage Investment Trust 2005-1, Floating Rate Note, 6/25/45 2.323 06/25/2045 1,500,000 221,764
JP Morgan Chase Commercial Mortgage Securities Corp., 4.878%, 1/15/42 4.878 01/15/2042 1,100,000 1,119,778
Nissan Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 0.4211 01/15/2016 240,000 240,281
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 1.21 08/15/2018 200,000 189,631
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 0.45 03/25/2035 1,201,850 191,645
Centerpoint Energy Transition Bond Co II LLC, 5.17%, 8/1/19 5.17 08/01/2019 720,000 773,094
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 0.34 12/25/2035 350,623 126,580
Banc of America Large Loan Trust 2007-BMB1, Floating Rate Note, 8/15/29 (144A) 1.251 08/15/2029 650,000 650,127
US Renal Care, Inc., 7/3/19 4.25 07/03/2019 553,609 555,512
Fannie Mae, 5.0%, 10/1/41 5.0 10/01/2041 1,736,000 895,411
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.72 09/25/2037 2,706,000 379,434
Express Scripts Holding Co., 2.1%, 2/12/15 2.1 02/12/2015 597,000 607,351
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 5.25 04/25/2032 795,156 262,088
Enterprise Products Operating LLC, 3.7%, 6/1/15 3.7 06/01/2015 500,000 524,714
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/17 0.55 05/25/2017 20,000,000 201,675
Altrl Flt% 30jun16   06/30/2016 350,000 360,220
FREMF Mortgage Trust 2012-K501, Floating Rate Note, 11/25/46 (144A) 3.486 11/25/2046 409,000 424,237
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 5.0 07/25/2018 600,000 44,111
Fannie Mae, Floating Rate Note, 2/1/33 2.895 02/01/2033 380,000 1,839
Conseco Finance Corp., 7.55%, 4/15/32 (Step) 7.55 04/15/2032 2,740,000 304,842
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 0.7281 12/22/2054 250,000 248,829
Residential Asset Securitization Trust 2005-A9, 5.5%, 7/25/35 5.5 07/25/2035 1,050,000 317,291
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 1.7242 03/25/2044 1,950,000 155,549
Nationstar Mortgage Loan Trust 2013-A, Floating Rate Note, 12/25/52 (144A) 3.75 12/25/2052 600,000 538,429
Home Equity Mortgage Trust, 5.821%, 4/25/35 (Step) 5.821 04/25/2035 1,000,000 307,892
Conseco Finance Corp., Floating Rate Note, 11/15/32 6.69 11/15/2032 800,000 9,945
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 0.6005 04/28/2039 425,000 417,952
Government National Mortgage Association I, 7.5%, 10/15/36 7.5 10/15/2036 1,000,000 61,136
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 0.9494 01/25/2030 3,400,000 253,695
Bear Stearns Asset Backed Securities Trust 2003-SD2, Floating Rate Note, 6/25/43 4.565 06/25/2043 3,896,100 310,992
GTP Towers Issuer LLC, 8.112%, 2/15/15 (144A) 8.112 02/15/2015 1,070,000 1,098,837
Thomson Reuters Corp., 1.3%, 2/23/17 1.3 02/23/2017 500,000 503,399
University of California, 0.966%, 5/15/17 0.966 05/15/2017 500,000 501,975
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 0.4511 02/15/2030 586,107 299,756
Bank of America Corp., 5.45%, 7/15/14 5.45 07/15/2014 450,000 461,961
Armore Flt% 15dec16 144a 4.0304 12/15/2016 300,000 296,850
Honda Auto Receivables 2012-2 Owner Trust, 0.7%, 2/16/16 0.7 02/16/2016 350,000 230,000
Hyperion Insurance Group, Ltd., 10/4/19 5.75 10/03/2019 399,000 397,504
RFSC Series 2004-RP1 Trust, Floating Rate Note, 11/25/42 (144A) 1.65 11/25/2042 250,000 164,489
Bank of Montreal, 0.8%, 11/6/15 0.8 11/06/2015 500,000 502,912
Morgan Stanley, Floating Rate Note, 6/6/16 1.25 06/06/2016 500,000 499,225
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 8.0253 07/09/2015 250,000 258,594
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.37 04/25/2031 2,843,000 566,595
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 0.5 08/25/2036 1,173,000 365,428
Sarmlt Flt% 25nov34 04-17-A1 1.0111 11/25/2034 18,180,000 967,178
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/25/45 (144A) 0.35 11/25/2045 3,365,000 407,007
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 1.0279 10/28/2016 750,000 756,391
Government National Mortgage Association, 5.0%, 4/20/36 5.0 04/20/2036 850,000 138,714
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.4011 11/15/2036 994,698 59,290
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 0.45 12/25/2036 790,207 749,551
Darling Ingredients, Inc., 12/19/20 3.25 12/19/2020 525,000 526,470
Citigroup, Inc., 5.0%, 9/15/14 5.0 09/15/2014 1,500,000 1,534,256
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 0.55 03/25/2034 763,500 248,381
Citigroup, Inc., 5.5%, 10/15/14 5.5 10/15/2014 430,000 440,663
County of Power Idaho, 5.625%, 10/1/14 5.625 10/01/2014 1,000,000 1,019,375
Seadrill Operating LP, 2/14/21 4.0 02/14/2021 847,875 845,159
Georgia Power Co., Floating Rate Note, 8/15/16 0.6239 08/15/2016 500,000 500,377
Avago Technologies Ltd 1st Lien Tl-B L + 3% 16apr21   04/16/2021 395,000 396,728
Credit Suisse First Boston Mortgage Securities Corp., 7.5%, 5/25/32 7.5 05/25/2032 15,000,000 323,207
Government National Mortgage Association, Floating Rate Note, 8/16/52 1.0709 08/16/2052 2,000,000 130,804
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 0.45 10/25/2035 1,878,000 216,868
Fannie Mae, Floating Rate Note, 11/1/40 1.524 11/01/2040 9,368,434 120,784
Prudential Covered Trust 2012-1, 2.997%, 9/30/15 (144A) 2.997 09/30/2015 500,000 412,825
Government National Mortgage Association I, 6.5%, 5/15/31 6.5 05/15/2031 3,183,996 44,531
Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A) 1.0134 09/16/2016 500,000 504,696
Extended Stay America Trust 2013-ESH, 1.2783%, 12/5/31 (144A) 1.2783 12/05/2031 723,000 709,455
Cbaau Flt% 18sep15 144a 1.0349 09/18/2015 460,000 465,043
Citigroup, Inc., 1.3%, 4/1/16 1.3 04/01/2016 500,000 504,258
Pfe Flt% 15may17 0.3739 05/15/2017 750,000 750,122
Equity One Mortgage Pass-Through Trust 2004-3, Floating Rate Note, 7/25/34 0.47 07/25/2034 3,011,000 184,760
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 0.6015 05/07/2024 200,000 154,981
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 8.2229 05/07/2015 500,000 523,829
Fannie Mae, 5.0%, 7/1/15 5.0 07/01/2015 1,000,000 24,883
Federal National Mortgage Association, Floating Rate Note, 2/25/23 1.0 02/25/2023 77,000,000 435,326
Capital One Financial Corp., 2.125%, 7/15/14 2.125 07/15/2014 1,559,000 1,574,761
Norcraft Companies LP, 11/12/20 5.25 11/12/2020 249,375 251,245
Federal Home Loan Mortgage Corp., 4.0%, 1/15/34 4.0 01/15/2034 5,000,000 375,212
Federal National Mortgage Association REMICS, Floating Rate Note, 12/18/32 0.551 12/18/2032 6,330,000 111,606
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 19.2963 07/25/2034 2,481,203 100,204
Federal National Mortgage Association, Floating Rate Note, 8/25/35 0.45 08/25/2035 2,868,000 401,655
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/37 0.4 04/25/2037 944,568 208,191
Mastr Asset Backed Securities Trust 2005-WMC1, Floating Rate Note, 3/25/35 0.825 03/25/2035 215,000 83,712
Telecom Italia Capital SA, 4.95%, 9/30/14 4.95 09/30/2014 750,000 764,691
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 1.5 06/25/2033 393,823 252,565
McKesson Corp., Floating Rate Note, 9/10/15 0.6351 09/10/2015 235,000 235,611
MALLINCKRODT INTERNATIONAL FINANCE SA, Initial Term B Loan, 3/6/21 3.5 03/06/2021 300,000 298,795
JP Morgan Chase Commercial Mortgage Securities Trust 2013-INN, Floating Rate Note, 10/15/30 (144A) 2.3011 10/15/2030 770,000 777,799
Intel Corp., 1.35%, 12/15/17 1.35 12/15/2017 700,000 705,376
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 0.35 10/27/2037 1,375,920 1,373,064
PNC Bank NA, Floating Rate Note, 1/28/16 0.5379 01/28/2016 500,000 500,712
GSR Mortgage Loan Trust 2005-1F, 6.0%, 2/25/35 6.0 02/25/2035 700,000 427,285
Federal National Mortgage Association REMICS, 6.0%, 3/25/35 6.0 03/25/2035 1,000,000 68,646
AT&T, Inc., 0.875%, 2/13/15 0.875 02/13/2015 500,000 503,017
The Bear Stearns Companies LLC, 5.7%, 11/15/14 5.7 11/15/2014 750,000 769,748
BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A) 2.9442 09/26/2035 2,765,000 844,876
JobsOhio Beverage System, 0.872%, 1/1/15 0.872 01/01/2015 500,000 503,667
Quest Trust, Floating Rate Note, 3/25/34 (144A) 0.81 03/25/2034 24,804,330 1,119,343
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A, Floating Rate Note, 4/25/29 0.61 04/25/2029 4,643,948 297,408
Federal National Mortgage Association, Floating Rate Note, 3/25/36 0.5 03/25/2036 2,108,510 543,667
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/31 2.558 10/01/2031 19,044,336 446,694
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 4.75 04/25/2034 4,285,000 277,799
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.4 06/25/2037 4,600,000 399,599
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/15/36 0.4711 11/15/2036 2,046,908 120,145
The Goldman Sachs Group, Inc., Floating Rate Note, 1/12/15 0.7271 01/12/2015 500,000 501,343
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 0.55 09/25/2035 3,362,996 1,544,651
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR8, 4.75%, 6/11/41 4.75 06/11/2041 415,000 429,836
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 0.4011 08/15/2035 462,000 105,657
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.5511 12/15/2032 1,931,288 189,893
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 0.6841 05/13/2016 250,000 251,421
Vw Flt% 23may16 0.4474 05/23/2016 1,000,000 1,000,685
UnitedHealth Group, Inc., 1.875%, 11/15/16 1.875 11/15/2016 500,000 514,178
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 0.4731 02/22/2021 500,000 376,961
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 1.1511 03/15/2032 35,466,000 367,989
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/36 0.51 12/25/2036 1,500,000 347,867
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 1.23 03/25/2035 311,000 144,057
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 9.2956 06/06/2017 250,000 265,439
COMM 2006-FL12 Mortgage Trust, Floating Rate Note, 12/15/20 (144A) 0.2811 12/15/2020 3,410,000 776,253
Svenska Handelsbanken AB, Floating Rate Note, 9/23/16 0.7036 09/23/2016 1,000,000 1,006,625
Ventas Realty LP, 3.125%, 11/30/15 3.125 11/30/2015 500,000 525,950
Sandre Flt% 07jun17 144a   06/07/2017 650,000 650,000
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 0.5533 09/13/2016 250,000 248,849
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/15/26 (144A) 1.4511 03/15/2026 300,000 299,880
The Bank of New York Mellon Corp., 1.7%, 11/24/14 1.7 11/24/2014 1,000,000 1,006,046
Federal Home Loan Mortgage Corp., 4.0%, 5/1/24 4.0 05/01/2024 2,400,000 290,086
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 0.35 12/25/2036 600,000 148,028
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 0.42 04/25/2032 8,278,000 886,373
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 1.23 03/15/2019 648,000 498,770
Fnma 4.5% 25aug27 09-108-De 4.5 08/25/2027 4,509,000 377,730
The Toronto-Dominion Bank, Floating Rate Note, 7/14/14 0.5271 07/14/2014 644,000 644,795
Banc of America Alternative Loan Trust 2003-10, Floating Rate Note, 12/25/33 0.6 12/25/2033 2,600,000 189,974
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 2.3689 04/19/2034 3,987,000 180,126
CeramTec GmbH, 8/30/20 4.25 08/30/2020 64,096 64,229
MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35 0.5 02/25/2035 6,760,000 715,968
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2.58 09/15/2021 1,200,000 1,208,980
Cendant Mortgage Corp., 6.25%, 3/25/32 (144A) 6.25 03/25/2032 4,100,000 587,701
Popular ABS Mortgage Pass-Through Trust 2004-4, 4.89471%, 9/25/34 (Step) 4.8804 09/25/2034 1,325,000 483,456
GS Mortgage Securities Corp II Series 2005-GG4, 4.782%, 7/10/39 4.782 07/10/2039 545,000 560,219
GATX Corp., 1.25%, 3/4/17 1.25 03/04/2017 750,000 750,694
Federal National Mortgage Association, 3.5%, 3/25/28 3.5 03/25/2028 2,344,102 363,721
Starwood Property Mortgage Trust 2013-FV1, Floating Rate Note, 8/11/28 (144A) 1.449 08/11/2028 640,000 627,107
SACO I Trust 2005-8, Floating Rate Note, 11/25/35 0.91 11/25/2035 3,250,775 69,335
Citigroup, Inc., Floating Rate Note, 11/15/16 0.9039 11/15/2016 750,000 753,414
Alliant Techsystems, Inc., 10/22/20 3.5 10/22/2020 249,375 249,780
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 2.02 01/15/2019 200,000 200,799
Export-Import Bank of Korea, 1.25%, 11/20/15 1.25 11/20/2015 500,000 503,394
Bayview Financial Acquisition Trust, Floating Rate Note, 5/28/44 0.7805 05/28/2044 7,600,000 172,329
Assurant, Inc., 2.5%, 3/15/18 2.5 03/15/2018 300,000 304,747
Lehman ABS Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 6/15/33 0.6011 06/15/2033 19,804,000 1,019,537
PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29 1.44 05/15/2029 400,000 400,380
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/40 0.45 08/25/2040 692,000 379,041
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 1.35 08/25/2034 389,000 73,350
Massachusetts Development Finance Agency, Floating Rate Note, 2/15/36 3.0 02/15/2036 250,000 263,543
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2.8587 03/25/2034 2,600,000 187,958
Government National Mortgage Association II, 6.0%, 11/20/22 6.0 11/20/2022 1,986,670 294,366
Harley-Davidson Financial Services, Inc., 3.875%, 3/15/16 (144A) 3.875 03/15/2016 175,000 185,548
Foundation Re III, Ltd., Floating Rate Note, 2/25/15 (Cat Bond) (144A) 5.0203 02/25/2015 500,000 504,728
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 2.4265 10/15/2054 250,000 260,853
Dvn 1.2% 15dec16 1.2 12/15/2016 500,000 505,342
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 3.9669 08/25/2053 630,000 629,061
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 0.5 05/25/2036 6,641,000 277,450
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 0.3611 04/15/2022 580,444 575,515
Discovery Communications LLC, 3.7%, 6/1/15 3.7 06/01/2015 750,000 788,588
Government National Mortgage Association, 5.0%, 1/20/16 5.0 01/20/2016 3,500,000 653,125
Bear Stearns Asset Backed Securities I Trust 2005-HE6, Floating Rate Note, 6/25/35 0.87 06/25/2035 1,350,000 71,345
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 4.568 01/15/2031 275,000 35,069
Steward Health Care System LLC, 4/10/20 6.75 04/12/2020 298,496 295,138
Discover Card Execution Note Trust, 0.81%, 8/15/17 0.81 08/15/2017 500,000 501,812
Baxter International, Inc., 0.95%, 6/1/16 0.95 06/01/2016 500,000 504,368
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 1.251 12/05/2031 200,000 200,029
Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35 0.53 12/25/2035 200,000 76,378
Anheuser-Busch InBev Worldwide, Inc., 4.125%, 1/15/15 4.125 01/15/2015 580,000 602,386
BWAY Holding Co., 8/6/17 4.5 08/06/2017 192,563 193,429
RALI Series 2003-QR24 Trust, 4.0%, 7/25/33 4.0 07/25/2033 950,000 427,655
Sierra Timeshare 2013-1 Receivables Funding LLC, 2.39%, 11/20/29 (144A) 2.39 11/20/2029 160,000 77,618
Penn National Gaming, Inc., 10/25/20 3.25 10/25/2020 458,850 458,778
General Electric Capital Corp., Floating Rate Note, 7/2/15 1.2606 07/02/2015 665,000 673,451
PARTY CITY HOLDINGS INC, 2014 Replacement Term Loan, 7/27/19 4.0 07/27/2019 952,613 950,628
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/36 0.33 06/25/2036 284,000 69,068
Federal National Mortgage Association REMICS, 4.0%, 6/25/37 4.0 06/25/2037 900,000 73,561
SunTrust Bank, Floating Rate Note, 4/1/15 0.5334 04/01/2015 430,000 430,301
ANZ New Zealand Int'l, Ltd. London, 1.125%, 3/24/16 (144A) 1.125 03/24/2016 1,000,000 1,006,326
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 (144A) 4.838 07/15/2041 637,677 234,899
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 8/15/38 5.1 08/15/2038 1,200,440 1,225,077
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 0.3061 05/15/2047 250,000 105,799
Fifth Third Bank Cincinnati Ohio, 1.15%, 11/18/16 1.15 11/18/2016 750,000 753,614
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 5.2855 03/07/2016 250,000 254,824
GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34 0.93 06/25/2034 15,032,940 435,432
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 2.4 03/25/2032 550,000 314,922
St Jude Medical, Inc., 2.5%, 1/15/16 2.5 01/15/2016 510,000 529,788
HSBC Bank Middle East, Ltd., 3.0%, 10/21/15 3.0 10/21/2015 750,000 769,750
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 12/15/22 4.0 12/15/2022 890,000 33,057
SMART Trust/Australia, Floating Rate Note, 6/14/15 0.4811 06/14/2015 600,000 105,963
General Mills, Inc., 0.875%, 1/29/16 0.875 01/29/2016 250,000 252,084
Government National Mortgage Association, 3.0%, 12/20/38 3.0 12/20/2038 5,000,000 1,705,648
A10 Securitization 2013-1 LLC, 2.4%, 11/15/25 (144A) 2.4 11/15/2025 642,000 587,000
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/36 0.5011 04/15/2036 4,003,000 786,880
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 0.6086 03/30/2016 277,000 277,769
Government National Mortgage Association, Floating Rate Note, 1/16/35 0.4011 01/16/2035 2,563,000 306,251
RALI Series 2004-QS1 Trust, Floating Rate Note, 1/25/34 0.7 01/25/2034 2,884,000 44,411
Federal National Mortgage Association REMICS, 6.0%, 6/25/29 6.0 06/25/2029 685,000 141,788
Adjustable Rate Mortgage Trust 2005-2, Floating Rate Note, 6/25/35 0.93 06/25/2035 345,151 279,286
Fannie Mae, 4.5%, 1/1/41 4.5 01/01/2041 580,000 330,704
Banc of America Funding 2004-B Trust, Floating Rate Note, 12/20/34 0.5093 12/20/2034 6,667,000 579,970
Federal Home Loan Mortgage Corp., 5.75%, 2/15/34 5.75 02/15/2034 1,034,000 131,740
Capital One Financial Corp., 1.0%, 11/6/15 1.0 11/06/2015 475,000 477,423
Chesapeake Funding LLC, Floating Rate Note, 3/7/26 0.5715 03/07/2026 750,000 750,298
Canadian Natural Resources, Ltd., 1.45%, 11/14/14 1.45 11/14/2014 430,000 432,117
Morgan Stanley Capital I Trust 2005-IQ10, Floating Rate Note, 9/15/42 5.23 09/15/2042 915,000 823,487
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 4.7304 01/07/2015 1,000,000 1,018,300
Hewlett-Packard Co., 2.625%, 12/9/14 2.625 12/09/2014 470,000 481,189
Enbridge, Inc., Floating Rate Note, 10/1/16 0.8834 10/01/2016 500,000 503,050
Bombardier, Inc., 4.25%, 1/15/16 (144A) 4.25 01/15/2016 360,000 379,730
Honda Auto Receivables 2011-2 Owner Trust, 1.55%, 8/18/17 1.55 08/18/2017 350,000 351,266
Volkswagen International Finance NV, 1.6%, 11/20/17 (144A) 1.6 11/20/2017 500,000 503,312
Citigroup Mortgage Loan Trust, Inc., 7.0%, 9/25/33 7.0 09/25/2033 7,340,000 111,185
Irwin Whole Loan Home Equity Trust 2003-D, Floating Rate Note, 11/25/28 4.65 11/25/2028 2,250,000 231,498
TD Ameritrade Holding Corp., 4.15%, 12/1/14 4.15 12/01/2014 500,000 519,620
Bright Horizons Family Solutions, Inc., 1/30/20 3.75 01/14/2020 298,489 299,281
RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32 6.0 01/25/2032 11,000,000 506,311
Altera Corp., 2.5%, 11/15/18 2.5 11/15/2018 500,000 510,984
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 0.65 06/25/2035 1,526,722 641,409
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 0.45 07/25/2035 750,000 181,271
Fannie Mae, Floating Rate Note, 1/1/25 2.598 01/01/2025 7,000,000 58,583
Gray Television, Inc., 10/12/19 4.5 10/11/2019 250,000 250,781
Cgwf Flt% 15nov30 13-Rkwh-B 2.0511 11/15/2030 1,090,000 1,095,679
National Rural Utilities Cooperative Finance Corp., 1.0%, 2/2/15 1.0 02/02/2015 410,000 413,246
Government National Mortgage Association, Floating Rate Note, 3/16/53 1.0489 03/16/2053 1,200,000 87,382
Banc of America Mortgage Trust 2004-7, 4.5%, 8/25/19 4.5 08/25/2019 181,000 16,440
LB-UBS Commercial Mortgage Trust 2008-C1, Floating Rate Note, 4/15/41 6.1505 04/15/2041 210,000 114,457
WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust, Floating Rate Note, 9/25/33 2.4123 09/25/2033 3,062,360 1,219,263
Bayview Financial Asset Trust 2003-A, Floating Rate Note, 2/25/33 (144A) 4.91 02/25/2033 7,852,000 264,130
Apple, Inc., Floating Rate Note, 5/3/16 0.2729 05/03/2016 400,000 400,269
ACA CLO 2006-2, Ltd., Floating Rate Note, 1/20/21 (144A) 0.9479 01/20/2021 250,000 244,233
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 (144A) 0.74 11/25/2035 2,175,000 102,134
Hercules Capital Funding Trust 2012-1, 3.32%, 12/16/17 (144A) 3.32 12/16/2017 250,000 93,325
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 10.2601 01/08/2015 375,000 389,238
Castle Garden Funding, Floating Rate Note, 10/27/20 (144A) 0.4961 10/27/2020 2,000,000 611,984
Williams Partners LP, 3.8%, 2/15/15 3.8 02/15/2015 750,000 774,682
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 0.4511 01/15/2036 400,312 98,180
The Goldman Sachs Group, Inc., Floating Rate Note, 9/29/14 0.8336 09/29/2014 390,000 391,166
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 0.51 11/25/2036 2,248,000 355,963
Merna Reinsurance V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A)   04/07/2017 650,000 650,390
WaMu Mortgage Pass-Through Certificates Series 2003-S10, 5.0%, 10/25/18 5.0 10/25/2018 17,361,049 741,745
HLSS Servicer Advance Receivables Trust, 1.7436%, 1/16/46 (144A) 1.7436 01/16/2046 250,000 249,619
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 3.0 06/25/2043 160,000 146,192
America Movil SAB de CV, Floating Rate Note, 9/12/16 1.2344 09/12/2016 1,000,000 1,014,912
CDC Mortgage Capital Trust 2002-HE1, Floating Rate Note, 1/25/33 0.77 01/25/2033 19,484,513 444,157
KeyBank NA Cleveland Ohio, 5.8%, 7/1/14 5.8 07/01/2014 1,025,000 1,054,058
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/45 0.37 03/25/2045 4,100,000 708,640
IndyMac INDX Mortgage Loan Trust 2004-AR6, Floating Rate Note, 10/25/34 2.582 10/25/2034 675,000 81,154
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 0.5834 12/15/2016 250,000 249,373
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 0.4511 02/15/2039 288,000 171,114
Aegis Asset Backed Securities Trust 2005-5, Floating Rate Note, 12/25/35 0.42 12/25/2035 1,000,000 277,756
Southern Pacific Secured Asset Corp., Floating Rate Note, 3/25/28 0.55 03/25/2028 32,000,000 330,153
JP Morgan Mortgage Trust 2004-A5, Floating Rate Note, 12/25/34 2.2992 12/25/2034 245,000 200,231
AmeriCredit Automobile Receivables Trust 2013-4, 3.31%, 10/8/19 3.31 10/08/2019 500,000 521,832
Bank of America Corp., 1.35%, 11/21/16 1.35 11/21/2016 500,000 502,026
Fannie Mae, 4.5%, 5/1/39 4.5 05/01/2039 1,350,000 567,129
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 0.9 12/25/2034 1,210,753 125,214
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 0.35 02/25/2037 1,940,000 238,547
Navios Maritime Partners LP, 6/27/18 5.25 06/27/2018 462,675 468,748
Intesa Sanpaolo S.p.A., 3.125%, 1/15/16 3.125 01/15/2016 500,000 520,279
SBA Senior Finance II LLC, 3/31/21 3.25 03/31/2021 200,000 198,982
Union Bank NA, Floating Rate Note, 9/26/16 0.9851 09/26/2016 750,000 759,113
PNC Bank NA, 1.125%, 1/27/17 1.125 01/27/2017 450,000 454,104
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 7.4253 01/09/2017 500,000 516,847
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 0.77 10/25/2028 8,393,000 502,048
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 0.66 09/25/2035 700,000 404,709
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 2.5 03/20/2025 250,000 137,552
Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34 0.89 11/25/2034 1,233,000 87,644
The Bank of New York Mellon Corp., 3.1%, 1/15/15 3.1 01/15/2015 220,000 226,340
Mediacom Illinois LLC, 3/31/18 2.63 03/31/2018 400,000 396,625
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 3.15 06/25/2028 1,923,500 158,479
Colony American Homes 2014-1, Floating Rate Note, 5/17/31 2.0011 05/17/2031 700,000 698,144
Countrywide Asset-Backed Certificates, Floating Rate Note, 1/25/36 0.52 01/25/2036 330,000 66,588
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 7/10/43 4.857 07/10/2043 645,000 636,468
Uacst 3.12% 15mar18 12-1 D 3.12 03/15/2018 600,000 605,563
Morgan Stanley Dean Witter Capital I Trust 2001-TOP3, 6.79%, 7/15/33 6.79 07/15/2033 460,000 179,294
Countrywide Asset-Backed Certificates, Floating Rate Note, 2/25/33 5.147 02/25/2033 244,000 62,039
Wachovia Mortgage Loan Trust Series 2005-WMC1, Floating Rate Note, 10/25/35 0.89 10/25/2035 750,000 179,986
General Electric Capital Corp., 1.625%, 7/2/15 1.625 07/02/2015 485,000 494,129
Ziggo Bv 1st Lien Tl-B2 L + 2.75% 15jan22 3.5 01/15/2022 289,532 285,611
Barclays Bank Plc, Floating Rate Note, 2/17/17 0.8059 02/17/2017 229,000 230,238
ASG Resecuritization Trust 2010-3, Floating Rate Note, 12/28/45 (144A) 0.4423 12/28/2045 1,642,839 819,715
Credit Suisse First Boston Mortgage Securities Corp., 5.25%, 10/25/19 5.25 10/25/2019 1,196,000 69,208
Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/17/30 2.1 12/17/2030 750,000 752,960
Credit Suisse First Boston Mortgage Securities Corp., 4.877%, 4/15/37 4.877 04/15/2037 500,000 509,673
Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A) 1.55 11/15/2017 195,000 196,415
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 7.555 04/09/2015 500,000 515,704
Onglt 4.87% 10mar27 12-Aa-B 4.87 03/10/2027 600,000 351,273
WESCO Distribution, Inc., 12/12/19 3.75 12/04/2019 61,163 61,229
Express Scripts Holding Co., 2.75%, 11/21/14 2.75 11/21/2014 900,000 910,146
Fannie Mae, Floating Rate Note, 11/1/24 2.549 11/01/2024 7,000,000 93,077
Crown Castle Towers LLC, 3.214%, 8/15/15 (144A) 3.214 08/15/2015 500,000 509,751
Bear Stearns ARM Trust 2004-9, Floating Rate Note, 11/25/34 3.4299 11/25/2034 1,014,658 139,493
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/35 5.5 11/25/2035 1,471,464 18,133
SMA Issuer I LLC, 3.5%, 8/20/25 (144A) 3.5 08/20/2025 140,130 13,496
Residential Asset Securitization Trust 2004-A9, 5.75%, 12/25/34 5.75 12/25/2034 870,000 384,827
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 0.9 02/25/2035 5,848,300 422,974
Morgan Stanley, Floating Rate Note, 11/9/18 3.1 11/09/2018 275,000 292,196
Fannie Mae, Floating Rate Note, 10/1/29 2.57 10/01/2029 4,831,796 106,875
National Australia Bank, Ltd., Floating Rate Note, 7/25/14 (144A) 1.1779 07/25/2014 750,000 751,995
Reckitt Benckiser Treasury Services Plc, 2.125%, 9/21/18 (144A) 2.125 09/21/2018 500,000 506,944
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/25 2.599 04/01/2025 13,000,000 18,505
American Credit Acceptance Receivables Trust, 1.64%, 11/15/16 (144A) 1.64 11/15/2016 350,000 97,168
Federal National Mortgage Association, Floating Rate Note, 7/25/42 2.8154 07/25/2042 11,000,000 981,753
Franklin Resources, Inc., 3.125%, 5/20/15 3.125 05/20/2015 300,000 308,162
Chrysler Group LLC, 12/29/18 3.25 12/29/2018 600,000 597,107
American Credit Acceptance Receivables Trust 2013-2, 1.32%, 2/15/17 (144A) 1.32 02/15/2017 280,000 147,961
Federal National Mortgage Association, 3.5%, 7/25/24 3.5 07/25/2024 1,250,000 345,792
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-11, Floating Rate Note, 1 0.89 12/25/2033 14,558,685 665,819
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 8.1034 01/07/2016 250,000 262,951
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 0.65 01/25/2033 2,782,000 113,394
Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Floating Rate Note, 10/15/44 5.2388 10/15/2044 625,364 550,396
JP Morgan Mortgage Trust 2006-S3, 6.0%, 8/25/36 6.0 08/25/2036 1,036,158 1,538
RALI Series 2004-QS1 Trust, 4.25%, 1/25/34 4.25 01/25/2034 14,997,000 164,549
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 0.801 01/18/2032 4,920,043 84,062
Banc of America Alternative Loan Trust 2004-2, 5.5%, 3/25/19 5.5 03/25/2019 954,266 131,764
The Toronto-Dominion Bank, 1.375%, 7/14/14 1.375 07/14/2014 345,000 347,285
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 0.7 05/25/2040 761,373 389,402
Anheuser-Busch Companies LLC, 5.0%, 1/15/15 5.0 01/15/2015 225,000 235,691
Wachovia Bank Commercial Mortgage Trust Series 2005-C16, Floating Rate Note, 10/15/41 4.847 10/15/2041 465,000 472,153
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/32 1.1511 02/15/2032 15,205,000 286,431
Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35 5.5 05/25/2035 4,068,000 107,790
Government National Mortgage Association, 3.0%, 12/20/38 3.0 12/20/2038 1,000,000 185,662
Federal National Mortgage Association 2004-T2, Floating Rate Note, 7/25/43 3.3424 07/25/2043 6,750,000 1,025,927
Pangaea Re, 0.0%, 10/1/15 (Cat Bond) 0.0 10/01/2015 150,000 168,465
Fannie Mae, Floating Rate Note, 4/1/29 2.36 04/01/2029 400,000 2,946
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 1.55%, 9/9/16 (144A) 1.55 09/09/2016 1,000,000 1,016,077
GTP Towers Issuer LLC, 4.436%, 2/15/15 (144A) 4.436 02/15/2015 550,000 561,194
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 10/15/18 3.5 10/15/2018 500,000 117,782
Volvo Financial Equipment LLC Series 2014-1, 0.54%, 11/15/16 (144A) 0.54 11/15/2016 415,000 415,175
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.85 01/25/2035 5,395,000 682,314
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/17/26 (144A) 2.0911 11/17/2026 600,000 558,147
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.42 11/25/2035 3,786,000 521,034
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/41 0.7 09/25/2041 750,000 505,176
Federal National Mortgage Association, 3.0%, 12/1/21 3.0 12/01/2021 2,000,000 1,087,114
JP Morgan Mortgage Trust 2004-S1, 5.0%, 9/25/34 5.0 09/25/2034 2,489,124 172,615
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 0.95 10/25/2034 1,410,000 83,436
Polarpak, Inc., 6/7/20 4.5 06/07/2020 86,248 86,518
Westpac Banking Corp., 4.2%, 2/27/15 4.2 02/27/2015 500,000 519,727
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 5.005 02/28/2041 1,639,000 214,280
Bayview Commercial Asset Trust, Floating Rate Note, 4/25/34 (144A) 0.51 04/25/2034 4,150,000 454,642
Union Bank NA, 2.625%, 9/26/18 2.625 09/26/2018 1,000,000 1,033,753
PACCAR Financial Corp., Floating Rate Note, 6/5/14 0.4857 06/05/2014 1,055,000 1,056,268
American Home Mortgage Investment Trust 2004-3, 5.01%, 10/25/34 (Step) 5.01 10/25/2034 4,000,000 318,208
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 0.4511 02/15/2036 909,000 186,722
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/24 1.0 01/25/2024 51,985,111 392,120
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 4/25/35 2.7023 04/25/2035 1,750,000 180,624
COMM 2007-FL14 Mortgage Trust, Floating Rate Note, 6/15/22 (144A) 0.4511 06/15/2022 2,937,000 901,376
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/15/30 (144A) 1.9012 12/15/2030 410,000 410,988
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 0.851 12/05/2031 200,000 200,282
GMACM Mortgage Loan Trust 2004-AR1, Floating Rate Note, 6/25/34 3.0 06/25/2034 2,100,000 205,217
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 3.75 08/20/2025 403,000 277,074
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 0.65 03/25/2024 4,129,409 180,617
SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35 0.43 04/25/2035 8,945,588 205,804
JBS USA LLC, 9/18/20 3.75 09/13/2020 199,000 198,877
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 0.5511 05/15/2036 2,159,000 180,566
Equity One Mortgage Pass-Through Trust 2004-1, Floating Rate Note, 4/25/34 4.145 04/25/2034 1,840,000 471,992
Wachovia Bank Commercial Mortgage Trust Series 2005-C17, Floating Rate Note, 3/15/42 5.083 03/15/2042 1,965,000 1,965,875
Amxca Flt% 15may20 12-4-C 0.9511 05/15/2020 760,000 765,766
Wesco Aircraft Hardware Corp., 2/24/21 3.25 02/24/2021 875,000 872,266
Federal National Mortgage Association, 5.0%, 7/25/32 5.0 07/25/2032 7,363,000 390,471
Government National Mortgage Association, Floating Rate Note, 2/20/38 0.6493 02/20/2038 2,477,000 257,928
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 1.82 09/15/2020 157,000 104,037
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/35 0.5 03/25/2035 1,278,000 311,815
Lll 1.5% 28may17 1.5 05/28/2017 186,000 186,539
Texas Instruments, Inc., 0.875%, 3/12/17 0.875 03/12/2017 500,000 501,059
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 6.5 08/15/2030 425,000 77,300
Credit Suisse First Boston Mortgage Securities Corp., 4.686%, 7/15/37 4.686 07/15/2037 890,000 902,805
Deutsche Telekom International Finance BV, 4.875%, 7/8/14 4.875 07/08/2014 1,000,000 1,023,624
Welk Resorts 2013-A LLC, 3.1%, 3/15/29 (144A) 3.1 03/15/2029 750,000 677,045
Fannie Mae, 7.0%, 1/1/36 7.0 01/01/2036 1,000,000 43,266
Federal National Mortgage Association, 4.0%, 3/1/21 4.0 03/01/2021 4,071,760 1,549,607
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 4.5 07/01/2019 1,381,464 228,218
Government National Mortgage Association REMICS, 2.0%, 1/16/46 2.0 01/16/2046 3,000,000 3,009,032
Freddie Mac Strips, Floating Rate Note, 12/15/36 0.5011 12/15/2036 2,327,000 180,441
Government National Mortgage Association I, 5.0%, 8/15/19 5.0 08/15/2019 1,347,915 382,379
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 2.25 06/25/2043 314,000 272,399
Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36 0.5 05/25/2036 1,300,000 440,991
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 0.4505 04/28/2036 1,207,803 362,597
Citigroup Mortgage Loan Trust 2010-7, Floating Rate Note, 9/25/37 (144A) 1.1515 09/25/2037 1,905,250 516,608
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 2.7804 01/09/2017 500,000 513,842
Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33 2.7771 09/25/2033 13,410,000 1,215,231
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 0.4011 08/15/2036 5,044,000 324,128
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 1.15 02/25/2024 485,000 476,473
Verint Systems, Inc., 9/6/19 3.5 09/06/2019 598,500 597,827
SunTrust Banks, Inc., 3.5%, 1/20/17 3.5 01/20/2017 500,000 536,322
RALI Series 2003-QS15 Trust, 5.5%, 8/25/33 5.5 08/25/2033 250,000 193,393
RALI Series 2004-QS16 Trust, 5.5%, 12/25/34 5.5 12/25/2034 3,600,000 270,006
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 2/25/36 0.33 02/25/2036 5,047,000 1,107,986
General Electric Capital Corp., Floating Rate Note, 5/11/16 0.4234 05/11/2016 350,000 350,136
Federal Home Loan Mortgage Corp., Floating Rate Note, 12/1/31 2.533 12/01/2031 49,986,196 273,816
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/15/40 5.23 12/15/2040 2,030,000 1,533,723
Nisource Finance Corp., 5.4%, 7/15/14 5.4 07/15/2014 796,000 816,726
Ascentium Equipment Receivables 2014-1 LLC, 1.04%, 1/10/17 1.04 01/10/2017 400,000 400,389
RASC Series 2005-KS7 Trust, Floating Rate Note, 8/25/35 0.59 08/25/2035 1,450,000 117,769
Structured Asset Securities Corp Mortgage Loan Trust 2005-WF4, Floating Rate Note, 11/25/35 0.51 11/25/2035 475,000 90,648
Allyl Flt% 20oct16 14-Sn1-A2b 0.3493 10/20/2016 500,000 500,053
Government National Mortgage Association, 3.5%, 5/20/39 3.5 05/20/2039 1,025,000 660,478
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 1.8864 01/25/2029 3,592,000 53,816
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 2.9005 11/05/2030 500,000 502,034
Home Equity Mortgage Trust, Floating Rate Note, 7/25/35 1.29 07/25/2035 1,113,955 574,739
Government National Mortgage Association, Floating Rate Note, 4/16/32 0.6511 04/16/2032 10,000,000 157,430
TMS International Corp., 10/2/20 4.5 10/04/2020 149,625 150,124
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC17, 5.45%, 12/12/43 5.45 12/12/2043 435,000 73,472
Wachovia Bank Commercial Mortgage Trust Series 2006-C24, Floating Rate Note, 3/15/45 5.658 03/15/2045 272,000 280,550
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/25/33 1.5 12/25/2033 700,000 41,534
CNL Commercial Mortgage Loan Trust 2003-1, Floating Rate Note, 5/15/31 (144A) 0.6511 05/15/2031 5,443,000 541,768
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 0.79 01/25/2029 6,366,000 395,107
Federal Home Loan Mortgage Corp. REMICS, 5.5%, 10/15/35 5.5 10/15/2035 1,625,000 108,444
MGM Resorts International, 12/20/19 3.5 12/13/2019 345,625 345,301
Government National Mortgage Association II, 6.0%, 8/20/19 6.0 08/20/2019 2,911,151 195,711
Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A) 0.4488 04/25/2022 500,000 460,275
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 0.617 11/21/2016 1,500,000 1,498,124
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 0.45 05/25/2036 5,518,315 587,843
Capital One Financial Corp., Floating Rate Note, 11/6/15 0.8629 11/06/2015 750,000 753,759
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 0.5274 11/23/2016 500,000 501,174
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 0.855 04/25/2035 159,800 139,475
RENT-A-CENTER, INC, Term Loan (2014), 2/6/21 3.75 02/06/2021 550,000 545,875
Government National Mortgage Association, Floating Rate Note, 8/20/40 0.4493 08/20/2040 1,000,000 698,270
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 0.35 01/25/2036 311,384 62,679
Costco Wholesale Corp., 1.125%, 12/15/17 1.125 12/15/2017 740,000 740,712
Navistar Financial Dealer Note Master Trust, Floating Rate Note, 1/25/18 (144A) 0.82 01/25/2018 510,000 510,149
Wells Fargo & Co., Floating Rate Note, 4/23/18 0.8559 04/23/2018 575,000 580,204
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 4.0203 06/28/2016 250,000 252,536
Lincoln National Corp., 4.3%, 6/15/15 4.3 06/15/2015 250,000 264,028
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 0.5511 03/15/2041 3,243,333 901,387
Genworth Holdings, Inc., 5.75%, 6/15/14 5.75 06/15/2014 500,000 514,085
MASTR Alternative Loan Trust 2004-13, 4.5%, 1/25/15 4.5 01/25/2015 2,000,000 5,515
Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36 0.64 06/25/2036 412,000 251,928
Hilton Worldwide Finance LLC, 9/23/20 3.5 09/23/2020 435,000 433,973
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/15 5.0 12/15/2015 500,000 545,078
GE Business Loan Trust 2004-2, Floating Rate Note, 12/15/32 (144A) 0.3711 12/15/2032 2,533,274 615,649
Rbscf 3.686% 15apr24 10-Mb1-A2 3.686 04/15/2024 2,440,000 1,842,790
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 1.1511 03/15/2032 15,667,000 215,525
CPS Auto Receivables Trust 2013-A, 1.89%, 6/15/20 (144A) 1.89 06/15/2020 690,000 499,935
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.5011 11/15/2036 600,000 122,787
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 2.4505 07/25/2033 7,700,000 1,017,076
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 0.3511 08/15/2026 370,000 154,805
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 6.8855 04/07/2017 750,000 786,838
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.6 09/25/2037 2,524,000 122,010
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 8.549 01/05/2017 750,000 802,442
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 0.7522 08/15/2019 525,000 527,058
U.S. Treasury Notes, 1.5%, 8/31/18 1.5 08/31/2018 5,500,000 5,568,545
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 0.6 07/25/2034 2,600,000 274,687
The Bank of New York Mellon Corp., Floating Rate Note, 10/23/15 0.4559 10/23/2015 595,000 596,515
American Express Credit Corp., Floating Rate Note, 6/12/15 1.3344 06/12/2015 200,000 202,631
AmeriCredit Automobile Receivables Trust 2013-4, 0.74%, 11/8/16 0.74 11/08/2016 500,000 382,461
Csfb Flt% 25jul35 05-6-1a2 0.42 07/25/2035 2,850,000 328,994
Government National Mortgage Association, Floating Rate Note, 2/16/30 0.8011 02/16/2030 14,415,492 236,370
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 0.6 02/25/2038 624,000 206,088
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/31 2.375 11/01/2031 1,399,950 6,980
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 0.55 03/25/2034 4,612,000 310,442
Cardinal Health, Inc., 4.0%, 6/15/15 4.0 06/15/2015 500,000 527,567
Federal National Mortgage Association, Floating Rate Note, 6/25/36 0.55 06/25/2036 7,000,000 910,628
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 2.7 08/15/2018 125,000 128,691
Federal National Mortgage Association, 2.5%, 4/25/36 2.5 04/25/2036 635,000 261,699
Federal Home Loan Mortgage Corp., 5.0%, 12/1/39 5.0 12/01/2039 265,000 130,951
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/41 0.5811 06/15/2041 1,220,000 371,823
Fly Funding II Sarl, 8/8/18 4.5 08/09/2018 390,000 392,762
GE Business Loan Trust 2006-2, Floating Rate Note, 11/15/34 (144A) 0.3311 11/15/2034 1,920,423 816,461
Royal Bank of Canada, Floating Rate Note, 1/23/17 0.5559 01/23/2017 550,000 550,772
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 0.5 09/25/2036 1,275,000 205,161
ABN AMRO Bank NV, 1.375%, 1/22/16 (144A) 1.375 01/22/2016 500,000 507,068
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 2.6021 06/25/2030 731,690 141,766
Morgan Stanley Capital I Trust 2005-TOP17, 4.78%, 12/13/41 4.78 12/13/2041 660,000 512,693
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 1.05 04/25/2032 10,133,000 659,541
Morgan Stanley ABS Capital I Inc Trust 2005-NC2, Floating Rate Note, 3/25/35 0.78 03/25/2035 627,000 384,373
BPCE SA, Floating Rate Note, 4/25/16 1.4788 04/25/2016 550,000 559,211
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 2.4984 05/25/2033 9,158,341 307,787
KeyBank NA Cleveland Ohio, 1.65%, 2/1/18 1.65 02/01/2018 1,000,000 1,008,068
JOHN DEERE CAPITAL Corp., Floating Rate Note, 2/25/16 0.3272 02/25/2016 500,000 499,851
American Express Credit Corp., 5.125%, 8/25/14 5.125 08/25/2014 553,000 566,646
AXIS Equipment Finance Receivables II LLC, 3.81%, 12/20/16 3.81 12/20/2016 400,000 401,189
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 0.5759 05/23/2016 1,050,000 1,056,266
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/15/26 (144A) 2.1011 03/15/2026 399,000 397,541
FMG Resources August 2006 Pty, Ltd., 6/30/19 3.75 06/30/2019 98,505 98,513
Duke Energy Carolinas LLC, 1.75%, 12/15/16 1.75 12/15/2016 750,000 774,474
Morgan Stanley Capital I Trust 2005-HQ6, 4.989%, 8/13/42 4.989 08/13/2042 1,815,000 1,878,896
Federal Home Loan Mortgage Corp., 5.5%, 8/1/23 5.5 08/01/2023 1,563,938 71,250
GS Mortgage Securities Corp II, Floating Rate Note, 11/8/29 (144A) 1.601 11/08/2029 400,000 403,434
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 4.0253 05/18/2016 250,000 252,036
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 0.6836 03/22/2016 475,000 475,296
SunTrust Bank, Floating Rate Note, 2/15/17 0.6639 02/15/2017 500,000 500,700
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 2.25 08/20/2025 290,000 197,765
John Deere Capital Corp., 2.95%, 3/9/15 2.95 03/09/2015 950,000 975,755
Activision Blizzard, Inc., 7/26/20 3.25 07/26/2020 450,000 451,055
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.4 06/25/2037 1,010,000 112,548
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 0.6 06/25/2036 199,992 177,684
AmeriCredit Automobile Receivables Trust 2010-2, 6.24%, 6/8/16 6.24 06/08/2016 567,000 577,111
The PNC Financial Services Group, Inc., Floating Rate Note, 2/21/49 (Perpetual) 4.447 05/29/2049 600,000 602,015
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 0.61 03/25/2030 7,273,883 570,668
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.38 04/25/2031 3,723,496 678,694
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 1.151 11/18/2032 24,329,000 529,512
Government National Mortgage Association I, 6.0%, 3/15/17 6.0 03/15/2017 10,311,138 259,623
Sequoia Mortgage Trust 2004-12, Floating Rate Note, 1/20/35 0.6369 01/20/2035 3,700,000 267,288
Nissan Motor Acceptance Corp., 4.5%, 1/30/15 (144A) 4.5 01/30/2015 100,000 104,072
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25 0.4511 08/15/2025 8,280,485 777,049
Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43 2.188 06/25/2043 3,857,000 136,783
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 0.4 02/25/2037 4,308,000 240,192
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 0.45 03/25/2036 11,585,646 1,836,389
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 2/15/38 5.014 02/15/2038 855,000 748,688
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 4.5456 12/06/2016 1,150,000 1,189,416
Hologic, Inc., 8/1/19 3.25 08/01/2019 496,791 496,907
Metropolitan Life Global Funding I, 5.125%, 6/10/14 (144A) 5.125