Pioneer Investments: Pioneer Short Term Income Fund


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Pioneer Short Term Income Fund

Monthly Portfolio Holdings as of 3/31/2016

Security Name Coupon Maturity Date Par / Shares Market Value($)
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/27/45 (144A) 0.633 11/27/2045 4,965,000 320,601
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 6/15/28 3.5 06/15/2028 1,119,000 11,047
Fifth Third Bank Cincinnati Ohio, 1.35%, 6/1/17 1.35 06/01/2017 485,000 487,019
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 1.153 09/25/2034 12,500,000 271,589
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-E, Floating Rate Note, 11/25/29 1.6331 11/25/2029 13,874,000 502,382
Entercom Radio LLC, Term B-2 Loan, 11/23/18 4.0011 11/23/2018 453,432 452,487
AMRESCO Residential Securities Corp Mortgage Loan Trust 1997-3, Floating Rate Note, 9/25/27 0.988 09/25/2027 8,940,000 111,773
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/15/19 0.7362 08/15/2019 6,831,666 102,581
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 0.7362 02/15/2036 1,133,000 153,937
Zero% 30nov20 0.0 11/30/2020 800,000 808,800
JP Morgan Seasoned Mortgage Trust 2014-1, Floating Rate Note, 5/25/33 (144A) 0.933 05/25/2033 1,475,000 1,227,461
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1.7956 05/27/2016 1,000,000 997,606
Caterpillar Financial Services Corp., 1.0%, 11/25/16 1.0 11/25/2016 1,000,000 1,005,308
Velocity Commercial Capital Loan Trust 2014-1, Floating Rate Note, 9/25/44 (144A) 2.433 09/25/2044 800,000 407,524
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 3.433 06/25/2028 3,923,500 184,042
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/17 0.833 05/25/2017 20,000,000 4,590
Freddie Mac Strips, Floating Rate Note, 8/15/36 0.7362 08/15/2036 6,894,664 229,299
RAIT 2014-FL3 Trust, Floating Rate Note, 12/15/31 (144A) 1.6885 12/15/2031 1,150,000 688,539
Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40 5.361 02/15/2040 1,300,000 888,176
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 3.5 09/06/2019 261,457 262,013
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 2.0073 01/25/2029 3,592,000 40,373
Perrigo Co Plc, 2.3%, 11/8/18 2.3 11/08/2018 605,000 609,945
DigitalGlobe, Inc., Term Loan, 1/31/20 4.75 01/31/2020 497,436 496,400
The Bank of Nova Scotia, 1.375%, 7/15/16 1.375 07/15/2016 500,000 502,398
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/33 0.7462 04/15/2033 22,025,143 792,191
Rent-A-Center, Inc., Term Loan (2014), 2/6/21 3.6826 02/06/2021 159,729 153,240
JP Morgan Chase Commercial Mortgage Securities Trust 2015-COSMO, Floating Rate Note, 1/15/32 (144A) 2.687 01/15/2032 1,200,000 1,169,517
Wells Fargo Commercial Mortgage Trust 2014-TISH, Floating Rate Note, 1/15/27 (144A) 3.937 01/15/2027 800,000 771,335
Equity One Mortgage Pass-Through Trust 2004-2, Floating Rate Note, 7/25/34 4.624 07/25/2034 1,925,000 493,169
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 1.033 06/25/2034 10,699,000 603,721
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25 0.6862 08/15/2025 970,000 210,475
Fannie Mae, 7.0%, 1/1/36 7.0 01/01/2036 1,000,000 15,707
Alternative Loan Trust 2004-6CB, Floating Rate Note, 4/25/34 1.013 04/25/2034 4,791,000 262,448
Citigroup, Inc., Floating Rate Note, 4/27/18 1.3113 04/27/2018 600,000 597,318
Royal Bank of Canada, 1.45%, 9/9/16 1.45 09/09/2016 1,000,000 1,003,629
Sierra Timeshare 2013-1 Receivables Funding LLC, 2.39%, 11/20/29 (144A) 2.39 11/20/2029 500,000 102,569
Silverstone Master Issuer Plc, Floating Rate Note, 1/21/55 (144A) 2.2743 01/21/2055 290,000 294,483
Progress Residential 2014-SFR1 Trust, Floating Rate Note, 10/17/31 (144A) 2.687 10/17/2031 1,000,000 969,252
CHS, Incremental 2018 Term F Loan, 12/31/18 3.7451 12/31/2018 98,380 97,635
Federal National Mortgage Association REMICS, Floating Rate Note, 12/18/32 0.8399 12/18/2032 18,035,000 221,840
Government National Mortgage Association I, 6.5%, 10/15/37 6.5 10/15/2037 400,000 33,434
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 1.1908 11/25/2034 18,180,000 740,252
GMACM Mortgage Loan Trust 2004-AR1, Floating Rate Note, 6/25/34 3.2478 06/25/2034 2,100,000 194,605
Becton Dickinson and Co., Floating Rate Note, 6/15/16 1.0839 06/15/2016 750,000 750,435
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 10/15/18 3.5 10/15/2018 500,000 43,932
Morgan Stanley Capital I Trust 2015-XLF1, Floating Rate Note, 8/17/26 (144A) 3.187 08/17/2026 600,000 600,903
Structured Asset Securities Corp Mortgage Pass Through Ctfs Series 2003-35, Floating Rate Note, 12/2 0.933 12/25/2033 5,293,000 135,262
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A REMICS, Floating Rate Note, 4/25/29 0.893 04/25/2029 14,857,948 597,427
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 2.658 08/01/2031 12,000,000 86,112
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 2.2905 05/07/2024 250,000 250,345
Citigroup, Inc., 1.35%, 3/10/17 1.35 03/10/2017 600,000 600,719
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 0.783 02/25/2033 4,696,499 173,120
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MHQ, Floating Rate Note 1.558 12/25/2034 1,330,000 835,923
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 3.965 04/24/2017 600,000 597,970
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 0.703 04/28/2036 603,000 18,197
LCM X LP, Floating Rate Note, 4/15/22 (144A) 1.882 04/15/2022 500,000 435,342
BXHTL 2015-JWRZ Mortgage Trust, Floating Rate Note, 5/15/29 (144A) 3.287 05/15/2029 800,000 758,084
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 0.693 12/25/2035 815,490 143,998
Level 3 Financing, Inc., Tranche B-II 2022 Term Loan, 5/31/22   05/31/2022 225,000 224,883
PFS Financing Corp., Floating Rate Note, 2/18/20 (144A) 2.1862 02/18/2020 750,000 749,814
Fannie Mae, 5.0%, 6/25/34 5.0 06/25/2034 1,270,000 73,689
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 1.433 12/25/2023 9,600,000 491,204
Government National Mortgage Association, Floating Rate Note, 1/16/35 0.6913 01/16/2035 2,563,000 216,178
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 7/25/28 3.3358 07/25/2028 700,000 705,763
Citigroup Mortgage Loan Trust, Inc., 7.0%, 10/25/19 7.0 10/25/2019 7,340,000 30,907
RALI Series 2003-QS15 Trust, 5.5%, 8/25/33 5.5 08/25/2033 250,000 98,871
FNA 2015-1 Trust, 3.24%, 12/10/23 (144A) 3.24 12/10/2023 750,000 604,469
Citigroup Mortgage Loan Trust 2010-4 REMICS, 5.0%, 10/25/35 (144A) 5.0 10/25/2035 2,735,000 356,428
Freddie Mac, 2.0%, 8/15/20 2.0 08/15/2020 1,130,000 214,631
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 3.25 10/18/2018 97,727 97,870
Conseco Finance Home Equity Loan Trust 2002-C, Floating Rate Note, 4/15/32 1.9362 04/15/2032 2,875,000 660,339
COMM 2014-PAT Mortgage Trust REMICS, Floating Rate Note, 8/13/27 (144A) 1.237 08/13/2027 400,000 390,970
Springleaf Funding Trust 2014-A, 2.41%, 12/15/22 (144A) 2.41 12/15/2022 1,000,000 950,621
AXIS Equipment Finance Receivables II LLC, 3.81%, 12/20/16 3.81 12/20/2016 400,000 402,984
Alterna Funding I LLC, 1.639%, 2/15/21 (144A) 1.639 02/15/2021 400,000 204,290
JBS USA LLC, Incremental Term Loan, 9/18/20 3.75 09/18/2020 195,500 194,645
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 1.4362 03/15/2032 15,667,000 128,790
FDIC 2010-R1 Trust, 2.184%, 5/25/50 (144A) 2.184 05/25/2050 2,410,000 605,857
Wells Fargo & Co., 1.25%, 7/20/16 1.25 07/20/2016 500,000 502,119
GS Caltex Corp., 3.25%, 10/1/18 (144A) 3.25 10/01/2018 500,000 520,046
Freddie Mac, 3.5%, 10/15/28 3.5 10/15/2028 8,520,000 994,956
Granite Acquisition, Inc., Term C Loan (First Lien), 10/15/21 5.0 10/15/2021 42,146 39,476
Duke Energy Carolinas LLC, 1.75%, 12/15/16 1.75 12/15/2016 750,000 759,382
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 0.8293 04/10/2028 300,000 169,480
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 1.0961 09/09/2016 500,000 501,095
RFSC Series 2004-RP1 Trust, Floating Rate Note, 11/25/42 2.6858 11/25/2042 250,000 86,011
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25 0.803 10/25/2035 239,000 70,451
BPCE SA, Floating Rate Note, 4/25/16 1.8686 04/25/2016 550,000 552,317
Aozora Re, Ltd., Floating Rate Note, 4/7/23 (Cat Bond) (144A)   04/07/2023 250,000 250,140
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.383 10/25/2037 885,400 117,174
RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32 6.0 01/25/2032 11,000,000 326,531
Alamo Re, Ltd., Floating Rate Note, 6/7/18 (Cat Bond) (144A) 6.2001 06/07/2018 350,000 358,303
JP Morgan Chase Commercial Mortgage Securities Trust 2014-PHH, Floating Rate Note, 8/16/27 (144A) 2.037 08/16/2027 1,100,000 1,075,575
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/25 2.724 04/01/2025 13,000,000 15,949
Ocwen Master Advance Receivables Trust, 2.532%, 11/15/46 (144A) 2.532 11/15/2046 800,000 799,900
Silverton RE, Ltd., 0.0%, 9/18/18 (Cat Bond) (144A) 0.0 09/18/2018 250,000 257,050
BCAP LLC 2013-RR7 Trust, Floating Rate Note, 12/27/34 (144A) 3.1827 12/27/2034 420,000 249,116
Morgan Stanley Capital I Trust 2006-TOP23, Floating Rate Note, 8/12/41 5.8908 08/12/2041 650,000 216,855
Fannie Mae, 3.0%, 11/25/18 3.0 11/25/2018 6,300,000 515,850
Navitas Equipment Receivables LLC 2015-1, 3.4%, 11/15/18 (144A) 3.4 11/15/2018 500,000 498,925
GCAT 2015-1 LLC, 3.625%, 5/26/20 (Step) (144A) 3.625 05/26/2020 300,000 206,457
Small Business Administration Participation Certificates, 2.24%, 4/15/43 (144A) 2.24 04/15/2043 630,000 626,108
Thomson Reuters Corp., 1.3%, 2/23/17 1.3 02/23/2017 500,000 499,794
FREMF Mortgage Trust 2014-KF05 REMICS, Floating Rate Note, 9/25/21 (144A) 4.4405 09/25/2021 700,000 655,136
Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A) 1.422 09/16/2016 500,000 501,332
Federal National Mortgage Association REMICS, 6.0%, 6/25/29 6.0 06/25/2029 685,000 93,893
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 7/25/24 1.633 07/25/2024 1,540,000 847,819
ConocoPhillips Co., 1.05%, 12/15/17 1.05 12/15/2017 1,000,000 988,625
CarMax Auto Owner Trust 2013-3, 2.15%, 5/15/19 2.15 05/15/2019 540,000 544,027
First Investors Auto Owner Trust 2013-3, 2.32%, 10/15/19 (144A) 2.32 10/15/2019 300,000 300,520
Direct Capital Funding V LLC, 4.83%, 11/20/20 (144A) 4.83 11/20/2020 750,000 756,716
Fannie Mae, 3.5%, 10/25/23 3.5 10/25/2023 2,280,000 162,821
Government National Mortgage Association, 5.0%, 4/20/36 5.0 04/20/2036 850,000 55,755
RAMP Series 2004-SL4 Trust, Floating Rate Note, 5/25/18 6.3491 05/25/2018 13,780,000 24,434
Freddie Mac REMICS, Floating Rate Note, 2/15/32 1.3862 02/15/2032 14,441,000 667,851
Quest Trust REMICS, Floating Rate Note, 3/25/34 (144A) 1.093 03/25/2034 24,804,330 608,247
Federal Home Loan Mortgage Corp., 2.5%, 10/1/27 2.5 10/01/2027 1,247,958 808,042
Flagship Credit Auto Trust 2013-1, 5.38%, 7/15/20 (144A) 5.38 07/15/2020 700,000 692,352
Government National Mortgage Association I, 7.5%, 10/15/36 7.5 10/15/2036 1,000,000 60,139
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 1.073 01/25/2029 6,910,000 311,781
CSMC Trust 2015-DEAL, Floating Rate Note, 4/16/29 (144A) 2.287 04/16/2029 900,000 870,185
Bank of America NA, 1.75%, 6/5/18 1.75 06/05/2018 750,000 754,051
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 0.8562 06/15/2036 1,288,000 86,979
Government National Mortgage Association II, 6.0%, 4/20/22 6.0 04/20/2022 1,262,566 150,909
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 1.7862 06/19/2031 665,000 643,848
FREMF Mortgage Trust 2014-KS02 REMICS, Floating Rate Note, 8/25/23 (144A) 5.4358 08/25/2023 1,050,000 1,021,787
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 0.933 06/28/2044 1,650,000 854,227
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2003-A3, 5.5%, 8/25/33 (Step) 5.5 08/25/2033 3,120,000 148,317
IndyMac INDX Mortgage Loan Trust 2004-AR6, Floating Rate Note, 10/25/34 2.8808 10/25/2034 1,275,000 106,728
East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (Cat Bond) (144A) 2.945 03/14/2018 500,000 493,367
Atlantic Power LP, Term Loan, 2/20/21 4.75 02/20/2021 998,572 997,947
DR Horton, Inc., 4.0%, 2/15/20 4.0 02/15/2020 650,000 672,822
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.683 03/25/2037 960,000 96,805
Zero% 30nov20 0.0 11/30/2020 300,000 307,470
MacDermid, Inc., Tranche B Term Loan (First Lien), 6/7/20 5.5 06/07/2020 1,232,262 1,193,498
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 0.9852 03/10/2017 750,000 747,145
Ford Motor Credit Co LLC, Floating Rate Note, 9/8/17 1.1535 09/08/2017 750,000 741,116
Chesapeake Funding LLC, Floating Rate Note, 3/9/26 (144A) 0.8477 03/09/2026 650,000 444,918
CDC Mortgage Capital Trust 2002-HE1, Floating Rate Note, 1/25/33 1.053 01/25/2033 19,484,513 324,073
Banc of America Alternative Loan Trust 2003-10, Floating Rate Note, 12/25/33 0.883 12/25/2033 2,600,000 16,147
Kinder Morgan, Inc. Delaware, 2.0%, 12/1/17 2.0 12/01/2017 700,000 697,166
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 0.7362 02/15/2030 586,107 187,193
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 4.5 07/01/2019 1,381,464 90,664
LPL Holdings, Inc., 2021 Tranche B Term Loan, 3/29/21 4.25 03/29/2021 144,788 140,444
17079z Zero% 31mar18 0.0 03/31/2018 250,000 294,000
Walgreens Boots Alliance, Inc., Floating Rate Note, 5/18/16 1.0682 05/18/2016 750,000 751,071
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37 1.053 12/25/2037 5,672,000 127,635
Government National Mortgage Association, 3.0%, 4/20/41 3.0 04/20/2041 300,000 202,763
NSTAR Electric Co., Floating Rate Note, 5/17/16 0.8582 05/17/2016 341,000 341,361
Endo Luxembourg Finance I Co Sarl, 2015 Incremental Term B Loan, 6/24/22 3.75 06/24/2022 243,390 240,043
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 0.993 07/25/2029 11,317,000 438,024
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 0.8113 01/27/2017 500,000 500,002
John Deere Capital Corp., Floating Rate Note, 10/11/16 0.9069 10/11/2016 1,090,000 1,093,387
CHS, Incremental 2019 Term G Loan, 12/31/19 3.3809 12/31/2019 92,330 90,894
Morgan Stanley, Floating Rate Note, 1/5/18 1.3527 01/05/2018 750,000 749,871
Freddie Mac, 1.4%, 7/15/23 1.4 07/15/2023 1,250,000 690,843
Wesco Aircraft Hardware Corp., Tranche B Term Loan, 2/24/21 3.25 02/24/2021 792,604 750,992
Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43 2.3386 06/25/2043 3,857,000 96,974
Federal National Mortgage Association, 3.5%, 7/25/24 3.5 07/25/2024 1,250,000 104,438
STORE Master Funding LLC, 5.77%, 8/20/42 (144A) 5.77 08/20/2042 344,000 343,977
CHS, Incremental 2021 Term H Loan, 1/27/21 4.0 01/27/2021 169,884 167,368
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.673 06/25/2037 2,134,162 196,506
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.683 06/25/2037 1,010,000 70,191
JPMorgan Chase & Co., Floating Rate Note, 2/25/21 3.373 02/25/2021 500,000 490,254
Bear Stearns ALT-A Trust 2005-2, Floating Rate Note, 3/25/35 0.933 03/25/2035 4,807,000 186,009
Valeant Pharmaceuticals International, Inc., Series F-1 Tranche B Term Loan, 3/13/22 4.0 03/13/2022 495,000 468,549
Government National Mortgage Association, Floating Rate Note, 2/16/30 1.0913 02/16/2030 14,415,492 166,061
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 1.0782 05/13/2016 250,000 250,464
Credit Suisse Commercial Mortgage Trust Series 2007-C4 REMICS, Floating Rate Note, 9/15/39 5.9525 09/15/2039 800,000 566,454
Zero% 30nov20 0.0 11/30/2020 600,000 613,020
Fifth Third Bank Cincinnati Ohio, 1.15%, 11/18/16 1.15 11/18/2016 750,000 754,395
Credit Acceptance Auto Loan Trust 2013-2, 1.5%, 4/15/21 (144A) 1.5 04/15/2021 1,000,000 448,648
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 0.683 07/25/2035 4,702,000 365,065
Steward Health Care System LLC, Term Loan, 4/10/20 6.75 04/10/2020 293,233 282,970
Precision Castparts Corp., 1.25%, 1/15/18 1.25 01/15/2018 500,000 501,675
CFCRE 2015-RUM Mortgage Trust, Floating Rate Note, 7/15/30 (144A) 2.587 07/15/2030 800,000 776,756
HomeBanc Mortgage Trust 2004-2, Floating Rate Note, 12/25/34 1.173 12/25/2034 5,547,000 545,244
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 2.7969 04/19/2034 3,987,000 148,617
Freddie Mac, 4.5%, 2/15/20 4.5 02/15/2020 40,325,969 628,846
Federal Home Loan Mortgage Corp., 4.0%, 5/1/24 4.0 05/01/2024 2,400,000 157,127
BB&T Corp., 1.6%, 8/15/17 1.6 08/15/2017 103,000 103,353
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 2.822 10/15/2054 250,000 257,897
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/34 0.833 04/25/2034 644,866 55,277
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 1.0162 10/15/2037 3,873,000 192,276
Boardwalk Pipelines LP, 5.5%, 2/1/17 5.5 02/01/2017 700,000 706,385
Home Loan Trust 2003-HI1, 5.77%, 4/25/28 (Step) 5.77 04/25/2028 1,500,000 55,474
RESI Finance LP 2003-CB1, Floating Rate Note, 7/9/35 1.8919 07/09/2035 4,982,000 942,886
Fannie Mae, Floating Rate Note, 7/1/36 2.527 07/01/2036 500,000 43,147
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 3.058 08/25/2034 590,000 61,383
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 0.803 09/25/2035 1,793,831 296,037
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 (144A) 0.8538 04/20/2021 500,000 143,588
Silverton RE, Ltd., 0.0%, 9/16/16 (Cat Bond) (144A) 0.0 09/16/2016 250,000 1,150
New Century Home Equity Loan Trust, Floating Rate Note, 8/25/34 5.47 08/25/2034 2,500,000 113,918
Tronox Pigments Holland BV, New Term Loan, 3/19/20 4.5 03/19/2020 444,289 414,485
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 1.633 08/25/2034 389,000 31,095
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 0.8362 05/15/2041 638,000 75,292
GO Financial Auto Securitization Trust 2015-2, 3.27%, 11/15/18 (144A) 3.27 11/15/2018 750,000 558,248
Halyard Health, Inc., Term Loan, 10/3/21 4.0 10/03/2021 260,788 260,545
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/35 0.6862 01/15/2035 1,635,000 154,215
Party City Holdings, Inc., Term Loan, 8/6/22 4.25 08/06/2022 498,750 495,477
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 3/26/35 2.6845 03/26/2035 1,750,000 129,829
Zero% 01feb18 0.0 02/01/2018 300,000 306,990
Nissan Motor Acceptance Corp., 2.65%, 9/26/18 (144A) 2.65 09/26/2018 1,000,000 1,022,375
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 4.75 04/25/2034 6,125,000 148,717
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 0.883 06/25/2036 199,992 73,180
CeramTec Service GmbH, Initial Dollar Term B-1 Loan, 8/30/20 4.25 08/30/2020 193,667 193,424
Federal National Mortgage Association REMICS, 5.0%, 9/25/39 5.0 09/25/2039 110,000 5,955
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 0.543 03/25/2037 1,394,318 168,188
Federal Home Loan Mortgage Corp., 3.0%, 1/15/30 3.0 01/15/2030 893,000 331,757
Fannie Mae, Floating Rate Note, 4/1/29 2.908 04/01/2029 400,000 2,689
CPS Auto Receivables Trust 2013-A, 1.89%, 6/15/20 (144A) 1.89 06/15/2020 690,000 196,184
Caterpillar Financial Services Corp., 1.35%, 9/6/16 1.35 09/06/2016 1,125,000 1,129,386
CDW LLC, Term Loan, 4/29/20 3.25 04/29/2020 397,949 397,265
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/32 1.0062 03/15/2032 33,450,000 278,930
FCA US LLC, Term Loan B, 5/24/17 3.5 05/24/2017 520,309 520,819
Emdeon, Inc., Term B-3 Loan, 11/2/18 3.75 11/02/2018 394,000 391,045
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 0.8596 04/19/2021 500,000 195,337
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 4.0038 11/08/2020 121,315 116,841
Barclays Bank Plc, Floating Rate Note, 2/17/17 1.1982 02/17/2017 229,000 229,125
MA FinanceCo LLC, Initial Tranche B Term Loan, 10/7/21 5.25 10/07/2021 349,941 350,116
Principal Life Global Funding II, 1.2%, 5/19/17 (144A) 1.2 05/19/2017 750,000 753,954
Federal National Mortgage Association, 4.0%, 1/1/20 4.0 01/01/2020 7,280,000 697,106
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 0.733 03/25/2035 1,201,850 128,188
Arbor Realty Collateralized Loan Obligation 2015-FL1, Ltd., Floating Rate Note, 3/17/25 (144A) 2.1862 03/17/2025 500,000 485,516
Banco Nacional de Desenvolvimento Economico e Social, 3.375%, 9/26/16 (144A) 3.375 09/26/2016 1,000,000 997,669
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 (144A) 4.838 07/15/2041 637,677 69,678
GE Capital International Funding Co., 0.964%, 4/15/16 (144A) 0.964 04/15/2016 814,000 817,423
First Franklin Mortgage Loan Trust 2002-FFA, Floating Rate Note, 9/25/32 1.933 09/25/2032 5,500,000 173,340
Manufacturers & Traders Trust Co., Floating Rate Note, 7/25/17 0.9186 07/25/2017 1,000,000 998,777
First Franklin Mortgage Loan Trust 2003-FFC, Floating Rate Note, 11/25/32 1.733 11/25/2032 8,000,000 319,262
Fly Funding II Sarl, Loan, 8/9/19 3.5 08/09/2019 355,000 352,837
Bayview Opportunity Master Fund IIA Trust 2012-4NPL Series III, Floating Rate Note, 2/28/35 (144A) 3.721 02/28/2035 400,000 183,224
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/30 0.7862 03/15/2030 1,147,667 314,523
Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE6, Floating Rate Note, 9/25/34 1.153 09/25/2034 7,075,000 358,657
Government National Mortgage Association I, 6.0%, 12/15/31 6.0 12/15/2031 1,500,000 60,635
LSTAR Securities Investment Trust 2015-4, Floating Rate Note, 4/1/20 (144A) 2.4385 04/01/2020 1,000,000 867,657
NN, Inc., Initial Term Loan, 10/2/22   10/02/2022 497,500 490,038
US Bank NA Cincinnati Ohio, Floating Rate Note, 1/29/18 1.1981 01/29/2018 1,450,000 1,453,248
Queen Street X RE, Ltd., Floating Rate Note, 6/8/18 (Cat Bond) (144A) 6.0501 06/08/2018 500,000 499,699
Pretium Mortgage Credit Partners LLC, 4.375%, 2/27/31 (Step) (144A) 4.375 02/27/2031 750,000 748,793
Calpine Corp., Term Loan, 10/9/19 4.0 10/09/2019 740,409 737,941
GAHR Commercial Mortgage Trust 2015-NRF, Floating Rate Note, 12/15/16 (144A) 1.7362 12/15/2016 470,000 462,069
MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35 0.783 02/25/2035 6,760,000 308,681
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 1.133 06/25/2034 3,670,962 203,958
The Toronto-Dominion Bank, Floating Rate Note, 7/2/19 1.0522 07/02/2019 750,000 740,901
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 0.933 06/25/2035 1,526,722 330,637
Fannie Mae, 4.0%, 12/1/19 4.0 12/01/2019 3,570,319 419,778
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 3.9597 01/15/2017 1,550,000 1,579,093
Ford Motor Credit Co LLC, Floating Rate Note, 3/27/17 1.2601 03/27/2017 500,000 497,682
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.653 04/25/2031 2,843,000 252,500
American Credit Acceptance Receivables Trust 2014-1, 5.2%, 4/12/21 (144A) 5.2 04/12/2021 700,000 706,643
Schaeffler (Aka Ina Beteiligungsge 1st Lien Tl-B L + 3.5% 15may20 4.25 05/15/2020 169,231 169,971
NewStar Commercial Loan Trust 2007-1, Floating Rate Note, 9/30/22 (144A) 0.8756 09/30/2022 10,500,000 529,403
Verizon Communications, Inc., Floating Rate Note, 9/15/16 2.1639 09/15/2016 2,515,000 2,531,196
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/28 0.9362 04/15/2028 16,175,365 187,106
Federal National Mortgage Association REMICS, 3.0%, 1/25/21 3.0 01/25/2021 4,450,000 449,514
U.S. Treasury Bills, 0.0%, 8/18/16 0.0 08/18/2016 3,000,000 2,996,115
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 1.0362 08/15/2019 525,000 524,582
Wells Fargo Bank NA, Floating Rate Note, 9/7/17 1.1746 09/07/2017 580,000 580,705
Caelus Re IV, Ltd., Floating Rate Note, 3/6/20 (Cat Bond) (144A)   03/06/2020 400,000 401,320
Citigroup Commercial Mortgage Trust 2015-SSHP REMICS, Floating Rate Note, 9/15/27 (144A) 2.5362 09/15/2027 1,500,000 1,454,036
Altera Corp., 2.5%, 11/15/18 2.5 11/15/2018 500,000 518,962
Sector Re V, Ltd., 0.0%, 3/1/20 (Cat Bond) (144A) 0.0 03/01/2020 300,000 339,780
Federal Home Loan Mortgage Corp., 5.0%, 12/1/39 5.0 12/01/2039 265,000 88,434
Enbridge, Inc., Floating Rate Note, 10/1/16 1.2622 10/01/2016 1,000,000 993,376
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 1.4275 01/25/2030 5,058,000 221,499
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 0.733 12/25/2036 790,207 766,122
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 1.353 06/25/2034 13,470,000 150,764
Capital One NA, 1.65%, 2/5/18 1.65 02/05/2018 750,000 746,523
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A) 1.0452 03/10/2017 500,000 499,465
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 1.273 01/25/2035 3,280,000 266,294
Eden Re II, Ltd., 0.0%, 4/23/19 (Cat Bond) (144A) 0.0 04/23/2019 600,000 606,000
Fannie Mae, 2.0%, 11/1/23 2.0 11/01/2023 2,236,000 1,467,444
Progreso Receivables Funding II LLC, 3.5%, 7/8/19 (144A) 3.5 07/08/2019 1,370,000 1,375,012
Fannie Mae, 6.5%, 6/1/16 6.5 06/01/2016 700,000 54
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 2.137 06/15/2029 650,000 622,092
CeramTec Acquisition Corp., Initial Dollar Term B-2 Loan, 8/30/20 4.25 08/30/2020 20,586 20,561
Branch Banking & Trust Co., 2.3%, 10/15/18 2.3 10/15/2018 500,000 513,135
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR12, Floating Rate Note, 9/11/38 5.7901 09/11/2038 840,000 207,706
WireCo WorldGroup, Inc., Term Loan, 2/15/17 6.0 02/15/2017 412,780 407,104
Citibank Credit Card Issuance Trust, 1.02%, 2/22/19 1.02 02/22/2019 600,000 600,823
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 0.9182 11/23/2016 500,000 500,568
Fannie Mae, 5.5%, 12/1/35 5.5 12/01/2035 1,000,000 49,613
Freddie Mac, 4.5%, 3/15/19 4.5 03/15/2019 875,000 279,474
Ziggo BV, US$ B2 Facility, 1/15/22 3.5081 01/15/2022 289,532 286,456
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 0.933 06/25/2033 13,610,000 477,651
1011778 BC ULC, Term B-2 Loan, 12/12/21 3.75 12/12/2021 527,272 527,491
Wells Fargo Commercial Mortgage Trust 2014-TISH REMICS, Floating Rate Note, 2/16/27 (144A) 1.994 02/16/2027 1,250,000 1,211,616
Wachovia Corp., Floating Rate Note, 6/15/17 0.9039 06/15/2017 1,077,000 1,073,336
Queen Street XI RE Dac, Floating Rate Note, 6/7/19 (Cat Bond) (144A) 6.4451 06/07/2019 250,000 251,095
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 2.4 11/17/2025 642,000 7,306
Post Holdings, Inc., Series A Incremental Term Loan, 5/23/21 3.75 05/23/2021 177,902 178,550
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 4.1096 06/07/2017 650,000 652,799
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 1.373 12/25/2034 5,234,000 158,537
LSTAR Securities Investment Trust 2015-5, Floating Rate Note, 4/1/20 (144A) 2.4385 04/01/2020 1,275,000 799,698
Freddie Mac, 5.5%, 12/15/22 5.5 12/15/2022 600,000 346,019
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 1.133 01/25/2035 4,956,000 466,578
Intel Corp., 1.35%, 12/15/17 1.35 12/15/2017 700,000 708,469
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.7862 11/15/2036 600,000 75,508
Blue Danube II, Ltd., Floating Rate Note, 5/23/16 (Cat Bond) (144A) 4.5618 05/23/2016 800,000 803,612
The Huntington National Bank, 1.3%, 11/20/16 1.3 11/20/2016 500,000 502,386
The Toronto-Dominion Bank, 1.4%, 4/30/18 1.4 04/30/2018 500,000 502,553
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 1.3491 02/20/2035 8,223,000 530,636
The Bank of New York Mellon Corp., 1.969%, 6/20/17 (Step) 1.969 06/20/2017 750,000 761,308
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 0.633 10/27/2037 1,458,920 832,376
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/45 0.653 03/25/2045 6,100,000 717,044
U.S. Treasury Notes, 0.5%, 7/31/16 0.5 07/31/2016 12,000,000 12,014,507
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 3/25/32 (144A) 1.558 03/25/2032 1,370,736 87,769
Becton Dickinson and Co., 1.45%, 5/15/17 1.45 05/15/2017 750,000 755,309
Home Equity Mortgage Trust, 5.821%, 4/25/35 (Step) 5.821 04/25/2035 1,000,000 195,206
Nordea Bank AB, 3.125%, 3/20/17 (144A) 3.125 03/20/2017 600,000 611,900
Fannie Mae, 6.0%, 10/1/22 6.0 10/01/2022 2,473,454 430,968
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 7.4175 07/05/2016 500,000 511,863
Progreso Receivables Funding IV LLC, 3.0%, 7/8/20 (144A) 3.0 07/08/2020 350,000 348,760
Terex Corp., U.S. Term Loan, 8/13/21 3.5 08/13/2021 254,457 248,732
Wachovia Bank Commercial Mortgage Trust Series 2006-C24, Floating Rate Note, 3/15/45 5.658 03/15/2045 272,000 30,330
Virgin Media Investment Holdings, Ltd., F Facility, 6/30/23 3.5 06/30/2023 235,662 234,005
Sterigenics-Nordion Holdings LLC, Initial Term Loan, 4/27/22 4.25 04/27/2022 298,500 294,769
Consumer Credit Origination Loan Trust 2015-1, 2.82%, 3/15/21 (144A) 2.82 03/15/2021 750,000 279,050
SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A) 2.0 09/20/2029 1,600,000 556,729
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/28 0.9362 07/15/2028 52,559,000 274,968
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 1.933 06/25/2028 2,350,000 319,722
COMM 2014-FL5 Mortgage Trust, Floating Rate Note, 10/17/31 (144A) 2.1222 10/17/2031 1,410,000 1,384,315
Federal National Mortgage Association 2004-T2, Floating Rate Note, 7/25/43 3.574 07/25/2043 6,750,000 799,215
Sinclair Television Group, Inc., New Tranche B Term Loan, 4/19/20 3.0 04/19/2020 433,841 431,468
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 2.039 02/13/2032 1,850,000 1,808,537
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/31 0.9362 07/15/2031 49,927,842 427,526
Government National Mortgage Association I, 6.0%, 3/15/17 6.0 03/15/2017 10,311,138 46,763
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/41 0.8562 04/15/2041 2,446,437 298,510
Fifth Third Bancorp, Floating Rate Note, 12/20/16 1.0434 12/20/2016 1,440,000 1,435,471
Ford Motor Credit Co LLC, 1.724%, 12/6/17 1.724 12/06/2017 700,000 698,695
Bayview Opportunity Master Fund IIa Trust 2014-20NPL, 3.721%, 8/28/44 (Step) (144A) 3.721 08/28/2044 420,000 178,652
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/33 0.9362 01/15/2033 41,300,000 1,282,476
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 1.0721 11/20/2034 1,990,836 154,563
Government National Mortgage Association, Floating Rate Note, 2/20/35 0.6821 02/20/2035 2,059,000 209,404
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 1.3321 05/19/2033 7,644,000 310,842
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 1.7011 03/25/2028 10,213,000 240,071
Wells Fargo & Co., Floating Rate Note, 4/23/18 1.2486 04/23/2018 575,000 576,248
Federal National Mortgage Association, Floating Rate Note, 3/25/36 0.783 03/25/2036 2,108,510 331,740
Oscar US Funding Trust 2014-1, 1.0%, 8/15/17 (144A) 1.0 08/15/2017 700,000 150,261
Freddie Mac, 2.0%, 11/15/20 2.0 11/15/2020 1,500,000 219,155
Gilead Sciences, Inc., 1.85%, 9/4/18 1.85 09/04/2018 750,000 764,265
Fannie Mae, Floating Rate Note, 10/1/29 2.405 10/01/2029 10,892,567 79,762
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 (144A) 1.21 08/15/2018 200,000 48,146
Crowne Group LLC, Term Loan (First Lien), 9/29/20 6.0 09/29/2020 295,500 283,680
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 3.0 03/27/2024 1,050,000 208,309
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 1.273 01/25/2035 8,440,000 763,904
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.683 03/25/2037 11,268,506 193,308
LSTAR Securities Investment, Ltd. 2015-8, Floating Rate Note, 8/3/20 (144A) 2.4385 08/03/2020 650,000 589,132
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 1.82 09/15/2020 192,000 52,143
Appvion, Inc., Term Commitment, 6/28/19 5.75 06/28/2019 239,867 224,275
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 1.5275 06/25/2028 9,455,006 260,775
L-3 Communications Corp., 1.5%, 5/28/17 1.5 05/28/2017 586,000 586,995
Envision Healthcare Corp., Tranche B-2 Term Loan, 10/28/22 4.5 10/28/2022 498,750 499,810
VOLT XXXVIII LLC, 3.875%, 9/25/45 (Step) (144A) 3.875 09/25/2045 1,127,000 1,012,282
Government National Mortgage Association, Floating Rate Note, 4/16/31 0.7413 04/16/2031 12,627,242 213,097
Ford Motor Credit Co LLC, 1.7%, 5/9/16 1.7 05/09/2016 500,000 503,688
UnitedHealth Group, Inc., 1.875%, 11/15/16 1.875 11/15/2016 500,000 507,035
Wells Fargo & Co., 1.15%, 6/2/17 1.15 06/02/2017 300,000 300,015
Fannie Mae, Floating Rate Note, 11/25/32 0.883 11/25/2032 29,460,000 857,058
Energy Transfer Equity LP, Loan (2015), 12/2/19 4.0 12/02/2019 278,824 251,638
Atlas IX Capital DAC, Floating Rate Note, 1/17/19 (Cat Bond) (144A) 3.8022 01/17/2019 500,000 514,194
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.6675 04/30/2018 350,000 351,671
Aon Corp., 3.125%, 5/27/16 3.125 05/27/2016 1,550,000 1,563,420
UBS AG, Floating Rate Note, 9/26/16 1.1301 09/26/2016 750,000 750,761
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 5/25/24 1.383 05/25/2024 1,020,000 635,143
Diamond Resorts Owner Trust 2014-1, 2.54%, 5/20/27 (144A) 2.54 05/20/2027 500,000 235,410
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 0.8488 01/20/2021 1,000,000 171,282
John Deere Capital Corp., 1.05%, 12/15/16 1.05 12/15/2016 750,000 753,538
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 0.783 09/25/2036 1,275,000 123,762
Federal National Mortgage Association, Floating Rate Note, 3/25/18 0.733 03/25/2018 8,811,000 113,382
Fannie Mae, 2.5%, 3/1/28 2.5 03/01/2028 2,075,000 1,477,441
Federal National Mortgage Association, 2.75%, 6/25/20 2.75 06/25/2020 1,750,000 237,660
JPMorgan Chase Bank NA, Floating Rate Note, 6/13/16 0.9624 06/13/2016 610,000 610,344
Zebra Technologies Corp., Initial Term Loan, 9/30/21 4.75 09/30/2021 444,318 447,196
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 5.0 07/25/2018 600,000 17,730
CGGS Commercial Mortgage Trust 2016-RND, Floating Rate Note, 2/9/33 (144A) 2.1 02/09/2033 850,000 850,099
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35 5.0 10/25/2035 5,635,000 244,164
Freddie Mac, 2.0%, 2/15/25 2.0 02/15/2025 8,900,000 1,824,777
RREF 2015-LT7 LLC, 3.0%, 12/25/32 (144A) 3.0 12/25/2032 700,000 446,564
Chase Funding Trust Series 2003-6, 4.277%, 11/27/34 (Step) 4.277 11/27/2034 1,680,000 187,489
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/35 0.783 03/25/2035 1,278,000 162,466
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 2.8798 05/25/2033 9,158,341 223,678
Duke Energy Progress LLC, Floating Rate Note, 11/20/17 0.8182 11/20/2017 440,000 434,765
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 0.703 04/25/2032 10,483,000 621,699
Tradewynd Re, Ltd., Floating Rate Note, 1/8/18 (Cat Bond) (144A) 5.1675 01/08/2018 250,000 252,610
SpringCastle America Funding LLC, 2.7%, 5/25/23 (144A) 2.7 05/25/2023 1,020,000 539,582
Freddie Mac, 4.5%, 11/15/24 4.5 11/15/2024 8,412,372 213,762
Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A) 3.8001 06/06/2018 250,000 249,782
CSFB Mortgage-Backed Trust Series 2004-7, 5.25%, 10/25/19 5.25 10/25/2019 1,196,000 30,881
Conn's Receivables Funding 2016-A LLC, 4.68%, 4/16/18 (144A) 4.68 04/16/2018 600,000 601,388
KeyBank NA Cleveland Ohio, 1.65%, 2/1/18 1.65 02/01/2018 1,000,000 1,003,366
VOLT XXXIX LLC, 4.125%, 10/25/45 (Step) (144A) 4.125 10/25/2045 1,300,000 1,247,768
Vitality Re VII, Ltd., Floating Rate Note, 1/7/20 (Cat Bond) (144A) 2.15 01/07/2020 400,000 399,680
Eden Re II, Ltd., 0.0%, 4/19/18 (Cat Bond) (144A) 0.0 04/19/2018 7,000 52,500
Fannie Mae, 2.5%, 6/1/23 2.5 06/01/2023 526,320 313,477
Bank of Montreal, Floating Rate Note, 7/14/17 0.8736 07/14/2017 470,000 469,640
BAMLL Commercial Mortgage Securities Trust 2014-INLD, Floating Rate Note, 12/17/29 (144A) 2.9659 12/17/2029 775,000 705,545
Impac CMB Trust Series 2005-4, Floating Rate Note, 5/25/35 1.078 05/25/2035 6,960,000 607,632
Thermo Fisher Scientific, Inc., 2.4%, 2/1/19 2.4 02/01/2019 1,000,000 1,015,794
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 1.783 06/25/2033 393,823 195,410
Terex Corporation 1st Lien Tl-B L + 3.75% 15dec22 4.5 12/15/2022 255,103 250,639
Invitation Homes 2014-SFR2 Trust, Floating Rate Note, 9/18/31 (144A) 2.037 09/18/2031 600,000 585,516
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/16/30 (144A) 2.187 12/16/2030 410,000 339,124
JP Morgan Chase Commercial Mortgage Securities Trust 2015-FL7, Floating Rate Note, 5/15/28 (144A) 2.237 05/15/2028 850,000 833,313
Bank of America Corp., Floating Rate Note, 8/25/17 1.2391 08/25/2017 408,000 406,919
Colony American Homes 2014-2, Floating Rate Note, 7/19/31 (144A) 2.3362 07/19/2031 600,000 576,148
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-B, Floating Rate Note, 4/25/28 1.113 04/25/2028 9,700,000 347,365
Merrill Lynch Mortgage Trust 2005-CKI1, Floating Rate Note, 11/12/37 5.5509 11/12/2037 550,000 277,590
PNC Bank NA, 5.25%, 1/15/17 5.25 01/15/2017 490,000 510,790
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-AR3, Floating Rate Note, 4.183 06/25/2033 155,851 32,354
Duke Energy Indiana LLC, Floating Rate Note, 7/11/16 0.9669 07/11/2016 303,000 303,751
Morgan Stanley Home Equity Loan Trust 2005-4, Floating Rate Note, 9/25/35 1.073 09/25/2035 1,558,243 495,867
Federal National Mortgage Association, 2.5%, 4/25/36 2.5 04/25/2036 635,000 132,935
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.8362 12/15/2032 2,900,000 129,637
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.7862 11/15/2036 1,229,000 157,697
Vitality Re VII, Ltd., Floating Rate Note, 1/7/20 (Cat Bond) (144A)   01/07/2020 250,000 249,825
NewStar Commercial Lease Funding 2015-1 LLC, 3.27%, 4/15/19 (144A) 3.27 04/15/2019 1,200,000 752,558
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 9.0334 01/05/2017 500,000 520,543
Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A) 0.8386 04/25/2022 500,000 215,218
Ascentium Equipment Receivables 2014-1 LLC, 3.1%, 6/10/21 (144A) 3.1 06/10/2021 700,000 700,931
LSTAR Securities Investment 2016-1, Floating Rate Note, 1/1/21 (144A) 2.4385 01/01/2021 1,350,000 1,295,787
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 1.233 10/25/2034 2,344,000 94,779
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 1.183 12/25/2034 1,210,753 90,117
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 4.3052 05/05/2017 750,000 755,333
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 0.583 05/25/2036 704,088 94,116
A10 Term Asset Financing 2014-1 LLC, 1.72%, 4/15/33 (144A) 1.72 04/15/2033 993,000 769,148
Vantiv LLC, Term B Loan, 6/12/21 3.75 06/12/2021 282,929 283,311
Navistar, Inc., Tranche B Term Loan, 8/17/17 6.5 08/17/2017 399,000 365,417
Citibank Credit Card Issuance Trust, Floating Rate Note, 1/23/20 1.5818 01/23/2020 500,000 507,325
CSMC Trust 2015-SAND, Floating Rate Note, 8/15/30 (144A) 5.14 08/15/2030 1,150,000 1,120,262
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 3.2597 01/15/2017 750,000 762,879
Government National Mortgage Association II, 6.0%, 10/20/21 6.0 10/20/2021 3,113,223 210,865
Fannie Mae, 3.0%, 6/25/22 3.0 06/25/2022 7,135,000 2,611,431
RAMP Series 2004-RS11 Trust, Floating Rate Note, 11/25/34 1.363 11/25/2034 1,085,000 164,399
Commonwealth Bank of Australia, Floating Rate Note, 9/8/17 (144A) 0.9035 09/08/2017 750,000 748,023
The Huntington National Bank, Floating Rate Note, 4/24/17 1.0436 04/24/2017 500,000 499,314
Longpoint Re, Ltd. III, Floating Rate Note, 5/23/18 (Cat Bond) (144A) 3.75 05/23/2018 750,000 760,347
Federal National Mortgage Association, Floating Rate Note, 6/25/32 0.933 06/25/2032 21,270,000 459,192
AmeriCredit Automobile Receivables Trust 2012-4, 3.82%, 2/10/20 (144A) 3.82 02/10/2020 500,000 506,877
Freddie Mac Strips, Floating Rate Note, 12/15/36 0.7862 12/15/2036 2,327,000 92,188
Ford Credit Floorplan Master Owner Trust A, 1.92%, 1/15/19 1.92 01/15/2019 1,065,000 1,070,657
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/16/27 (144A) 1.737 02/16/2027 1,000,000 980,603
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 2.748 07/25/2033 6,462,027 220,645
Banc of America Funding 2005-A Trust, Floating Rate Note, 2/20/35 0.7421 02/20/2035 10,835,000 361,339
Shell International Finance BV, Floating Rate Note, 11/15/16 0.8282 11/15/2016 750,000 750,659
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 0.623 12/25/2035 450,623 76,746
Fannie Mae, 2.5%, 3/25/24 2.5 03/25/2024 1,500,000 234,623
Government National Mortgage Association I, 6.0%, 11/15/36 6.0 11/15/2036 2,000,000 130,149
KeyBank NA Cleveland Ohio, 1.1%, 11/25/16 1.1 11/25/2016 500,000 502,255
Federal Home Loan Mortgage Corp., 3.0%, 6/15/38 3.0 06/15/2038 2,000,000 143,650
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 0.833 05/25/2033 34,300,000 998,311
United States Treasury Floating Rate Note, Floating Rate Note, 10/31/17 0.4682 10/31/2017 10,000,000 10,007,512
Freddie Mac, 4.0%, 5/15/37 4.0 05/15/2037 600,000 300,067
Federal National Mortgage Association, Floating Rate Note, 9/25/22 1.68 09/25/2022 3,000,000 80,113
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 0.6362 10/15/2020 9,083,556 53,673
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 3.75 12/12/2019 61,163 61,354
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5, Floating Rate Note, 7/15/31 (144A) 1.787 07/15/2031 490,000 484,423
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 2.7 08/15/2018 125,000 66,304
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 2.6548 02/25/2034 3,584,000 234,985
National Oilwell Varco, Inc., 1.35%, 12/1/17 1.35 12/01/2017 775,000 761,599
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 0.933 01/25/2033 2,782,000 70,417
VOLT XXXIII LLC, 3.5%, 3/25/55 (Step) (144A) 3.5 03/25/2055 700,000 552,859
Raymond James Financial, Inc., 4.25%, 4/15/16 4.25 04/15/2016 2,108,000 2,151,295
GATX Corp., 1.25%, 3/4/17 1.25 03/04/2017 750,000 745,447
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 0.603 08/25/2036 253,896 32,723
Morgan Stanley, Floating Rate Note, 6/6/16 1.4856 06/06/2016 500,000 498,940
Federal Home Loan Mortgage Corp., 6.5%, 7/1/16 6.5 07/01/2016 2,000,000 834
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/37 0.7362 01/15/2037 16,831,292 702,460
BBCMS Trust 2015-SLP, Floating Rate Note, 2/15/28 (144A) 2.437 02/15/2028 750,000 722,275
Cinedigm Digital Funding 1 LLC, Term Loan, 2/28/18 3.75 02/28/2018 63,055 62,582
Volkswagen Group of America Finance LLC, 1.65%, 5/22/18 (144A) 1.65 05/22/2018 500,000 495,949
NCF Dealer Floorplan Master Trust, Floating Rate Note, 10/20/20 (144A) 1.9321 10/20/2020 750,000 750,483
Countrywide Asset-Backed Certificates, Floating Rate Note, 9/25/34 (144A) 1.533 09/25/2034 8,600,000 425,975
Nomura Resecuritization Trust 2014-1R, Floating Rate Note, 10/26/36 (144A) 0.5858 10/26/2036 700,000 342,321
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 3.0 05/15/2018 585,000 56,386
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 2.25 08/20/2025 1,490,000 406,055
American Airlines, Inc., 2015 Term Loan, 10/10/21 3.5 10/10/2021 742,500 742,169
Enterprise Products Operating LLC, 1.65%, 5/7/18 1.65 05/07/2018 750,000 752,225
SWAY Residential 2014-1 Trust, Floating Rate Note, 1/20/32 (144A) 1.737 01/20/2032 700,000 682,918
Huntsman International LLC, 2014-1 Incremental Term Loan, 9/30/21 3.75 09/30/2021 543,125 540,070
Branch Banking & Trust Co., Floating Rate Note, 5/23/17 0.9182 05/23/2017 250,000 249,461
Scientific Games International, Inc., Initial Term B-2 Loan, 9/17/21 6.0 09/17/2021 913,438 888,175
Kinetic Concepts, Inc., Dollar Term E-1 Loan, 5/4/18 4.5 05/04/2018 740,530 737,406
RAIT 2014-FL2 Trust, Floating Rate Note, 5/15/31 (144A) 2.5885 05/15/2031 1,500,000 1,477,708
U.S. Treasury Notes, 3.25%, 3/31/17 3.25 03/31/2017 1,550,000 1,615,529
Gray Television, Inc., Initial Term Loan, 6/10/21 3.9375 06/10/2021 801,032 800,231
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 0.933 03/25/2024 4,129,409 124,776
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 1.213 11/25/2034 6,767,000 692,804
New York Life Global Funding, 1.125%, 3/1/17 (144A) 1.125 03/01/2017 800,000 802,854
Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A) 1.87 08/20/2029 1,400,000 269,426
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 0.7362 09/15/2026 385,000 174,003
Morgan Stanley, Floating Rate Note, 2/1/19 1.9963 02/01/2019 500,000 506,551
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 2.433 10/25/2023 1,244,000 670,227
First Horizon Mortgage Pass-Through Trust 2004-AR1, Floating Rate Note, 2/25/34 2.7676 02/25/2034 1,500,000 54,271
GS Mortgage Securities Trust 2014-GSFL, Floating Rate Note, 7/15/31 (144A) 2.1862 07/15/2031 495,000 493,807
SunTrust Bank, 1.35%, 2/15/17 1.35 02/15/2017 500,000 501,203
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/1/28 2.618 01/01/2028 500,000 3,497
The Goldman Sachs Group, Inc., Floating Rate Note, 4/30/18 1.8181 04/30/2018 650,000 654,818
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP6, Floating Rate Note, 4/15/43 5.565 04/15/2043 500,000 382,888
The Bank of Nova Scotia, 1.1%, 12/13/16 1.1 12/13/2016 500,000 502,275
US Renal Care, Inc., Initial Term Loan (First Lien), 11/16/22 5.25 11/16/2022 648,375 647,565
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C REMICS, Floating Rate Note, 6/25/28 1.093 06/25/2028 13,450,000 494,606
American Express Credit Corp., 1.3%, 7/29/16 1.3 07/29/2016 500,000 501,938
Fosse Master Issuer Plc, Floating Rate Note, 10/18/54 (144A) 2.1196 10/18/2054 100,000 54,779
American Honda Finance Corp., 1.125%, 10/7/16 1.125 10/07/2016 500,000 503,784
Aviation Capital Group Corp., 2.875%, 9/17/18 (144A) 2.875 09/17/2018 750,000 753,899
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 0.9362 07/15/2036 3,107,000 175,256
Zero% 31aug16 0.0 08/31/2016 100,000 112,670
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/33 0.8862 09/15/2033 2,647,000 94,598
CFCRE 2015-RUM Mortgage Trust, Floating Rate Note, 7/15/30 (144A) 4.2279 07/15/2030 765,000 745,695
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 2.25 06/25/2043 414,000 264,092
Volkswagen Group of America Finance LLC, Floating Rate Note, 5/23/16 (144A) 0.8382 05/23/2016 1,000,000 998,521
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34 1.453 11/25/2034 900,000 49,024
Ciena Corp., Term Loan, 7/8/19 3.75 07/08/2019 344,750 342,595
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/41 0.8662 06/15/2041 1,220,000 228,891
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/28/36 (144A) 2.6026 05/28/2036 500,000 277,701
Morgan Stanley ABS Capital I Inc Trust 2005-NC2, Floating Rate Note, 3/25/35 1.063 03/25/2035 627,000 214,405
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 3.9669 08/25/2053 1,505,000 672,993
JP Morgan Mortgage Trust 2005-A3, Floating Rate Note, 6/25/35 2.3194 06/25/2035 6,041,179 419,470
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 7/25/35 0.703 07/25/2035 4,805,000 408,971
Federal National Mortgage Association, 3.0%, 12/1/21 3.0 12/01/2021 2,000,000 622,466
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 2.187 06/15/2034 1,110,000 1,087,675
GS Mortgage Securities Corp Trust 2016-ICE2, Floating Rate Note, 2/15/33 (144A) 3.6881 02/15/2033 1,000,000 1,001,375
Government National Mortgage Association, Floating Rate Note, 12/16/26 0.9913 12/16/2026 48,900,000 692,669
Aberdeen Loan Funding, Ltd., Floating Rate Note, 11/1/18 (144A) 1.2656 11/01/2018 1,800,000 625,775
Federal National Mortgage Association, Floating Rate Note, 6/25/36 0.833 06/25/2036 7,000,000 590,627
Granite Acquisition, Inc., Term B Loan (First Lien), 10/15/21 5.0 10/15/2021 945,881 885,976
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/39 0.983 09/25/2039 683,053 68,475
OneMain Financial Issuance Trust 2015-1, 3.19%, 3/18/26 (144A) 3.19 03/18/2026 300,000 297,370
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 1.183 05/25/2035 429,900 283,273
Berkshire Hathaway Finance Corp., Floating Rate Note, 8/14/17 0.7432 08/14/2017 1,000,000 999,595
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 1.073 03/25/2034 25,588,000 1,122,588
Thomson Reuters Corp., 0.875%, 5/23/16 0.875 05/23/2016 250,000 250,720
VOLT XXXVI LLC, 3.625%, 7/25/45 (Step) (144A) 3.625 07/25/2045 500,000 422,730
MVW Owner Trust 2014-1, 2.7%, 9/22/31 (144A) 2.7 09/22/2031 750,000 517,157
Morgan Stanley Capital I Trust 2006-HQ9, Floating Rate Note, 7/12/44 5.793 07/12/2044 600,000 605,345
Branch Banking & Trust Co., 1.35%, 10/1/17 1.35 10/01/2017 500,000 504,114
AXIS Equipment Finance Receivables II LLC, 4.94%, 7/20/18 (144A) 4.94 07/20/2018 700,000 711,512
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 8.9 04/08/2016 500,000 510,983
U.S. Treasury Notes, 1.0%, 3/31/17 1.0 03/31/2017 3,050,000 3,076,533
Popular ABS Mortgage Pass-Through Trust 2004-4, 4.708383%, 9/25/34 (Step) 4.7084 09/25/2034 1,415,000 367,314
Countrywide Asset-Backed Certificates, Floating Rate Note, 12/25/35 5.069 12/25/2035 1,814,000 353,470
Kane Zero% 29apr16 0.0 04/29/2016 800,000 21,600
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 0.7362 02/15/2039 288,000 105,855
Sierra Timeshare 2013-2 Receivables Funding LLC, 4.75%, 11/20/25 (144A) 4.75 11/20/2025 900,000 200,354
Kilimanjaro Re, Ltd., Floating Rate Note, 12/6/19 (Cat Bond) (144A) 9.5552 12/06/2019 250,000 257,853
Ziggo BV, US$ B3 Facility, 1/15/22 3.6013 01/15/2022 476,177 471,117
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 0.883 07/25/2034 2,600,000 151,320
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5 REMICS, Floating Rate Note, 7/15/31 (1 2.537 07/15/2031 650,000 636,142
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 1.4399 11/18/2032 24,329,000 350,045
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 0.713 09/25/2035 3,300,000 202,808
Seadrill Operating LP, Initial Term Loan, 2/14/21 4.0 02/14/2021 830,875 370,431
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 1.073 01/25/2029 3,360,000 149,971
SunTrust Bank, Floating Rate Note, 2/15/17 1.0582 02/15/2017 805,000 804,142
Structured Asset Securities Corp Mortgage Loan Trust 2005-2XS, 4.65%, 2/25/35 (Step) 4.65 02/25/2035 1,000,000 43,945
Chesapeake Funding II LLC, Floating Rate Note, 3/15/28 (144A) 1.585 03/15/2028 200,000 200,018
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 0.7362 01/15/2036 400,312 53,236
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 0.5912 05/15/2047 250,000 83,757
Citigroup, Inc., 1.8%, 2/5/18 1.8 02/05/2018 750,000 751,341
Federal Home Loan Mortgage Corp., 3.0%, 12/15/24 3.0 12/15/2024 7,415,000 902,216
NorthStar 2013-1, Floating Rate Note, 8/27/29 (144A) 2.283 08/27/2029 778,000 156,020
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 1.033 07/25/2035 240,000 129,842
BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A) 2.9796 09/26/2035 2,765,000 373,139
FREMF Mortgage Trust 2012-K501, Floating Rate Note, 11/26/46 (144A) 3.3612 11/26/2046 409,000 411,814
Government National Mortgage Association, Floating Rate Note, 1/16/40 0.9913 01/16/2040 2,000,000 531,706
Quebecor Media, Inc., Facility B-1 Tranche, 8/17/20 3.25 08/17/2020 196,474 194,345
Wells Fargo Bank NA, Floating Rate Note, 5/16/16 0.8282 05/16/2016 250,000 250,162
Delos Finance Sarl, Loan, 3/6/21 3.5 03/06/2021 425,000 426,594
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/38 0.8362 03/15/2038 2,600,000 422,576
Dominion Resources, Inc. Virginia, 1.25%, 3/15/17 1.25 03/15/2017 1,021,000 1,021,279
BLCP Hotel Trust, Floating Rate Note, 8/15/29 (144A) 1.787 08/15/2029 1,610,000 1,558,601
Reynolds American, Inc., 3.5%, 8/4/16 3.5 08/04/2016 750,000 758,839
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 2.8272 06/25/2030 731,690 83,480
Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A) 0.8839 06/15/2020 500,000 9,932
Government National Mortgage Association, Floating Rate Note, 4/16/32 0.9413 04/16/2032 10,000,000 117,007
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/31 2.732 10/01/2031 19,044,336 320,574
Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36 0.923 06/25/2036 412,000 142,632
On Assignment, Inc., Initial Term B Loan, 6/5/22 3.75 06/05/2022 109,869 110,235
MUFG Union Bank NA, Floating Rate Note, 9/26/16 1.3801 09/26/2016 1,450,000 1,452,895
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/40 0.733 08/25/2040 1,922,000 574,694
American Honda Finance Corp., 1.2%, 7/14/17 1.2 07/14/2017 750,000 753,242
VOLT XXXVII LLC, 3.625%, 7/25/45 (Step) (144A) 3.625 07/25/2045 400,000 362,021
TimberStar Trust I REMICS, 5.668%, 10/15/36 (144A) 5.668 10/15/2036 525,000 535,255
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 0.663 11/25/2037 9,516,000 202,810
The Dayton Power & Light Co., 1.875%, 9/15/16 1.875 09/15/2016 750,000 753,699
Federal National Mortgage Association REMICS, 1.75%, 12/25/22 1.75 12/25/2022 1,000,000 204,454
Asset Backed Securities Corp Home Equity Loan Trust Series 2003-HE1, Floating Rate Note, 1/15/33 3.9612 01/15/2033 3,082,000 379,412
Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/17/26 (144A) 2.187 08/17/2026 1,100,000 1,098,897
RAMP Series 2003-RS9 Trust, Floating Rate Note, 10/25/33 5.06 10/25/2033 5,091,956 165,563
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/18 1.0362 08/15/2018 600,000 55,560
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 1.003 09/25/2037 679,000 63,686
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 0.823 11/25/2035 7,136,000 982,487
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 0.8362 07/15/2023 835,000 124,874
Oracle Corp., 2.25%, 10/8/19 2.25 10/08/2019 300,000 312,742
First Investors Auto Owner Trust 2013-1, 1.81%, 10/15/18 (144A) 1.81 10/15/2018 55,000 55,028
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 3.25 03/31/2021 196,500 195,972
Cendant Mortgage Corp., 6.25%, 3/25/32 (144A) 6.25 03/25/2032 4,100,000 370,633
Vizient, Inc., Initial Term Loan, 2/9/23 6.25 02/09/2023 300,000 302,375
BBB Industries US Holdings, Inc., Initial Term Loan (First Lien), 10/20/21 6.0 10/20/2021 528,000 525,855
American Honda Finance Corp., Floating Rate Note, 12/11/17 0.9446 12/11/2017 750,000 749,005
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 1.513 03/25/2035 311,000 27,736
Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A) 2.4691 01/26/2020 553,000 519,156
La Hipotecaria Panamanian Mortgage Trust 2007-1, Floating Rate Note, 12/23/36 (144A) 4.7725 12/23/2036 1,400,000 532,335
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 1.035 10/25/2028 8,975,000 238,424
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 9/25/28 2.588 09/25/2028 500,000 500,624
Fannie Mae, Floating Rate Note, 11/1/40 1.75 11/01/2040 9,368,434 29,600
TI Group Automotive Systems LLC, Initial US Term Loan, 6/25/22 4.5 06/25/2022 467,638 464,715
GSAA Trust, Floating Rate Note, 6/25/35 1.228 06/25/2035 1,900,000 23,630
WaMu Mortgage Pass-Through Certificates Series 2003-S10, 5.0%, 10/25/18 5.0 10/25/2018 17,361,049 306,728
GS Mortgage Securities Trust 2007-GG10 REMICS, Floating Rate Note, 8/10/45 5.7936 08/10/2045 1,000,000 910,181
Fannie Mae, 5.5%, 8/1/37 5.5 08/01/2037 2,000,000 261,025
ONEOK Partners LP, 6.15%, 10/1/16 6.15 10/01/2016 720,000 761,079
Federal National Mortgage Association, 2.0%, 8/1/23 2.0 08/01/2023 2,390,000 1,548,297
EQTY 2014-INNS Mortgage Trust REMICS, Floating Rate Note, 5/8/31 (144A) 2.038 05/08/2031 540,000 520,559
Galileo Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 7.59 01/09/2017 500,000 514,075
Zero% 30nov20 0.0 11/30/2020 250,000 253,800
Ally Financial, Inc., 3.6%, 5/21/18 3.6 05/21/2018 500,000 502,125
Sensata Technologies BV, Sixth Amendment Term Loan, 10/14/21 2.8809 10/14/2021 640,282 638,615
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 0.9931 01/30/2017 500,000 500,183
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 0.833 05/25/2037 6,826,000 137,773
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 1.333 05/26/2037 550,000 192,331
Lehman ABS Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 6/15/33 0.8862 06/15/2033 19,804,000 546,475
Dell Equipment Finance Trust 2014-1, 2.68%, 6/22/20 (144A) 2.68 06/22/2020 750,000 747,760
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 1.941 11/05/2030 1,290,000 1,165,379
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 0.833 10/25/2036 11,844,000 339,952
Oracle Corp., 2.375%, 1/15/19 2.375 01/15/2019 500,000 520,824
Government National Mortgage Association, Floating Rate Note, 5/16/33 0.7413 05/16/2033 15,642,835 589,543
Sector Re V, Ltd., 0.0%, 12/1/19 (Cat Bond) (144A) 0.0 12/01/2019 1,889 13,223
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 1.183 06/25/2035 278,355 23,991
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 1.133 01/25/2035 9,210,000 769,873
JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A) 1.687 04/15/2027 1,670,000 1,642,428
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 0.733 09/25/2036 1,226,000 114,046
NovaStar Mortgage Funding Trust Series 2004-3, Floating Rate Note, 12/25/34 2.008 12/25/2034 560,000 527,006
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33 0.933 09/25/2033 4,915,594 386,547
Unifrax I LLC, New Term Dollar Loan, 11/28/18 4.25 11/28/2018 400,601 362,544
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 6/25/33 5.5 06/25/2033 200,000 31,015
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 3.25 12/19/2020 514,500 513,375
Trade MAPS 1, Ltd., Floating Rate Note, 12/10/18 (144A) 1.6919 12/10/2018 250,000 247,657
Terwin Mortgage Trust Series TMTS 2005-14HE, 4.8492%, 8/25/36 (Step) 4.8492 08/25/2036 630,000 97,061
Government National Mortgage Association REMICS, 2.0%, 1/16/46 2.0 01/16/2046 3,000,000 2,306,163
Credit Suisse First Boston Mortgage Securities Corp., 7.5%, 5/25/32 7.5 05/25/2032 15,000,000 259,174
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 8.2725 06/06/2016 250,000 252,464
On Semiconductor Corporation 1st Lien Tl-B L + 4.5% 31mar23 5.25 03/31/2023 200,000 200,700
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 4.3125 06/28/2016 1,000,000 1,007,867
Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35 0.813 12/25/2035 200,000 16,796
Toyota Motor Credit Corp., Floating Rate Note, 2/19/19 1.4394 02/19/2019 600,000 603,692
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 1.0899 01/18/2032 4,920,043 54,317
Capital Auto Receivables Asset Trust 2013-1, 2.19%, 9/20/21 2.19 09/20/2021 125,000 124,469
U.S. Treasury Notes, 0.625%, 6/30/17 0.625 06/30/2017 12,500,000 12,511,446
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/9/21 0.9357 03/09/2021 800,000 266,991
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 2.0196 04/19/2021 750,000 662,536
Banc of America Mortgage 2004-D Trust, Floating Rate Note, 5/25/34 2.7225 05/25/2034 4,920,000 350,225
FHLMC Structured Pass Through Securities, Floating Rate Note, 12/25/29 0.733 12/25/2029 12,000,000 168,635
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 0.8362 05/15/2036 2,159,000 102,895
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 2.0552 01/07/2019 500,000 496,062
Hilton Grand Vacations Trust 2014-A, 2.07%, 11/25/26 (144A) 2.07 11/25/2026 750,000 452,317
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 1.152 07/15/2016 300,000 301,126
Merrill Lynch Mortgage Trust 2006-C2, Floating Rate Note, 8/12/43 5.782 08/12/2043 1,150,000 1,161,245
Government National Mortgage Association, Floating Rate Note, 6/16/32 0.8413 06/16/2032 35,000,000 640,273
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.683 06/25/2037 4,600,000 222,602
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 4.0 04/30/2020 244,362 245,304
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 0.733 03/25/2036 11,585,646 1,012,573
Federal Home Loan Mortgage Corp., 4.0%, 1/15/34 4.0 01/15/2034 5,000,000 182,191
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 1.1182 12/22/2054 250,000 198,758
Fannie Mae, 6.5%, 4/1/29 6.5 04/01/2029 9,050,000 257,462
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.8362 12/15/2032 1,931,288 88,906
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 2.02 01/15/2019 200,000 199,247
Westgate Resorts 2014-1 LLC, 2.15%, 12/20/26 (144A) 2.15 12/20/2026 1,000,000 600,220
Credit Suisse Commercial Mortgage Trust Series 2007-C3, Floating Rate Note, 6/15/39 5.6987 06/15/2039 1,300,000 969,427
Silverton RE, Ltd., 0.0%, 9/18/17 (Cat Bond) (144A) 0.0 09/18/2017 400,000 16,480
Starbucks Corp., 0.875%, 12/5/16 0.875 12/05/2016 605,000 607,253
McKesson Corp., 1.292%, 3/10/17 1.292 03/10/2017 1,200,000 1,203,086
Garda World Security Corp., Term B Loan, 11/1/20 4.0038 11/01/2020 474,230 456,743
Irwin Home Equity Loan Trust 2005-1, 5.32%, 6/25/35 (Step) 5.32 06/25/2035 900,000 27,177
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/19 0.5862 07/15/2019 1,500,000 44,640
Royal Bank of Canada, Floating Rate Note, 1/23/17 0.9486 01/23/2017 550,000 550,818
Principal Life Global Funding II, Floating Rate Note, 12/1/17 (144A) 1.1351 12/01/2017 750,000 750,252
BAMLL Commercial Mortgage Securities Trust 2014-INLD REMICS, Floating Rate Note, 12/17/29 (144A) 3.037 12/17/2029 930,000 909,213
JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2, 3.6159%, 11/15/43 (144A) 3.6159 11/15/2043 1,200,000 1,231,498
Fannie Mae, 4.5%, 1/1/41 4.5 01/01/2041 580,000 248,350
Marriott Vacation Club Owner Trust 2012-1, 3.5%, 5/20/30 (144A) 3.5 05/20/2030 845,000 312,282
Citizens Bank NA, 2.5%, 3/14/19 2.5 03/14/2019 600,000 605,937
American Credit Acceptance Receivables Trust 2014-3, 0.99%, 8/10/18 (144A) 0.99 08/10/2018 410,000 4,058
Starwood Property Trust, Inc., Term Loan, 4/17/20 3.5 04/17/2020 194,975 193,391
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 1.4358 02/25/2024 485,000 320,043
KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A) 2.0682 05/15/2021 375,000 369,258
Zero% 30nov19 0.0 11/30/2019 1,000,000 1,083,100
Prestige Brands, Inc., Term B-3 Loan, 9/3/21 3.5 09/03/2021 254,177 254,733
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 2.5519 07/25/2033 7,700,000 695,860
MUFG Union Bank NA, 2.625%, 9/26/18 2.625 09/26/2018 1,000,000 1,018,202
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 1.1816 03/03/2017 500,000 500,664
Government National Mortgage Association, 3.5%, 8/20/38 3.5 08/20/2038 1,115,000 192,766
PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29 1.44 05/15/2029 600,000 263,795
AmeriCredit Automobile Receivables Trust 2013-4, 3.31%, 10/8/19 3.31 10/08/2019 550,000 561,814
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 1.1121 05/19/2035 24,300,000 963,745
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 0.793 11/25/2036 2,248,000 237,565
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 1.153 07/25/2035 719,331 403,555
Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A) 1.433 03/25/2037 1,130,000 158,049
U.S. Residential Opportunity Fund IV Trust 2015-1, 3.7213%, 2/27/35 (144A) 3.7213 02/27/2035 1,000,000 739,999
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/35 0.7562 12/15/2035 2,232,000 275,717
Capital One Multi-Asset Execution Trust, Floating Rate Note, 2/15/19 0.616 02/15/2019 300,000 300,077
Government National Mortgage Association, 3.0%, 12/20/38 3.0 12/20/2038 1,000,000 67,253
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.483 10/25/2037 466,904 185,998
Government National Mortgage Association I, 5.0%, 8/15/19 5.0 08/15/2019 1,347,915 231,269
KeyBank NA Cleveland Ohio, 2.35%, 3/8/19 2.35 03/08/2019 600,000 606,338
Capital One NA, 2.35%, 8/17/18 2.35 08/17/2018 750,000 756,015
Fannie Mae, 6.0%, 4/1/38 6.0 04/01/2038 483,000 27,376
West Corp., Term B-11 Loan, 11/20/21 4.25 11/20/2021 324,188 324,998
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 1.8885 08/15/2031 700,000 691,083
Fannie Mae, 6.5%, 8/1/17 6.5 08/01/2017 667,089 7,177
Citigroup, Inc., Floating Rate Note, 11/15/16 1.2982 11/15/2016 750,000 752,221
Fannie Mae, Floating Rate Note, 11/1/25 2.41 11/01/2025 700,000 1,661
Kindred Healthcare, Inc., New Term Loan, 4/10/21 4.25 04/10/2021 271,545 264,417
VFC 2014-2 LLC, 2.75%, 7/20/30 (144A) 2.75 07/20/2030 1,060,000 36,712
Xylem, Inc. New York, 3.55%, 9/20/16 3.55 09/20/2016 750,000 751,482
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 12/25/35 0.613 12/25/2035 5,047,000 714,994
Bear Stearns ARM Trust 2004-10 REMICS, Floating Rate Note, 1/25/35 2.9571 01/25/2035 720,000 75,860
Fannie Mae, Floating Rate Note, 12/1/28 2.585 12/01/2028 1,112,489 49,225
Government National Mortgage Association II, 6.0%, 11/20/22 6.0 11/20/2022 1,986,670 171,225
Daimler Finance North America LLC, Floating Rate Note, 8/1/17 (144A) 0.9556 08/01/2017 617,000 614,289
Duke Energy Progress LLC, Floating Rate Note, 3/6/17 0.8356 03/06/2017 411,000 410,221
Bank of America Corp., 1.35%, 11/21/16 1.35 11/21/2016 500,000 502,926
Alamo Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 6.665 06/07/2017 250,000 253,569
Fannie Mae, Floating Rate Note, 2/1/27 2.575 02/01/2027 4,000,000 6,613
Fannie Mae, Floating Rate Note, 10/1/36 2.23 10/01/2036 1,877,185 301,494
United Auto Credit Securitization Trust 2016-1, 3.55%, 8/15/19 (144A) 3.55 08/15/2019 500,000 499,346
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 2/25/35 1.293 02/25/2035 4,622,000 780,253
Navitas Equipment Receivables LLC 2013-1, 3.63%, 2/15/17 3.63 02/15/2017 650,000 651,574
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 2.5 03/20/2025 250,000 28,201
Electricite de France SA, Floating Rate Note, 1/20/17 (144A) 1.0838 01/20/2017 750,000 749,824
Capital One Bank USA NA, 1.15%, 11/21/16 1.15 11/21/2016 750,000 753,180
America Movil SAB de CV, Floating Rate Note, 9/12/16 1.6324 09/12/2016 1,000,000 1,000,419
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.713 11/25/2035 4,441,000 427,317
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 9/8/17 (144A) 0.9435 09/08/2017 500,000 497,916
Federal Home Loan Mortgage Corp., 3.5%, 8/15/28 3.5 08/15/2028 500,000 101,660
Home Partners of America 2016-1 Trust, Floating Rate Note, 3/18/33 (144A) 3.7235 03/18/2033 400,000 385,864
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 4.985 09/11/2042 1,160,000 98,136
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 3.6675 05/05/2017 750,000 750,635
Fannie Mae, Floating Rate Note, 10/1/29 2.82 10/01/2029 4,831,796 97,687
Chase Funding Trust Series 2003-3, Floating Rate Note, 4/25/33 0.973 04/25/2033 13,029,694 54,658
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 0.6362 08/15/2026 370,000 96,070
Bayview Commercial Asset Trust 2007-2, 0.0%, 7/27/37 (Step) (144A) 0.0 07/27/2037 4,500,000 0
ConAgra Foods, Inc., Floating Rate Note, 7/21/16 0.9943 07/21/2016 750,000 750,937
GCI Holdings, Inc., New Term B Loan, 2/2/22 4.0 02/02/2022 371,250 371,714
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 1.0362 02/15/2019 575,000 573,150
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 0.9924 03/13/2017 650,000 649,895
Government National Mortgage Association, Floating Rate Note, 8/20/40 0.7321 08/20/2040 1,000,000 385,616
Milacron LLC, Term Loan, 9/28/20 4.5 09/28/2020 326,836 325,201
Bank of America Corp., 3.875%, 3/22/17 3.875 03/22/2017 600,000 614,465
Green Tree Agency Advance Funding Trust I Series 2015-T1, 2.3019%, 10/15/46 (144A) 2.3019 10/15/2046 300,000 299,923
LSTAR Securities Investment Trust 2015-1, Floating Rate Note, 1/2/20 (144A) 2.4385 01/02/2020 1,150,000 1,019,910
Monsanto Co., 1.15%, 6/30/17 1.15 06/30/2017 1,000,000 1,000,932
Becton Dickinson and Co., 1.8%, 12/15/17 1.8 12/15/2017 750,000 757,128
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 1.2896 07/19/2016 300,000 301,164
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 0.6862 08/15/2035 462,000 68,211
SunTrust Banks, Inc., 3.5%, 1/20/17 3.5 01/20/2017 500,000 511,273
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 0.883 02/25/2038 624,000 69,398
CDGJ Commercial Mortgage Trust 2014-BXCH, Floating Rate Note, 12/15/27 (144A) 2.9362 12/15/2027 1,340,000 1,302,702
Ascentium Equipment Receivables 2015-1 LLC, 3.24%, 1/10/22 (144A) 3.24 01/10/2022 510,000 517,822
Banc of America Commercial Mortgage Trust 2006-4 REMICS, 5.634%, 7/10/46 5.634 07/10/2046 1,960,000 820,528
Morgan Stanley Capital I Trust 2015-XLF1, Floating Rate Note, 8/14/31 (144A) 2.6362 08/14/2031 500,000 494,264
GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34 1.213 06/25/2034 15,032,940 299,901
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/31 2.563 11/01/2031 1,399,950 5,086
Fannie Mae, Floating Rate Note, 12/1/36 4.324 12/01/2036 6,500,000 180,272
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 1.013 09/25/2037 3,700,000 260,281
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 9.5225 06/06/2017 250,000 259,781
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 8.8 05/09/2016 1,150,000 1,159,404
JP Morgan Mortgage Trust 2004-S1, 5.0%, 9/25/34 5.0 09/25/2034 3,504,124 106,594
Resi Flt% 12dec45 A1 1.3339 12/12/2045 500,000 314,759
Fannie Mae, 4.5%, 5/1/39 4.5 05/01/2039 1,350,000 399,313
MortgageIT Trust 2004-2, Floating Rate Note, 12/25/34 1.173 12/25/2034 5,310,000 568,202
MGM Resorts International, Term B Loan, 12/20/19 3.5 12/20/2019 338,625 338,343
Westpac Banking Corp., Floating Rate Note, 5/19/17 0.9494 05/19/2017 1,000,000 1,000,328
The Korea Development Bank, Floating Rate Note, 1/22/17 1.2463 01/22/2017 750,000 751,828
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 0.683 02/25/2037 4,099,889 254,114
SilverLeaf Finance XVII LLC, 2.71%, 3/16/26 (144A) 2.71 03/16/2026 750,000 225,999
U.S. Treasury Notes, 0.5%, 8/31/16 0.5 08/31/2016 23,000,000 23,021,224
Oracle Corp., Floating Rate Note, 7/7/17 0.8171 07/07/2017 575,000 576,863
FREMF Mortgage Trust 2011-K703, Floating Rate Note, 7/25/44 (144A) 4.8811 07/25/2044 1,000,000 1,046,288
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 0.893 03/25/2030 7,567,883 340,824
ML-CFC Commercial Mortgage Trust 2006-2, Floating Rate Note, 6/12/46 5.9536 06/12/2046 800,000 807,840
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 0.933 12/25/2032 34,313,143 537,026
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 0.993 01/25/2030 17,199,975 502,388
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 4.7652 04/18/2017 250,000 248,492
Freddie Mac, 3.0%, 2/15/24 3.0 02/15/2024 1,000,000 200,648
Exeter Automobile Receivables Trust 2014-2, 1.06%, 8/15/18 (144A) 1.06 08/15/2018 400,000 55,052
Ooredoo International Finance, Ltd., 3.375%, 10/14/16 (144A) 3.375 10/14/2016 500,000 512,365
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 1.55%, 9/9/16 (144A) 1.55 09/09/2016 1,000,000 1,002,998
Countrywide Asset-Backed Certificates, Floating Rate Note, 3/25/35 1.333 03/25/2035 1,300,000 381,499
Medtronic, Inc., Floating Rate Note, 3/15/20 1.4339 03/15/2020 620,000 618,826
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 3 1.108 03/25/2035 592,188 145,349
Morgan Stanley Capital I Trust 2007-HQ13, 5.569%, 12/15/44 5.569 12/15/2044 500,000 472,237
PSEG Power LLC, 2.75%, 9/15/16 2.75 09/15/2016 500,000 504,607
Sector Re V, Ltd., 0.0%, 3/30/19 (Cat Bond) (144A) 0.0 03/30/2019 516 4,230
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 4.5 07/01/2019 1,467,130 90,345
Credit Suisse Commercial Mortgage Trust Series 2006-C3 REMICS, Floating Rate Note, 6/15/38 5.8068 06/15/2038 950,000 957,103
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 0.883 06/25/2036 2,317,493 167,370
General Electric Co., Floating Rate Note, 5/15/17 0.8982 05/15/2017 750,000 751,933
Sumitomo Mitsui Banking Corp., Floating Rate Note, 1/10/17 1.0511 01/10/2017 750,000 751,034
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 3.75 08/20/2025 403,000 109,888
Fannie Mae, 3.0%, 10/1/27 3.0 10/01/2027 2,000,000 1,058,435
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 1.033 04/25/2034 14,790,618 360,656
PNC Bank NA, 1.125%, 1/27/17 1.125 01/27/2017 450,000 451,385
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 0.9839 12/15/2016 250,000 249,488