Pioneer Investments: Pioneer Short Term Income Fund


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Pioneer Short Term Income Fund

Monthly Portfolio Holdings as of 6/30/2014

Security Name Coupon Maturity Date Par / Shares Market Value($)
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/25/35 0.887 02/25/2035 1,496,373 419,202
Duke Energy Progress, Inc., Floating Rate Note, 3/6/17 0.4295 03/06/2017 411,000 411,345
MetLife Institutional Funding II, 1.625%, 4/2/15 (144A) 1.625 04/02/2015 500,000 506,517
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 1.502 06/25/2033 393,823 252,541
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 0.591 10/25/2030 1,000,000 92,577
Altair Re, Floating Rate Note, 4/30/16 (Cat Bond) 0.0 04/30/2016 84,180 105,620
The PNC Financial Services Group, Inc., Floating Rate Note, 2/21/49 (Perpetual) 4.447 05/29/2049 600,000 603,039
American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A) 0.6022 05/26/2016 1,675,000 1,683,198
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 7/10/43 4.857 07/10/2043 645,000 628,066
Senior Housing Properties Trust, 4.3%, 1/15/16 4.3 01/15/2016 290,000 306,234
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/36 0.402 04/25/2036 1,737,000 373,649
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 0.612 06/25/2034 13,470,000 654,626
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/15/36 0.4718 11/15/2036 2,046,908 117,620
U.S. Treasury Notes, 0.375%, 2/15/16 0.375 02/15/2016 4,500,000 4,511,614
Avago Technologies Ltd 1st Lien Tl-B L + 3% 16apr21 3.75 04/16/2021 395,000 396,832
Gentiva Health Services, Inc., Initial Term B Loan, 10/10/19 6.5 10/10/2019 223,813 224,232
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 0.552 07/25/2018 2,444,000 88,032
Irwin Home Equity Loan Trust 2005-1, 5.32%, 6/25/35 (Step) 5.32 06/25/2035 900,000 148,841
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 0.5518 05/15/2041 638,000 135,002
SunGard Data Systems, Inc., Tranche C Term Loan, 2/28/17 3.902 02/28/2017 155,698 156,249
Morgan Stanley Dean Witter Capital I Trust 2001-TOP3, 6.79%, 7/15/33 6.79 07/15/2033 460,000 128,116
GE Business Loan Trust 2003-2, Floating Rate Note, 11/15/31 (144A) 0.5218 11/15/2031 1,409,576 157,331
Chesapeake Funding LLC, Floating Rate Note, 3/7/26 0.571 03/07/2026 750,000 751,148
Shell International Finance BV, Floating Rate Note, 11/15/16 0.4339 11/15/2016 750,000 751,118
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 0.892 11/25/2034 1,905,000 105,219
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 3.152 06/25/2028 1,923,500 155,568
GS Caltex Corp., 3.25%, 10/1/18 (144A) 3.25 10/01/2018 500,000 517,371
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 3.5 04/23/2020 248,116 248,451
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 3.5 08/16/2020 514,115 514,865
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.422 11/25/2035 3,786,000 506,052
Soundview Home Loan Trust 2005-3, Floating Rate Note, 6/25/35 0.932 06/25/2035 600,000 111,726
Barclays Dryrock Issuance Trust, Floating Rate Note, 3/16/20 0.4905 03/16/2020 500,000 500,232
NorthStar 2013-1, Floating Rate Note, 8/25/29 (144A) 2.002 08/25/2029 778,000 777,909
Albertsons LLC, Term B-2 Loan, 3/21/19 4.75 03/21/2019 646,754 650,909
Blue Danube II, Ltd., Floating Rate Note, 5/23/16 (Cat Bond) (144A) 0.0234 05/23/2016 500,000 506,944
Bear Stearns Asset Backed Securities I Trust 2005-HE6, Floating Rate Note, 6/25/35 0.872 06/25/2035 1,350,000 68,909
Telecom Italia Capital SA, 4.95%, 9/30/14 4.95 09/30/2014 750,000 765,384
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 0.452 09/25/2036 1,226,000 195,941
Collateralized Mortgage Obligation Trust 44, Floating Rate Note, 7/1/18 1.2 07/01/2018 13,590,000 57,063
Steward Health Care System LLC, Term Loan, 4/10/20 6.75 04/12/2020 298,496 295,138
Equity One Mortgage Pass-Through Trust 2004-3, Floating Rate Note, 7/25/34 0.472 07/25/2034 3,011,000 183,486
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 1.1518 03/15/2032 15,667,000 212,174
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 0.857 04/25/2035 159,800 135,182
Activision Blizzard, Inc., Term Loan, 7/26/20 3.25 07/26/2020 450,000 451,808
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 0.352 12/25/2036 2,600,000 643,200
Volt14-Npl4 Flt% 27apr54 A1   04/27/2054 1,700,000 1,698,301
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 8.2229 05/07/2015 500,000 524,413
Ally Auto Receivables Trust 2014-SN1, Floating Rate Note, 10/20/16 0.353 10/20/2016 500,000 500,039
Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A) 1.55 11/15/2017 195,000 196,295
Citigroup, Inc., Floating Rate Note, 11/15/16 0.9039 11/15/2016 750,000 754,676
Prudential Financial, Inc., 3.875%, 1/14/15 3.875 01/14/2015 500,000 518,253
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 0.432 09/25/2035 3,300,000 306,618
Credit Suisse First Boston Mortgage Securities Corp., 4.832%, 4/15/37 4.832 04/15/2037 1,080,143 1,107,773
CAM Mortgage Trust 2014-1, 3.3515%, 12/15/53 (Step) (144A) 3.3515 12/15/2053 660,000 334,816
Fresenius US Finance I, Inc., Tranche B Term Loan, 8/7/19 2.2341 08/06/2019 496,250 497,594
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 0.5518 03/15/2041 3,243,333 875,663
Structured Asset Securities Corp Mortgage Loan Trust 2006-BC4, Floating Rate Note, 12/25/36 0.262 12/25/2036 435,585 972
Government National Mortgage Association, 3.5%, 2/20/33 3.5 02/20/2033 1,500,000 124,759
GE Capital Credit Card Master Note Trust, 1.03%, 1/15/18 1.03 01/15/2018 300,000 301,031
Wells Fargo Mortgage Backed Securities Trust, Floating Rate Note, 8/25/34 4.8572 08/25/2034 3,105,000 198,815
Fannie Mae, Floating Rate Note, 11/1/25 2.245 11/01/2025 700,000 3,624
Federal National Mortgage Association, 3.5%, 1/25/24 3.5 01/25/2024 7,225,000 617,514
Telefonica Emisiones SAU, 3.992%, 2/16/16 3.992 02/16/2016 500,000 530,984
ZIGGO BV, (USD) TLB3, 1/15/22   01/15/2022 476,177 470,947
Export-Import Bank of Korea, 1.25%, 11/20/15 1.25 11/20/2015 500,000 503,294
Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44 1.9513 12/25/2044 1,225,000 256,942
Nationstar Mortgage Loan Trust 2013-A, Floating Rate Note, 12/25/52 (144A) 3.75 12/25/2052 600,000 525,727
Thermo Fisher Scientific, Inc., 2.4%, 2/1/19 2.4 02/01/2019 1,000,000 1,023,509
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 0.4841 09/30/2016 500,000 501,083
Anheuser-Busch InBev Worldwide, Inc., 4.125%, 1/15/15 4.125 01/15/2015 580,000 602,645
TAL Advantage V LLC, 1.7%, 5/20/39 (144A) 1.7 05/20/2039 400,000 391,948
Credit Suisse First Boston Mortgage Securities Corp., 4.829%, 11/15/37 4.829 11/15/2037 204,829 174,294
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 0.5898 03/13/2017 650,000 651,056
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 0.3618 04/15/2022 580,444 575,651
GATX Corp., 1.25%, 3/4/17 1.25 03/04/2017 750,000 750,466
Federal National Mortgage Association, 4.5%, 6/25/40 4.5 06/25/2040 4,200,000 1,249,024
Wachovia Bank Commercial Mortgage Trust Series 2006-C24, Floating Rate Note, 3/15/45 5.658 03/15/2045 272,000 281,740
Kane Flt% 12jun15   06/12/2015 600,000 530,940
RESI Finance LP, Floating Rate Note, 9/10/35 (144A) 1.5535 09/10/2035 2,618,783 522,834
Starbucks Corp., 0.875%, 12/5/16 0.875 12/05/2016 605,000 605,970
Cfab 4.277% 25nov34 03-6-1a7 4.277 11/25/2034 1,400,000 217,226
NiSource Finance Corp., 5.4%, 7/15/14 5.4 07/15/2014 796,000 817,252
BPCE SA, Floating Rate Note, 4/25/16 1.4788 04/25/2016 550,000 560,027
Structured Asset Mortgage Investments II Trust 2005-AR2, Floating Rate Note, 5/25/45 3.3602 05/25/2045 5,000,000 484,876
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 4.5 07/01/2019 1,467,130 191,798
Mas Flt% 01nov25 Massachusetts St 0.701 11/01/2025 1,000,000 983,532
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/41 0.702 09/25/2041 750,000 496,787
Federal National Mortgage Association, 5.0%, 8/25/22 5.0 08/25/2022 9,200,000 285,633
Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A) 2.0779 01/26/2020 553,000 525,828
Credit Suisse First Boston Mortgage Securities Corp., 4.686%, 7/15/37 4.686 07/15/2037 890,000 896,458
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 0.652 06/25/2035 1,526,722 618,692
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/15 5.0 12/15/2015 500,000 532,326
Honda Auto Receivables 2011-2 Owner Trust, 1.55%, 8/18/17 1.55 08/18/2017 350,000 315,000
GTP Towers Issuer LLC, 8.112%, 2/15/15 (144A) 8.112 02/15/2015 1,070,000 1,095,906
CHL Mortgage Pass-Through Trust 2002-J4, 5.5%, 10/25/32 5.5 10/25/2032 10,625,000 732,561
Hsbc Flt% 23jun17 0.53 06/23/2017 750,000 748,758
Caterpillar Financial Services Corp., 1.35%, 9/6/16 1.35 09/06/2016 1,125,000 1,142,706
Health Care Real Estate Investment Trust, Inc., 2.25%, 3/15/18 2.25 03/15/2018 500,000 510,978
Federal National Mortgage Association, 5.0%, 7/25/32 5.0 07/25/2032 7,363,000 373,409
Southern Pacific Secured Asset Corp., Floating Rate Note, 3/25/28 0.552 03/25/2028 32,000,000 297,177
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A) 0.6396 03/10/2017 500,000 500,059
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 0.402 02/25/2037 4,308,000 229,424
Federal Home Loan Mortgage Corp. REMICS, 5.5%, 10/15/35 5.5 10/15/2035 1,625,000 100,543
HLSS Servicer Advance Receivables Trust, 1.2437%, 1/17/45 1.2437 01/17/2045 1,250,000 1,251,691
U.S. Treasury Notes, 1.5%, 8/31/18 1.5 08/31/2018 5,500,000 5,556,362
Global SC Finance II SRL, 4.11%, 7/19/27 (144A) 4.11 07/19/2027 250,000 203,164
East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (144A) 2.783 03/14/2018 500,000 494,200
PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29 1.44 05/15/2029 400,000 375,745
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 0.602 05/25/2018 11,040,000 522,118
Government National Mortgage Association, 3.5%, 8/20/38 3.5 08/20/2038 1,115,000 532,819
ANZ New Zealand Int'l, Ltd. London, 1.125%, 3/24/16 (144A) 1.125 03/24/2016 1,000,000 1,008,690
United Auto Credit Securitization Trust 2012-1, 3.12%, 3/15/18 (144A) 3.12 03/15/2018 1,220,000 1,230,168
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 0.452 10/25/2035 1,878,000 211,242
Federal National Mortgage Association REMICS, 4.0%, 5/25/29 4.0 05/25/2029 2,000,000 2,131,933
Sdart 3.28% 15jun16 11-2-C 3.28 06/15/2016 700,000 707,605
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 10.2304 01/07/2015 400,000 423,556
PHH Mortgage Capital LLC, 6.6%, 12/25/27 (Step) (144A) 6.6 12/25/2027 1,000,000 107,230
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 0.952 10/25/2034 2,125,000 122,359
Wells Fargo Commercial Mortgage Trust 2014-TISH, Floating Rate Note, 2/15/27 (144A) 1.1818 02/15/2027 690,000 691,880
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 1.55%, 9/9/16 (144A) 1.55 09/09/2016 1,000,000 1,015,717
Fosse Master Issuer Plc, Floating Rate Note, 10/18/54 (144A) 1.7279 10/18/2054 100,000 101,899
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 0.5498 09/13/2016 250,000 249,072
Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16 1.0721 06/17/2016 560,000 565,061
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 1.47 05/15/2018 200,000 74,748
Toyota Motor Credit Corp., 0.75%, 3/5/17 (Step) 0.75 03/05/2017 1,500,000 1,494,465
Cat 1% 25nov16 1.0 11/25/2016 1,000,000 1,005,186
Capital One Financial Corp., Floating Rate Note, 11/6/15 0.8629 11/06/2015 750,000 754,667
Fannie Mae, 5.5%, 12/1/35 5.5 12/01/2035 1,000,000 82,056
L-3 Communications Corp., 1.5%, 5/28/17 1.5 05/28/2017 586,000 587,607
Milacron LLC, Term Loan, 3/28/20 4.0 03/12/2020 498,750 498,646
Springleaf Mortgage Loan Trust 2012-2, Floating Rate Note, 10/25/57 (144A) 2.22 10/25/2057 424,000 241,449
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 0.502 08/25/2036 1,173,000 347,665
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 0.652 01/25/2033 2,782,000 111,079
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/40 0.452 08/25/2040 692,000 363,206
Fannie Mae, 5.0%, 7/1/15 5.0 07/01/2015 1,000,000 22,573
Cah Flt% 17jul31 C   07/17/2031 600,000 600,764
General Electric Capital Corp., Floating Rate Note, 1/14/16 0.4571 01/14/2016 925,000 926,905
Total Capital Canada, Ltd., Floating Rate Note, 1/15/16 0.6065 01/15/2016 1,115,000 1,121,590
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 2.001 05/07/2024 250,000 252,028
Bear Stearns Asset Backed Securities Trust 2003-SD2, Floating Rate Note, 6/25/43 4.6546 06/25/2043 3,896,100 307,844
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 0.4529 01/20/2021 1,000,000 391,350
Morgan Stanley, Floating Rate Note, 2/25/16 1.4772 02/25/2016 500,000 507,746
GMAC Commercial Mortgage Securities Inc Series 2004-C2 Trust, Floating Rate Note, 8/10/38 5.301 08/10/2038 1,465,000 366,904
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 2.3018 06/15/2016 1,000,000 1,009,875
Hercules Capital Funding Trust 2012-1, 3.32%, 12/16/17 (144A) 3.32 12/16/2017 250,000 90,461
Pfizer, Inc., Floating Rate Note, 5/15/17 0.3739 05/15/2017 750,000 750,354
Equity One Mortgage Pass-Through Trust 2004-2, Floating Rate Note, 7/25/34 4.624 07/25/2034 1,925,000 498,205
Eqty14-Inns Flt% 08may19 B   05/08/2019 1,020,000 1,020,594
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/15/30 (144A) 1.9018 12/15/2030 410,000 411,259
Sequoia Mortgage Trust 2004-12, Floating Rate Note, 1/20/35 0.6154 01/20/2035 3,700,000 262,629
Fannie Mae, Floating Rate Note, 4/1/28 2.588 04/01/2028 400,000 3,378
CeramTec Acquisition Corp., Initial Dollar Term B-2 Loan, 8/30/20 4.25 08/30/2020 20,955 21,038
LB-UBS Commercial Mortgage Trust 2008-C1, Floating Rate Note, 4/15/41 6.3198 04/15/2041 210,000 109,945
Ford Motor Credit Co LLC, 2.75%, 5/15/15 2.75 05/15/2015 950,000 971,577
Federal Home Loan Mortgage Corp., 5.75%, 2/15/34 5.75 02/15/2034 1,034,000 109,304
NCUA Guaranteed Notes Trust REMICS, 1.6%, 10/29/20 1.6 10/29/2020 500,000 211,922
Merrill Lynch Mortgage Trust 2005-CIP1, Floating Rate Note, 7/12/38 5.047 07/12/2038 630,000 654,348
Equity One Mortgage Pass-Through Trust 2003-1, Floating Rate Note, 8/25/33 0.892 08/25/2033 11,389,000 398,534
JPMorgan Chase & Co., 1.875%, 3/20/15 1.875 03/20/2015 823,000 835,757
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 1.7481 08/20/2034 5,000,000 269,093
Union Bank NA, Floating Rate Note, 9/26/16 0.9836 09/26/2016 1,450,000 1,464,670
Origen Manufactured Housing Contract Trust 2004-A, Floating Rate Note, 1/15/35 5.91 01/15/2035 600,000 277,588
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 1.7513 02/13/2032 1,850,000 1,862,229
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 8.7804 06/06/2015 500,000 523,619
Fmcf Flt% 26jun15 14-1a-A2a   06/26/2015 750,000 750,072
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 2.402 03/25/2032 1,100,000 592,046
Commonwealth Bank of Australia, Floating Rate Note, 9/18/15 (144A) 1.0306 09/18/2015 460,000 464,100
TD Ameritrade Holding Corp., 4.15%, 12/1/14 4.15 12/01/2014 705,000 718,411
IndyMac INDX Mortgage Loan Trust 2004-AR6, Floating Rate Note, 10/25/34 2.7023 10/25/2034 675,000 82,258
Bank of America Corp., 1.35%, 11/21/16 1.35 11/21/2016 500,000 502,221
TMS International Corp., Term B Loan, 10/2/20 4.5 10/04/2020 149,250 149,810
Credit Acceptance Auto Loan Trust 2013-2, 1.5%, 4/15/21 (144A) 1.5 04/15/2021 1,000,000 1,007,873
Mastr Asset Backed Securities Trust 2005-WMC1, Floating Rate Note, 3/25/35 0.827 03/25/2035 215,000 79,213
Freddie Mac REMICS, Floating Rate Note, 2/15/32 1.1018 02/15/2032 14,441,000 1,050,757
Federal Home Loan Mortgage Corp., Floating Rate Note, 5/1/25 2.164 05/01/2025 588,110 6,595
COMM 2013-FL3 Mortgage Trust, Floating Rate Note, 10/13/28 (144A) 1.6688 10/13/2028 1,000,000 997,343
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/36 0.332 06/25/2036 284,000 66,567
Fannie Mae, Floating Rate Note, 10/1/36 2.021 10/01/2036 1,877,185 319,463
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 3.75 08/20/2025 403,000 269,602
Exeter Automobile Receivables Trust 2014-2, 1.42%, 8/15/18 1.42 08/15/2018 400,000 400,342
NorthStar Realty Finance Corp., 3.0%, 9/30/14 3.0 09/30/2014 2,330,000 2,343,399
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.402 03/25/2037 8,873,506 269,989
CSMC Trust 2010-16, Floating Rate Note, 6/25/50 (144A) 3.5684 06/25/2050 600,000 302,846
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 1.5833 03/25/2044 20,000,000 245,379
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 0.412 12/25/2035 815,490 245,766
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 2.49 02/25/2034 3,584,000 377,395
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 0.4995 02/28/2041 1,639,000 203,330
Duke Energy Corp., 3.95%, 9/15/14 3.95 09/15/2014 395,000 402,446
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 3.5304 01/06/2019 500,000 486,811
Banco Nacional de Desenvolvimento Economico e Social, 3.375%, 9/26/16 (144A) 3.375 09/26/2016 1,000,000 1,042,656
Fnma Flt% 16aug17 0.75 08/16/2017 410,000 411,476
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 3.25 11/05/2020 498,750 497,555
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 0.602 02/25/2038 624,000 198,733
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 3.5304 05/05/2017 750,000 748,310
Kizuna II Re, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A) 2.2508 04/06/2018 450,000 451,125
Federal Home Loan Mortgage Corp., 4.0%, 5/15/37 4.0 05/15/2037 1,753,000 198,581
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 8.1034 01/07/2016 250,000 264,115
Fannie Mae, Floating Rate Note, 2/1/27 2.45 02/01/2027 4,000,000 17,124
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 1.1518 03/15/2032 35,466,000 361,802
Volkswagen International Finance NV, 1.6%, 11/20/17 (144A) 1.6 11/20/2017 500,000 504,272
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/9/21 0.682 03/09/2021 800,000 409,683
KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A) 1.6739 05/15/2021 375,000 368,480
Government National Mortgage Association, Floating Rate Note, 4/16/32 0.6518 04/16/2032 10,000,000 155,205
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 0.502 05/25/2036 6,641,000 261,689
Fannie Mae, Floating Rate Note, 10/1/29 2.57 10/01/2029 4,831,796 106,420
Government National Mortgage Association, Floating Rate Note, 1/16/40 0.7018 01/16/2040 2,000,000 772,287
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36 0.572 08/25/2036 4,040,000 516,125
Texas Instruments, Inc., 0.875%, 3/12/17 0.875 03/12/2017 500,000 500,726
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 0.702 05/25/2040 761,373 382,459
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 0.452 03/25/2036 11,585,646 1,586,024
Iberdrola Finance Ireland, Ltd., 3.8%, 9/11/14 (144A) 3.8 09/11/2014 1,000,000 1,017,673
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 2.7 08/15/2018 125,000 128,643
JP Morgan Mortgage Trust 2004-A5, Floating Rate Note, 12/25/34 2.2768 12/25/2034 245,000 199,514
Wells Fargo Mortgage Backed Securities 2005-AR6 Trust, Floating Rate Note, 4/25/35 4.9783 04/25/2035 3,371,000 271,192
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 0.3068 05/15/2047 250,000 105,322
Td Flt% 02jul19 0.6707 07/02/2019 750,000 749,632
Bayview Financial Acquisition Trust, Floating Rate Note, 5/28/44 0.7795 05/28/2044 7,600,000 158,606
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 0.4518 02/15/2039 288,000 167,880
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 2.25 06/25/2043 314,000 271,654
Verizon Communications, Inc., 3.0%, 4/1/16 3.0 04/01/2016 500,000 522,135
Cgcc14-Fl1 Flt% 15jun31 A 1.0995 06/15/2031 1,630,000 1,630,050
Wells Fargo Alternative Loan 2005-2 Trust, Floating Rate Note, 10/25/35 0.562 10/25/2035 453,135 448,655
MASTR Seasoned Securitization Trust 2005-1, Floating Rate Note, 9/25/32 6.6223 09/25/2032 2,500,000 171,324
Commonwealth Edison Co., 1.95%, 9/1/16 1.95 09/01/2016 500,000 516,491
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 4.799 08/10/2042 485,000 491,207
Structured Asset Securities Corp Mortgage Loan Trust 2005-WF4, Floating Rate Note, 11/25/35 0.512 11/25/2035 475,000 83,078
Discover Card Execution Note Trust, 0.81%, 8/15/17 0.81 08/15/2017 500,000 501,628
Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35 5.5 05/25/2035 4,068,000 104,460
Branch Banking & Trust Co., 2.3%, 10/15/18 2.3 10/15/2018 500,000 511,896
The Bank of New York Mellon Corp., Floating Rate Note, 7/28/14 0.4979 07/28/2014 110,000 110,121
Bank of America Corp., 3.7%, 9/1/15 3.7 09/01/2015 500,000 523,079
Credit Suisse First Boston Mortgage Securities Corp., 7.5%, 5/25/32 7.5 05/25/2032 15,000,000 320,587
Residential Asset Securitization Trust 2004-A9, 5.75%, 12/25/34 5.75 12/25/2034 870,000 383,316
Government National Mortgage Association II, 6.0%, 10/20/21 6.0 10/20/2021 3,113,223 611,189
Hgvt 2.07% 25nov26 B 2.07 11/25/2026 750,000 750,818
Fannie Mae, 4.5%, 1/1/41 4.5 01/01/2041 580,000 321,376
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 0.4018 06/15/2033 1,192,482 701,788
Adjustable Rate Mortgage Trust 2005-2, Floating Rate Note, 6/25/35 0.932 06/25/2035 345,151 276,303
Fieldwood Energy LLC, Closing Date Loan, 9/25/18 3.875 09/25/2018 993,747 998,172
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 0.602 06/25/2036 2,317,493 270,641
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 0.773 09/20/2033 4,626,000 223,676
Wachovia Mortgage Loan Trust Series 2005-WMC1, Floating Rate Note, 10/25/35 0.892 10/25/2035 750,000 165,853
Government National Mortgage Association, 3.0%, 12/20/38 3.0 12/20/2038 1,000,000 174,944
Amcar Flt% 10oct17 14-2-A2b   10/10/2017 380,000 380,120
Banc of America Large Loan Trust 2007-BMB1, Floating Rate Note, 8/15/29 (144A) 1.251 08/15/2029 986,000 986,128
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/33 0.4618 04/15/2033 22,025,143 963,177
KeyBank NA Cleveland Ohio, 1.65%, 2/1/18 1.65 02/01/2018 1,000,000 1,007,736
Deutsche Telekom International Finance BV, 4.875%, 7/8/14 4.875 07/08/2014 1,000,000 1,024,046
Csfb Flt% 25jul35 05-6-1a2 0.422 07/25/2035 2,850,000 328,938
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 0.612 01/25/2035 3,700,000 568,435
Comm Flt% 11jun27 14-Kyo-C   06/11/2027 1,630,000 1,630,000
John Deere Capital Corp., 1.05%, 12/15/16 1.05 12/15/2016 750,000 753,083
Federal National Mortgage Association REMICS, 6.0%, 3/25/35 6.0 03/25/2035 1,000,000 59,525
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 0.5274 11/23/2016 500,000 501,708
Wachovia Bank Commercial Mortgage Trust Series 2005-C20, Floating Rate Note, 7/15/42 5.118 07/15/2042 530,000 502,410
Ford Credit Auto Owner Trust 2013-C, 0.55%, 4/15/16 0.55 04/15/2016 385,000 197,813
Government National Mortgage Association, Floating Rate Note, 2/20/38 0.653 02/20/2038 2,477,000 248,427
Federal National Mortgage Association, 4.5%, 3/25/37 4.5 03/25/2037 6,000,000 232,959
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 0.552 03/25/2034 763,500 243,084
TransCanada PipeLines, Ltd., 0.875%, 3/2/15 0.875 03/02/2015 490,000 493,186
Acer 3.1% 10jun21 14-1a-D 3.1 06/10/2021 700,000 706,330
ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A) 3.081 09/25/2025 430,000 267,879
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 0.402 07/25/2035 3,227,000 433,367
GE Business Loan Trust 2006-2, Floating Rate Note, 11/15/34 (144A) 0.3318 11/15/2034 1,920,423 810,275
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 0.792 03/25/2034 17,398,000 1,112,272
NovaStar Mortgage Funding Trust Series 2004-3, Floating Rate Note, 12/25/34 1.727 12/25/2034 560,000 525,507
COMM 2007-FL14 Mortgage Trust, Floating Rate Note, 6/15/22 (144A) 0.4518 06/15/2022 2,937,000 615,294
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/37 0.402 04/25/2037 944,568 201,983
LPL Holdings, Inc., 2013 Incremental Tranche B Term Loan, 3/29/19 3.25 03/29/2019 146,644 146,644
Federal National Mortgage Association, 4.0%, 1/1/20 4.0 01/01/2020 7,280,000 1,471,827
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 3.75 06/30/2019 98,258 98,462
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 8.0304 06/06/2016 250,000 272,939
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 2.6878 10/25/2033 1,500,000 181,349
Electricite de France SA, Floating Rate Note, 1/20/17 (144A) 0.6879 01/20/2017 750,000 754,072
Fannie Mae, 6.5%, 8/1/17 6.5 08/01/2017 667,089 21,384
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 0.5806 12/15/2016 250,000 249,484
Government National Mortgage Association I, 6.0%, 3/15/17 6.0 03/15/2017 10,311,138 250,394
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 2.5518 10/15/2015 525,000 531,041
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MHQ, Floating Rate Note 1.277 12/25/2034 660,000 660,195
Intesa Sanpaolo S.p.A., 3.125%, 1/15/16 3.125 01/15/2016 500,000 521,157
Armor Re, Ltd., Floating Rate Note, 12/15/16 (Cat Bond) (144A) 4.0304 12/15/2016 300,000 296,047
American Home Mortgage Investment Trust 2004-3, 5.01%, 10/25/34 (Step) 5.01 10/25/2034 4,000,000 286,173
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 0.5518 02/15/2033 20,000,000 308,964
Waupaca Foundry, Inc., Term Loan, 6/29/17 4.0 06/29/2017 293,150 294,066
Volkswagen Credit Auto Master Owner Trust, Floating Rate Note, 9/20/16 (144A) 0.833 09/20/2016 100,000 100,126
Direct Capital Funding V LLC, 4.83%, 11/20/20 (144A) 4.83 11/20/2020 750,000 766,558
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 1.21 08/15/2018 200,000 181,530
Starwood Property Mortgage Trust 2013-FV1, Floating Rate Note, 8/11/28 (144A) 1.451 08/11/2028 640,000 627,132
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 3.9669 08/25/2053 630,000 624,983
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 0.7318 10/15/2037 3,873,000 322,914
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 0.722 09/25/2036 3,447,000 269,552
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR8, 4.75%, 6/11/41 4.75 06/11/2041 415,000 428,735
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 0.342 12/25/2035 350,623 123,968
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 4/20/18 0.553 04/20/2018 694,000 696,110
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.992 01/25/2035 8,440,000 1,149,713
Hart 2.1% 15nov19 14-B-C 2.1 11/15/2019 500,000 501,636
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/33 0.6518 01/15/2033 40,000,000 1,945,102
The Boeing Co., 0.95%, 5/15/18 0.95 05/15/2018 1,050,000 1,026,937
Fnma Flt% 25nov27 03-63-F1 0.452 11/25/2027 15,797,000 552,295
Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18 2.63 03/31/2018 399,000 395,259
Sierra Timeshare 2013-1 Receivables Funding LLC, 2.39%, 11/20/29 (144A) 2.39 11/20/2029 160,000 74,518
The Geo Group, Inc., Term Loan, 4/3/20 3.25 03/28/2020 497,487 497,954
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 0.3218 04/16/2035 1,150,000 524,521
Volvo Financial Equipment LLC Series 2014-1, 0.54%, 11/15/16 (144A) 0.54 11/15/2016 415,000 415,170
Duke Energy Carolinas LLC, 1.75%, 12/15/16 1.75 12/15/2016 750,000 767,342
Banc of America Funding 2003-3 Trust, 5.5%, 10/25/33 5.5 10/25/2033 617,825 140,647
Southwire Co., Initial Term Loan, 1/31/21 3.2538 01/31/2021 305,000 305,143
WR Grace & Co., Delayed Draw Term Loan, 1/23/21 1.2341 01/23/2021 72,296 72,242
Thomson Reuters Corp., 1.3%, 2/23/17 1.3 02/23/2017 500,000 502,936
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 1.055 05/19/2033 7,644,000 410,707
Merrill Lynch Mortgage Investors Trust Series 2005-A3, Floating Rate Note, 4/25/35 0.422 04/25/2035 10,415,000 1,309,727
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 0.8472 02/26/2016 320,000 322,081
Reckitt Benckiser Treasury Services Plc, 2.125%, 9/21/18 (144A) 2.125 09/21/2018 500,000 507,290
NewStar Commercial Loan Trust 2007-1, Floating Rate Note, 9/30/22 (144A) 0.4676 09/30/2022 500,000 298,836
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/28 0.6518 04/15/2028 10,000,000 168,857
JPMorgan Chase & Co., 3.4%, 6/24/15 3.4 06/24/2015 265,000 272,831
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 3.75 12/04/2019 61,163 61,292
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 1.7724 03/25/2044 1,950,000 153,171
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 11/25/33 2.57 11/25/2033 1,400,000 81,049
Government National Mortgage Association, 1.071%, 8/16/52 1.0631 08/16/2052 2,000,000 129,119
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 1,013,207
Hyundai Motor Manufacturing Czech sro, 4.5%, 4/15/15 (144A) 4.5 04/15/2015 1,000,000 1,037,501
First Franklin Mortgage Loan Trust 2003-FFC, Floating Rate Note, 11/25/32 1.452 11/25/2032 8,000,000 445,628
Tengizchevroil Finance Co Sarl, 6.124%, 11/15/14 (144A) 6.124 11/15/2014 2,190,000 159,860
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 10/15/21 (144A) 0.3218 10/15/2021 875,000 219,878
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 0.5518 07/15/2023 835,000 211,630
Hyundai Capital Auto Funding VIII, Ltd., Floating Rate Note, 9/20/16 (144A) 1.154 09/20/2016 800,000 144,308
Verizon Communications, Inc., Floating Rate Note, 9/15/16 1.7606 09/15/2016 535,000 550,130
RAMP Series 2005-RS5 Trust, Floating Rate Note, 5/25/35 0.492 05/25/2035 360,000 14,871
LB-UBS Commercial Mortgage Trust 2005-C3, 4.739%, 7/15/30 4.739 07/15/2030 825,000 730,616
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 1.0109 11/25/2034 18,180,000 959,890
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 8.6152 04/08/2016 750,000 778,614
Williams Partners LP, 3.8%, 2/15/15 3.8 02/15/2015 750,000 775,193
RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35 5.25 07/25/2035 300,770 178,801
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 2/26/16 0.6372 02/26/2016 500,000 501,393
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 0.802 06/25/2035 995,000 281,970
Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36 0.502 05/25/2036 1,300,000 441,054
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/26/36 (144A) 2.453 05/26/2036 500,000 411,599
The Charles Schwab Corp., 0.85%, 12/4/15 0.85 12/04/2015 250,000 251,169
The Huntington National Bank, Floating Rate Note, 4/24/17 0.6536 04/24/2017 500,000 500,965
CarMax Auto Owner Trust 2012-1, 0.89%, 9/15/16 0.89 09/15/2016 745,000 392,097
The Toronto-Dominion Bank, 1.4%, 4/30/18 1.4 04/30/2018 500,000 497,027
Banc of America Funding 2004-B Trust, Floating Rate Note, 12/20/34 0.513 12/20/2034 6,667,000 548,783
Nissan Motor Acceptance Corp., 2.65%, 9/26/18 (144A) 2.65 09/26/2018 1,000,000 1,033,249
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 0.552 05/25/2037 6,826,000 288,649
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.5018 11/15/2036 600,000 120,115
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 0.892 03/25/2028 15,000,000 800,938
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/18 0.7518 08/15/2018 600,000 133,973
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 1.23 03/15/2019 1,048,000 757,749
Santander Holdings USA, Inc. Pennsylvania, 3.0%, 9/24/15 3.0 09/24/2015 2,269,000 2,348,913
Metropolitan Life Insurance Co., 7.7%, 11/1/15 (144A) 7.7 11/01/2015 1,250,000 1,375,134
Government National Mortgage Association, Floating Rate Note, 8/20/40 0.453 08/20/2040 1,000,000 681,728
Federal National Mortgage Association, Floating Rate Note, 4/25/33 0.652 04/25/2033 36,000,000 1,110,667
Sarm Flt% 25aug35 05-16xs-A1 0.492 08/25/2035 7,750,000 499,301
Federal Home Loan Banks, 2.9%, 4/20/17 2.9 04/20/2017 1,370,000 290,902
Fannie Mae, 6.0%, 4/1/38 6.0 04/01/2038 483,000 49,562
RAMP Series 2005-RZ4 Trust, Floating Rate Note, 11/25/35 0.412 11/25/2035 4,671,695 4,649
The Huntington National Bank, 1.3%, 11/20/16 1.3 11/20/2016 500,000 502,915
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2003-A3, 5.5%, 8/25/33 (Step) 5.5 08/25/2033 3,120,000 219,494
Stanwich Mortgage Loan Trust, 2.9814%, 2/16/43 (144A) 2.9814 02/16/2043 1,325,000 481,549
Bombardier, Inc., 4.25%, 1/15/16 (144A) 4.25 01/15/2016 360,000 378,755
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 0.6906 09/09/2016 500,000 502,950
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 4.0 11/08/2020 123,487 123,448
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1.802 03/25/2035 1,457,000 1,429,045
Bayview Commercial Asset Trust, Floating Rate Note, 4/25/34 (144A) 0.512 04/25/2034 4,150,000 438,761
Fannie Mae, 7.0%, 10/1/19 7.0 10/01/2019 19,053,741 155,437
Fremont Home Loan Trust 2005-2, Floating Rate Note, 6/25/35 0.612 06/25/2035 1,700,000 6,725
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25 0.4018 08/15/2025 970,000 344,996
Motor 2013-1 Plc, Floating Rate Note, 2/25/21 (144A) 0.652 02/25/2021 466,000 306,595
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 0.902 12/25/2034 1,210,753 124,991
Government National Mortgage Association, Floating Rate Note, 4/16/32 0.7018 04/16/2032 33,333,000 655,612
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 4.5 07/01/2019 1,381,464 222,417
Bank of Nova Scotia, 1.45%, 4/25/18 1.45 04/25/2018 500,000 497,834
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/34 0.502 01/25/2034 10,970,000 1,871,446
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 7.4253 01/09/2017 750,000 777,322
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP1, Floating Rate Note, 3/15/46 5.038 03/15/2046 985,000 814,927
Vodafone Group Plc, Floating Rate Note, 2/19/16 0.6109 02/19/2016 275,000 275,908
ARC Properties Operating Partnership LP, 2.0%, 2/6/17 (144A) 2.0 02/06/2017 500,000 505,231
Bank of Nova Scotia, 1.1%, 12/13/16 1.1 12/13/2016 500,000 501,790
Fannie Mae, Floating Rate Note, 11/1/24 2.549 11/01/2024 7,000,000 92,276
Bank of America Corp., 5.45%, 7/15/14 5.45 07/15/2014 450,000 462,281
SunTrust Bank, Floating Rate Note, 2/15/17 0.6639 02/15/2017 500,000 500,305
Home Equity Mortgage Trust, Floating Rate Note, 7/25/35 1.292 07/25/2035 1,113,955 533,958
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/36 0.972 05/25/2036 1,600,000 143,087
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 0.5999 01/30/2017 500,000 500,968
SilverLeaf Finance XVII LLC, 2.71%, 3/16/26 (144A) 2.71 03/16/2026 750,000 560,343
Costco Wholesale Corp., 1.125%, 12/15/17 1.125 12/15/2017 740,000 736,720
RALI Series 2003-QS15 Trust, 5.5%, 8/25/33 5.5 08/25/2033 250,000 188,412
CeramTec Service GmbH, Initial Dollar Term B-1 Loan, 8/30/20 4.25 07/30/2020 211,444 212,281
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 0.8979 07/19/2016 300,000 302,669
NovaStar Mortgage Funding Trust Series 2003-1, Floating Rate Note, 5/25/33 0.912 05/25/2033 9,715,000 272,792
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/34 0.552 04/25/2034 644,866 87,640
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 0.652 05/25/2033 4,068,000 114,623
Comm Flt% 10jun44 05-C6-A5b 5.167 06/10/2044 1,630,000 1,706,311
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 0.4518 02/15/2036 909,000 181,313
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 0.932 11/25/2034 3,200,000 459,970
State of Ohio, 3.0%, 6/15/15 3.0 06/15/2015 500,000 513,482
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19, Floating Rate Note, 2/12/49 5.8917 02/12/2049 475,000 127,551
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 4.75 04/25/2034 4,285,000 264,350
PNC Bank NA, Floating Rate Note, 4/29/16 0.5466 04/29/2016 1,111,000 1,112,502
Riverfront Re, Ltd., Floating Rate Note, 1/6/17 (Cat Bond) (144A) 4.0355 01/06/2017 320,000 312,448
PNC Bank NA, 1.3%, 10/3/16 1.3 10/03/2016 550,000 556,969
Government National Mortgage Association I, 6.0%, 11/15/36 6.0 11/15/2036 2,000,000 208,597
Anheuser-Busch Companies LLC, 5.0%, 1/15/15 5.0 01/15/2015 225,000 235,814
Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33 2.7772 09/25/2033 13,410,000 1,145,560
Tyco Electronics Group SA, 1.6%, 2/3/15 1.6 02/03/2015 640,000 648,507
Colony American Homes 2014-1, Floating Rate Note, 5/17/31 2.1 05/17/2031 700,000 700,985
HLSS Servicer Advance Receivables Trust, 1.7436%, 1/16/46 (144A) 1.7436 01/16/2046 250,000 249,619
Covidien International Finance SA, 1.35%, 5/29/15 1.35 05/29/2015 750,000 756,988
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 0.992 11/25/2034 7,155,000 422,688
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/32 0.7218 03/15/2032 26,000,000 357,692
Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43 2.1731 06/25/2043 3,857,000 136,188
Government National Mortgage Association, 3.5%, 5/20/39 3.5 05/20/2039 1,025,000 644,076
NYSE Euronext, 2.0%, 10/5/17 2.0 10/05/2017 150,000 153,562
Ah4r Flt% 17jun31 14-Sfr1-B 1.6 06/17/2031 665,000 665,541
Fhlmc Flt% 15jul28 2071-F 0.6518 07/15/2028 52,559,000 414,217
Government National Mortgage Association, 5.0%, 4/20/36 5.0 04/20/2036 850,000 133,511
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 0.4679 04/19/2021 500,000 351,000
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 0.462 02/25/2035 603,000 208,910
Resi Flt% 12dec45 A1   12/12/2045 500,000 500,466
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 0.7518 08/15/2019 525,000 526,627
Government National Mortgage Association I, 5.0%, 8/15/19 5.0 08/15/2019 1,347,915 372,160
MALLINCKRODT INTERNATIONAL FINANCE SA, Initial Term B Loan, 3/6/21 3.5 03/06/2021 299,250 299,541
Fannie Mae, 5.5%, 8/1/37 5.5 08/01/2037 2,000,000 424,160
Federal National Mortgage Association, Floating Rate Note, 8/25/35 0.452 08/25/2035 2,868,000 391,111
Berkshire Hathaway Finance Corp., Floating Rate Note, 1/10/17 0.3773 01/10/2017 1,000,000 1,001,101
Express Scripts Holding Co., 2.1%, 2/12/15 2.1 02/12/2015 732,000 745,323
Amgen, Inc., 2.5%, 11/15/16 2.5 11/15/2016 500,000 519,478
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 10/15/18 3.5 10/15/2018 500,000 113,967
CDC Mortgage Capital Trust 2002-HE1, Floating Rate Note, 1/25/33 0.772 01/25/2033 19,484,513 431,010
SMA Issuer I LLC, 3.5%, 8/20/25 (144A) 3.5 08/20/2025 140,130 7,709
Walgreen Co., 1.8%, 9/15/17 1.8 09/15/2017 1,000,000 1,013,956
WCP Wireless Site Funding, 6.829%, 11/15/15 (144A) 6.829 11/15/2015 1,155,000 1,205,090
Nissan Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 0.4218 01/15/2016 240,000 234,710
Equity One Mortgage Pass-Through Trust 2004-1, Floating Rate Note, 4/25/34 4.145 04/25/2034 1,840,000 471,666
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 0.4518 02/15/2030 586,107 295,515
Home Equity Asset Trust 2005-3, Floating Rate Note, 8/25/35 0.812 08/25/2035 250,000 31,714
SNAAC Auto Receivables Trust 2013-1, 1.14%, 7/16/18 (144A) 1.14 07/16/2018 404,000 122,042
ConocoPhillips Co., 1.05%, 12/15/17 1.05 12/15/2017 1,000,000 990,835
WMC Mortgage Loan Trust 1998-B, Floating Rate Note, 10/20/29 0.663 10/20/2029 8,000,000 236,067
Cardinal Health, Inc., 4.0%, 6/15/15 4.0 06/15/2015 500,000 517,487
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 0.872 09/25/2034 12,500,000 526,359
Fiaot 1.81% 15oct18 13-1a-B 1.81 10/15/2018 55,000 55,426
Sector Re V, Ltd., 0.0%, 3/30/19 (Cat Bond) (144A) 0.0 03/30/2019 300,000 303,870
Georgia Power Co., Floating Rate Note, 3/15/16 0.5506 03/15/2016 827,000 826,554
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 2.4984 05/25/2033 9,158,341 292,674
HSBC USA, Inc., 2.375%, 2/13/15 2.375 02/13/2015 780,000 796,807
World Financial Network Credit Card Master Trust, Floating Rate Note, 2/15/19 0.5318 02/15/2019 950,000 951,464
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 0.772 10/25/2028 8,393,000 497,931
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/15/26 (144A) 2.1018 03/15/2026 399,000 397,760
American Home Mortgage Investment Trust 2005-1, Floating Rate Note, 6/25/45 2.3219 06/25/2045 1,500,000 219,631
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 1.251 12/05/2031 200,000 200,050
The Walt Disney Co., Floating Rate Note, 5/30/19 0.5374 05/30/2019 750,000 751,287
Ascentium Equipment Receivables 2012-1 LLC, 1.83%, 9/15/19 (144A) 1.83 09/15/2019 822,000 206,453
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 0.452 03/25/2035 1,201,850 188,168
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/25 2.599 04/01/2025 13,000,000 18,383
Fannie Mae, Floating Rate Note, 4/1/29 2.36 04/01/2029 400,000 2,932
ARI Fleet Lease Trust 2013-A, 0.7%, 12/15/15 (144A) 0.7 12/15/2015 260,000 188,598
Credit Suisse First Boston Mortgage Securities Corp., 5.25%, 10/25/19 5.25 10/25/2019 1,196,000 68,205
MGM Resorts International, Term B Loan, 12/20/19 3.5 12/13/2019 344,750 344,190
Sequoia Mortgage Trust 2004-12, Floating Rate Note, 1/20/35 0.423 01/20/2035 13,677,000 1,574,758
Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 6.2321 06/12/2015 500,000 514,867
DT Auto Owner Trust 2013-1, 1.67%, 2/15/19 (144A) 1.67 02/15/2019 629,000 632,078
U.S. Treasury Notes, 0.25%, 7/15/15 0.25 07/15/2015 25,000,000 25,053,258
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-1, Floating Rate Note, 2 0.452 02/25/2035 3,526,047 30,270
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 3.5 10/18/2018 99,747 99,810
Enbridge, Inc., Floating Rate Note, 10/1/16 0.8834 10/01/2016 500,000 503,888
Federal National Mortgage Association, 3.0%, 12/1/21 3.0 12/01/2021 2,000,000 1,061,199
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 0.4518 04/15/2036 728,000 168,742
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 6.5 08/15/2030 425,000 72,977
Impac CMB Trust Series 2004-5, Floating Rate Note, 10/25/34 0.872 10/25/2034 5,941,000 360,070
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 1.8865 01/25/2029 3,592,000 53,527
Alternative Loan Trust 2003-J1, 4.75%, 10/25/33 4.75 10/25/2033 4,300,000 225,862
Sinclair Television Group, Inc., New Tranche B Term Loan, 4/19/20 3.0 10/29/2016 441,652 437,696
GMAC Commercial Mortgage Securities Inc Series 2005-C1 Trust, 4.697%, 5/10/43 4.697 05/10/2043 1,019,000 1,044,846
Fannie Mae, Floating Rate Note, 1/1/25 2.598 01/01/2025 7,000,000 58,184
General Electric Capital Corp., Floating Rate Note, 7/2/15 1.2606 07/02/2015 665,000 673,583
RALI Series 2003-QR24 Trust, 4.0%, 7/25/33 4.0 07/25/2033 950,000 399,013
Government National Mortgage Association REMICS, 2.0%, 1/16/46 2.0 01/16/2046 3,000,000 3,001,068
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 0.812 06/25/2028 10,150,000 494,387
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 0.452 12/25/2036 790,207 749,568
Fannie Mae, Floating Rate Note, 2/1/33 2.895 02/01/2033 380,000 1,825
Fannie Mae, Floating Rate Note, 11/1/40 1.523 11/01/2040 9,368,434 119,643
South Carolina State Public Service Authority, Floating Rate Note, 6/1/15 1.026 06/01/2015 890,000 893,432
General Electric Capital Corp., Floating Rate Note, 8/1/17 1.375 08/01/2017 500,000 503,913
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 2.125 09/15/2015 189,000 193,644
Westlake Automobile Receivables Trust 2013-1, 1.12%, 1/15/18 (144A) 1.12 01/15/2018 150,000 144,657
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 0.6796 03/22/2016 475,000 475,124
Svenska Handelsbanken New York NY, Floating Rate Note, 1/16/15 0.5187 01/16/2015 200,000 200,537
Alliant Techsystems, Inc., Term B Loan, 10/22/20 3.5 10/22/2020 248,750 249,341
CPS Auto Receivables Trust 2013-A, 1.89%, 6/15/20 (144A) 1.89 06/15/2020 690,000 481,675
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 2.25 08/20/2025 1,490,000 985,242
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 2.4265 10/15/2054 250,000 265,575
Canadian National Railway Co., Floating Rate Note, 11/6/15 0.4229 11/06/2015 730,000 730,679
Bosphorus 1 Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 2.5304 05/03/2016 250,000 249,676
Federal National Mortgage Association, 3.5%, 3/25/28 3.5 03/25/2028 2,344,102 347,813
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 0.772 09/25/2034 14,479,489 635,232
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37 0.772 12/25/2037 5,672,000 220,010
The Goldman Sachs Group, Inc., 5.0%, 10/1/14 5.0 10/01/2014 1,150,000 1,177,578
American Express Credit Account Secured Note Trust 2012-4, Floating Rate Note, 5/15/20 (144A) 0.9518 05/15/2020 760,000 765,551
Anheuser-Busch InBev Worldwide, Inc., 1.5%, 7/14/14 1.5 07/14/2014 500,000 503,707
Gray Television Inc. 1st Lien Tl L + 3% 10jun21   06/10/2021 99,733 100,377
Countrywide Asset-Backed Certificates, Floating Rate Note, 2/25/36 5.069 02/25/2036 1,814,000 354,840
Capital Auto Receivables Asset Trust/ Ally, 2.19%, 9/20/21 2.19 09/20/2021 125,000 125,469
Drugb Flt% 15jul23 14-1-A1 3.0821 07/15/2023 250,000 250,128
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/37 0.5268 11/15/2037 3,358,000 614,716
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 1.052 05/25/2035 1,300,000 380,737
Global Container Assets 2013-1, Ltd., 2.2%, 11/5/28 (144A) 2.2 11/05/2028 750,000 595,378
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 3.0 03/27/2024 550,000 523,546
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/15/27 1.4518 02/15/2027 1,000,000 1,001,722
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 10/10/45 5.115 10/10/2045 1,370,000 1,377,174
Banc of America Mortgage Trust 2004-7, 4.5%, 8/25/19 4.5 08/25/2019 181,000 15,259
John Deere Capital Corp., Floating Rate Note, 10/11/16 0.5176 10/11/2016 1,090,000 1,094,940
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/41 0.5718 04/15/2041 2,446,437 560,722
PARTY CITY HOLDINGS INC, 2014 Replacement Term Loan, 7/27/19 4.0 07/27/2019 952,613 948,360
Precision Castparts Corp., 1.25%, 1/15/18 1.25 01/15/2018 500,000 499,452
Alaltd Flt% 07jun17 144a   06/07/2017 250,000 250,525
Daimler Finance North America LLC, 1.45%, 8/1/16 (144A) 1.45 08/01/2016 1,000,000 1,017,053
Federal National Mortgage Association REMICS, 1.5%, 11/25/20 1.5 11/25/2020 745,000 202,075
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.4018 11/15/2036 994,698 57,201
Fannie Mae, Floating Rate Note, 12/1/28 2.445 12/01/2028 1,112,489 53,431
Polarpak, Inc., USD Term Loan (U.S. Borrower Portion), 6/7/20 4.5 06/07/2020 86,248 86,518
Citigroup, Inc., 5.5%, 10/15/14 5.5 10/15/2014 430,000 441,200
PNC Bank NA, 1.125%, 1/27/17 1.125 01/27/2017 450,000 453,416
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-5, Floating Rate Note, 1 0.402 12/25/2035 600,000 75,145
American Honda Finance Corp., 1.85%, 9/19/14 (144A) 1.85 09/19/2014 200,000 201,614
Merrill Lynch Mortgage Trust 2004-KEY2, Floating Rate Note, 8/12/39 4.947 08/12/2039 410,390 414,882
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 0.322 08/25/2036 253,896 80,331
Massachusetts Development Finance Agency, Floating Rate Note, 2/15/36 3.0 02/15/2036 250,000 263,618
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/35 2.2049 06/25/2035 1,600,000 265,768
Bayview Commercial Asset Trust, 3.52691%, 9/25/37 (Step) (144A) 3.5303 09/25/2037 3,000,000 102,946
WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust, Floating Rate Note, 9/25/33 2.416 09/25/2033 3,062,360 1,214,531
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/31 2.531 10/01/2031 19,044,336 347,126
Navistar, Inc., Tranche B Term Loan, 8/17/17 5.75 07/31/2017 400,000 408,625
Agilent Technologies, Inc., 5.5%, 9/14/15 5.5 09/14/2015 620,000 664,114
Union Bank NA, 2.625%, 9/26/18 2.625 09/26/2018 1,000,000 1,035,330
Springleaf Funding Trust 2014-A, 2.41%, 12/25/22 (144A) 2.41 12/25/2022 1,000,000 1,002,301
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R9, 4.65676%, 11/25/35 (S 5.444 11/25/2035 590,000 543,155
Starwood Property Trust, Inc., Term Loan (First Lien), 4/17/20 3.5 04/19/2020 198,492 197,686
JP Morgan Chase Commercial Mortgage Securities Trust 2013-ALC, Floating Rate Note, 7/17/26 (144A) 3.005 07/17/2026 412,000 418,562
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.432 11/25/2035 2,941,000 520,727
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 0.552 05/25/2033 34,300,000 1,331,745
A10 Term Asset Financing 2013-2 LLC, 2.62%, 11/15/27 (144A) 2.62 11/15/2027 1,085,000 1,087,185
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.5518 12/15/2032 2,900,000 276,575
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/35 0.4718 12/15/2035 2,232,000 410,850
KeyCorp, 3.75%, 8/13/15 3.75 08/13/2015 931,000 976,470
Morgan Stanley Capital I Trust 2005-TOP17, 4.78%, 12/13/41 4.78 12/13/2041 660,000 485,505
Royal Bank of Canada, 1.45%, 9/9/16 1.45 09/09/2016 1,000,000 1,017,598
Sector Re V, Ltd., 0.0%, 3/1/18 (Cat Bond) (144A) 0.0 03/01/2018 272 16,877
Government National Mortgage Association II, 6.0%, 11/20/22 6.0 11/20/2022 1,986,670 290,342
RALI Series 2004-QS1 Trust, Floating Rate Note, 1/25/34 0.702 01/25/2034 2,884,000 41,174
Express Scripts Holding Co., 2.75%, 11/21/14 2.75 11/21/2014 900,000 911,200
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 0.617 11/21/2016 1,500,000 1,499,645
Volkswagen International Finance NV, 1.125%, 11/18/16 (144A) 1.125 11/18/2016 750,000 753,655
Franklin Resources, Inc., 3.125%, 5/20/15 3.125 05/20/2015 300,000 308,204
Ameriquest Mort Sec Inc Asset Backed Pass Thr Cert 03 AR3, Floating Rate Note, 6/25/33 3.902 06/25/2033 155,851 103,454
GreenPoint Mortgage Funding Trust 2005-HE1, Floating Rate Note, 9/25/34 0.827 09/25/2034 297,570 206,784
Garda World Security Corp., Term B Loan, 11/1/20 4.0 11/01/2020 482,721 482,570
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/1/28 2.482 01/01/2028 500,000 3,183
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/39 0.702 09/25/2039 683,053 124,951
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.852 01/25/2035 5,395,000 673,206
Nomura Resecuritization Trust 2011-3R, Floating Rate Note, 7/26/37 (144A) 0.34 07/26/2037 1,000,000 834,442
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 10.2601 01/08/2015 375,000 389,441
National Rural Utilities Cooperative Finance Corp., 1.0%, 2/2/15 1.0 02/02/2015 410,000 413,364
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 1.652 06/25/2028 1,050,000 312,930
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 0.593 10/20/2017 256,000 256,617
Wells Fargo & Co., 1.5%, 7/1/15 1.5 07/01/2015 1,050,000 1,069,717
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 0.712 07/25/2029 10,014,000 500,340
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 1.232 03/25/2035 311,000 139,500
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/15/26 (144A) 1.4518 03/15/2026 300,000 299,937
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/24 1.002 01/25/2024 51,985,111 367,773
Jefferies Resecuritization Trust 2009-R2, Floating Rate Note, 5/26/37 (144A) 2.55 05/26/2037 300,000 73,940
Lhipo Flt% 23dec36 07-1ga-A 4.5 12/23/2036 1,400,000 713,877
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38 1.372 10/25/2038 1,808,000 226,971
IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36 0.492 02/25/2036 250,000 52,868
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 4.0304 05/05/2017 750,000 750,533
Silverstone Master Issuer Plc, Floating Rate Note, 1/21/55 (144A) 1.8779 01/21/2055 290,000 300,007
Government National Mortgage Association, 5.0%, 5/20/35 5.0 05/20/2035 2,100,000 265,795
First Horizon Mortgage Pass-Through Trust 2004-AR1, Floating Rate Note, 2/25/34 2.594 02/25/2034 1,500,000 60,855
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/33 0.6018 09/15/2033 2,647,000 231,170
Federal National Mortgage Association REMICS, 3.5%, 10/25/39 3.5 10/25/2039 490,000 326,500
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 2.152 10/25/2023 544,000 510,259
Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20 3.5 09/23/2020 423,553 423,299
Bank of Nova Scotia, Floating Rate Note, 1/12/15 1.2671 01/12/2015 1,000,000 1,007,884
Sierra Timeshare 2013-2 Receivables Funding LLC, 2.92%, 11/20/25 2.92 11/20/2025 160,000 92,104
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 2.4 10/25/2035 1,543,473 406,917
SMART Trust/Australia, Floating Rate Note, 1/14/17 0.5818 01/14/2017 500,000 500,150
Principal Life Global Funding II, 1.2%, 5/19/17 (144A) 1.2 05/19/2017 750,000 751,527
WR Grace & Co., U.S. Term Loan, 1/23/21 3.0 01/23/2021 201,924 201,772
Fnma Flt% 25sep22 92-162-Fb 2.18 09/25/2022 3,000,000 141,784
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.852 01/25/2035 3,695,000 505,902
Lehman ABS Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 6/15/33 0.6018 06/15/2033 19,804,000 996,342
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/38 0.5518 03/15/2038 2,600,000 1,044,864
Westgate Resorts 2012-2 LLC, 3.0%, 1/20/25 (144A) 3.0 01/20/2025 350,000 154,760
The Goldman Sachs Group, Inc., 3.7%, 8/1/15 3.7 08/01/2015 340,000 355,924
JP Morgan Mortgage Trust 2005-A3, Floating Rate Note, 6/25/35 5.0592 06/25/2035 6,041,179 656,162
First Horizon Mortgage Pass-Through Trust 2004-AR5, Floating Rate Note, 10/25/34 2.5715 10/25/2034 940,000 65,312
Morgan Stanley Capital I Trust 2005-IQ10, Floating Rate Note, 9/15/42 5.23 09/15/2042 915,000 806,803
Allied Security Holdings LLC, Delayed Draw Term Loan (First Lien), 2/12/21 1.625 02/12/2021 511,570 510,531
Thomson Reuters Corp., 0.875%, 5/23/16 0.875 05/23/2016 250,000 250,129
Standard Chartered Plc, 3.85%, 4/27/15 (144A) 3.85 04/27/2015 500,000 516,372
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 3.4234 01/17/2019 500,000 518,979
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.5118 11/15/2018 550,000 173,617
Las Vegas Sands LLC, Term B Loan, 12/19/20 3.25 12/19/2020 248,750 248,894
Fannie Mae, 6.5%, 4/1/29 6.5 04/01/2029 9,050,000 339,868
Bear Stearns ARM Trust 2004-9, Floating Rate Note, 11/25/34 3.1959 11/25/2034 1,014,658 136,673
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2.58 09/15/2021 1,200,000 1,210,170
Bac Flt% 15jan15 0.6865 01/15/2015 750,000 752,150
Pricoa Global Funding I, Floating Rate Note, 6/24/16 (144A) 0.4406 06/24/2016 500,000 497,644
Federal National Mortgage Association, Floating Rate Note, 3/25/36 0.502 03/25/2036 2,108,510 521,484
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 2.7567 07/25/2034 2,481,203 97,699
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.722 09/25/2037 679,000 99,714
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 0.3318 05/15/2036 4,000,000 355,388
Bright Horizons Family Solutions, Inc., Term B Loan, 1/30/20 3.7501 01/14/2020 297,733 298,012
Mastr Asset Backed Securities Trust 2006-AB1, Floating Rate Note, 2/25/36 0.382 02/25/2036 3,670,545 746,171
Morgan Stanley ABS Capital I Inc Trust 2005-WMC5, Floating Rate Note, 6/25/35 0.887 06/25/2035 820,000 344,719
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 0.422 09/25/2035 9,387,000 908,056
Federal National Mortgage Association, 2.5%, 9/1/22 2.5 09/01/2022 2,000,000 1,471,832
County of Power Idaho, 5.625%, 10/1/14 5.625 10/01/2014 1,000,000 1,024,143
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 8.5262 01/05/2017 750,000 808,535
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.75 04/30/2018 650,000 647,029
AT&T, Inc., 0.875%, 2/13/15 0.875 02/13/2015 500,000 503,263
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 9/25/14 (144A) 1.277 09/25/2014 1,370,736 301,699
Government National Mortgage Association, 1.067%, 9/16/52 1.0663 09/16/2052 1,800,000 140,539
BCMSC Trust 1998-A, 6.65%, 4/15/28 6.65 04/15/2028 2,750,000 110,066
American Credit Acceptance Receivables Trust 2014-2, 0.99%, 10/10/17 (144A) 0.99 10/10/2017 500,000 456,156
JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC11, Floating Rate Note, 8/12/37 5.335 08/12/2037 1,610,000 1,629,250
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 5.25 04/25/2032 795,156 258,455
CGWF Commercial Mortgage Trust 2013-RKWH, Floating Rate Note, 11/15/30 (144A) 2.0518 11/15/2030 1,090,000 1,095,472
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 1.352 08/25/2034 389,000 73,355
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 0.4195 04/28/2036 603,000 49,746
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 0.6518 07/15/2036 3,107,000 276,452
UnitedHealth Group, Inc., 1.875%, 11/15/16 1.875 11/15/2016 500,000 513,021
Federal National Mortgage Association, 2.674%, 4/25/45 2.6612 04/25/2045 1,250,000 246,657
Terex Corp., New U.S. Term Loan (2013), 4/28/17 3.5 04/28/2017 258,332 259,947
A10 Securitization 2013-1 LLC, 2.4%, 11/15/25 (144A) 2.4 11/15/2025 642,000 586,381
Government National Mortgage Association I, 6.5%, 10/15/37 6.5 10/15/2037 400,000 57,810
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 8.5152 05/09/2016 250,000 259,424
Countrywide Asset-Backed Certificates, Floating Rate Note, 9/25/34 (144A) 0.702 09/25/2034 8,600,000 516,967
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 0.452 05/25/2036 5,518,315 543,369
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.5018 11/15/2036 1,229,000 256,932
American Honda Finance Corp., 1.125%, 10/7/16 1.125 10/07/2016 500,000 504,253
RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32 6.0 01/25/2032 11,000,000 489,940
Atlantic Power LP, Term Loan, 2/20/21 4.75 02/20/2021 1,101,525 1,115,294
Canadian Natural Resources, Ltd., 1.45%, 11/14/14 1.45 11/14/2014 430,000 432,608
Capital One NA, Floating Rate Note, 3/22/16 0.6796 03/22/2016 700,000 702,942
Sbac 2.24% 15apr43 13-1-C 2.24 04/15/2043 630,000 625,725
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 3.25 12/19/2020 523,688 524,342
NSG Holdings LLC, New Term Loan, 12/11/19 3.75 11/15/2019 195,970 196,215
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 3.0 06/25/2043 160,000 143,797
Wells Fargo & Co., Floating Rate Note, 6/26/15 1.1536 06/26/2015 585,000 590,225
F 1.724% 06dec17 1.724 12/06/2017 700,000 701,123
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 11.0765 04/10/2015 650,000 691,406
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 7.5175 04/09/2015 750,000 760,771
Home Equity Mortgage Trust, 5.821%, 4/25/35 (Step) 5.821 04/25/2035 1,000,000 310,184
SACO I Trust 2005-8, Floating Rate Note, 11/25/35 0.912 11/25/2035 3,250,775 56,666
McKesson Corp., Floating Rate Note, 9/10/15 0.6296 09/10/2015 235,000 235,533
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 (144A) 0.742 11/25/2035 2,175,000 100,705
Bayview Opportunity Master Fund IIa Trust 2012-4NPL, 3.9496%, 1/28/34 (Step) 3.9496 01/28/2034 695,000 581,184
Federal National Mortgage Association, 3.0%, 6/25/39 3.0 06/25/2039 2,000,000 318,144
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 8.0253 07/09/2015 250,000 259,061
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 1.154 11/18/2032 24,329,000 518,036
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 5.0 07/25/2018 600,000 42,767
CHS, 2017 Term E Loan, 1/25/17 3.4774 07/25/2014 99,876 100,234
Ford Motor Credit Co LLC, 2.875%, 10/1/18 2.875 10/01/2018 500,000 521,115
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R6, Floating Rate Note, 8 0.352 08/25/2035 2,840,000 38,003
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 0.7774 03/03/2017 500,000 501,759
Mufg 0.15% 18jul14 Usd 0.15 07/18/2014 4,630,000 4,630,204
Ohart 2.8828% 25may54 2014-Npl1- 2.8828 05/25/2054 520,000 520,796
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 4/25/35 2.6692 04/25/2035 1,750,000 180,291
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 2.6051 06/25/2030 731,690 138,729
Government National Mortgage Association, 1.049%, 3/16/53 1.0334 03/16/2053 1,200,000 86,273
St Jude Medical, Inc., 2.5%, 1/15/16 2.5 01/15/2016 510,000 529,449
JP Morgan Chase Commercial Mortgage Securities Corp., 4.878%, 1/15/42 4.878 01/15/2042 1,100,000 1,117,219
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7, Floating Rate Note, 2/11/41 5.214 02/11/2041 550,000 555,952
Direct Capital Funding V LLC, 1.673%, 12/20/17 (144A) 1.673 12/20/2017 175,000 56,701
Extended Stay America Trust 2013-ESH, 1.2783%, 12/5/31 (144A) 1.2783 12/05/2031 723,000 708,443
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33 0.652 09/25/2033 4,915,594 615,159
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 0.262 03/25/2037 1,394,318 539,756
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 1.82 09/15/2020 157,000 100,731
Metaldyne LLC, USD Term Loan 2014, 12/18/18 4.25 12/18/2018 735,250 738,926
GSAA Trust, Floating Rate Note, 6/25/35 0.582 06/25/2035 440,000 347,725
Government National Mortgage Association, Floating Rate Note, 1/16/35 0.4018 01/16/2035 2,563,000 298,133
JP Morgan Mortgage Trust 2004-S1, 5.0%, 9/25/34 5.0 09/25/2034 2,489,124 167,274
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1.7804 01/07/2019 500,000 501,112
RASC Series 2005-KS7 Trust, Floating Rate Note, 8/25/35 0.592 08/25/2035 1,450,000 79,038
Federal National Mortgage Association REMICS, 3.0%, 1/25/21 3.0 01/25/2021 2,950,000 671,698
GS Mortgage Securities Corp II Series 2005-GG4, 4.782%, 7/10/39 4.782 07/10/2039 545,000 561,226
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/25/33 1.502 12/25/2033 700,000 38,700
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/28/37 (144A) 1.052 05/28/2037 550,000 511,698
Capital Auto Receivables Asset Trust/ Ally, 1.74%, 10/22/18 1.74 10/22/2018 413,000 413,966
Mack-Cali Realty LP, 5.125%, 1/15/15 5.125 01/15/2015 1,000,000 1,045,696
Micron Semiconductor Asia Pte, Ltd., 1.258%, 1/15/19 1.258 01/15/2019 500,000 502,830
Fnma Flt% 25jul27 09-100f-Fb 0.752 07/25/2027 1,402,000 99,932
MRFC Mortgage Pass-Through Trust Series 1999-TBC2, Floating Rate Note, 6/15/30 0.6318 06/15/2030 3,714,390 242,267
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 4.985 09/11/2042 1,160,000 1,209,669
Countrywide Asset-Backed Certificates, Floating Rate Note, 7/25/35 0.592 07/25/2035 1,554,000 223,429
Bank of America Corp., 4.5%, 4/1/15 4.5 04/01/2015 210,000 218,627
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 0.4518 01/15/2036 400,312 93,920
Government National Mortgage Association, 4.5%, 6/16/34 4.5 06/16/2034 1,387,000 93,901
Seadrill Operating LP, Initial Term Loan, 2/14/21 4.0 02/14/2021 845,750 841,286
AMRESCO Residential Securities Corp Mortgage Loan Trust 1997-3, Floating Rate Note, 9/25/27 0.707 09/25/2027 8,300,000 195,915
Bella Vista Mortgage Trust 2004-1, Floating Rate Note, 11/20/34 0.853 11/20/2034 12,618,000 381,855
Sirius International Group, Ltd., 6.375%, 3/20/17 (144A) 6.375 03/20/2017 750,000 842,898
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 3.25 03/31/2021 200,000 199,271
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37 0.4518 02/15/2037 2,840,000 197,475
John Deere Capital Corp., 2.95%, 3/9/15 2.95 03/09/2015 950,000 976,150
HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36 0.393 03/20/2036 1,005,000 995,084
America Movil SAB de CV, Floating Rate Note, 9/12/16 1.2303 09/12/2016 1,000,000 1,012,599
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 0.352 10/27/2037 1,375,920 1,373,187
RALI Series 2004-QR1 Trust, 5.25%, 10/25/34 5.25 10/25/2034 21,545,000 696,220
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35 5.0 10/25/2035 5,635,000 567,773
RBS Greenwich Capital Mortgage Loan Trust, 3.686%, 4/15/24 (144A) 3.686 04/15/2024 2,440,000 1,752,057
WaMu Mortgage Pass-Through Certificates Series 2003-S10, 5.0%, 10/25/18 5.0 10/25/2018 17,361,049 725,346
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/17 0.552 05/25/2017 20,000,000 191,668
Duke Energy Florida, Inc., 0.65%, 11/15/15 0.65 11/15/2015 500,000 501,646
Ryder System, Inc., 3.15%, 3/2/15 3.15 03/02/2015 500,000 514,173
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 3 0.602 03/25/2035 592,188 354,500
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 4.568 01/15/2031 275,000 34,728
Prudential Financial, Inc., 6.2%, 1/15/15 6.2 01/15/2015 538,000 569,759
Georgia Power Co., Floating Rate Note, 8/15/16 0.6239 08/15/2016 500,000 500,539
Chase Funding Trust Series 2003-3, Floating Rate Note, 4/25/33 0.692 04/25/2033 13,029,694 135,501
Oxford Finance Funding Trust 2012-1, 3.9%, 3/15/17 (144A) 3.9 03/15/2017 571,000 79,580
The Toronto-Dominion Bank, Floating Rate Note, 7/14/14 0.5271 07/14/2014 644,000 644,789
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 0.522 09/25/2035 1,793,831 642,961
Discovery Communications LLC, 3.7%, 6/1/15 3.7 06/01/2015 750,000 774,462
GSR Mortgage Loan Trust 2004-7, Floating Rate Note, 6/25/34 2.6703 06/25/2034 4,189,737 536,350
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 2.901 11/05/2030 500,000 503,248
Flagstar Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/18 (144A) 0.382 06/25/2018 4,800,000 419,198
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/41 0.6518 02/15/2041 1,878,046 426,508
Freddie Mac Strips, Floating Rate Note, 12/15/36 0.5018 12/15/2036 2,327,000 173,928
Spirit AeroSystems, Inc., Term Loan B, 9/30/20 3.25 09/30/2020 534,325 533,574
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25 0.4518 08/15/2025 8,280,485 758,083
Federal National Mortgage Association 2006-48-T, 5.5%, 12/25/34 5.5 12/25/2034 1,716,418 692,187
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 0.602 07/25/2034 2,600,000 270,412
Wachovia Bank Commercial Mortgage Trust Series 2005-C16, Floating Rate Note, 10/15/41 4.847 10/15/2041 465,000 468,946
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 1.6339 03/25/2044 4,537,000 762,030
Geet 0.5% 24nov15 13-1-A2 0.5 11/24/2015 165,000 76,693
Enterprise Products Operating LLC, 3.7%, 6/1/15 3.7 06/01/2015 500,000 515,968
RALI Series 2004-QS1 Trust, 4.25%, 1/25/34 4.25 01/25/2034 14,997,000 151,707
GS Mortgage Securities Corp II, Floating Rate Note, 11/8/29 (144A) 1.601 11/08/2029 400,000 403,416
SMART Trust/Australia, Floating Rate Note, 7/14/16 0.4518 07/14/2016 750,000 750,486
Polarpak, Inc., USD Term Loan (Canadian Borrower Portion), 6/7/20 4.5 06/07/2020 157,665 158,158
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 0.473 11/20/2034 1,640,000 178,146
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34 1.172 11/25/2034 900,000 59,980
American Credit Acceptance Receivables Trust 2014-1, 1.14%, 3/12/18 (144A) 1.14 03/12/2018 520,000 383,478
National Australia Bank, Ltd., Floating Rate Note, 7/25/14 (144A) 1.1779 07/25/2014 750,000 752,068
JP Morgan Mortgage Trust 2005-A4, Floating Rate Note, 7/25/35 2.2009 07/25/2035 1,935,000 315,271
Banc of America Alternative Loan Trust 2003-10, Floating Rate Note, 12/25/33 0.602 12/25/2033 2,600,000 174,631
Federal Home Loan Mortgage Corp., 0.5%, 10/24/16 0.5 10/24/2016 1,000,000 1,001,684
Morgan Stanley, Floating Rate Note, 6/6/16 1.25 06/06/2016 500,000 498,493
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/25/29 (144A) 4.395 08/25/2029 200,000 203,079
AmeriCredit Automobile Receivables Trust 2013-4, 3.31%, 10/8/19 3.31 10/08/2019 500,000 519,266
JP Morgan Chase Commercial Mortgage Securities Corp., Floating Rate Note, 10/15/25 (144A) 2.0168 10/15/2025 650,000 651,395
Ford Motor Credit Co LLC, 2.375%, 1/16/18 2.375 01/16/2018 250,000 258,099
AmeriCredit Automobile Receivables Trust 2010-2, 6.24%, 6/8/16 6.24 06/08/2016 567,000 556,813
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/1/18 2.355 07/01/2018 2,100,000 5,063
Federal National Mortgage Association 2004-T2, 3.342%, 7/25/43 3.3472 07/25/2043 6,750,000 1,006,257
Fifth Third Bank Cincinnati Ohio, 4.75%, 2/1/15 4.75 02/01/2015 1,250,000 1,305,047
MetLife Institutional Funding II, Floating Rate Note, 1/6/15 (144A) 0.6004 01/06/2015 500,000 501,647
Conseco Finance Corp., 7.55%, 4/15/32 (Step) 7.55 04/15/2032 2,740,000 284,803
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 0.412 11/25/2035 4,575,000 451,600
Federal Home Loan Mortgage Corp., 6.5%, 7/1/16 6.5 07/01/2016 2,000,000 10,927
Credit Suisse First Boston Mortgage Securities Corp., 4.877%, 4/15/37 4.877 04/15/2037 500,000 508,986
Wells Fargo & Co., Floating Rate Note, 4/23/18 0.8559 04/23/2018 575,000 580,926
Sdart Flt% 15may19 14-3-B 1.45 05/15/2019 1,000,000 1,000,987
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 0.902 02/25/2035 5,848,300 407,829
Devon Energy Corp., Floating Rate Note, 12/15/15 0.6806 12/15/2015 1,500,000 1,508,887
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 0.612 03/25/2030 7,273,883 554,749
Devon Energy Corp., 1.2%, 12/15/16 1.2 12/15/2016 500,000 501,782
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 0.851 12/05/2031 200,000 200,012
General Electric Capital Corp., Floating Rate Note, 5/11/16 0.4234 05/11/2016 350,000 350,183
Federal National Mortgage Association REMICS, 4.0%, 6/25/37 4.0 06/25/2037 900,000 66,046
COMM 2006-FL12 Mortgage Trust, Floating Rate Note, 12/15/20 (144A) 0.3218 12/15/2020 785,000 499,781
General Electric Capital Corp., Floating Rate Note, 1/8/16 0.8296 01/08/2016 915,000 922,855
LB-UBS Commercial Mortgage Trust 2005-C2, Floating Rate Note, 4/15/30 5.205 04/15/2030 1,455,000 1,501,190
Government National Mortgage Association, Floating Rate Note, 8/20/35 0.553 08/20/2035 1,177,000 188,304
Federal National Mortgage Association, 5.0%, 6/25/32 5.0 06/25/2032 18,817,000 403,871
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 0.4018 08/15/2036 5,044,000 315,036
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 0.8518 12/15/2039 666,000 295,211
ARI Fleet Lease Trust 2012-A, Floating Rate Note, 3/15/20 (144A) 0.7018 03/15/2020 810,000 213,070
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 5.46 11/15/2035 460,000 416,861
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 0.5718 06/15/2036 1,288,000 152,839
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 0.601 05/07/2024 200,000 148,102
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 4.7304 01/07/2015 1,000,000 1,021,850
RASC Series 2006-KS1 Trust, Floating Rate Note, 2/25/36 0.372 02/25/2036 1,200,000 41,702
American Credit Acceptance Receivables Trust, 1.64%, 11/15/16 (144A) 1.64 11/15/2016 350,000 86,646
Altera Corp., 2.5%, 11/15/18 2.5 11/15/2018 500,000 509,278
VOLT XXIII LLC, 3.625%, 11/25/53 (Step) 3.625 11/25/2053 475,000 468,585
Cronos Containers Program, Ltd., 3.81%, 9/18/27 (144A) 3.81 09/18/2027 500,000 414,852
BB&T Corp., 1.6%, 8/15/17 1.6 08/15/2017 103,000 104,564
BMW Vehicle Owner Trust 2011-A, 0.76%, 8/25/15 0.76 08/25/2015 100,000 7,101
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP18, Floating Rate Note, 2/13/42 4.933 02/13/2042 1,150,000 1,020,934
Bank of America Corp., 1.25%, 1/11/16 1.25 01/11/2016 575,000 582,707
GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34 0.932 06/25/2034 15,032,940 431,757
Merrill Lynch Mortgage Trust 2005-CKI1, Floating Rate Note, 11/12/37 5.4567 11/12/2037 990,000 918,646
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/29 2.655 04/01/2029 160,000 2,039
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 2.1518 12/15/2028 945,000 951,449
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 9.2804 06/06/2017 250,000 262,156
Capital One Financial Corp., 2.15%, 3/23/15 2.15 03/23/2015 1,000,000 1,017,992
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 0.5995 04/28/2039 425,000 418,467
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 0.552 07/25/2034 1,642,000 121,443
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/36 0.4318 12/15/2036 6,932,100 627,628
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 4.5304 12/06/2016 1,150,000 1,177,629
HLSS Servicer Advance Receivables Trust, 4.94%, 10/15/45 (144A) 4.94 10/15/2045 350,000 359,203
Government National Mortgage Association I, 6.0%, 12/15/31 6.0 12/15/2031 1,500,000 70,254
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/34 0.932 11/25/2034 4,839,000 152,640
Countrywide Asset-Backed Certificates, Floating Rate Note, 2/25/33 5.147 02/25/2033 244,000 57,860
Foundation Re III, Ltd., Floating Rate Note, 2/25/15 (Cat Bond) (144A) 5.0203 02/25/2015 750,000 757,796
CSMC Trust 2014-SURF, Floating Rate Note, 2/15/29 (144A)   02/15/2029